/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/101212.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, December 12, 2010, Vol. 14, No. 344 Headlines ADAMS OUTDOOR: Fitch Rates Class C Notes at 'BBsf' AIRPLANES PASS: Amendments Won't Affect Fitch's Trust Ratings ALLIANCE BANCORP: Moody's Downgrades Ratings on Three Tranches ALM LOAN: Moody's Assigns Ratings on Five Classes of Notes ALM LOAN: S&P Assigns Ratings on Various Floating-Rate Notes ALPINE SECURITIZATION: DBRS Keeps BB Rating on Liquidity Facility ANTHRACITE 2005-HY2: Fitch Affirms Ratings on Eight Classes ARBOR REALTY: Fitch Downgrades Ratings on Five Classes of Notes ARBOR REALTY: Moody's Downgrades Ratings on Four Classes of Notes ARBOR REALTY: Moody's Downgrades Ratings on Nine Classes of Notes ARBOR REALTY: Moody's Takes Rating Actions on Various Classes ASSET BACKED: Moody's Takes Rating Actions on Various Tranches ATLANTIS FUNDING: S&P Raises Ratings on Various Classes of Notes AVIATION CAPITAL: B737-400 Sale Won't Affect Fitch's Ratings BABSON CAPITAL: S&P Raises Ratings on Various Classes of Notes BANC OF AMERICA: Fitch Downgrades Ratings on 15 Certificates BANC OF AMERICA: Moody's Affirms Ratings on 12 2007-BMB1 Certs. BANC OF AMERICA: Moody's Downgrades Ratings on 14 Certificates BANC OF AMERICA: Moody's Downgrades Ratings on 183 Tranches BEAR STERNS: Fitch Downgrades Ratings on 12 2006-PWR14 Certs. BEAR STERNS: Fitch Downgrades Ratings on 13 2007-PWR17 Certs. BEAR STEARNS: Moody's Takes Rating Actions on Two 1999-C1 Certs. BEAR STEARNS: Moody's Upgrades Ratings on Two 2001-TOP4 Certs. BEAR STEARNS: Moody's Downgrades Ratings on 15 2005-TOP20 Certs. BEAR STEARNS: Moody's Reviews Ratings on 14 2007-PWR16 Certs. BEAR STEARNS: Moody's Downgrades Ratings on 71 Tranches BEAR STEARNS: S&P Raises Ratings on Five 2003-TOP10 Securities BIRCH REAL: Fitch Affirms Ratings on Five Classes of Notes BRASCAN STRUCTURED: Moody's Takes Rating Actions on Various Notes CAPITALSOURCE COMMERCIAL: Moody's Upgrades Ratings on Two Notes CAPLEASE CDO: Moody's Downgrades Ratings on Five Classes of Notes CDC COMMERCIAL: Moody's Upgrades Ratings on Four 2002-FX1 Certs. CEDARWOODS CRE: Moody's Junks Ratings on 3 Classes of Notes CEDARWOODS CRE: Moody's Junks Ratings on Four Classes CHL MORTGAGE: Moody's Downgrades Ratings on 112 Tranches CITIGROUP COMMERCIAL: S&P Raises Ratings on 2006-FL2 Certificates CITIGROUP COMMERCIAL: Fitch Cuts Ratings on 17 2007-C6 Certs. COBALT CMBS: Moody's Confirms Ratings on Two 2007-C2 Certs. COBALTS TRUST: Moody's Reviews 'Ba3' Rating on Certificates COLTS 2007-1: S&P Affirms Ratings on Various Classes of Notes COMM 2001-J2: Moody's Affirms Ratings on 16 2001-J2 Certs. COMM 2004-LNB3: Moody's Confirms Ratings on Two Certificates COMM 2005-C6: Moody's Downgrades Ratings on Nine Certificates COMM 2007-C9: Moody's Downgrades Ratings on 19 2007-C9 Certs. COMMERCIAL MORTGAGE: S&P Raises Ratings on Three 1998-C1 Certs. COMMERCIAL MORTGAGE: Moody's Affirms Ratings on 1999-C2 Certs. COMMERCIAL MORTGAGE: Moody's Upgrades Ratings on Two Certs. CONSECO FINANCE: Moody's Takes Rating Actions on Various Tranches CONTINENTAL AIRLINES: S&P Assigns Rating on 2010-1 Certs. CORPORATE BACKED: Moody's Reviews 'Ba3' Rating on Class A-1 CREDIT SUISSE: Fitch Downgrades Ratings on 16 2006-C1 Certs. CREDIT SUISSE: Moody's Downgrades Ratings on 12 2002- CKN2 Certs. CT CDO: Fitch Downgrades Ratings on 15 Classes of Notes CT CDO: S&P Downgrades Ratings on 12 Classes of Notes CULLMAN REGIONAL: Fitch Downgrades Rating on 2009-A Bonds to 'BB+' DEUTSCHE ALT-A: Moody's Downgrades Ratings on 46 Tranches DISTRIBUTION FINANCIAL: Fitch Affirms Ratings on Three Classes DLJ COMMERCIAL: S&P Downgrades Ratings on Five 2000-CF1 Certs. DOWLING COLLEGE: Moody's Reviews 'B1' Rating on $15.2 Mil. Debt DRYDEN-XI LEVERAGED: Moody's Upgrades Ratings on Three Notes DSLA MORTGAGE: Moody's Downgrades Ratings on 44 Tranches EDUCATION LOANS: Fitch Takes Rating Actions on Various Classes EDUCATION LOANS: Moody's Downgrades Ratings on 18 Notes EMERSON PLACE: Moody's Upgrades Ratings on Class E to 'Caa3' FIELDSTONE MORTGAGE: Moody's Downgrades Ratings on 2006-S1 Notes FIFTH THIRD: Moody's Downgrades Ratings on 2003-1 Tranche FLATIRON CLO: S&P Raises Ratings on Various Classes of Notes G-STAR 2003-3: Moody's Takes Rating Actions on 2003-3 Notes GE CAPITAL: Moody's Downgrades Ratings on Ten 2007-C1 Certs. GEM LIGOS: S&P Downgrades Ratings on Six Tranches GMAC COMMERCIAL: Fitch Downgrades Ratings on 11 2006-C1 Certs. GMAC COMMERCIAL: Moody's Upgrades Ratings on Three 2002-C2 Certs. GMAC COMMERCIAL: Moody's Affirms Ratings on 11 2002-C3 Certs. GMAC COMMERCIAL: S&P Downgrades Ratings on 11 2003-C2 Certs. GMAC COMMERCIAL: S&P Downgrades Ratings on Five Securities GMAC COMMERCIAL: S&P Downgrades Ratings on Nine Securities GRAMERCY REAL: Moody's Downgrades Ratings on Five Classes GREEN TREE: Moody's Confirms Ratings on Four Tranches GREENWICH CAPITAL: Fitch Downgrades Ratings on 16 2007-GG9 Certs. GRMT MORTGAGE: Moody's Downgrades Ratings on Two Tranches HARBORVIEW MORTGAGE: Moody's Downgrades Ratings on 40 Tranches HARBORVIEW MORTGAGE: Moody's Downgrades Ratings on 197 Tranches HOME EQUITY: Moody's Confirms Ratings on Three Tranches HOME EQUITY: Moody's Downgrades Ratings on Three Tranches HOME LOAN: Moody's Downgrades Ratings on Six Tranches HSPI DIVERSIFIED: S&P Downgrades Ratings on Four Classes to 'D' INDYMAC IMSC: Moody's Downgrades Ratings on 97 Tranches ING INVESTMENT: S&P Raises Ratings on Various Classes of Notes JP MORGAN: Moody's Affirms Ratings on Seven 2002-C2 Certs. JP MORGAN: Moody's Affirms Ratings on Three 2004-LN2 Certs. JP MORGAN: Moody's Downgrades Ratings on 15 2005-CIBC12 Certs. JP MORGAN: Moody's Affirms Ratings on 2005-LDP2 Certs. JP MORGAN: Moody's Downgrades Ratings on 15 2006-CIBC14 Certs. JP MORGAN: Moody's Downgrades Ratings on 15 2006-CIBC16 Certs. JP MORGAN: Moody's Downgrades Ratings on 15 2006-CIBC17 Certs. JP MORGAN: Moody's Downgrades Ratings on 17 2007-C1 Certs. KENTUCKY HOUSING: S&P Raises Ratings on Revenue Bonds From 'BB+' KODIAK CDO: Moody's Downgrades Ratings on Two Classes of Notes LEHMAN ABS: Moody's Downgrades Ratings on Two Tranches LEHMAN ABS: S&P Downgrades Ratings on Class A-3 Certificates LNR CDO: S&P Downgrades Ratings on 12 Classes of Notes LOMBARD PUBLIC: S&P Puts 'B-' Rating on CreditWatch Positive LONG BEACH: Moody's Downgrades Ratings on Three Tranches MANCHESTER HOUSING: Moody's Junks Ratings on Revenue Bonds MARATHON FINANCING: Moody's Upgrades Ratings on Various Notes MARATHON REAL: Moody's Downgrades Ratings on Seven Classes MERRILL LYNCH: Moody's Affirms Ratings on 13 2007-Canada 22 Certs. MESA WEST: Moody's Downgrades Ratings on 10 Classes of Notes ML-CFC COMMERCIAL: Moody's Downgrades Ratings 15 2006-3 Certs. MMA FINANCIAL: Moody's Takes Rating Actions on Housing Funds MONTPELIER CAPITAL: Fitch Affirms BB+ Rating on 8.55% Securities MORGAN STANLEY: Fitch Downgrades Ratings on 14 2007-IQ13 Certs. MORGAN STANLEY: Fitch Downgrades Ratings on 13 2007-TOP27 Notes MORGAN STANLEY: Moody's Upgrades Ratings on 1999-WF1 Certs. MORGAN STANLEY: Moody's Downgrades Ratings on 16 2006-HQ8 Certs. MORGAN STANLEY: S&P Affirms Ratings on 16 2003-TOP9 Securities MOUNT SAINT: Moody's Downgrades Ratings on Revenue Bonds to 'Ba1' MUIR GROVE: S&P Raises Ratings on Various Classes of Notes N-STAR IX: Fitch Affirms Ratings on Seven Classes of Notes N-STAR REAL: Fitch Downgrades Ratings on Five Classes of Notes NATIONAL COLLEGIATE: Moody's Corrects Rating on Class A-3-AR-2 NUCO2 FUNDING: Fitch Affirms 'BB' Ratings on Class B-1 Notes NYLIM FLATIRON: S&P Raises Ratings on Various Classes of Notes OWNIT MORTGAGE: Moody's Downgrades Ratings on Tranches PHOENIX CLO: S&P Raises Ratings on Various Classes of Notes PPLUS TRUST: Moody's Reviews 'Ba3' Rating on Certificates PRIMA CAPITAL: Moody's Affirms Ratings on All Classes of Notes PSB LENDING: Moody's Confirms Ratings on Two Classes of Notes PUTNAM STRUCTURED: Moody's Affirms Ratings on Four Classes RACE POINT: S&P Withdraws Ratings on Various Classes of Notes RASC SERIES: Moody's Reviews Ratings on Series 2002-KS4 Notes RESIDENTIAL FUNDING: Moody's Downgrades Ratings on 91 Tranches RESIDENTIAL FUNDING: Moody's Downgrades Ratings on 27 Tranches RESIDENTIAL REINSURANCE: S&P Assigns 'BB' Rating on 2010-II Notes SANTANDER CONSUMER: Moody's Reviews Ratings on Three Tranches SEQUOIA HELOC: Moody's Confirms Ratings on 2004-1 Tranche SOUTH COAST: S&P Downgrades Ratings on Three Notes to 'D' ST CLOUD: S&P Downgrades Ratings on Multifamily Bonds to 'B' STEERS MORNINGSIDE: Moody's Upgrades Ratings on Notes to 'Ba2' STRATS TRUST: S&P Withdraws 'D' Rating on Class A Certificates STRUCTURED ADJUSTABLE: Moody's Downgrades Ratings on 17 Tranches STRUCTURED REPACKAGED: Moody's Reviews 'Ba3' Rating on Certs. SVG DIAMOND: S&P Downgrades Ratings on Seven Tranches TABERNA PREFERRED: Moody's Junks Ratings on 2 Classes of Notes TABERNA PREFERRED: Moody's Junks Ratings on 3 Classes of Notes TABERNA PREFERRED: S&P Downgrades Ratings on Three Classes TAXABLE WORLD: Moody's Affirms 'Ba1' Rating on Series 1995 Bonds TIERS BEACH: Moody's Takes Rating Actions on Various Classes TRALEE CDO: Moody's Upgrades Ratings on Various Classes of Notes TRICADIA CDO: S&P Downgrades Ratings on Class A-1L Notes UBS COMMERCIAL: Moody's Downgrades Ratings on 15 2007-FL1 Certs. UNION BANK: Moody's Downgrades Rating on Housing Fund to 'Ba1' UNION SQUARE: S&P Raises Ratings on Various Classes of Notes UNITED COMMERCIAL: S&P Downgrades Rating on Class M to 'B+' WACHOVIA BANK: Moody's Upgrades Ratings on Two 2003-C6 Certs. WACHOVIA BANK: Moody's Upgrades Ratings on 2004-C10 Certs. WACHOVIA BANK: Moody's Downgrades Ratings on 16 2006-C27 Certs. WACHOVIA BANK: Moody's Downgrades Ratings on Ten 2007-C30 Certs. WACHOVIA BANK: Moody's Downgrades Ratings on 12 2007-C31 Certs. WAMU MORTGAGE: Moody's Downgrades Ratings on 64 Tranches WAMU MORTGAGE: S&P Downgrades Ratings on Six 2002-AR13 Certs. WASHINGTON MUTUAL: Moody's Downgrades Ratings on 175 Tranches WILSON COUNTY: S&P Gives Stable Outlook; Affirms 'B-' Rating * Fitch Withdraws Ratings on Nine Interest & Prepayment Notes * S&P Downgrades Ratings on 10 Classes From CDO Transactions * S&P Downgrades Ratings on 21 Certs. From 21 CMBS Transactions * S&P Downgrades Ratings on 32 Certs. From Seven CMBS Deals * S&P Downgrades Ratings on 42 Certs. From Five CMBS Deals * S&P Withdraws Ratings on 49 Classes From 37 North American CMBS ********* ADAMS OUTDOOR: Fitch Rates Class C Notes at 'BBsf' -------------------------------------------------- Fitch rates Adams Outdoor Advertising LP secured billboard revenue notes, series 2010-1: -- $253,750,000 class A notes, 'Asf', Outlook Stable; -- $44,000,000 class B notes, 'BBBsf', Outlook Stable; -- $57,250,000 class C notes, 'BBsf', Outlook Stable. The transaction represents a securitization in the form of notes backed by 4,928 outdoor advertising structures, with 10,172 billboard faces and 342 other advertising displays. AIRPLANES PASS: Amendments Won't Affect Fitch's Trust Ratings ------------------------------------------------------------- Airplanes Pass Through Trust has made certain amendments to the trust indentures which have been approved by the noteholders via a consent solicitation. In order to give full effect to the proposed changes, a similar amendment must be made to the Trust Agreement relating to Airplanes U.S. Trust. The proposed amendment will allow for only prior written notice to the rating agencies for actions that currently require rating agency confirmation. Fitch has reviewed the indenture amendments and the proposed amendment to the Trust Agreement and has determined that the amendments, in and of themselves, will not result in a withdrawal, downgrade, or suspension of Fitch's ratings on Airplanes Pass Through Trust. Fitch currently rates Airplanes Pass Through Trust: -- Class A-9 certificates 'CCCsf/RR3'; -- Class B certificates 'Csf/RR6'; -- Class C certificates 'Csf/RR6'; -- Class D certificates 'Csf/RR6'. ALLIANCE BANCORP: Moody's Downgrades Ratings on Three Tranches -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of three tranches issued by Alliance Bancorp Trust 2007-S1. The collateral backing this deal primarily consists of closed end second lien loans. Ratings Rationale The actions are a result of the continued performance deterioration in second lien pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on second lien pools. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. If expected losses on the collateral pool were to increase by 10%, model implied results indicate that the ratings would remain stable. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Alliance Bancorp Trust 2007-S1 * Expected Losses (as a % of Original Balance): 92% -- Cl. A-1, Downgraded to C (sf); previously on March 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on March 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on March 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade ALM LOAN: Moody's Assigns Ratings on Five Classes of Notes ---------------------------------------------------------- Moody's Investors Service announced that it has assigned these ratings to the notes issued by ALM Loan Funding 2010-3, Ltd.: -- US$262,000,000 Class A-1 Senior Secured Floating Rate Notes due November 20, 2020, assigned Aaa (sf) -- US$20,500,000 Class A-2 Senior Secured Floating Rate Notes due November 20, 2020, assigned Aa2 (sf) -- US$25,750,000 Class B Senior Secured Deferrable Floating Rate Notes due November 20, 2020, assigned A2 (sf) -- US$14,000,000 Class C Senior Secured Deferrable Floating Rate Notes due November 20, 2020, assigned Baa2 (sf) -- US$10,000,000 Class D Secured Deferrable Floating Rate Notes due November 20, 2020, assigned Ba2 (sf). Ratings Rationale Moody's ratings of the notes address the ultimate cash receipt of all required interest and principal payments required by the transaction's governing documents, and are based on the expected loss posed to the noteholders relative to the promise of receiving the present value of such payments. The ratings reflect the risks due to defaults on the underlying portfolio of collateral, the transaction's legal structure, and the characteristics of the underlying assets. ALM Loan Funding 2010-3, Ltd., is a managed cash-flow CLO. The transaction is collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 97.5% of the portfolio must be invested in senior secured loans or eligible investments and up to 2.5% of the underlying portfolio may consist of senior secured bonds or senior secured floating rate notes. At closing, the portfolio is approximately 85% ramped up and is expected to be fully ramped up within 3 months. Apollo Credit Management, LLC, a wholly-owned subsidiary of Apollo Global Management LLC, will manage the selection, acquisition and disposition of collateral on behalf of the Issuer. Apollo Credit may engage in trading activity during the transaction's two year reinvestment period, including discretionary trading. Thereafter, sales of securities that are defaulted, credit improved, or credit risk are allowed; however, no purchases of additional collateral debt securities are permitted. In addition to the five tranches of rated notes, the Issuer issued a single tranche of unrated subordinated notes. In accordance with the respective priority of payments, interest and principal will be paid to the rated notes in order of seniority prior to any payments to the unrated subordinated notes. The transaction incorporates par and interest coverage tests, which, when triggered, divert interest and principal proceeds to pay down the rated notes sequentially in order of seniority. Solely for the purpose of the WARF calculation, Moody's analysis treats ratings of underlying collateral securities on "review for possible downgrade" as if they were two notches lower and those with a "negative outlook" as if they were one notch lower. Moody's also increased its default probability assumption by 30%. For modeling purposes, Moody's used these base-case assumptions: Diversity of 45 -- WARF (reflecting 30% default probability stress) of 3536 -- Weighted Average Spread of 3.3% -- Weighted Average Coupon of 9.0% -- Weighted Average Recovery Rate of 44.375% -- Weighted Average Life of 6 years. Together with the refined set of modeling assumptions above, Moody's conducted additional sensitivity analysis which included various default probability assumptions to capture potential defaults in the underlying portfolio as well as a range of asset recovery rate assumptions. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF -20% (2829) -- Class A-1 Notes 0 -- Class A-2 Notes +2 -- Class B Notes +2 -- Class C Notes +2 -- Class D Notes +2 Moody's Adjusted WARF +20% (4243) -- Class A-1 Notes -1 -- Class A-2 Notes -2 -- Class B Notes -2 -- Class C Notes -1 -- Class D Notes -2. Below is a summary of the impact of different recovery rate levels on all rated notes (shown in terms of the number of notches' difference versus the current model output, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARR +2% (46.375%) -- Class A-1 Notes 0 -- Class A-2 Notes 0 -- Class B Notes 0 -- Class C Notes +1 -- Class D Notes 0 Moody's Adjusted WARR -2% (42.375%) -- Class A-1 Notes 0 -- Class A-2 Notes -1 -- Class B Notes -1 -- Class C Notes 0 -- Class D Notes -1. 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 Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments in this transaction. ALM LOAN: S&P Assigns Ratings on Various Floating-Rate Notes ------------------------------------------------------------ Standard & Poor's Ratings Services assigned its ratings to ALM Loan Funding 2010-3 Ltd./ALM Loan Funding 2010-3 LLC's $332.25 million floating-rate notes. The transaction is a cash flow collateralized loan obligation securitization of a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's opinion of: * The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes; * The transaction's cash flow structure, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model); * The transaction's legal structure, which is expected to be bankruptcy remote; * The diversified collateral portfolio, which consists primarily of speculative-grade senior secured term loans; * The collateral manager's experienced management team; * S&P's expectation of the timely interest and ultimate principal payments on the rated notes, assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest rate scenarios, including LIBORs ranging from 0.36%-12.84%; and * The transaction's overcollateralization and interest coverage tests, failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. Ratings Assigned ALM Loan Funding 2010-3 Ltd./ALM Loan Funding 2010-3 LLC Class Rating Amount (mil. $) ----- ------ --------------- A-1 AAA (sf) 262.00 A-2 AA (sf) 20.50 B* A (sf) 25.75 C* BBB (sf) 14.00 D* BB (sf) 10.00 Subordinated NR 72.30 * Deferrable. NR -- Not rated. ALPINE SECURITIZATION: DBRS Keeps BB Rating on Liquidity Facility ----------------------------------------------------------------- DBRS has confirmed the rating of R-1 (high) (sf) for the Commercial Paper (CP) issued by Alpine Securitization Corp. (Alpine), an asset-backed commercial paper (ABCP) vehicle administered by Credit Suisse, New York branch. In addition, DBRS has confirmed the ratings and revised the tranche sizes of the aggregate liquidity facilities (the Liquidity) provided to Alpine by Credit Suisse. The $ 6,967,120,074 aggregate liquidity facilities are tranched as: -- $ 6,607,213,282 rated AAA (sf) -- $ 75,223,995 rated AA (sf) -- $ 48,797,709 rated A (sf) -- $ 69,614,767 rated BBB (sf) -- $ 63,548,496 rated BB (sf) -- $ 21,568,114 rated B (sf) -- $ 81,153,711 unrated (sf) The ratings are based on August 31, 2010 data. The CP rating reflects the AAA credit quality of Alpine's asset portfolio. The updated credit quality aspect of the CP rating is based on both the portfolio of assets and the available program- wide credit enhancement (PWCE). The rationale for the CP rating is based on the updated AAA credit quality assessment as well as DBRS' prior and ongoing review of legal, operational and liquidity risks associated with Alpine's overall risk profile. The ratings assigned to the Liquidity reflect the credit quality of Alpine's asset portfolio based on an analysis that assesses each transaction to a term standard. The tranching of the Liquidity reflects the credit risk of the portfolio at each rating level. The tranche sizes are expected to vary each month based on changes in portfolio composition. For Alpine, both the CP and the Liquidity ratings use DBRS' simulation methodology, which was developed to analyze diverse ABCP conduit portfolios. This analysis uses the DBRS CDO Toolbox simulation model, with adjustments to reflect the unique structure of an ABCP conduit and its underlying assets. DBRS determines attachment points for risk based on an analysis of the portfolio and models the portfolio based on key inputs such as asset ratings, asset tenors and recovery rates. The attachment points determine the portion of the exposure rated AAA, AA, A through B as well as unrated. DBRS models the portfolio on an ongoing basis to reflect changes in Alpine's portfolio composition and credit quality. The rating results are updated and posted on the DBRS website. The applicable public methodology is the Asset-Backed Commercial Paper Criteria Report: U.S. & European ABCP Conduits. ANTHRACITE 2005-HY2: Fitch Affirms Ratings on Eight Classes ----------------------------------------------------------- Fitch Ratings has affirmed eight and downgraded one class issued by Anthracite 2005-HY2 Ltd./Corp. as a result of continued negative credit migration and increased interest shortfalls on the underlying collateral. Since Fitch's last rating action in June 2010, approximately 23.5% of the portfolio has been downgraded. Currently, 87.5% has a Fitch derived rating below investment grade and 57.7% has a rating in the 'CCC' rating category or lower. As of the Nov. 19, 2010 trustee report, 43.5% of the portfolio is experiencing interest shortfalls, compared to 38.3% at the last review. The class A notes have paid down by $13.9 million since issuance. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in Corporate CDOs'. Based on this analysis, the class A through C notes' breakeven rates are generally consistent with the ratings assigned below. For the class D through G notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class D notes have been affirmed at 'CCsf'. The class E notes have been downgraded and the F and G notes have been affirmed at 'Csf', indicating default is inevitable. As of the Nov. 19, 2010 payment date, all classes are current on their interest payments. The Negative Rating Outlook on the class A and B notes reflects Fitch's expectation that underlying CMBS loans will continue to face refinance risk. The Loss Severity rating indicates a tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the probability of default for tranches. Fitch does not assign LS ratings or Outlooks to classes rated 'CCC' and below. Anthracite 2005-HY2 is backed by 74 tranches from 25 obligors, the majority of which is commercial mortgage backed securities (CMBS, 78.3%). The remainder of the pool consists of CMBS rake bonds secured by subordinate portions of two commercial real estate loans (12.7%), and REIT debt (9.1%). The transaction closed in July 2005 and is considered a CMBS B-piece resecuritization (also referred to as first loss CRE CDO) as it primarily includes junior bonds of CMBS transactions. Fitch has affirmed these classes: -- $102,509,394 class A at 'BBsf/LS5'; Outlook Negative; -- $52,593,000 class B at 'Bsf/LS5'; Outlook Negative; -- $25,360,000 class C-FL at 'CCCsf'; -- $7,000,000 class C-FX at 'CCCsf'; -- $25,275,000 class D-FL at 'CCsf'; -- $13,500,000 class D-FX at 'CCsf'; -- $58,000,000 class F at 'Csf'; -- $57,500,000 class G at 'Csf'. In addition, Fitch has downgraded this class: -- $9,376,000 class E to 'Csf' from 'CCsf'. ARBOR REALTY: Fitch Downgrades Ratings on Five Classes of Notes --------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed five classes of Arbor Realty Mortgage Securities Series 2006-1 Ltd/LLC reflecting Fitch's increased base case loss expectation of 28.2% compared to 21.4% at last review. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. Since last review, nine assets have been removed (including one full loan payoff) from the CDO, with seven assets newly contributed. Realized losses from the removal of these assets total approximately $19 million. Further, the new assets have a higher average expected loss than the assets previously in the pool. Defaulted assets have increased to 4.8% from 2.9% at last review while Fitch Loans of Concern are also higher at 22.4% from 15% at last review. ARMSS 2006-1 is a commercial real estate collateralized debt obligation managed by Arbor Realty Trust, Inc. The transaction has a five-year reinvestment period that ends in December 2011. As of the Oct. 29, 2010 trustee report, all over collateralization and interest coverage ratios were in compliance. Under Fitch's methodology, approximately 77.1% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 6.8% from, generally, either year end 2009 or trailing 12-month first or second quarter 2010. Fitch estimates that average recoveries will be higher than average at 63.5% as 76% of the assets are either whole loans or A-notes. The largest component of Fitch's base case loss expectation is a B-note secured by a large student housing property located on the Upper East Side of Manhattan. Due to lower than expected occupancy and cash flow, the master tenant requested a significant lowering of its rent obligations. Fitch modeled a term default and a substantial loss on this position in its base case scenario. The next largest component of Fitch's base case loss expectation is a B-note secured by a 785,000 sf office property located in downtown Manhattan. The property is overleveraged and Fitch modeled a maturity default with a significant loss in its base case scenario. The third largest component of Fitch's base case loss expectation is a whole loan on a 124,000 sf office property located in the garment district of Manhattan. As of second quarter 2010, the property was approximately 75% occupied with significant lease rollover expected in the next 12 months. Fitch modeled a term default with a substantial loss on in its base case scenario. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Based on this analysis, the class A1A through C notes' credit characteristics are generally consistent with the rating categories assigned below. The ratings for classes D through H are based on a deterministic analysis, which considers Fitch's base case loss expectation for the pool, and the current percentage of defaulted assets and Fitch Loans of Concern factoring in anticipated recoveries relative to each class' credit enhancement. Based on this analysis, classes D through H are consistent with the 'CCC' rating category. Fitch's base case loss expectation of 28.2% exceeds these classes' respective current credit enhancement levels. Classes A1A through C maintain a Negative Rating Outlook, reflecting Fitch's expectation of further negative credit migration of the underlying collateral. These classes also maintain Loss Severity ratings ranging from 'LS3' to 'LS5'. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the expected loss for the collateral under the 'B' stress. LS ratings should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Classes D through H are assigned Recovery Ratings to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities. Recovery Ratings are calculated using Fitch's cash flow model, and incorporate Fitch's current 'B' stress expectation for default and recovery rates, the 'B' stress US$ LIBOR up-stress, and a 24-month recovery lag. All modeled distributions are discounted at 10% to arrive at a present value and compared to the class' tranche size to determine a Recovery Rating. The assignment of 'RR5' to class D reflects modeled recoveries of 17% of its outstanding balance. The expected recovery proceeds are broken down: -- Present value of expected principal recoveries ($0 million); -- Present value of expected interest payments ($2.3 million); -- Total present value of recoveries ($2.3 million); -- Sum of undiscounted recoveries ($3.6 million). The assignment of 'RR5' to class E reflects modeled recoveries of 16% of its outstanding balance. The expected recovery proceeds are broken down: -- Present value of expected principal recoveries ($0 million); -- Present value of expected interest payments ($2.3 million); -- Total present value of recoveries ($2.3 million); -- Sum of undiscounted recoveries ($3.6 million). Class F through H are assigned a Recovery Ratings of 'RR6' as the present value of the recoveries is less than 10% of the class's principal balance. Fitch has affirmed ratings for these classes, as indicated: -- $230,000,000 class A1A at 'BBBsf/LS3'; Outlook Negative; -- $100,000,000 class A1R at 'BBBsf/LS3'; Outlook Negative; -- $41,100,000 class B at 'BBsf/LS5'; Outlook Negative; -- $16,950,000 class G at 'CCCsf/RR6'; -- $14,100,000 class H at 'CCCsf/RR6'. Fitch has downgraded, revised the LS ratings and assigned RRs to these classes as indicated: -- $72,900,000 class A2 to 'BBsf/LS5' from 'BBBsf/LS4'; Outlook Negative; -- $31,200,000 class C to 'Bsf/LS5' from 'BBsf/LS5'; Outlook Negative; -- $13,350,000 class D to 'CCCsf/RR5' from 'BBf/LS5'; -- $14,250,000 class E to 'CCCsf/RR5' from 'Bsf/LS5'; -- $13,650,000 class F to 'CCCsf/RR6' from 'Bsf/LS5'. ARBOR REALTY: Moody's Downgrades Ratings on Four Classes of Notes ----------------------------------------------------------------- Moody's has downgraded four classes of Notes issued by Arbor Realty Mortgage Securities Series 2004-1 due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor, an increase in Defaulted Securities and the sensitivity of the transaction to recovery rates. The rating action is the result of Moody's on- going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. A, Downgraded to A1 (sf); previously on April 27, 2009 Downgraded to Aa1 (sf) -- Cl. B, Downgraded to Ba2 (sf); previously on April 27, 2009 Downgraded to Baa2 (sf) -- Cl. C, Downgraded to Caa2 (sf); previously on April 27, 2009 Downgraded to Ba2 (sf) -- Cl. D, Downgraded to Caa3 (sf); previously on April 27, 2009 Downgraded to Ba3 (sf) Ratings Rationale Arbor 2004-1 is a static CRE CDO transaction backed by a portfolio A-Notes and whole loans (31.3% of the pool balance), B-Notes (33.4%), and mezzanine loans (35.3%). As of the October 29, 2010 Trustee report, the aggregate Note balance of the transaction has decreased to $405.5 million from $469.0 million at issuance, with the paydown directed to the Class A, Class C, and Class D Notes. The paydowns to Classes C and D were a result of a junior turbo feature that directed excess interest proceeds to paydown these notes during the reinvestment period. The reinvestment period ended in April 2009 at which point any additional paydowns were direct to paydown the Class A Notes. There are five assets with par balance of $44.3 million (10.7% of the current pool balance) that are considered Defaulted Securities as of the October 29, 2010 Trustee report. All these assets (100% of the defaulted balance) are mezzanine loans. Defaulted Securities are defined as assets which are 60 or more days delinquent in their debt service payment. While there have been no realized losses to the trust to date, Moody's does expects moderate losses to occur once they are realized. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life , weighted average recovery rate , and Moody's asset correlation . 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 have completed updated credit estimates for the non- Moody's rated collateral. For non-CUSIP collateral, Moody's is eliminating the additional default probability stress applied to corporate debt in CDOROM(R) v2.6 as Moody's expects the underlying non-CUSIP collateral to experience lower default rates and higher recovery compared to corporate debt due to the nature of the secured real estate collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 6,605 compared to 4,500 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (0.0% compared to 2.9% at last review), Baa1-Baa3 (4.0% compared to 4.3% at last review), Ba1-Ba3 (3.1% compared to 4.1% at last review), B1-B3 (22.8% compared to 41.0% at last review), and Caa1-C (70.1% compared to 47.6% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 3.6 years compared to 2.9 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 23.1% compared to 21.6% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). For non-CUSIP collateral, Moody's is reducing the maximum over concentration stress applied to correlation factors due to the diversity of tenants, property types, and geographic locations inherent in the pooled transactions. Moody's modeled a MAC of 21.8% compared to 15.3% at last review. Moody's review incorporated CDOROM(R) v2.6, one of Moody's CDO rating models, which was released on May 27, 2010. The cash flow model, CDOEdge(R) v3.2, 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 23% to 13% or up to 33% would result in average rating movement on the rated tranches of 1 to 5 notches downward and 1 to 3 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in a majority of property sectors. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expects overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. ARBOR REALTY: Moody's Downgrades Ratings on Nine Classes of Notes ----------------------------------------------------------------- Moody's has affirmed one and downgraded nine classes of Notes issued by Arbor Realty Mortgage Securities Series 2006-1 due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor. The rating action is the result of Moody's on- going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. A-1AR, Downgraded to Aa3 (sf); previously on April 7, 2009 Downgraded to Aa1 (sf) -- Cl. A-1A, Downgraded to Aa3 (sf); previously on April 7, 2009 Downgraded to Aa1 (sf) -- Cl. A-2, Downgraded to Ba2 (sf); previously on April 7, 2009 Downgraded to Baa3 (sf) -- Cl. B, Downgraded to B2 (sf); previously on April 7, 2009 Downgraded to Ba2 (sf) -- Cl. C, Downgraded to Caa2 (sf); previously on April 7, 2009 Downgraded to B3 (sf) -- Cl. D, Downgraded to Caa3 (sf); previously on April 7, 2009 Downgraded to Caa1 (sf) -- Cl. E, Downgraded to Caa3 (sf); previously on April 7, 2009 Downgraded to Caa1 (sf) -- Cl. F, Downgraded to Caa3 (sf); previously on April 7, 2009 Downgraded to Caa2 (sf) -- Cl. G, Downgraded to Caa3 (sf); previously on April 7, 2009 Downgraded to Caa2 (sf) -- Cl. H, Affirmed at Caa3 (sf); previously on April 7, 2009 Downgraded to Caa3 (sf) Ratings Rationale Arbor 2006-1 is a revolving CRE CDO transaction backed by a portfolio A-Notes and whole loans (79.0% of the pool balance), B- Notes (14.2%), and mezzanine loans (6.8%). As of the October 29, 2010 Trustee report, the aggregate Note balance of the transaction is $600 million, the same as at securitization. The revolving period ends in January 2012 at which point paydowns are directed to the Class A1 and Class A1AR Notes. There are three assets with par balance of $29.7 million (4.9% of the current pool balance) that are considered Defaulted Securities as of the October 29, 2010 Trustee report. One of these assets (84.3% of the defaulted balance) is a whole loan, one asset (9.4% of the defaulted balance) is a B-Note, and one asset (6.3% of the defaulted blance) is a mezzanine loan. Defaulted Securities are defined as assets which are 60 or more days delinquent in their debt service payment. While there have been no realized losses to the trust to date, Moody's does expect low to moderatelosses to occur once they are realized. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate , and Moody's asset correlation . 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 have completed updated credit estimates for the non- Moody's rated collateral. For non-CUSIP collateral, Moody's is eliminating the additional default probability stress applied to corporate debt in CDOROM(R) v2.6 as Moody's expects the underlying non-CUSIP collateral to experience lower default rates and higher recovery compared to corporate debt due to the nature of the secured real estate collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 5,616 compared to 3,634 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (2.3% compared to 5.1% at last review), Baa1-Baa3 (3.9% compared to 0.0% at last review), Ba1-Ba3 (3.1% compared to 7.8% at last review), B1-B3 (23.3% compared to 50.9% at last review), and Caa1-C (67.5% compared to 36.3% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 5.0 years compared to 8.0 years at last review. The modeled WAL includes the remaining revolving period. 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 34.0% compared to 36.0% 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). For non-CUSIP collateral, Moody's is reducing the maximum over concentration stress applied to correlation factors due to the diversity of tenants, property types, and geographic locations inherent in the pooled transactions. Moody's modeled a MAC of 17.2% compared to 23.4% at last review. Moody's review incorporated CDOROM(R) v2.6, one of Moody's CDO rating models, which was released on May 27, 2010. The cash flow model, CDOEdge(R) v3.2, 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 34% to 24% or up to 44% would result in average rating movement on the rated tranches of 1 to 2 notches downward and 1 to 4 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in a majority of property sectors. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expects overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. ARBOR REALTY: Moody's Takes Rating Actions on Various Classes ------------------------------------------------------------- Moody's has affirmed three and downgraded six classes of Notes issued by Arbor Realty Mortgage Securities Series 2005-1 due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor, an increase in Defaulted Securities, and the sensitivity of the transaction to recovery rates. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. A, Affirmed at Aaa (sf); previously on April 7, 2009 Confirmed at Aaa (sf) -- Cl. A-2, Affirmed at Aa3 (sf); previously on April 7, 2009 Downgraded to Aa3 (sf) -- Cl. B, Affirmed at Baa2 (sf); previously on April 7, 2009 Downgraded to Baa2 (sf) -- Cl. C, Downgraded to Ba3 (sf); previously on April 7, 2009 Downgraded to Ba2 (sf) -- Cl. D, Downgraded to B1 (sf); previously on April 7, 2009 Downgraded to Ba2 (sf) -- Cl. E, Downgraded to B2 (sf); previously on April 7, 2009 Downgraded to Ba3 (sf) -- Cl. F, Downgraded to B3 (sf); previously on April 7, 2009 Downgraded to Ba3 (sf) -- Cl. G, Downgraded to Caa2 (sf); previously on April 7, 2009 Downgraded to Ba3 (sf) -- Cl. H, Downgraded to Caa3 (sf); previously on April 7, 2009 Downgraded to Ba3 (sf) Ratings Rationale Arbor 2005-1 is a revolving CRE CDO transaction backed by a portfolio A-Notes and whole loans (47.4% of the pool balance), B-Notes and rake bonds (25.1%), mezzanine loans (25.3%), and commercial real estate collateralized debt obligations (2.2%). As of the October 29, 2010 Trustee report, the aggregate Note balance of the transaction has decreased to $465.1 million from $475 million at issuance, with the paydown directed to the Class C, Class D, Class E, Class F, Class G, and Class H Notes. The paydowns are a result of a junior turbo feature that directs excess interest proceeds ot paydown these notes during the reinvestment period. The reinvestment period is set to end in April 2011 at which point any additional paydowns will be direct to paydown the Class A Notes. Additionally, the outstanding note balance of the preferred shares increased to $131.3 million from $118.8 million at issuance as the result of a sponsor equity contribution feature as specified in the transaction documentation. There are three assets with par balance of $24.7 million (5.5% of the current pool balance) that are considered Defaulted Securities as of the October 29, 2010 Trustee report. One of these assets (8.9% of the defaulted balance) is a whole loan, one asset (72.7% of the defaulted balance) is a B-Note, and one asset (11.1% of the defaulted blance) is a mezzanine loan. Defaulted Securities are defined as assets which are 60 or more days delinquent in their debt service payment. While there have been no realized losses to the trust to date, Moody's does expect low to moderate losses to occur once they are realized. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life , weighted average recovery rate , and Moody's asset correlation . 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 have completed updated credit estimates for the non- Moody's rated collateral. For non-CUSIP collateral, Moody's is eliminating the additional default probability stress applied to corporate debt in CDOROM(R) v2.6 as Moody's expects the underlying non-CUSIP collateral to experience lower default rates and higher recovery compared to corporate debt due to the nature of the secured real estate collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 5,320 compared to 4,430 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (0.6% compared to 5.1% at last review), Baa1-Baa3 (0.9% compared to 0% at last review), Ba1-Ba3 (4.7% compared to 0.0% at last review), B1-B3 (30.0% compared to 23.9% at last review), and Caa1-C (63.8% compared to 71.1% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 4.2 years compared to 8.0 years at last review. The current WAL is the actual remaining collateral WAL. The revolving period ends in April 2011 for this quarterly paying transaction. 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 30.3% compared to 19.2% at last review. The modeled WARR is the current actual WARR. 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). For non-CUSIP collateral, Moody's is reducing the maximum over concentration stress applied to correlation factors due to the diversity of tenants, property types, and geographic locations inherent in the pooled transactions. Moody's modeled a MAC of 16.8% compared to 17.3% at last review. Moody's review incorporated CDOROM(R) v2.6, one of Moody's CDO rating models, which was released on May 27, 2010. The cash flow model, CDOEdge(R) v3.2, 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 30% to 20% or up to 40% would result in average rating movement on the rated tranches of 1 to 5 notches downward and 1 to 4 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in a majority of property sectors. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expects overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. ASSET BACKED: Moody's Takes Rating Actions on Various Tranches -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 13 tranches, confirmed the ratings of 5 tranches, and upgraded the rating of 1 tranche, from 4 RMBS transactions issued by Asset Backed Securities Corporation. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate subprime residential mortgages. Ratings Rationale The actions reflect the continued performance deterioration in Subprime pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on subprime pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on subprime RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. In addition to adjustments to reflect updated loss expectations, certain tranches have been kept on review for possible downgrade due to uncertainty surrounding principal allocations. In each of Asset Backed Securities Corporation Home Equity Loan Trust 2006- HE2, Asset Backed Securities Corporation Home Equity Loan Trust 2006-HE4, and Asset Backed Securities Corporation Home Equity Loan Trust NC 2005-HE8, principal payments are being allocated sequentially between Class A1 bonds and Class A1A bonds. However, the PSAs indicate pro-rata allocation of principal payments, unless a sequential trigger event has occurred, which is not the case according to the letter of the documents. In the case of ABSC 2005-HE8, the A1 and A1A tranches' ratings have been confirmed, as payment method will have little impact on ratings. However, tranches from both 2006-HE2 and 2006-HE4 have been left on review, pending resolution of payment method. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. 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: Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past 6 months. Complete rating actions are: Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2006-HE2 -- Cl. A3, Confirmed at Caa2 (sf); previously on Jan. 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A4, Confirmed at Caa3 (sf); previously on Jan. 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2006-HE4 -- Cl. A1A, Downgraded to Ba2 (sf); previously on Jan. 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to B1 (sf); previously on Jan. 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to Caa1 (sf); previously on Jan. 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. A6, Downgraded to Ca (sf); previously on Jan. 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Asset Backed Securities Corporation Home Equity Loan Trust NC 2005-HE8 -- A1, Confirmed at Aa2 (sf); previously on Jan. 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A1A, Confirmed at Aa3 (sf); previously on Jan. 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- A2, Downgraded to A2 (sf); previously on Jan. 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- A5, Confirmed at Aa2 (sf); previously on Jan. 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A6, Downgraded to Baa2 (sf); previously on Jan. 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- M1, Downgraded to B3 (sf); previously on Jan. 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- M2, Downgraded to C (sf); previously on Jan. 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- M3, Downgraded to C (sf); previously on Jan. 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Asset Backed Securities Corporation Home Equity Loan Trust, Series OOMC 2006-HE5 -- Cl. A1, Downgraded to Baa2 (sf); previously on Jan. 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to B1 (sf); previously on Jan. 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. A3, Upgraded to A1 (sf); previously on Jan. 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to Caa1 (sf); previously on Jan. 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C (sf); previously on Jan. 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade ATLANTIS FUNDING: S&P Raises Ratings on Various Classes of Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, B, and C notes from Atlantis Funding Ltd., a collateralized loan obligation managed by Invesco Senior Secured Management Inc. At the same time, S&P removed its ratings on the class A-1 and A-2 notes from CreditWatch with positive implications. The upgrades reflect the improved performance S&P has observed in the transaction's underlying asset portfolio in the past year. S&P previously downgraded all of the notes from Atlantis Funding Ltd. in December 2009 in conjunction with their review following the release of S&P's updated criteria for rating corporate CDOs in September of 2009. S&P subsequently raised its rating on the class A-1 notes in May of this year following improvements in the deal's performance and paydowns to the class A-1 notes. Since then, the transaction's performance has continued to improve, both in terms of the credit quality of the underlying asset portfolio and continued paydowns to the class A-1 notes. According to the Oct. 15, 2009 trustee report, the transaction held $66.9 million in defaulted obligations and $78.1 million in 'CCC' rated assets. By the March 16, 2010, trustee report, the defaulted obligations and 'CCC' rated assets held in the portfolio had been reduced to $45.4 million and $60.2 million, respectively. The credit performance of the portfolio has continued to improve. As of the Nov. 10, 2010, trustee report, the transaction had only $10.8 million in defaulted obligations and $42 million in 'CCC' rated assets. Additionally, the class A-1 notes have experienced over $192 million in paydowns since April 2010, which have reduced the class' current amount outstanding to 45.4% of its original balance. The largest obligor default test was the constraining factor for the ratings on the class B and C notes. The class B notes failed to withstand the specified combination of underlying asset defaults above the 'BBB (sf)' rating level and the class C notes failed to withstand the specified combination of underlying asset defaults above the 'BB (sf)' rating level. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as S&P deem necessary. Rating Actions Atlantis Funding Ltd. Rating ------ Class To From ----- -- ---- A-1 AA+ (sf) AA- (sf)/Watch Pos A-2 AA+ (sf) A+ (sf)/Watch Pos B BBB+(sf) BBB- (sf) C BB+ (sf) B+ (sf) AVIATION CAPITAL: B737-400 Sale Won't Affect Fitch's Ratings ------------------------------------------------------------ Aviation Capital Group, the servicer for Aviation Capital Group Trust, is proposing to sell one B737-400 in the ACG portfolio to a third party. The aircraft has been grounded since May 2009. The sale will result in a breach of three concentration limits as defined by the transaction documents as a result of the declining pool balance. Fitch Ratings does not anticipate that the concentration-limit breaches, in and of themselves, would adversely impact Fitch's ratings on the trust. Fitch currently rates the trust: Aviation Capital Group Trust -- Class A-1 notes 'Bsf'; Outlook Stable; -- Class B-1 notes 'Csf/RR6'; -- Class C-1 notes 'Csf/RR6'; -- Class D-1 notes 'Csf/RR6'. BABSON CAPITAL: S&P Raises Ratings on Various Classes of Notes -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1A, A-1B-1, A-1B-2, A2, B-1 Def, B-2 Def, C-1 Def, and C-2 Def notes issued by Babson CLO Ltd. 2005-I, a collateralized loan obligation transaction managed by Babson Capital Management LLC. At the same time, S&P removed its ratings on the class A-1B-1 and A-1B-2 notes from CreditWatch, where S&P placed them with positive implications on Nov. 8, 2010. Concurrently, S&P affirmed its 'AAA (sf)' rating on the principal protected class P notes. The raised ratings reflect an improvement in credit quality available to support the notes since S&P raised its ratings on the notes on May 3, 2010. As of the Oct. 29, 2010, trustee report, the transaction had $21.89 million in defaulted assets, down from $44.51 million noted in the Feb. 26, 2010, trustee report, which S&P referenced for its May rating actions. Furthermore, assets from obligors rated in the 'CCC' category were reported at $42.85 million in October 2010, compared with $64.63 million in February 2010. The transaction has also benefited from an increase in overcollateralization available to support the rated notes. The trustee reported these O/C ratios in the Oct. 29, 2010, monthly report: * The class A O/C ratio was 118.88%, compared with a reported ratio of 117.49% in February 2010; * The class B O/C ratio was 111.52%, compared with a reported ratio of 110.21% in February 2010; and * The class C O/C ratio was 105.53%, compared with a reported ratio of 104.30% in February 2010. The principal protected class P notes are fully backed by a zero coupon Freddie Mac bond. The rating affirmation on the class P notes reflects this support. The class P notes are also supported by a portion of the unrated subordinate notes issued by Babson CLO Ltd. 2005-I. 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 S&P deem necessary. Rating And Creditwatch Actions Babson CLO Ltd. 2005-I Rating ------ Class To From ----- -- ---- A-1A AA+ (sf) AA- (sf) A-1B-1 AA+ (sf) AA- (sf)/Watch Pos A-1B-2 AA+ (sf) AA- (sf)/Watch Pos A2 AA (sf) A (sf) B-1 Def A- (sf) BBB- (sf) B-2 Def A- (sf) BBB- (sf) C-1 Def BB+ (sf) B+ (sf) C-2 Def BB+ (sf) B+ (sf) Rating Affirmed Babson CLO Ltd. 2005-I Class Rating ----- ------ P AAA (sf) Transaction Information ----------------------- Issuer: Babson CLO Ltd. 2005-I Co-Issuer: Babson CLO Inc. 2005-I Collateral manager: Babson Capital Management LLC Underwriter: Citigroup Global Markets Inc. Trustee: Bank of New York Mellon (The) Transaction type: Cash flow CLO BANC OF AMERICA: Fitch Downgrades Ratings on 15 Certificates ------------------------------------------------------------ Fitch Ratings downgrades 15 classes of commercial mortgage pass- through certificates from Banc of America Commercial Mortgage Securities, Inc., series 2007-1, due to further deterioration of performance primarily due to increased expected losses on the specially serviced loans. The downgrades reflect an increase in Fitch modeled losses across the pool, which includes assumed losses on loans in special servicing and on performing loans with declines in performance indicative of a higher probability of default. Fitch modeled losses of 11% (10.9% cumulative transaction losses, which includes losses realized to date) based on expected losses on the specially serviced loans and loans that could not refinance at maturity. As of the November 2010 distribution date, the pool's aggregate principal balance has decreased 2.2% to $3.08 billion from $3.15 billion at issuance. As of November 2010, there are cumulative interest shortfalls in the amount of $4.1 million, affecting classes J through Q. The largest contributor to expected loss is the largest specially serviced loan (7.1% of the pool), secured by the Solana office complex located in Westlake, Texas. The loan was transferred to special servicing in March 2009 for imminent default and has since been modified. One of the largest tenants at the property, Sabre Group, vacated their space and will not renew when their lease expires in 2011. A reported appraisal from May 2010 indicates a value significantly below the loan amount. The second largest contributor to expected loss is the second largest specially serviced asset, 575 Lexington Avenue (5.3%), is secured by an approximately 640,000 square foot office building located in Midtown Manhattan. The loan transferred to special servicing in April 2010 for imminent default. The servicer reported occupancy as of June 2010 was 82.8% and the reported debt service coverage ratio as of year-end 2009 was 0.71 times. The largest contributor to expected loss of the loans not in special servicing is the StratREAL Industrial Portfolio I (6.2%). The collateral consists of a portfolio of industrial properties with the majority of properties located in the Memphis, TN and Columbus, OH areas. The servicer reported occupancy for the portfolio was 87.7% as of second-quarter 2010, compared with a combined 94.5% at issuance. In total, there are 19 loans (17.6%) in special servicing including four loans (0.9%) that are real estate owned. At Fitch's last review there were 14 loans (17.4%) in special servicing with four loans (8%) performing and one REO loan (0.1%). Fitch has downgraded, revised Outlooks and Loss Severity ratings, and assigned Recovery Ratings to these classes as indicated: -- $259.5 million class A-J to 'BBsf/LS4' from 'BBBsf/LS3'; Outlook to Stable from Negative; -- $27.5 million class B to 'Bsf/LS5' from 'BBB-sf/LS5'; Outlook to Stable from Negative; -- $35.4 million class C to 'B/LS5' from 'BBsf/LS5'; Outlook Negative; -- $27.5 million class D to 'B-/LS5' from 'BBsf/LS5'; Outlook Negative; -- $39.3 million class E to 'CCC/RR1' from 'Bsf/LS5'; -- $39.3 million class F to 'CCC/RR1' from 'Bsf/LS5'; -- $35.4 million class G to 'CCC/RR1' from 'B-sf/LS5'; -- $35.4 million class H to 'CCC/RR1' from 'B-sf/LS5'; -- $39.3 million class J to 'CCsf/RR1' from 'B-sf/LS5'; -- $7.9 million class K to 'CCsf/RR4' from 'B-sf/LS5'; -- $11.8 million class L to 'CCsf/RR6' from 'B-sf/LS5'; -- $7.9 million class M to 'Csf/RR6' from 'B-sf/LS5'; -- $3.9 million class N to 'Csf/RR6' from 'B-sf/LS5'; -- $7.9 million class O to 'Csf/RR6' from 'B-sf/LS5'; -- $11.8 million class P to 'Csf/RR6' from 'CCCsf/RR6'. Additionally, Fitch has affirmed these classes and revised Rating Outlook and LS Ratings as indicated: -- $2.7 million class A-1 at 'AAAsf/LS2'; Outlook Stable; -- $293 million class A-2 at 'AAAsf/LS2'; Outlook Stable; -- $444 million class A-3 at 'AAAsf/LS2'; Outlook Stable; -- $68.5 million class A-AB at 'AAAsf/LS2'; Outlook Stable; -- $698.7 million class A-4 at 'AAAsf/LS2'; Outlook Stable; -- $633.8 million class A-1A at 'AAAsf/LS2'; Outlook Stable; -- $214.5 million class A-MFX at 'AAAsf/LS4'; Outlook Stable; -- $100 million class A-MFL at 'AAAsf/LS4'; Outlook Stable. Fitch does not rate the $32.6 million class Q. Fitch withdraws the ratings on the interest-only class XW. BANC OF AMERICA: Moody's Affirms Ratings on 12 2007-BMB1 Certs. --------------------------------------------------------------- Moody's Investors Service affirmed 12 classes and downgraded four classes of Banc of America Large Loan, Inc. Commercial Mortgage Pass-Through Certificates, Series 2007-BMB1. -- Cl. A-1, Affirmed at Aaa (sf); previously on Oct. 26, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on Oct. 26, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Oct. 26, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. X, Affirmed at Aaa (sf); previously on Oct. 26, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aa3 (sf); previously on March 4, 2009 Downgraded to Aa3 (sf) -- Cl. C, Affirmed at A2 (sf); previously on March 4, 2009 Downgraded to A2 (sf) -- Cl. D, Affirmed at A3 (sf); previously on March 4, 2009 Downgraded to A3 (sf) -- Cl. E, Affirmed at Baa1 (sf); previously on March 4, 2009 Downgraded to Baa1 (sf) -- Cl. F, Affirmed at Baa2 (sf); previously on March 4, 2009 Downgraded to Baa2 (sf) -- Cl. G, Affirmed at Baa3 (sf); previously on March 4, 2009 Downgraded to Baa3 (sf) -- Cl. H, Downgraded to Ba2 (sf); previously on March 4, 2009 Downgraded to Ba1 (sf) -- Cl. J, Downgraded to B2 (sf); previously on March 4, 2009 Downgraded to Ba3 (sf) -- Cl. K, Downgraded to Caa2 (sf); previously on March 4, 2009 Downgraded to B1 (sf) -- Cl. L, Downgraded to C (sf); previously on March 4, 2009 Downgraded to B3 (sf) -- Cl. FMH-1, Affirmed at A2 (sf); previously on March 4, 2009 Downgraded to A2 (sf) -- Cl. FMH-2, Affirmed at Baa2 (sf); previously on March 4, 2009 Downgraded to Baa2 (sf) Ratings Rationale The downgrades were due to the deterioration in the performance of the assets in the trust including the Readers Digest loan. The Readers Digest loan ($16 million, 1% of the pool balance) is secured by a single tenant office campus located in Chappaqua, New York and fully leased to Readers Digest. Readers Digest is expected to vacate the property by the end of 2010. A cash flow sweep has been in place that will assist in covering the debt service as the building is marketed for lease. A 2010 appraisal values the property at $6.2 million which is significantly below the pooled balance. The affirmations are due to key parameters, including Moody's loan to value ratio and Moody's stressed debt service coverage ratio, remaining within acceptable ranges. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Large Loan Model v 8.0 which is used for both large loan and single borrower transactions. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. The model also incorporates a supplementary tool to allow for the testing of the credit support at various rating levels. The scenario or "blow-up" analysis tests the credit support for a rating assuming that all loans in the pool default with an average loss severity that is commensurate with the rating level being tested. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated March 4, 2009. The previous review was part of Moody's first quarter 2009 ratings sweep and incorporated assumptions for capitalization rates and stressed cash flows that were outlined in "Rating Methodology Update: US CMBS Conduit and Fusion Review Prompted by Declining Property Values and Rising Delinquencies" dated February 5, 2009. See the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Deal Performance As of the November 15, 2010 distribution date, the transaction's certificate balance decreased by approximately 16% to $1.45 billion from $1.73 billion at securitization due to the payoff of three loans and principal pay downs associated with five loans. The Certificates are collateralized by eleven floating-rate loans ranging in size from 1% to 25% of the pooled trust mortgage balance. The largest three loans account for 62% of the pooled balance. The pool has not experienced any losses to date. Currently three loans are in special servicing, including the the Farallon MHC Portfolio loan ($366.2 million; 25% of the pooled balance), the Stamford Portfolio loan ($301.5 million; 21%), and the Simply Self Storage loan ($33.7 million, 2%). Both the Farallon MHC Portfolio loan and the Simply Self Storage loan are requesting maturity extensions and are in negotiations. The Stamford Portfolio loan has been extended and is expected to return to the master servicer. Moody's weighed average pooled loan to value ratio is 85% compared to 91% at last review on March 4, 2009 and 68% at securitization. Moody's pooled stressed DSCR is 1.29X, the same as last review and compared to 1.50X at securitization. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. Large loan transactions generally have a Herf of less than 20. The pool has a Herf of 6 compared to 7 at last review. The three largest exposures represent 62% of the pooled balance. The largest pooled exposure is the Farallon MHC Portfolio Loan which consists of a pooled portion of $366 million (22% of the pool) and non-pooled portion of $84 million which supports three non-pooled or rake classes. The loan is a 47% pari-passu interest in a $950 million senior mortgage which is secured by 273 cross- collateralized and cross-defaulted mobile home communities located throughout the country. The loan was transferred to special servicing in July 2010 due to concerns regarding refinancing at the August 2012 maturity of the floating rate portion of the debt. The loan continues to perform and the cash flow has increased since securitization. Moody's current pooled LTV is 64% and stressed DSCR is 1.56X. Moody's current credit estimate for the pooled balance is Aa2, the same as last review. Moody's current credit estimate for the non-pooled or rake classes FMH-1 and FMH-2 are A2 and Baa2, respectively, the same as last review. The second largest pooled exposure is the Stamford Office Portfolio loan ($301.5 million -- 21%) which is secured by seven office properties totaling 1.7 million square feet located in Stamford, Connecticut. The loan was transferred to special servicing in July 2009 and the borrower has negotiated a loan extension until August 2012 with two 1 year extensions. The loan is expected to return to the master servicer shortly. Moody's current LTV is 99% and stressed DSCR is 0.93X. Moody's current credit estimate is B1 compared to Ba2 at last review. The OSI Restaurant Portfolio loan ($233 million -- 16%) is the third largest loan in the pool and is secured by 343 properties located in 35 states. The loan is a 50% pari-passu interest in a $466 million senior mortgage. The cash flow has been stable since securitization and the loan has paid down approximately $9 million. Moody's current pooled LTV is 75% and stressed DSCR is 1.41X. Moody's current credit estimate is Ba1 compared to Ba2 at last review. BANC OF AMERICA: Moody's Downgrades Ratings on 14 Certificates -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 14 classes and affirmed eight classes of Banc of America Commercial Mortgage Pass-Through Certificates, Series 2006-4: -- Cl. A-2, Affirmed at Aaa (sf); previously on Oct. 20, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-3A, Affirmed at Aaa (sf); previously on Oct. 20, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-3B, Affirmed at Aaa (sf); previously on Oct. 20, 2006 Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on Oct. 20, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Oct. 20, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Oct. 20, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. XP, Affirmed at Aaa (sf); previously on Oct. 20, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. XC, Affirmed at Aaa (sf); previously on Oct. 20, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-M, Downgraded to Aa1 (sf); previously on Oct. 7, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Downgraded to Baa2 (sf); previously on Oct. 7, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Baa3 (sf); previously on Oct. 7, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to B1 (sf); previously on Oct. 7, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to B3 (sf); previously on Oct. 7, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Caa1 (sf); previously on Oct. 7, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to Caa2 (sf); previously on Oct. 7, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to Caa3 (sf); previously on Oct. 7, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to C (sf); previously on Oct. 7, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to C (sf); previously on Oct. 7, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to C (sf); previously on Oct. 7, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to C (sf); previously on Oct. 7, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Oct. 7, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. N, Downgraded to C (sf); previously on Oct. 7, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. On October 7, 2010, Moody's placed 14 classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 8.6% of the current balance. At last review, Moody's cumulative base expected loss was 4.9%. Moody's stressed scenario loss is 14.8% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 33 compared to 51 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated May 7, 2008. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the ratings. Deal Performance As of the November 1, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 3% to $2.6 billion from $2.7 billion at securitization. The Certificates are collateralized by 162 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 34% of the pool. Two loans have defeased, representing 2% of the pool, and are collateralized by U.S. Government securities. The pool contains two loans, representing 1% of the pool, with credit estimates. Thirty-seven loans, representing 16% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $6.8 million (30% loss severity overall). Twenty loans, representing 12% of the pool, are currently in special servicing. Moody's has estimated an aggregate $146 million loss (45% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 13 poorly performing loans representing 8% of the pool and has estimated a $41.9 million loss (20% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with partial year 2009 operating results for 72% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 100% compared to 144% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 17.1% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.47X and 1.04X, respectively, compared to 1.0X and 0.88X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the Glen Oaks Shopping Center Loan ($20 million -- 0.8% of the pool), which is secured by a 244,000 square foot retail center located in Nassau County, New York. Moody's current credit estimate and stressed DSCR are Aa1 and 1.92X, respectively, compared to Aa2 and 1.60X at last review. The second loan with a credit estimate is the 345 East 86th Street Apartments Loan ($5.2 million -- 0.2% of the pool), which is secured by a 114-unit residential co-op building located in New York, New York. Moody's current credit estimate is Aaa, the same as last review. The top three performing loans represent 14% of the pool balance. The largest loan is the Technology Corners at Moffett Park Loan ($185.2 million -- 7.0% of the pool), which is secured by a 716,000 square foot Class A office complex located in Sunnyvale, California. Financial performance has improved since last review. Occupancy was reported at 100% as of June 2010, the same as last review. Moody's LTV and stressed DSCR are 133% and 0.94X, respectively, compared to 139% and 0.85X at last review. The second largest loan is the Marriott Indianapolis Loan ($101.8 million -- 3.9% of the pool), which is secured by a 615- room hotel located in downtown Indianapolis, Indiana. The property's financial performance has been stable. Moody's LTV and stressed DSCR are 90% and 1.29X, respectively, compared to 105% and 1.17X at last review. The third largest loan is the Mesa Mall Loan ($87.25 million -- 3.3% of the pool), which is secured by a 560,264 square foot enclosed regional shopping mall located in Grand Junction, Colorado. Anchor tenants include Sears, Herbergers and Sutherland's Lumber Home included in the collateral supporting the loan and Target, Cabella and JC Penney not included in the collateral. Moody's LTV and stressed DSCR are 113% and 0.88X, respectively, compared to 116% and 0.80X at last review. BANC OF AMERICA: Moody's Downgrades Ratings on 183 Tranches ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 183 tranches and confirmed the ratings of two tranches from 10 RMBS transactions issued by Banc of America Alternative Loan Trust. The collateral backing these deals primarily consists of first- lien, fixed and adjustable-rate Alt-A residential mortgages. Ratings Rationale The actions are a result of the continued performance deterioration in Alt-A pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on Alt-A RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. The rating action also reflects a correction to the ratings of Banc of America Alternative Loan Trust 2006-2 Class 5-A-3 and Class 5-A-4. In previous rating actions, the loss allocations for Class 5-A-3 and Class 5-A-4 were treated pro rata. According to the rules outlined in the Pooling and Servicing Agreement.,Class 5-A-4 will absorb Class 5-A-3's portion of loss as long as Class 5-A-4 remains outstanding. Moody's rating has been adjusted to reflect that losses are allocated to Class 5-A-3 and Class 5-A-4, as described in the PSA. The above mentioned approach "Alt-A RMBS Loss Projection Update: February 2010" is adjusted slightly when estimating losses on pools left with a small number of loans. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 19% and 21% for the 2005, 2006 and 2007 vintage respectively). This baseline rate is higher than the average rate of new delinquencies for the vintage to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility and hence the stress applied. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2005 vintage, the adjusted rate of new delinquency would be 10.10%. 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 0.2 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. 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: Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Banc of America Alternative Loan Trust 2006-1 -- Cl. 1-CB-1, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-CB-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-CB-1, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-CB-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-IO, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-PO, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Alternative Loan Trust 2006-2 -- Cl. 1-CB-1, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-CB-1, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-CB-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-CB-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-3, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-4, Downgraded to C (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-5, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-6, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-IO, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-PO, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to B2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 15-IO, Downgraded to B1 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 15-PO, Downgraded to B3 (sf); previously on Jan. 14, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A-1, Downgraded to B1 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-IO, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-PO, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Alternative Loan Trust 2006-3 -- Cl. 1-CB-1, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-CB-1, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-6, Downgraded to Ca (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-7, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 3-IO, Confirmed at Caa1 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-PO, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-CB-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-CB-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to Baa1 (sf); previously on Jan. 14, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-IO, Downgraded to Baa1 (sf); previously on Jan. 14, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-PO, Downgraded to B2 (sf); previously on Jan. 14, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-IO, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-PO, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Alternative Loan Trust 2006-4 -- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-IO, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-PO, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B1 (sf); previously on Jan. 14, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 15-IO, Downgraded to B1 (sf); previously on Jan. 14, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 15-PO, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-CB-1, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-CB-2, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-CB-3, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-CB-4, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-CB-5, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-CB-6, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-CB-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-CB-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-IO, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-PO, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Alternative Loan Trust 2006-5 -- Cl. CB-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-2, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-3, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-4, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-5, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-6, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-7, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-8, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-9, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-10, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-11, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-12, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-13, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-14, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-15, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-16, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-17, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-18, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-IO, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-PO, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to B1 (sf); previously on Jan. 14, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-IO, Downgraded to B1 (sf); previously on Jan. 14, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-PO, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Alternative Loan Trust 2006-6 -- Cl. CB-1, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-2, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-3, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-4, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CB-5, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-6, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CB-7, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-8, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-9, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-10, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-IO, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-11, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-PO, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-10, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-11, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-12, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-13, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-14, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-15, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-16, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-IO, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Alternative Loan Trust 2006-7 -- Cl. A-2, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Alternative Loan Trust 2006-8 -- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Confirmed at Caa1 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X-IO, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X-PO, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Alternative Loan Trust 2006-9 -- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-CB-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-IO, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 30-PO, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-NC-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. NC-IO, Downgraded to Ca (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Alternative Loan Trust 2007-1 -- Cl. 1-A-1, Downgraded to B2 (sf); previously on Jan. 14, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-6, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-7, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-8, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-9, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-10, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-11, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-12, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-13, Downgraded to C (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-14, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-16, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-17, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-18, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-19, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-20, Downgraded to C (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-21, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-22, Downgraded to C (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-23, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-24, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-25, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-26, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-27, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-28, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-29, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-30, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-31, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-32, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-33, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-34, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-35, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-IO, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-PO, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade BEAR STERNS: Fitch Downgrades Ratings on 12 2006-PWR14 Certs. ------------------------------------------------------------- Fitch Ratings has downgraded 12 classes of Bear Sterns Commercial Mortgage Securities Trust, series 2006-PWR14 commercial mortgage pass-through certificates due to further deterioration of performance, most of which involves increased losses on the specially serviced loans. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 7.8% of the remaining pool; expected losses of the original pool are at 7.9%, including losses already incurred to date. Fitch has designated 85 loans (37%) as Fitch Loans of Concern, which includes 17 specially serviced loans (7.1%). Fitch expects classes J through P could eventually be fully depleted from losses associated with the specially serviced assets. As of the November 2011 distribution date, the pool's aggregate principal balance has been paid down by approximately 2.9% to $2.4 billion from $2.5 billion at issuance. No loans have defeased since issuance. Interest shortfalls are affecting classes K through P. The largest contributor to modeled losses (2.7% of the pool balance) is the Philips at Sunrise Shopping Center loan. The loan is secured by a 414,082-square foot retail center located in Massapequa, New York. The property was 99.9% occupied at issuance but saw occupancy drop to 85.6% following the bankruptcies of Circuit City and Linens 'N Things. The loan was previously in special servicing (between March 2009 and August 2010) because the borrower requested debt service relief due to the vacancy of the bankrupt tenants, and because the borrower filed suit against the loan originator and the trust alleging that the originator obtained an inflated valuation on the loan. Recently, the borrower was able to re-lease one of the vacant anchor spaces to Michael's and the loan was reinstated with the master servicer. The modification includes a deferral of several missed payments. Additionally, the pay rate corresponding to the monthly debt service payments has been altered. To date, the borrower has performed under the agreement and the loan is current. Fitch estimated the property's debt service coverage ratio at approximately 1.11 times inclusive of the new lease. The next largest contributor to modeled losses (1.4%) is the Drury Inn Portfolio loan, collateralized by three hotels with 453 rooms under the Best Western and Drury Inn Flags. The hotels are located in San Antonio (two properties) and Albuquerque (one). Performance and cash flow continue to decline. As of mid-year 2010, the portfolio reported a DSCR of 1.01x, compared with 1.86x underwritten at issuance. The portfolio has struggled with a 50% net operating income decline due to lower occupancy; and debt service coverage was further affected by the expiration of the upfront interest-only period. The loan continues to perform but is considered a Fitch Loan of Concern. The third largest contributor to modeled losses (1.6%) is the Fountain Square loan. The loan is secured by a 165,872-sf anchored retail center located in Brookfield, WI, approximately 12 miles west of the Milwaukee CBD. Coverage slipped to 1.00x after Circuit City and La-Z-Boy vacated, putting occupancy at 65.7% in 2009. Recently, the spaces were re-leased to Golfsmith and Buy Buy Baby, bringing occupancy back to 100%. However, the new leases appear to have been signed at lower market rents. Additional expirations are manageable until 2016 (when the loan is anticipated to repay), at which time approximately 28% of the space is scheduled to expire. The loan was a construction take- out with a Fitch DSCR of 0.98x at issuance. The loan remains a Fitch Loan of Concern. Fitch has downgraded these classes and revised or assigned the Outlooks and Recovery Ratings as indicated: -- $24.7 million class C to 'B/LS5' from 'BB/LS5'; Outlook to Stable from Negative; -- $37 million class D to 'B-/LS5' from 'B/LS5'; Outlook Negative; -- $21.6 million class E to 'CCC/RR1' from 'B/LS5'; -- $24.7 million class F to 'CCC/RR1' from 'B-/LS5'; -- $24.7 million class G to 'CC/RR1' from 'B-/LS5'; -- $24.7 million class H to 'CC/RR6' from 'B-/LS5'; -- $9.3 million class J to 'CC/RR6' from 'B-/LS5'; -- $6.2 million class K to 'CC/RR6' from 'B-/LS5'; -- $9.3 million class L to 'CC/RR6' from 'B-/LS5'; -- $3.1 million class M to 'C/RR6' from 'B-/LS5'; -- $6.2 million class N to 'C/RR6' from 'B-/LS5'; -- $6.2 million class O to 'C/RR6' from 'CCC/RR6'. Fitch has also affirmed these classes and revised the Loss Severity ratings and Outlooks as indicated: -- $48.2 million class A-1 at 'AAA/LS2'; Outlook Stable; -- $170.7 million class A-2 at 'AAA/LS2'; Outlook Stable; -- $68.9 million class A-3 at 'AAA/LS2'; Outlook Stable; -- $125.1 million class A-AB at 'AAA/LS2'; Outlook Stable; -- $950.9 million class A-4 at 'AAA/LS2'; Outlook Stable; -- $291.6 million class A-1A at 'AAA/LS2'; Outlook Stable; -- $246.8 million class A-M at 'AAA/LS3'; Outlook Stable; -- $222.1 million class A-J at 'BBB/LS3'; Outlook Stable; -- $46.3 million class B at 'BB/LS5'; Outlook to Stable from Negative. Fitch does not rate the $16.7 million class P. Fitch has withdrawn the rating on the interest-only classes X-1, X-2, and X-W. BEAR STERNS: Fitch Downgrades Ratings on 13 2007-PWR17 Certs. ------------------------------------------------------------- Fitch Ratings has downgraded 13 classes of Bear Sterns Commercial Mortgage Securities Trust 2007-PWR17, commercial mortgage pass- through certificates, due to further deterioration of performance, most of which involves increased losses on the specially serviced loans. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 8.7% of the remaining pool; expected losses of the original pool are at 8.7%, including losses already incurred to date. Fitch has designated 39 loans (18%) as Fitch Loans of Concern, which includes 13 specially serviced loans (8.3%). Fitch expects classes M through S may be fully depleted from losses associated with the specially serviced assets. As of the November 2011 distribution date, the pool's aggregate principal balance has been paid down by approximately 1.8% to $3.2 billion from $3.3 billion at issuance. No loans have defeased since issuance. Interest shortfalls are affecting classes J through S. The Fitch-stressed LTV for the pool is 95%. The top 15 loans represent 41% of the pool, 11 of the top 15 were assumed to default and incur a loss, with severities ranging from 4% to 44%. The largest contributor to loss (5.6% of pool balance) is the RRI Hotel Portfolio loan which is secured by 79 Red Roof Inn hotels located across 24 states. The total outstanding loan balance is $517.4 million, of which $181.8 is securitized within this transaction as a pari passu A-1 note. The loan transferred to special servicing in June 2009. The borrower and special servicer are negotiating terms of a potential modification and foreclosure has been initiated on six properties. The next largest contributor to losses (7.7%) is the largest loan in the transaction, DRA/Colonial Office Portfolio. The interest- only loan is secured by 19 office and retail properties that comprise approximately 5.2 million square feet across six MSA's. The loan has a total balance of $741.9 million and is split into three equal pari passu notes, of which the A-2 note is securitized in this transaction. Fitch expects the loan which has a stressed Fitch Loan to Value of 111% will not refinance at maturity, as it does not pass Fitch's maturity stress. The most recent servicer- reported DSCR for the portfolio is 1.19 times for the first six months of 2010 and 1.21x as of year-end 2009. Occupancy decreased slightly from year-end 2009 to 85.2% from 86.7%. The third largest contributor to losses (7.3) is the Bank of America Center. The interest only loan, which is the second largest in the transaction, is secured by a 56 story office building in Houston, Texas. Fitch expects the loan, which has a stressed Fitch LTV of 111%, to default at maturity based on current performance. The most recent servicer-reported DSCR for the portfolio is 1.32x for the first six months of 2010 and 1.26x as of year-end 2009. Occupancy increased slightly from year-end 2009 to 91.9% from 89.3%. Fitch downgrades these classes and revises the Outlooks, Loss Severity ratings, and Recovery Ratings as indicated: -- $24.5 million class D to 'B/LS5' from ' BB/LS5'; Outlook Stable; -- $20.4 million class E to 'B-/LS5' from ' BB/LS5 '; Outlook Negative; -- $28.5 million class F to 'B-/LS5' from ' B/LS5 '; Outlook Negative; -- $32.6 million class G to 'CCC/RR1'from 'B-/LS5'; -- $36.7 million class H to 'CCC/RR1' from 'B-/LS5 '; -- $32.6 million class J to 'CCC/RR1' from ' B-/LS5 '; -- $32.6 million class K to 'CC/RR3' from ' B-/LS5 '; -- $12.2 million class L to 'CC/RR6 from' B-/LS5 '; -- $12.2 million class M to C/RR6' from ' B-/LS5 '; -- $12.2 million class N to 'C/RR6' from CCC/RR6' '; -- $8.2 million class O to 'C/RR6' from 'CCC/RR6' '; -- $4.1 million class P to 'CRR6' from 'CCC/RR6'; -- $8.2 million class Q to 'C/RR6' from 'CCC/RR6'. Fitch also affirms these classes and revises the LS ratings as indicated: -- $52.4 million class A-1 at 'AAA/LS2'; Outlook Stable; -- $194.1 million class A-2 at 'AAA/LS2'; Outlook Stable; -- $311.8 million class A-3 at 'AAA/LS2'; Outlook Stable; -- $132 million class A-AB at 'AAA/LS2'; Outlook Stable; -- $1.18 billion class A-4 at 'AAA/LS2'; Outlook Stable; -- $363.6 million class A-1A at 'AAA/LS2'; Outlook Stable; -- $231 million class A-M at 'AAA/LS3'; Outlook Stable; -- $95 million class A-MFL at 'AAA/LS3'; Outlook Stable; -- $269 million class A-J at 'BBB/LS4'; Outlook Stable; -- $28.5 million class B at 'BB/LS5'; Outlook Stable; -- $44.8 million class C at 'BB/LS5'; Outlook Stable. Fitch does not rate the $41.8 million class S. Fitch withdraws the rating on the interest-only classes X-1 and X- 2. BEAR STEARNS: Moody's Takes Rating Actions on Two 1999-C1 Certs. ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes, downgraded one class, and affirmed six classes of Bear Stearns Commercial Mortgage Securities Inc., Commercial Mortgage Pass- Through Certificates, Series 1999-C1: -- X, Affirmed at Aaa (sf); previously on Feb. 10, 1999 Assigned Aaa (sf) -- B, Affirmed at Aaa (sf); previously on Feb. 9, 2005 Upgraded to Aaa (sf) -- C, Affirmed at Aaa (sf); previously on July 12, 2006 Upgraded to Aaa (sf) -- D, Upgraded to Aaa (sf); previously on March 17, 2008 Upgraded to Aa2 (sf) -- E, Upgraded to Aa3 (sf); previously on March 17, 2008 Upgraded to A1 (sf) -- G, Affirmed at Ba3 (sf); previously on Feb. 9, 2005 Downgraded to Ba3 (sf) -- H, Affirmed at B2 (sf); previously on Feb. 9, 2005 Downgraded to B2 (sf) -- I, Downgraded to Ca (sf); previously on March 17, 2008 Downgraded to Caa3 (sf) -- J, Affirmed at C (sf); previously on Feb. 9, 2005 Downgraded to C (sf) Ratings Rationale The upgrades are due to overall improved pool performance and a significant increase in subordination levels since Moody's last review. The downgrade is due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations and are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 5.1% of the current balance. At last review, Moody's cumulative base expected loss was 2.2%. Moody's stressed scenario loss is 6.8% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's 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 transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated March 17, 2008. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the ratings. Deal Performance As of the November 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 81% to $91.1 million from $478 million at securitization. The Certificates are collateralized by 31 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 55% of the pool. Five loans have defeased, representing 11% of the pool, and are collateralized by U.S. Government securities. There are no loans with credit estimates. Four loans, representing 15% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eleven loans have been liquidated from the pool, resulting in an aggregate realized loss of $5.4 million (35% loss severity overall). Two loans, representing 3% of the pool, are currently in special servicing. The specially serviced loans are represented by a retail center and mobile home community. Moody's has estimated an aggregate $1.3 million loss (45% expected loss on average) for these two specially serviced loans. Moody's has assumed a high default probability for two poorly performing loans representing 11% of the pool and has estimated a $2 million loss (20% expected loss based on a 50% probability default) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Moody's was provided with partial year 2009 operating results for 68% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 46% compared to 66% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11.3% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.9%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 3.97X and 3.57X, respectively, compared to 1.84X and 2.11X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 18 compared to 23 at Moody's prior review. The top three performing loans represent 21% of the pool balance. The largest loan is the Hamilton Station Apartments Loan ($7.6 million -- 8.4% of the pool), which is secured by a 284-unit apartment complex located in Columbus, Georgia. Performance has been stable with the property 93% leased as of June 2010 compared to 97% as of December 2009. Despite the drop in occupancy, performance has improved since last review. The loan has also benefitted from 7% amortization since last review. Moody's LTV and stressed DSCR are 57% and 1.81X, respectively, compared to 70% and 1.48X at last review. The second largest loan is the Eden Center Loan ($6.2 million -- 6.8% of the pool), which is secured by a 207,000 square foot retail center located in Falls Church, Virginia. The property's financial performance has improved since last review due to higher revenue achievement. The property was 100% leased as of December 2009 compared to 90% at securitization. The loan has amortized 19% since last review. Moody's LTV and stressed DSCR are 15% and >4.0X, respectively, compared to 19% and 3.92X at last review. The third largest conduit loan is The Lakes Apartment Complex ($5.1 million -- 5.6% of the pool), which is secured by a 172-unit apartment complex located in Columbus, Georgia. The property was 94% leased as of June 2010 compared to 99% as of December 2009. Despite the drop in occupancy, performance has improved since last review. The loan has also benefitted from 7% amortization since last review. Moody's LTV and stressed DSCR are 49% and 2.03X, respectively, compared to 68% and 1.48X at last review. BEAR STEARNS: Moody's Upgrades Ratings on Two 2001-TOP4 Certs. -------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes, affirmed eight classes and downgraded four classes of Bear Stearns Commercial Mortgage Securities Trust 2001-TOP4, Commercial Mortgage Pass-Through Certificates, Series 2001-TOP4: -- Cl. A-2, Affirmed at Aaa (sf); previously on Nov. 8, 2001 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Nov. 8, 2001 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Nov. 8, 2001 Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Aug. 16, 2006 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on Sept. 25, 2008 Upgraded to Aaa (sf) -- Cl. D, Upgraded to Aa1 (sf); previously on Sept. 25, 2008 Upgraded to Aa2 (sf) -- Cl. E, Upgraded to A2 (sf); previously on Sept. 25, 2008 Upgraded to A3 (sf) -- Cl. F, Affirmed at Baa3 (sf); previously on Nov. 8, 2001 Definitive Rating Assigned Baa3 (sf) -- Cl. G, Affirmed at Ba1 (sf); previously on Nov. 8, 2001 Definitive Rating Assigned Ba1 (sf) -- Cl. H, Affirmed at Ba2 (sf); previously on Nov. 8, 2001 Definitive Rating Assigned Ba2 (sf) -- Cl. J, Downgraded to B3 (sf); previously on Nov. 8, 2001 Definitive Rating Assigned Ba3 (sf) -- Cl. K, Downgraded to Caa3 (sf); previously on Nov. 8, 2001 Definitive Rating Assigned B1 (sf) -- Cl. L, Downgraded to C (sf); previously on June 15, 2005 Downgraded to B3 (sf) -- Cl. M, Downgraded to C (sf); previously on June 15, 2005 Downgraded to Caa1 (sf) Ratings Rationale The upgrades are due to the significant increase in subordination due to loan payoffs and amortization and stable overall performance. The pool has paid down by 25% since last review. In addition, the pool benefits from 19% defeasance. The downgrades are due to higher expected losses for the pool resulting from anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 3.1% of the current balance. At last review, Moody's cumulative base expected loss was 1.5%. Moody's stressed scenario loss is 4.7% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 26, 2007. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 47% to $474.6 million from $902.5 million at securitization. The Certificates are collateralized by 115 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 33% of the pool. Twenty-four loans, representing 19% of the pool, have defeased and are collateralized with U.S. Government securities, compared to 15% at last review. The pool includes two loans with investment grade credit estimates, representing 11% off the pool. Twenty-four loans, representing 17% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Four loans have been liquidated from the pool since securitization, resulting in an aggregate $5.99 million loss (50% loss severity on average). The pool had not realized any losses at last review. Two loans, representing 1.4% of the pool, are currently in special servicing. The two specially serviced loans are secured by office properties. The master servicer has recognized an aggregate $4.7 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate $4.97 million loss (76% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for seven poorly performing loans representing 6.3% of the pool and has estimated an aggregate $6.0 million loss (20% expected loss based on a 50% probability of default) from these troubled loans. Moody's was provided with full year 2009 operating results for 95% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV for the conduit component is 66% compared to 73% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12.1% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed DSCRs for the performing conduit loans are 1.53X and 1.78X, respectively, compared to 1.42X and 1.50X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 38 compared to 60 at Moody's prior review. The largest loan with a credit estimate is the Morris Corporate Center IV Loan ($37.2 million -- 7.8%), which is secured by a 340,000 square foot Class A office complex located in Parsippany, New Jersey. The property was 91% leased as of July 2010. The loan sponsor is Lexington Corporate Properties Trust, a publicly traded REIT, and the New York Common Retirement Fund. Moody's current credit estimate and stressed DSCR are Baa3 and 1.55X, respectively, compared to Baa3 and 1.49X at the prior review. The second loan with a credit estimate is the Tyson's Square Loan ($12.6 million -- 2.7%), which is secured by a 167,000 SF retail power center located in Tyson's Corner, Virginia. The property was 83% occupied as of June 2010 compared to 100% at last review. Major tenants include Marshalls and the Sports Authority. The loan has benefited from 31% amortization since securitization. Moody's current credit estimate and stressed DSCR are Aa2 and 2.05X, respectively, compared to Aa2 and 2.01X at the prior review. The top three performing conduit loans represent 12% of the pool balance. The largest loan is the Bridgewater Promenade Loan ($27.8 million -- 5.9% of the pool), which is secured by a 234,000 SF power center located in Bridgewater, New Jersey. The property has maintained 100% occupancy since securitization. Major tenants include Bed Bath & Beyond, Babies"R"Us and Marshalls. Moody's LTV and stressed DSCR are 80% and 1.29X, respectively, compared to 88% and 1.16X at last review. The second largest loan is Metaldyne Portfolio Loan ($14.9 million -- 3.1% of the pool), which is secured by five industrial buildings totaling 534,000 SF. The properties are located in Ohio (2), Illinois, Georgia and Michigan. Originally, all of the properties were 100% leased to Metaldyne Machining and Assembly Company, Inc. through 2021. Metaldyne filed for bankruptcy in May 2009 and has since vacated all of the buildings. As of June 2010, occupancy for the portfolio was 63%. The loan is on the master servicer's watchlist for low occupancy. Moody's LTV and stressed DSCR are 95% and 1.13X, respectively, compared to 73% and 1.41X at last review. The third largest loan is The Crossing at Stonegate Loan ($12.9 million -- 2.7% of the pool), which is secured by a 109,000 SF grocery anchored retail center located in Parker, Colorado. Occupancy as of June 2010 was 98% compared to 96% at last review. Moody's LTV and stressed DSCR are 85% and 1.20X, respectively, compared to 87% and 1.19X at last review. BEAR STEARNS: Moody's Downgrades Ratings on 15 2005-TOP20 Certs. ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 15 classes and affirmed six classes of Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Commercial Mortgage Pass-Through Certificates, Series 2005-TOP20: -- Cl. A-2, Affirmed at Aaa (sf); previously on Nov. 17, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Nov. 17, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on Nov. 17, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-4A, Affirmed at Aaa (sf); previously on Nov. 17, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-4B, Affirmed at Aaa (sf); previously on Nov. 17, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. X, Affirmed at Aaa (sf); previously on Nov. 17, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-J, Downgraded to A3 (sf); previously on Nov. 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Baa1 (sf); previously on Nov. 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Baa2 (sf); previously on Nov. 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Ba1 (sf); previously on Nov. 3, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to B2 (sf); previously on Nov. 3, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to B3 (sf); previously on Nov. 3, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to Caa1 (sf); previously on Nov. 3, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to Caa3 (sf); previously on Nov. 3, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to Ca (sf); previously on Nov. 3, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to C (sf); previously on Nov. 3, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to C (sf); previously on Nov. 3, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Nov. 3, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. N, Downgraded to C (sf); previously on Nov. 3, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. O, Downgraded to C (sf); previously on Nov. 3, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. P, Downgraded to C (sf); previously on Nov. 3, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from anticipated losses from specially serviced and troubled loans and concerns about loans approaching maturity in an adverse environment. Seven loans, representing 16% of the pool, have either matured or are scheduled to mature within the next 24 months and have a Moody's stressed debt service coverage ratio less than 1.0X. The affirmations are due to key parameters, including Moody's loan to value ratio, the Herfindahl Index and Moody's stressed DSCR, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. On November 3, 2010, Moody's placed Classes AJ through P on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 6.1% of the current balance. At last review, Moody's cumulative base expected loss was 2.5%. Moody's stressed scenario loss is 12.6% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 23, 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months Deal Performance As of the November 12, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 8% to $1.92 billion from $2.07 billion at securitization. The Certificates are collateralized by 213 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans representing 38% of the pool. There are ten loans, representing 9.9% of the pool, with investment grade credit estimates. Forty loans, representing 15% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. Moody's has assumed a high default probability for eight of the watchlisted loans has estimated a $18.2 million loss (20% expected loss based on an 50% default probability) from these troubled loans. One loan has been liquidated from the pool, resulting in a realized loss of $663,439 (60% loss severity). Nine loans, representing 10% of the pool, are currently in special servicing. The largest specially serviced loan is the Lakeforest Mall Loan ($121.1 million -- 6.3%) which is secured by the borrower's interest in a 1.1 million square foot regional mall located in Gaithersburg, Maryland. The mall is anchored by Sears, J.C. Penney, Macy's and Lord & Taylor, none of which are loan collateral. The property was 65% leased, the same as at last review. This mall is managed by Simon Property Group. The loan was transferred into special servicing May 2010 due to maturity default. However, the loan has been extended 12 months. The new maturity date is July 2011 and the loan is pending return to the master servicer. Moody's has not estimated a loss for this loan. Moody's LTV and stressed DSCR are 101% and 0.99X, respectively, compared to 93% and 1.14X at last review. The remaining specially serviced loans are secured by a mix of retail, office, manufactured housing and multifamily properties and each represent less than 2% of the pool. Moody's has estimated an aggregate $42.1 million loss (64% expected loss on average) for eight of the specially serviced loans. Moody's was provided with full year 2009 operating results for 99% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 98% compared to 95% at last review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.62X and 1.12X, respectively, compared to 1.71X and 1.15X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 39 compared to 41 at last review. The largest loan with a credit estimate is the 200 Madison Avenue Loan ($45 million -- 2.3%), which is secured by a pari passu interest in a $90.0 million first mortgage loan secured by a 667,000 square foot office building located in New York City. The property occupies a full city block on the west side of Madison Avenue between 35th and 36th Street. The property was 99% leased as of June 2010, similar to last review. The two largest tenants are Phillips-Van Heusen Corp. (23% of the net rentable area (NRA), lease expiration October 2023) and Lally McFarland Pantello (15% of the NRA, lease expiration May 2013). The cash flow has been stable since securitization. Moody's current credit estimate and stressed DSCR are Aa2 and 1.67X, respectively, compared to Aa2 and 1.69X at last review. The second largest loan with a credit estimate is the Depot Business Park Loan ($38.7 million -- 2.0%), which is secured by a 2.3 million square foot office building located in Sacramento, California. The property was 75% leased as of June 2010 compared to 75% at last review. The two largest tenants are the California Department of Corrections (7% of the NRA, lease expiration April 2016) and Big Bear Fireworks, Inc. (4% of the NRA, lease expiration September 2012). The cash flow has been stable since securitization and the loan has amortized 2% since last review. Moody's current credit estimate and stressed DSCR are Baa3 and 1.61X, respectively, compared to Baa3 and 1.39X at last review. The third largest loan with a credit estimate is the 1345 Avenue of the Americas Loan ($30 million -- 1.6%), which is secured by a 9.1% pari passu interest in a first mortgage loan secured by a 1.9 million square foot Class A office building located in New York City. The property was 100% leased as of June 2010, the same as at last review. The property is also encumbered by a $216.5 million B Note that is held outside the trust. The property performance has improved since last review and the loan has amortized 36% since securitization. Moody's current credit estimate and stressed DSCR are Aaa and 2.25X, respectively, compared to Aaa and 1.51X at last review. The remaining eight loans with credit estimates comprise 5.5% of the pool. The current credit estimates, which are the same as at last review and securitization, are: Fifth & Pine Loan ($28.5 million -- 1.5%) -- Baa3; 1301 West Highlands Boulevard Loan ($18.3 million -- 1.0%) -- Baa3; Park Avenue Plaza Loan ($13.2 million -- 0.7%) - Aaa; 2200 Harbor Boulevard Loan ($12.0 million -- 0.6%) -- A2; Pride Center Loan ($9.1 million -- 0.5%) -- Aaa; 60 East End Avenue Coop Loan ($8.9 million -- 0.5%) -- Aaa; Queen's Boulevard Office Loan ($7.8 million -- 0.4%) -- Baa3 and 520 East 72nd Street Coop Loan ($6.5 million -- 0.3%) -- Aaa. The top three performing conduit loans represent 15% of the pool balance. The largest loan is the Westin Copley Place Loan ($105 million -- 5.5%), which is a 50% pari passu interest in a $210.0 million first mortgage loan secured by a 803-room full service hotel located in Boston, Massachusetts. Property performance has been stable since securitization. The loan is interest only for its entire term. Moody's LTV and stressed DSCR are 103% and 1.13X, respectively, compared to 105% and 1.11X at last review. The second largest loan is the West Town Mall Loan ($103.8 million -- 5.4%), which is secured by a 916,000 square foot regional mall located in Madison, Wisconsin. The mall was 99% leased as of December 2009, the same as at last review and securitization. The anchors for the property are J.C. Penney, The Boston Store and Sears. Property performance has declined slightly since last review. Moody's LTV and stressed DSCR are 81% and 1.14X, respectively, compared to 79% and 1.24X at last review. The third largest loan is the Two Renaissance Square Loan ($85.2 million -- 4.4%), which is secured by a 470,464 square foot office property located in Phoenix, Arizona. The property was 93% leased as of December 2009 compared to 98% at last review. Property performance has remained stable since last review. Moody's LTV and stressed DSCR are 110% and 0.88X, respectively, compared to 117% and 0.90X at last review. BEAR STEARNS: Moody's Reviews Ratings on 14 2007-PWR16 Certs. ------------------------------------------------------------- Moody's Investors Service placed 14 classes of Bear Stearns Commercial Mortgage Securities Trust Commercial Mortgage Pass- Through Certificates, Series 2007-PWR16 on review for possible downgrade: -- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade; previously on July 6, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-J, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 8, 2009 Downgraded to Baa1 (sf) -- Cl. B, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 8, 2009 Downgraded to Baa2 (sf) -- Cl. C, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 8, 2009 Downgraded to Ba1 (sf) -- Cl. D, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 8, 2009 Downgraded to Ba2 (sf) -- Cl. E, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 8, 2009 Downgraded to Ba3 (sf) -- Cl. F, B1 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 8, 2009 Downgraded to B1 (sf) -- Cl. G, B2 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 8, 2009 Downgraded to B2 (sf) -- Cl. H, B3 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 8, 2009 Downgraded to B3 (sf) -- Cl. J, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 8, 2009 Downgraded to Caa1 (sf) -- Cl. K, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 8, 2009 Downgraded to Caa2 (sf) -- Cl. L, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 8, 2009 Downgraded to Caa3 (sf) -- Cl. M, Ca (sf) Placed Under Review for Possible Downgrade; previously on Oct. 8, 2009 Downgraded to Ca (sf) -- Cl. N, Ca (sf) Placed Under Review for Possible Downgrade; previously on Oct. 8, 2009 Downgraded to Ca (sf) The classes were placed on review for possible downgrade due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated October 8, 2009. Deal And Performance Summary As of the November 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 2% to $3.25 billion from $3.31 billion at securitization. The Certificates are collateralized by 256 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans representing 42% of the pool. The pool does not contain any defeased loans or loans with investment grade credit estimates. Seventy-five loans, representing 22% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Four loans have been liquidated from the pool, resulting in an aggregate realized loss of $11.9 million (63% loss severity overall). Twenty loans, representing 20% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $68.2 million appraisal reduction for 14 of the specially serviced loans. Moody's review will focus on potential losses from specially serviced and troubled loans and the performance of the overall pool. BEAR STEARNS: Moody's Downgrades Ratings on 71 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 71 tranches and confirmed the ratings of 3 tranches from 10 RMBS transactions issued by Bear Stearns Mortgage Funding Trust. The collateral backing these transactions primarily consists of first- lien, adjustable-rate, negative amortization residential mortgages. Ratings Rationale The actions are a result of the rapidly deteriorating performance of option arm pools in conjunction with macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on option arm pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on option arm RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. Certain securities, as noted below, are insured by financial guarantors. The Cl. II-A-2 tranche issued by Bear Stearns Mortgage Funding Trust 2006-AR2, and the Cl. A-2 tranche issued by Bear Stearns Mortgage Funding Trust 2006-AR4, are wrapped by Ambac Assurance Corporation (Segregated Account -- Unrated). For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Bear Stearns Mortgage Funding Trust 2006-AR1 -- Cl. I-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Mortgage Funding Trust 2006-AR2 -- Cl. I-A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-X, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Bear Stearns Mortgage Funding Trust 2006-AR3 -- Cl. I-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2A, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Grantor Trust I-A-2B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Underlying I-A-2B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2A, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Grantor Trust II-A-2B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Underlying II-A-2B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Mortgage Funding Trust 2006-AR4 -- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Bear Stearns Mortgage Funding Trust 2006-AR5 -- Cl. I-A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-X, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Mortgage Funding Trust 2007-AR1 -- Cl. I-A-1, Confirmed at Caa2 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-X, Confirmed at Caa2 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Upgraded to Aaa (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Confirmed at Caa1 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Mortgage Funding Trust 2007-AR2, Mortgage Pass-Through Certificates, Series 2007-AR2 -- Cl. A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Mortgage Funding Trust 2007-AR3 -- Cl. I-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-1A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-1A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-1A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-2A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Mortgage Funding Trust 2007-AR4 -- Cl. I-A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. Grantor Trust I-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. Underlying I-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-X-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-X-2, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2A, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. Grantor Trust II-A-2B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. Underlying II-A-2B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Mortgage Funding Trust 2007-AR5 -- Cl. I-A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Grantor Trust I-A-1B, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Underlying I-A-1B, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2A, Downgraded to C (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Grantor Trust I-A-2B, Downgraded to C (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Underlying I-A-2B, Downgraded to C (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-X-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-X-2, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade BEAR STEARNS: S&P Raises Ratings on Five 2003-TOP10 Securities -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on five classes of commercial mortgage-backed securities from Bear Stearns Commercial Mortgage Securities Trust 2003-TOP10. Concurrently, S&P raised its ratings on four classes of CMBS from Morgan Stanley Capital I Inc.'s series 2003-IQ4, also known as Morgan Stanley Capital I Inc. 2003-1290. In addition, S&P affirmed its ratings on 11 other classes from BSCMS 2003-TOP10 and affirmed its rating on one other class from MSC 2003-IQ4. The raised BSCMS 2003-TOP10 ratings are due to increased credit enhancement levels resulting from the deleveraging of the pool. The upgrades and affirmations follow S&P's analysis of the remaining collateral in the transaction, the transaction structure, and the liquidity available to the securities. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.81x and a loan-to-value ratio of 66.2%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 1.50x and an LTV of 85.6%. The implied defaults and loss severity under the 'AAA' scenario were 11.6% and 22.6%, respectively. The DSC and LTV calculations S&P noted above exclude 25 defeased loans ($156.7 million, 16.3%), one co-op loan ($68.4 million, 7.1%), and two specially serviced loans ($12.8 million, 1.3%). S&P separately estimated losses for the two specially serviced loans and included them in its 'AAA' scenario implied default and loss figures. The affirmations of S&P's ratings on the BSCMS 2003-TOP10 principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its ratings on the class X-1 and X-2 interest-only certificates from the same transaction based on S&P's current criteria. The raised and affirmed MSC 2004-IQ4 ratings follow S&P's revised valuation of the 1290 Avenue of the Americas property, which secures a subordinate B note that is the sole source of cash flow for the MSC 2004-IQ4 securities. S&P discuss the 1290 Avenue of the Americas loan in detail below. BSCMS 2003-Top10 Credit Considerations As of the November 2010 remittance report, two assets ($12.8 million, 1.3%) were with the special servicer, C-III Asset Management LLC. One is in foreclosure ($6.6 million, 0.68%) and one is more than 90 days delinquent ($6.2 million, 0.65%). The College Square Shopping Center Phase I loan ($7.1 million total exposure, 0.68%) is the largest loan with the special servicer. The loan is secured by a 126,000-sq.-ft. anchored retail center in Stockton, Calif. The loan was transferred to the special servicer on Dec. 7, 2009, and a foreclosure motion was filed on Jan. 5, 2010. As of Dec. 31, 2009, the reported DSC and occupancy were 1.10x and 26%, respectively. Standard & Poor's anticipates a minimal loss upon the eventual resolution of this loan. The 1140 East Altamonte Drive loan ($6.7 million total exposure, 0.65%) is the second loan with the special servicer. The loan is secured by a 105,900-sq.-ft. anchored retail center in Altamonte Springs, Florida. The loan was transferred to the special servicer on May 12, 2010, due to imminent payment default. The borrower requested payment relief because it was unable to lease a 32,300-sq.-ft. space formerly occupied by Circuit City. C-III is currently working through an approval of a new 17,000-sq.-ft. lease. The loan payment status is more than 90 days delinquent. As of Dec. 31, 2009, the reported DSC and occupancy were 0.85x and 95%, respectively. Standard & Poor's anticipates a minimal loss upon the eventual resolution of this loan. BSCMS 2003-Top10 Transaction Summary As of the November 2010 remittance report, the collateral balance was $960.4 million, which is 79.2% of the balance at issuance. The collateral includes 147 loans, down from 167 loans at issuance. Twenty-five ($156.7 million, 16.3%) of the loans are defeased. As of the November 2010 remittance report, the master servicer, Wells Fargo Bank N.A., had provided financial information for all of the nondefeased loans in the pool, all of which was full-year 2008, full-year 2009, and partial-year 2010 data. S&P calculated a weighted average DSC of 1.82x for the pool based on the reported figures. S&P's adjusted DSC and LTV, which exclude 25 defeased loans ($156.7 million, 16.6%), one co-op loan ($68.4 million, 7.1%), and two specially serviced assets ($12.8 million, 1.3%), were 1.81x and 66.2%, respectively. S&P separately estimated losses for the two specially serviced loans and included them in its 'AAA' scenario implied default and loss figures. Twenty-two loans ($114.2 million, 11.9%) are on the master servicer's watchlist. Ten loans ($36.8 million, 3.8%) have a reported DSC below 1.10x, and eight of these loans ($32.4 million, 3.4%) have a reported DSC of less than 1.00x. To date, the pool has experienced principal losses totaling $1.6 million on two loans. Standard & Poor's stressed the loans in the pool according to its U.S. conduit/fusion criteria. The resultant credit enhancement levels support the raised and affirmed ratings. Summary of Top 10 BSCMS 2003-Top10 Loans The top 10 real estate exposures have an aggregate outstanding balance of $352.3 million (36.7%), none of which are currently with the special servicer or on the master servicer's watchlist. Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.86x for the top 10 loans. S&P's adjusted DSC and LTV for the top 10 loans were 1.81x and 60.2%, respectively. Details regarding the three largest loans are: The North Shore Towers loan ($68.4 million, 7.1%) is the largest loan in the pool and is secured by a cooperative owned apartment complex comprising 1,844 units in three 34-story buildings in Floral Park, Queens, New York. The property contains an arcade level that runs beneath all three buildings and contains 27,831 sq. ft. of retail space, as well as 16 residential units. As of Dec. 31, 2009, the reported DSC and occupancy were 1.71x and 100%, respectively. The 1290 Avenue of the Americas loan is the second-largest loan in the pool and has a current whole-loan balance of $418.0 million, which is split into a $363.0 million A note and a $55.0 million B note; the B note is the sole asset of the MSC 2003-IQ4 trust and the sole source of cash flow for the "TN" certificates. The A note is split into five pari passu portions: one $66.0 million note was included in Morgan Stanley Dean Witter Capital I Trust 2003-TOP9; one $66.0 million note (6.9% of the pool) was included in the BSCMS 2003-TOP10 trust; one $75.4 million note was included in Prudential Commercial Mortgage Trust I 2003-PWR1; and the remaining two notes, which total $155.6 million, were included in Morgan Stanley Dean Witter Capital I Trust 2003-HQ2. The loan matures in January 2013. The loan is secured by the fee interest in a 43-story, 1.98 million-sq.-ft. office building in midtown Manhattan on the Avenue of the Americas between 51st and 52nd streets. The largest tenants include AXA Equitable Life Insurance (22% of the net rentable area), Morrison & Foerster LLP (10%), and Cushman & Wakefield Inc. (8%). As of Dec. 31, 2009, the master servicer reported a whole-loan DSC of 1.27x based on net cash flow and a DSC of 1.42x for the senior participation. Wells Fargo also reported 96% occupancy as of June 30, 2010. Standard & Poor's adjusted valuation was 20% higher than at issuance, resulting in a stressed whole-loan LTV ratio of 53.4%. The upgrades and affirmation of the MSC 2003-IQ4 "TN" certificate ratings are consistent with S&P's revised valuation of the 1290 Avenue of the Americas property. The Federal Center Plaza loan has a whole-loan balance of $130.1 million and consists of two pari passu notes, one of which is included in the trust ($65.1 million, 6.8%). The loan is secured by two adjacent eight-story office buildings totaling 721,600 sq. ft. and an adjoining 912-space underground parking garage in southwest Washington, D.C. Two General Services Agency tenants occupy approximately 95% of the subject property through 2013 and 2019, respectively. The GSA has leased the subject property for use and occupancy by the federal government since its completion (in 1981-1982). As of Dec. 31, 2009, the reported DSC and occupancy were 1.42x and 92%, respectively. Ratings Raised Bear Stearns Commercial Mortgage Securities Trust 2003-TOP10 Commercial mortgage pass-through certificates series 2003-TOP10 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- C AA- (sf) A+ (sf) 8.98 D A+ (sf) A (sf) 7.72 E A- (sf) BBB+ (sf) 6.15 F BBB+ (sf) BBB (sf) 5.20 G BBB (sf) BBB- (sf) 4.41 Morgan Stanley Capital I Inc. Commercial mortgage pass-through certificates series 2003-IQ4 Rating ------ Class To From ----- -- ---- TN-A A+ (sf) A (sf) TN-B A (sf) A- (sf) TN-C A- (sf) BBB+ (sf) TN-D BBB+ (sf) BBB (sf) Ratings Affirmed Bear Stearns Commercial Mortgage Securities Trust 2003-TOP10 Commercial mortgage pass-through certificates series 2003-TOP10 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA (sf) 16.56 A-2 AAA (sf) 16.56 B AA+ (sf) 12.93 H BB+ (sf) 3.31 J BB (sf) 2.83 K BB- (sf) 2.20 L B+ (sf) 1.73 M B (sf) 1.41 N B- (sf) 1.10 X-1 AAA (sf) N/A X-2 AAA (sf) N/A Morgan Stanley Capital I Inc. Commercial mortgage pass-through certificates series 2003-IQ4 Class Rating ----- ------ TN-E BBB- (sf) N/A - Not applicable. BIRCH REAL: Fitch Affirms Ratings on Five Classes of Notes ---------------------------------------------------------- Fitch Ratings has affirmed five classes of Birch Real Estate CDO I and revised the Rating Outlook on class A-1 due to amortization in the capital structure since Fitch's last review in January 2010 offsetting portfolio credit deterioration and increased portfolio concentration. The rating actions are: -- $1,601,384 class A-1 notes affirmed at 'AA/LS5', Outlook revised to Stable from Negative; -- $26,000,000 class A-2L notes affirmed at 'CCC'; -- $5,000,000 class A-2 notes affirmed at 'CCC'; -- $10,000,000 class A-3L notes affirmed at 'CC'; -- $11,040,000 class B-1 notes affirmed at 'C'. 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 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'. Fitch also considered additional qualitative factors into its analysis to conclude the rating affirmations for the rated notes. Credit enhancement levels for the class A-1, class A-2L, class A-2 and class A-3L notes have noticeably improved since Fitch's last review in January 2010 due to amortization of the senior notes. However, the improvement is offset by the portfolio's credit quality continuing to deteriorate, with 10.7% of the portfolio downgraded a weighted average of 11.5 notches. The portion of the portfolio considered defaulted has increased to 29.4%, according to the Nov. 1, 2010 trustee report, from 26.9% as listed in the Dec. 1, 2009 report. Additionally, Fitch is concerned about adverse selection as the portfolio continues to amortize and become more concentrated. The Outlook on the class A-1 notes is revised to Stable because the class is likely to be redeemed in the next one to two payment periods and has sufficient credit enhancement to withstand volatility within that time. The Loss Severity rating of 'LS5' for the class A-1 notes indicates the tranches' potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in Fitch's 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the notes' long- term credit rating. Fitch does not assign LS ratings to tranches rated 'CCC' and below. The class B-1 notes are still not receiving any distributions due to the failing A coverage tests. Fitch continues to expect that default is inevitable at or prior to maturity. Birch CDO I is a structured finance collateralized debt obligation that closed on Dec. 20, 2002. The static portfolio of collateral was selected by Bear Stearns & Co. Inc. and is now comprised of residential mortgage-backed securities, commercial mortgage-backed securities and commercial asset-backed securities from primarily 1999 through 2002 vintage transactions. BRASCAN STRUCTURED: Moody's Takes Rating Actions on Various Notes ----------------------------------------------------------------- Moody's has affirmed one and upgraded four classes of Notes issued by Brascan Structured Notes 2004-1, Ltd, due to the rapid amortization of Notes since last review and the current level of overcollateralization of the Notes. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. A, Affirmed at Aaa (sf); previously on March 25, 2009 Confirmed at Aaa (sf) -- Cl. B, Upgraded to Aaa (sf); previously on March 25, 2009 Confirmed at Aa2 (sf) -- Cl. C, Upgraded to Aa1 (sf); previously on March 25, 2009 Confirmed at A3 (sf) -- Cl. D, Upgraded to A1 (sf); previously on March 25, 2009 Confirmed at Baa3 (sf) -- Cl. E, Upgraded to A3 (sf); previously on March 25, 2009 Confirmed at Ba2 (sf) Ratings Rationale Brascan Structured Notes 2004-1 is a CRE CDO transaction backed by B-Notes (15.2%), commercial mortgage backed securities (77.2%), and CRE CDO securities (7.6%). As of the October 15, 2010 Trustee report, the aggregate Note balance of the transaction is $177.1 million, compared to $300.7 million at issuance. There are no assets that are considered Defaulted Securities as of the October 15, 2010 Trustee report. Defaulted Assets that are not CMBS are defined as assets which are 30 or more days delinquent in their debt service payment. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation. These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. Per the legal documentation the transactions has ended its reinvestment period in January 2010. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's have completed updated credit estimates for the non- Moody's rated reference obligations. For non-CUSIP collateral, Moody's is eliminating the additional default probability stress applied to corporate debt in CDOROM(R) v2.6 as Moody's expects the underlying non-CUSIP collateral to experience lower default rates and higher recovery compared to corporate debt due to the nature of the secured real estate collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 2,208 compared to 833 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (31.9% compared to 38.2% at last review), A1-A3 (14.7% compared to 9.4% at last review), Baa1-Baa3 (7.0% compared to 20.4% at last review), Ba1-Ba3 (10.6% compared to 20.1% at last review), B1-B3 (14.0% compared to 7.8% at last review), and Caa1-C (21.7% compared to 4.1% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 2.7 years compared to 1.6 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 39.5% compared to 45.9% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). For non-CUSIP collateral, Moody's is reducing the maximum over concentration stress applied to correlation factors due to the diversity of tenants, property types, and geographic locations inherent in pooled transactions. Moody's modeled a MAC of 5.9% compared to 19.3% at last review. The relatively low MAC is due to higher default probability collateral concentrated within a small number of collateral names. Moody's review incorporated CDOROM(R) v2.6, one of Moody's CDO rating models, which was released on May 27, 2010. The cash flow model, CDOEdge(R) v3.2, 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 key parameters may have have rating implications on certain classes of rated notes. However, in many instances, a change in assumptions of any one key parameter 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 39.5% to 29.5% or up to 49.5% would result in average rating movement on the rated tranches of 0 to 3 notches downward and 0 to 1 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in a majority of property sectors. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expects overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. CAPITALSOURCE COMMERCIAL: Moody's Upgrades Ratings on Two Notes --------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by CapitalSource Commercial Loan Trust 2006-2: -- US$71,250,000 Class B Floating Rate Deferrable Asset Backed Notes Notes, Upgraded to Aaa (sf); previously on September 11, 2009 Confirmed at Aa2 (sf) -- US$157,500,000 Class C Floating Rate Deferrable Asset Backed Notes Notes, Upgraded to Baa1 (sf); previously on September 11, 2009 Confirmed at Ba1 (sf) Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the delevering of the Class A Notes (the Class A- PT, the Class A-1A and the Class A-1B Notes), which have been paid down by approximately 82% or $564 million since the last rating action in October 2009. In addition to principal paydowns, excess spread is being diverted to pay down the Class A Notes. Moody's observes that the substantial delevering of the notes more than offsets the underlying pool's credit deterioration and high concentration in the finance sector. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds of $571.4 million, weighted average default probability of 37.87% (implying a WARF of 6950), a weighted average recovery rate upon default of 36.57%, and a diversity score of 26. 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. CapitalSource Commercial Loan Trust 2006-2, issued in September 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans of middle market issuers. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. For securities whose default probabilities are assessed through credit estimates, Moody's applied additional default probability stresses by assuming an equivalent of Caa3 for CEs that were not updated within the last 15 months, which currently account for approximately 19.4% of the collateral balance. In addition, Moody's applied a 1.5 notch-equivalent assumed downgrade for CEs last updated between 12-15 months ago, and a 0.5 notch-equivalent assumed downgrade for CEs last updated between 6-12 months ago. For each CE where the related exposure constitutes more than 3% of the collateral pool, Moody's applied a 2-notch equivalent assumed downgrade (but only on the CEs representing in aggregate the largest 30% of the pool) in lieu of the aforementioned stresses. Notwithstanding the foregoing, in all cases the lowest assumed rating equivalent is Caa3. Moody's also performed a number of sensitivity analyses to test the impact on all rated notes, including these: 1. Various default probabilities to capture potential defaults in the underlying portfolio. 2. A range of recovery rate assumptions for all assets to capture variability in recovery rates. 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% (4956) -- Class A-PT: 0 -- Class A-1B: 0 -- Class B: 0 -- Class C: +5 -- Class D: +4 -- Class E: +6 Moody's Adjusted WARF +20% (7434) -- Class A-PT: 0 -- Class A-1B: 0 -- Class B: 0 -- Class C: -1 -- Class D: -1 -- Class E: -1 A summary of the impact of different recovery rate 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 WARR +2% (38.57%) -- Class A-PT: 0 -- Class A-1B: 0 -- Class B: 0 -- Class C: +1 -- Class D: +1 -- Class E: +1 Moody's Adjusted WARR -2% (34.57%) -- Class A-PT: 0 -- Class A-1B: 0 -- Class B: 0 -- Class C: 0 -- Class D: 0 -- Class E: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the managers' investment strategies and behavior, and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of charged off assets: The timing and ultimate value of recoveries from charged-off loans and delinquent loans create additional uncertainties. 3) Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability stresses Moody's may assume in lieu of updated credit estimates. Moody's also conducted stress tests to assess the collateral pool's concentration risk in obligors bearing a credit estimate that constitute more than 3% of the collateral pool. CAPLEASE CDO: Moody's Downgrades Ratings on Five Classes of Notes ----------------------------------------------------------------- Moody's has downgraded five classes of Notes issued by Caplease CDO 2005-1, Ltd. due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. A, Downgraded to Aa2 (sf); previously on April 9, 2009 Confirmed at Aaa (sf) -- Cl. B, Downgraded to Baa1 (sf); previously on April 9, 2009 Downgraded to Aa3 (sf) -- Cl. C, Downgraded to Ba1 (sf); previously on April 9, 2009 Downgraded to Baa1 (sf) -- Cl. D, Downgraded to Ba2 (sf); previously on April 9, 2009 Confirmed at Baa2 (sf) -- Cl. E, Downgraded to Ba3 (sf); previously on April 9, 2009 Confirmed at Baa3 (sf) Ratings Rationale Caplease CDO 2005-1, Ltd., is a CRE CDO transaction backed by credit tenant lease loans (72.1% of the pool balance), commercial mortgage backed securities (16.9%), corporate credit notes (5.8%) and rake bonds (5.1%). As of the October 25, 2010 Trustee report, the aggregate Note balance of the transaction has decreased to $290.8 million from $300.0 million at issuance. There are currently no assets classified as Defaulted Securities. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation . 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 have completed updated credit estimates for the non- Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 787 compared to 703 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (7.8% compared to 9.1% at last review), A1-A3 (8.9% compared to 10.2% at last review), Baa1-Baa3 (53.2% compared to 51.0% at last review), Ba1-Ba3 (19.8% compared to 23.2% at last review), and B1- B3 (10.3% compared to 6.4% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 9.0 years compared to 9.6 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 39.1% compared to 39.0% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 17.7% compared to 14.2% at last review. Moody's review incorporated CDOROM(R) v2.6, one of Moody's CDO rating models, which was released on May 27, 2010. The cash flow model, CDOEdge(R) v3.2, 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 15.9% to 5.9% or up to 25.9% would result in average rating movement on the rated tranches of 0 to 1 notches downward and 1 to 2 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in a majority of property sectors. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expects overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. CDC COMMERCIAL: Moody's Upgrades Ratings on Four 2002-FX1 Certs. ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of four classes, downgraded one class and affirmed 10 classes of CDC Commercial Mortgage Trust 2002-FX1, Commercial Mortgage Pass-Through Certificates, Series 2002-FX1: -- Cl. A-2, Affirmed at Aaa (sf); previously on June 27, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. X-CL, Affirmed at Aaa (sf); previously on June 27, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Nov. 11, 2005 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on Nov. 11, 2005 Upgraded to Aaa (sf) -- Cl. D, Affirmed at Aaa (sf); previously on Nov. 11, 2005 Upgraded to Aaa (sf) -- Cl. E, Affirmed at Aaa (sf); previously on Apr 18, 2007 Upgraded to Aaa (sf) -- Cl. F, Affirmed at Aaa (sf); previously on May 14, 2008 Upgraded to Aaa (sf) -- Cl. G, Upgraded to Aaa (sf); previously on May 14, 2008 Upgraded to Aa2 (sf) -- Cl. H, Upgraded to Aa1 (sf); previously on May 14, 2008 Upgraded to A1 (sf) -- Cl. J, Upgraded to A2 (sf); previously on May 14, 2008 Upgraded to Baa2 (sf) -- Cl. K, Upgraded to Ba1 (sf); previously on June 27, 2002 Definitive Rating Assigned Ba2 (sf) -- Cl. L, Affirmed at Ba3 (sf); previously on June 27, 2002 Definitive Rating Assigned Ba3 (sf) -- Cl. M, Affirmed at B1 (sf); previously on June 27, 2002 Definitive Rating Assigned B1 (sf) -- Cl. N, Affirmed at B2 (sf); previously on June 27, 2002 Definitive Rating Assigned B2 (sf) -- Cl. P, Downgraded to Caa1 (sf); previously on June 27, 2002 Definitive Rating Assigned B3 (sf) Ratings Rationale The upgrades are due to increased the credit subordination levels resulting from paydowns and amortization and overall stable pool performance. The pool balance has decreased by 30% since last review. The downgrade is due to higher expected losses resulting from anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed DSCR and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 3.1% of the current balance. At last review, Moody's cumulative base expected loss was 2.8%. Moody's stressed scenario loss is 7.2% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 5 compared to 17 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated May 14, 2008. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 18, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 39% to $391.3 million from $637.5 million at securitization. The Certificates are collateralized by 26 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten non- defeased loans representing 40% of the pool. Eleven loans, representing 59% of the pool, have defeased and are collateralized with U.S. Government securities. At last review defeasance represented 60% of the pool balance. Eleven loans, representing 18% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated from the pool, resulting in a realized loss of $756,881 (38% loss severity). One loan, representing 0.4% of the pool, is currently in special servicing. Moody's has estimated a $542,793 loss (40% expected loss) for this loan. Moody's has assumed a high default probability for three poorly performing loans representing 11% of the pool and has estimated a $8.9 million loss (20% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 99% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 78% compared to 85% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.7%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.28X and 1.41X, respectively, compared to 1.27X and 1.38X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three non-defeased loans represent 26% of the pool balance. The largest loan is the Seattle Supermall Loan ($55.6 million -- 14.2%), which is secured by a 935,000 square foot retail center located in Auburn, Washington. The property is 92% leased compared to 95% at last review. Major tenants include Sam's Club and Burlington Coat Factory. Net Operating Income (NOI) has declined 12% since last review. Moody's LTV and stressed DSCR are 80% and 1.34X, respectively, compared to 76% and 1.43X at last review. The second largest loan is the Marriott Islandia Loan ($23.8 million -- 6.1%), which is secured by a 278-room full service hotel located in Islandia (Suffolk County), New York. Performance has declined since last review due to the decline in business and tourist travel resulting from the economic recession. Revenue per participating room (RevPAR) for full-year 2009 was $74.90 compared to $91.10 at last review and $107.00 at securitization. Part of the decline in performance has been offset by amortization. The loan is structured with a 25-year amortization schedule and has amortized by approximately 15% since securitization. The loan is on the master servicer's watchlist due to low DSCR. Moody's considers this loan to be a high default risk and has identified it as a troubled loan. Moody's LTV and stressed DSCR are 133% and 0.91X, respectively, compared to 103% and 1.18X at last review. The third largest loan is the Grand Avenue Loan ($21.1 million -- 5.4%) which is secured by a 100,240 square foot retail center located in Queens, New York. The center is anchored by a Stop and Shop which leases 52% of the net rentable area through December 2022. The center is 93% leased compared to 90% at last review. Performance has been stable. Moody's LTV and stressed DSCR are 86% and 1.10X, respectively, compared to 86% and 1.09X at last review. CEDARWOODS CRE: Moody's Junks Ratings on 3 Classes of Notes ----------------------------------------------------------- Moody's has downgraded eight classes of Notes issued by Cedarwoods CRE CDO, Ltd., due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor and the current level of Defaulted Securities. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. A-1, Downgraded to A1 (sf); previously on March 9, 2009 Downgraded to Aa1 (sf) -- Cl. A-2, Downgraded to Baa3 (sf); previously on March 9, 2009 Downgraded to A1 (sf) -- Cl. A-3, Downgraded to Ba2 (sf); previously on March 9, 2009 Downgraded to A3 (sf) -- Cl. B, Downgraded to B1 (sf); previously on March 9, 2009 Downgraded to Baa2 (sf) -- Cl. C, Downgraded to Caa1 (sf); previously on March 9, 2009 Downgraded to Ba3 (sf) -- Cl. D, Downgraded to Caa2 (sf); previously on March 9, 2009 Downgraded to B2 (sf) -- Cl. E, Downgraded to Caa3 (sf); previously on March 9, 2009 Downgraded to B3 (sf) -- Cl. F, Downgraded to Caa3 (sf); previously on March 9, 2009 Downgraded to Caa1 (sf) Ratings Rationale Cedarwoods CRE CDO, Ltd. is a revolving CRE CDO transaction backed by commercial mortgage backed securities (73.6% of the pool balance), CRE CDOs (21.7%) real estate investment trust debt securities (4.7%) and one rake bond which is less than 0.1% of the pool. As of the November 19, 2010 Trustee report, the aggregate Note balance of the transaction has remained at $400.0 million, the same as at issuance. The revolving period is set to end in July 2011. There are seventeen assets with a par balance of $67.6 million (12.6% of the current pool balance) that are considered Defaulted Securities as of the November 19, 2010 Trustee report. There are also four assets with a par balance $24.9 million (4.6% of the current pool balance) that are considered Deferred Interest PIK securities. Moody's expects significant losses to occur from the Defaulted Securities and Deferred Interest PIK securities once they are realized. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life , weighted average recovery rate , and Moody's asset correlation. 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 have completed updated credit estimates for the non- Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 3,541 compared to 1,792 at last review. The distribution of current ratings and credit estimates is: Aaa- Aa3 (3.5% compared to 0.4% at last review), A1-A3 (10.8% compared to 7.4% at last review), Baa1-Baa3 (25.3% compared to 46.1% at last review), Ba1-Ba3 (15.3% compared to 21.1% at last review), B1-B3 (12.1% compared to 10.5% at last review), and Caa1-C (33.0% compared to 14.2% 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 8.0 years, reflecting the remaining revolving period, compared to 7.9 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 17.1% compared to 17.8% 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 10.4% compared to 11.6% at last review. Moody's review incorporated CDOROM(R) v2.6, one of Moody's CDO rating models, which was released on May 27, 2010. The cash flow model, CDOEdge(R) v3.2, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 17.1% to 7.1% or up to 27.1% 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 current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in a majority of property sectors. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expects overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. CEDARWOODS CRE: Moody's Junks Ratings on Four Classes ----------------------------------------------------- Moody's has downgraded eight classes of Notes issued by Cedarwoods CRE CDO II, Ltd., due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor and the current level of Defaulted Securities. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. A-1, Downgraded to A2 (sf); previously on March 19, 2009 Confirmed at Aaa (sf) -- Cl. A-2, Downgraded to Ba1 (sf); previously on March 19, 2009 Downgraded to Aa2 (sf) -- Cl. A-3, Downgraded to Ba3 (sf); previously on March 19, 2009 Downgraded to A2 (sf) -- Cl. B, Downgraded to B1 (sf); previously on March 19, 2009 Downgraded to Baa1 (sf) -- Cl. C, Downgraded to Caa1 (sf); previously on March 19, 2009 Downgraded to Baa3 (sf) -- Cl. D, Downgraded to Caa2 (sf); previously on March 19, 2009 Downgraded to Ba1 (sf) -- Cl. E, Downgraded to Caa3 (sf); previously on March 19, 2009 Downgraded to Ba1 (sf) -- Cl. F, Downgraded to Caa3 (sf); previously on March 19, 2009 Confirmed at Ba2 (sf) Ratings Rationale Cedarwoods CRE CDO II, Ltd., is a revolving CRE CDO transaction backed by commercial mortgage backed securities (74.9% of the pool balance), CRE CDOs (20.1%), rake bonds (2.7%) and real estate investment trust debt securities (2.2%). As of the November 19, 2010 Trustee report, the aggregate Note balance of the transaction has remained at $600.0 million, the same as at issuance. The revolving period is set to end in February 2012. There are twenty-four assets with a par balance of $109.1 million (13.0% of the current pool balance) that are considered Defaulted Securities as of the November 19, 2010 Trustee report. There are also four assets with a par balance $50.5 million (6.0% of the current pool balance) that are considered Deferred Interest PIK securities. Moody's expects significant losses to occur from the Defaulted Securities and Deferred Interest PIK securities once they are realized. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation. 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 have completed updated credit estimates for the non- Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 4,000 compared to 1,144 at last review. The distribution of current ratings and credit estimates is: Aaa- Aa3 (4.9% compared to 3.1% at last review), A1-A3 (8.3% compared to 12.5% at last review), Baa1-Baa3 (23.0% compared to 35.9% at last review), Ba1-Ba3 (13.6% compared to 29.6% at last review), B1-B3 (11.0% compared to 15.9% at last review), and Caa1-C (39.1% compared to 3.1% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 9.2 years, reflecting the remaining revolving period, compared to 8.5 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 15.9% compared to 21.8% 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 10.0% compared to 22.4% at last review. Moody's review incorporated CDOROM(R) v2.6, one of Moody's CDO rating models, which was released on May 27, 2010. The cash flow model, CDOEdge(R) v3.2, 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 15.9% to 5.9% or up to 25.9% would result in average rating movement on the rated tranches of 0 to 2 notches downward and 1 to 2 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in a majority of property sectors. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expects overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. CHL MORTGAGE: Moody's Downgrades Ratings on 112 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 112 tranches from 12 RMBS transactions, backed by option arm loans, issued by Countrywide. Ratings Rationale The collateral backing these transactions consists primarily of first-lien, adjustable-rate, negative amortization, Alt-A residential mortgage loans. The actions are a result of the rapidly deteriorating performance of option arm pools in conjunction with macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on option arm pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on option arm RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: CHL Mortgage Pass-Through Trust 2005-1 -- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to C (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to C (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2005-11 -- Cl. 3-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Ca (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-X, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to Ca (sf); previously on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-2, Downgraded to C (sf); previously on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-X, Downgraded to C (sf); previously on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to Caa3 (sf); previously on Jan 14, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-2, Downgraded to C (sf); previously on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-X, Downgraded to C (sf); previously on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. III-M-1, Downgraded to C (sf); previously on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2005-2 -- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2005-3 -- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2005-4 -- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X-1, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-X, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-X-1, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-X-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-X-1, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-X-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-X, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-X, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2005-7 -- Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-M-1, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2005-9 -- Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to C (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2005-HYB1 -- Cl. 1-A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-X, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-M, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-X, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2006-3 -- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ca (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2006-OA1 -- Cl. 1-A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2006-OA4 -- Cl. A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust, Series 2006-OA5 -- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade CITIGROUP COMMERCIAL: S&P Raises Ratings on 2006-FL2 Certificates ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on four pooled classes of commercial mortgage pass-through certificates from Citigroup Commercial Mortgage Trust 2006-FL2. Concurrently, S&P lowered its ratings on two other pooled classes and affirmed its rating on one additional pooled class from this transaction. In addition, S&P affirmed its ratings on 16 raked classes of commercial mortgage pass-through certificates from CGCMT 2006-FL2, COMM 2006-FL12, and Banc of America Large Loan Inc.'s series 2006- BIX1 (BALL 2006-BIX1). All three transactions are U.S. commercial mortgage-backed securities transactions. S&P's rating actions follow its analysis of the CGCMT 2006-FL2 transaction, which included the revaluation of the collateral securing the remaining seven floating-rate loans in the pool, two of which are currently with the special servicer. All of the loans are indexed to one-month LIBOR. The upgrades of the CGCMT 2006-FL2 pooled classes E, F, G, and H reflect increased credit enhancement levels due to the deleveraging of the pooled trust balance since S&P's last review, dated Aug. 31, 2009. Since then, the pooled trust balance has declined 65.8%, primarily reflecting the payoff of the City National Plaza loan. S&P's upgrades were tempered by refinancing risks. All of the remaining loans have final maturities in 2010 or 2011. The downgrades of the CGCMT 2006-FL2 pooled classes K and L primarily reflect valuation declines since S&P's last review. The seven remaining loans, which are secured by lodging ($104.8 million, 64.1% of the pooled trust balance) and office ($58.6 million, 35.9%) properties, have experienced valuation declines averaging 10.3% since S&P's last review. S&P affirmed its ratings on the "CN1" and "CP" raked certificate classes from COMM 2006-FL12 and BALL 2006-BIX1, respectively. These certificates derive 100% of their cash flow from a subordinate nonpooled component of the CarrAmerica National Pool Portfolio loan. S&P also affirmed its ratings on the class "CAC," "CA2," and "CA" raked certificates from CGCMT 2006-FL2, COMM 2006-FL12, and BALL 2006-BIX1, respectively, which derive 100% of their cash flow from a subordinate nonpooled component of the CarrAmerica CARP Pool Portfolio loan. In addition, S&P affirmed its 'CCC- (sf)' ratings on the "RAM" raked certificate classes from CGCMT 2006-FL2, which derive 100% of their cash flow from a subordinate nonpooled component of the Radisson Ambassador Plaza Hotel and Casino loan. Lastly, S&P affirmed its ratings on the "DHC" raked certificate classes from CGCMT 2006-FL2, which derive 100% of their cash flow from a subordinate nonpooled component of the Doubletree Hospitality & Centre Plaza Office loan. The affirmed ratings follow S&P's analysis of the respective loans, which S&P describe in more detail below. Lodging Collateral Lodging properties secure four loans (including the mixed-use Doubletree Hospitality & Centre Plaza Office loan) in the CGCMT 2006-FL2 pool totaling $104.8 million (64.1% of the pooled trust balance) according to the Nov. 18, 2010, trustee remittance report. These properties are in San Juan, Puerto Rico (30.6% of the CGCMT 2006-FL2 pooled trust balance); Houston, Texas (15.4%), Modesto, California (10.1%); and Teton Village, Wyo. (8.0%). S&P based S&P's hotel analyses, in part, on a review of the borrowers' operating statements available for year-to-date 2010, the 12 months ended Dec. 31, 2009, the borrower's 2010 budgets, and the Smith Travel Research reports. S&P noted that a reduction in business and leisure travel, in its opinion, significantly affected the performance of lodging properties in 2009 compared with 2008. S&P's analysis also considered current conditions in the local lodging markets for year-to-date 2010. According to STR, the Houston lodging market posted a 5.8% decrease in revenue per available room for the first 10 months of 2010 compared with 2009, whereas the general U.S. hotel industry reported a 4.9% increase in RevPAR for the same period. S&P's lodging property valuations have declined, on average, by 14.9% from the levels S&P assessed in its last review of CGCMT 2006-FL2. The Largest Lodging Loan The Radisson Ambassador Plaza Hotel and Casino loan, the largest loan in the CGCMT 2006-FL2 pool, is secured by a 233-room, full- service hotel, which includes a 14,800-sq.-ft. casino, in San Juan, Puerto Rico. The loan has a trust and whole-loan balance of $54.4 million, which consists of a $50.0 million senior pooled component (30.6% of the pooled trust balance) and a $4.4 million subordinate nonpooled component that supports the class RAM-1 and RAM-2 raked certificates. In addition, the equity interests in the borrower of the whole loan secure $35.6 million of mezzanine debt. The master servicer, Wells Fargo Bank N.A., reported an in- trust debt service coverage of 1.73x for year-end 2009 and occupancy of 76.4% for the 12 months ended Sept. 30, 2010. S&P's adjusted valuation, which yielded a stressed in-trust loan-to- value ratio of 251.8%, has fallen 10.0% since its last review of CGCMT 2006-FL2. The valuation declines since issuance and S&P's last review primarily reflect declines in casino revenue. Accordingly, S&P affirmed its 'CCC- (sf)' ratings on the CGCMT 2006-FL2 "RAM" raked certificate classes. The loan matures on July 9, 2011, and has no extension options remaining. Lodging Loan With The Special Servicer There is one lodging loan in the CGCMT 2006-FL2 pool with the special servicer. The Snake River Lodge & Spa loan, the second- smallest loan in the CGCMT 2006-FL2 pool, is secured by an 88- room, full-service luxury hotel, which includes a 17,000-sq.-ft. spa, at the base of the Jackson Hole mountain range in Teton Village, Wyo. The loan has a whole-loan balance of $27.0 million that consists of a $13.1 million senior pooled component (8.0% of the CGCMT 2006-FL2 pooled trust balance), a $1.1 million subordinate nonpooled component raked to the CGCMT 2006-FL2 SRL certificate class (not rated by Standard & Poor's), and a $12.8 million nontrust junior participation interest. The loan was transferred to the special servicer, also Wells Fargo, on Feb. 11, 2010, after the borrower did not pay off the loan by its Feb. 9, 2010, maturity date. Wells Fargo reports that it is currently exploring various liquidation strategies, including a discounted payoff. The reported occupancy was 47.7% for the 12 months ended Sept. 30, 2010. While an updated April 2010 appraisal valued the property at above the trust balance, S&P's adjusted valuation resulted in a stressed in-trust LTV ratio of 194.3%, down 11.1% since its last review of CGCMT 2006-FL2. S&P based its valuation primarily on the borrower's operating statements for year-to-date 2010 as of September, as well as the borrower's 2010 budget. Lodging Loan With Rated Raked Certificates In addition to the CGCMT 2006-FL2 "RAM" raked certificates, Standard & Poor's also rates the CGCMT 2006-FL2 "DHC" raked certificates. The Doubletree Hospitality & Centre Plaza Office loan, the fifth-largest loan in the CGCMT 2006-FL2 pool, is secured by a mixed-use facility in Modesto, Calif., containing, among other items, 258 hotel rooms and 58,500 rentable sq. ft. of office space. This loan has a whole-loan balance of $26.7 million, which consists of a $16.4 million senior pooled component (10.1% of the CGCMT 2006-FL2 pooled trust balance), a $3.1 million subordinate nonpooled component that supports the "DHC" raked certificates, and a $7.2 million nontrust junior participation interest. Wells Fargo reported a combined DSC of 2.76x for the six months ended June 30, 2010, and 58.2% occupancy for the 12 months ended July 31, 2010, on the hotel portion and 90.8% occupancy as of October 2010 on the office portion. S&P's adjusted valuation, which yielded a stressed in-trust LTV ratio of 88.3%, is on par with the levels S&P assessed in its last review of CGCMT 2006-FL2. Accordingly, S&P affirmed its ratings on the CGCMT 2006-FL2 "DHC" raked certificate classes. The loan matures on July 9, 2011, and has no extension options remaining. Office Collateral Office properties secure three loans totaling $58.6 million (35.9% of the CGCMT 2006-FL2 pooled trust balance). The office properties are predominantly concentrated in California (16.8% of the pooled trust balance), Washington D.C. (15.9%), and Texas (2.6%). S&P based its analysis of the office properties on S&P's review of the borrowers' operating statements available for year- to-date 2010, the 12 months ended Dec. 31, 2009, the borrowers' 2010 budgets, and the borrowers' 2010 rent rolls. Based on S&P's analysis, its office property valuations, on average, have fallen 5.7% since its last review of CGCMT 2006-FL2. S&P generally attribute the declines to lower rental rates, higher vacancy rates, and/or higher operating expenses since its last review of CGCMT 2006-FL2. The Largest Office Loan The CarrAmerica National Pool Portfolio loan, the largest office loan and the second-largest loan in the CGCMT 2006-FL2 pool, is secured by 30 office properties totaling 8.7 million sq. ft. in the states of California, Texas, Colorado, and Washington. The loan has a whole-loan balance of $614.4 million that is split into three pari passu pieces. The first is a $46.1 million pari passu loan that is further divided into a $28.8 million senior pooled component (17.7% of the CGCMT 2006-FL2 pooled trust balance), a $3.8 million subordinate nonpooled component that is raked to the CGCMT 2006-FL2 "CAN" certificate classes (not rated by Standard & Poor's), and a $13.5 million nontrust junior participation interest. In addition, the equity interests in the borrower of the whole loan secure four mezzanine loans totaling $166.2 million. The $228.5 million senior portion of the second pari passu piece, which includes the class CN1, CN2, and CN3 raked certificates, collateralizes the COMM 2006-FL12 transaction. Classes CN2 and CN3 are not rated by Standard & Poor's. The $174.1 million senior portion of the third pari passu piece, which includes the class J-CP, K-CP, and L-CP raked certificates, collateralizes the BALL 2006-BIX1 transaction. Wells Fargo reported an in-trust DSC of 11.91x and 77.3% occupancy for the 12 months ended June 30, 2010. S&P's adjusted valuation, which yielded a stressed LTV ratio of 65.6%, is on par with the levels S&P assessed in its last review of CGCMT 2006-FL2. Accordingly, S&P affirmed its ratings on the COMM 2006-FL12 class "CN1" and BALL 2006-BIX1 "CP" raked certificates. The loan matures on Aug. 9, 2011, and has no extension options remaining. Office Loan Maturing Within The Next Three Months There is one office loan in the CGCMT 2006-FL2 pool that is maturing within the next three months. The H Street loan, the third-largest loan in the CGCMT 2006-FL2 pool, is secured by three office buildings totaling 189,900 sq. ft. in Washington, D.C. The loan has a trust and whole-loan balance of $26.0 million (15.9%). In addition, the equity interests in the borrower of the whole loan secure mezzanine debt with a maximum balance of $14.8 million. Wells Fargo reported an in-trust DSC of 12.01x for the six months ended June 30, 2010, and 100% occupancy as of June 30, 2010. S&P's adjusted valuation, which yielded a stressed in-trust LTV ratio of 74.8%, is down 14.7% since its last review of CGCMT 2006-FL2, due primarily to increased operating expenses. The loan matures on Dec. 9, 2010. Wells Fargo recently informed us that the loan was transferred to the special servicer on Dec. 2, 2010, due to imminent default. It is S&P's understanding from Wells Fargo that the transfer to special servicing is in connection with the borrower's efforts to refinance the loan. Office Loan With Rated Raked Certificates Standard & Poor's also rates the "CAC" raked certificates in CGCMT 2006-FL2. The CarrAmerica CARP Pool Portfolio loan, the smallest loan in the CGCMT 2006-FL2 pool, is secured by four office properties totaling 719,030 sq. ft. in Austin, Texas, and San Mateo and Mountain View, Calif. The loan has a whole-loan balance of $82.0 million that is split into three pari passu pieces. The first is a $6.1 million pari passu loan that is further divided into a $3.8 million senior pooled component (2.3% of the CGCMT 2006-FL2 pooled trust balance), a $0.6 million subordinate nonpooled component that is raked to the CGCMT 2006-FL2 "CAC" certificate classes, and a $1.7 million nontrust junior participation interest. In addition, the equity interests in the borrower of the whole loan secure two mezzanine loans totaling $14.4 million. The $31.1 million senior portion of the second pari passu piece, which includes the class CA1, CA2, CA3, and CA4 raked certificates, collateralizes the COMM 2006-FL12 transaction. Classes CA1, CA3, and CA4 are not rated by Standard & Poor's. The $23.7 million senior portion of the third pari passu piece, which includes the class J-CA, K-CA, and L-CA raked certificates, collateralizes the BALL 2006-BIX1 transaction. Wells Fargo reported an in-trust DSC of 9.70x and 83.1% occupancy for the 12 months ended June 30, 2010. S&P's adjusted valuation, which yielded a stressed LTV ratio of 76.1%, is on par with the levels S&P assessed in its last review of CGCMT 2006-FL2. Accordingly, S&P affirmed its ratings on the CGCMT 2006-FL2 "CAC," COMM 2006- FL12 "CA2," and BALL 2006-BIX1 "CA" raked certificate classes. The loan matures on Aug. 9, 2011, and has no extension options remaining. Ratings Raised Citigroup Commercial Mortgage Trust 2006-FL2 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- E AAA (sf) A+ (sf) 85.82 F AA (sf) BBB+ (sf) 69.38 G A (sf) BBB- (sf) 54.78 H BBB (sf) BB+ (sf) 42.00 Ratings Lowered Citigroup Commercial Mortgage Trust 2006-FL2 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- K CCC+ (sf) B- (sf) 14.61 L CCC- (sf) CCC (sf) 0.00 Ratings Affirmed Citigroup Commercial Mortgage Trust 2006-FL2 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- J BB (sf) 28.30 CAC-1 BB+ (sf) N/A CAC-2 BB+ (sf) N/A CAC-3 BB (sf) N/A DHC-1 B+ (sf) N/A DHC-2 B- (sf) N/A DHC-3 CCC (sf) N/A RAM-1 CCC- (sf) N/A RAM-2 CCC- (sf) N/A COMM 2006-FL12 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- CN1 A- (sf) N/A CA2 BB+ (sf) N/A Banc of America Large Loan Inc. Commercial mortgage pass-through certificates series 2006-BIX1 Class Rating Credit enhancement (%) ----- ------ ---------------------- J-CP A+ (sf) N/A K-CP A- (sf) N/A L-CP BBB (sf) N/A J-CA BB+ (sf) N/A K-CA BB+ (sf) N/A L-CA BB (sf) N/A N/A - Not applicable. CITIGROUP COMMERCIAL: Fitch Cuts Ratings on 17 2007-C6 Certs. ------------------------------------------------------------- Fitch Ratings has downgraded 17 classes of Citigroup Commercial Mortgage Trust 2007-C6, commercial mortgage pass-through certificates, due to further deterioration of performance, most of which involves increased losses on the specially serviced loans. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 8.9% for the remaining pool; expected losses of the original pool are at 9.1%, including losses already incurred to date. Fitch has designated 71 loans (19%) as Fitch Loans of Concern, which includes 27 specially serviced loans (7.5%). Fitch expects classes L through S may be fully depleted from losses associated with the specially serviced assets. As of the November 2011 distribution date, the pool's aggregate principal balance has been paid down by approximately 1% to $4.7 billion from $4.76 billion at issuance. One loan (0.03%) is currently defeased. Interest shortfalls are affecting classes N through S. The Fitch stressed loan-to-value for the pool is 98.6%. The top 15 loans represent 36% of the pool, 11 of the top 15 were assumed to default and incur a loss, with severities ranging from 1% to 32%. The largest contributor to loss (2.6% of pool balance) is secured by a 43-building multifamily portfolio with 951 units located in the Hyde Park neighborhood of Chicago. The property is near the completion of a three-phase renovation - originally expected to be completed in the spring of 2010 - that is anticipated to be completed in the first quarter of 2011. Despite cash flow remaining insufficient to cover debt service obligations, the loan remains current, and the borrower has indicated to the servicer that it will continue to invest additional equity to cover debt service until the renovations are complete. As a majority of work has been completed, the property's Debt service coverage ratio has improved from 0.31 times at year-end 2009 to 0.5x as of June 2010. The renovation reserve established at closing has been reduced from $26 million to $1.7 million according to the October 2010 servicer reserve report. Fitch does not expect property will stabilize to original expectations due to compression in the market's asking rates, as well as an increase in vacancy. The next loan of concern (1.8%), which returned to special servicing in August 2010 for imminent default, is secured by a regional mall in Moreno Valley, CA, located within the Inland Empire. The property totals 1,078,378 square feet, with 472,844 sf of collateral. The property is anchored by Macy's, JCPenney, and Sears. Major tenants include The Limited and Harkins Theater. The property, which reported a YE 2009 DSCR of 1.23x and an occupancy of 78.1% (as of June 2010; down from 91% at issuance), has been identified by the sponsor, General Growth Properties, as a property that may not be able to service its debt in the future. The primary reason for the decline in performance is due to the loss of several tenants, including Gottschalks which occupied 150,000 sf. The servicer is discussing workout options with GGP, including a possible modification and loan extension. The loan's current maturity date is Sept. 6, 2013. The next largest loan of concern (1.3%) is secured by a 263,757 sf retail center in Chino Hills, California. Constructed in phases between 2000 and 2003, the property consists of 12 buildings and ground leased space and represents a portion of a larger 500,000 sf power center in Chino Hills, California. The loan is interest- only for the entire loan term. The largest tenants are Sports Chalet, Inc. (15.9% of net rentable area), Best Buy Stores LP (11.8% of NRA), and Stein Mart, Inc. (11.8% of NRA). Near-term lease expirations include 14.7% in 2011, 1.3% in 2012, and 11.8% in 2013. Occupancy at the property dropped to 88% as of March 2010 after tenants vacated, including Off Broadway Shoes (9.1% of NRA). Fitch analysis of the loan resulted in a higher probability of default during the loan term due to declining occupancy and its effects on cash flow. Fitch downgrades these classes and revises the Outlooks, LS ratings, and Recovery Ratings as indicated: -- $248.3 million class A-J to 'BBB-sf/LS4' from 'BBB/LS3'; Outlook to Stable from Negative; -- $150 million class A-JFL to 'BBB-sf/LS4' from 'BBB/LS3'; Outlook to Stable from Negative; -- $23.8 million class B to 'BBsf/LS5' from 'BBB-/LS5'; Outlook to Stable from Negative; -- $35.7 million class D to 'Bsf/LS5' from 'BB/LS5'; Outlook Negative; -- $29.7 million class E to 'CCCsf/RR1' from 'BB/LS5'; -- $35.7 million class F to 'CCCsf/RR1' from 'B/LS5' ; -- $47.6 million class G to 'CCCsf/RR1' from 'B-/LS5'; -- $53.5 million class H to 'CCCsf/RR1' from 'B-/LS5'; -- $65.4 million class J to 'CCsf/RR3' from 'B-/LS5'; -- $53.5 million class K to 'CCsf/RR5' from 'B-/LS5'; -- $11.9 million class L to 'C/RR6' from 'B-/LS5'; -- $11.9 million class M to 'C/RR6' from 'B-/LS5'; -- $17.8 million class N to 'C/RR6' from 'B-/LS5'; -- $11.9 million class O to 'C/RR6' from 'B-/LS5'; -- $5.9 million class P to 'C/RR6' from 'B-/LS5'; -- $5.9 million class Q to 'C/RR6' from 'B-/LS5'. Fitch also affirms these classes and revises the LS ratings as indicated: -- $115.4 million class A-1 at 'AAAsf/LS2 from LS1'; Outlook Stable -- $259 million class A-2 at 'AAAsf/LS2 from LS1'; Outlook Stable -- $387 million class A-3 at 'AAAsf/LS2 from LS1'; Outlook Stable -- $126.3 million class A-3B at 'AAAsf/LS2 from LS1'; Outlook Stable -- $140 million class A-SB at 'AAAsf/LS2 from LS1'; Outlook Stable -- $1.573 billion class A-4 'AAAsf/LS2 from LS1'; Outlook Stable -- $200 million class A-4FL at 'AAAsf/LS2 from LS1'; Outlook Stable -- $484.6 million class A-1A at 'AAAsf/LS2 from LS1'; Outlook Stable -- $425.6 million class A-M at 'AAAsf/LS3'; Outlook Stable -- $50 million class A-MFL at 'AAAsf/LS3'; Outlook Stable -- $71.3 million class C at 'BB/LS5'; Outlook Negative. Fitch withdraws the rating on the interest-only class X. COBALT CMBS: Moody's Confirms Ratings on Two 2007-C2 Certs. ----------------------------------------------------------- Moody's Investors Service confirmed the ratings of two classes, affirmed 11 classes and downgraded 11 classes of Cobalt CMBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C2: -- Cl. A-2, Affirmed at Aaa (sf); previously on April 19, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on April 19, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. X, Affirmed at Aaa (sf); previously on April 19, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Confirmed at Aaa (sf); previously on Oct. 7, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-1A, Confirmed at Aaa (sf); previously on Oct. 7, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-MFL, Downgraded to A1 (sf); previously on Oct. 7, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-MFX, Downgraded to A1 (sf); previously on Oct. 7, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-JFL, Downgraded to Ba3 (sf); previously on Oct. 7, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-JFX, Downgraded to Ba3 (sf); previously on Oct. 7, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B3 (sf); previously on Oct. 7, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Caa2 (sf); previously on Oct. 7, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Caa3 (sf); previously on Oct. 7, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Ca (sf); previously on Oct. 7, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to C (sf); previously on Oct. 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to C (sf); previously on Oct. 7, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to C (sf); previously on Oct. 7, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. J, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. P, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. Q, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from anticipated losses from specially serviced and troubled loans and interest shortfalls. The confirmations and affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. On October 7, 2010, Moody's placed 13 classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 12.0% of the current balance. At last review, Moody's cumulative base expected loss was 9.6%. Moody's stressed scenario loss is 26.9% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated December 3, 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 18, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 4% to $2.3 billion from $2.4 billion at securitization. The Certificates are collateralized by 143 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 45% of the pool. The pool includes one loan with an investment grade credit estimate, representing 6% of the pool. Forty-one loans, representing 17% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eight loans have been liquidated from the pool since securitization, resulting in an aggregate $30.5 million loss (46% loss severity on average). There were no realized losses at last review. Fifteen loans, representing 17% of the pool, are currently in special servicing. The largest specially serviced loan is the Peter Cooper Village and Stuyvesant Loan ($250.0 million -- 10.7% of the pool), which represents a pari passu interest in a $3.0 billion first mortgage loan spread among five CMBS deals. The A note had $1.4 billion in mezzanine debt behind it at securitization. The loan is secured by two adjacent multifamily apartment complexes with 11,230 units located on the east side of Manhattan. A September 2010 appraisal valued the property at $2.8 billion, leading the master servicer to recognize a $51.3 million appraisal reduction in November 2010. Moody's values the PCV/ST complex at $1.8 billion, which reflects a 38% loss severity for the first mortgage. Moody's valuation was heavily weighted towards an income approach based on 2008 actual income inflated to the present (80%), with additional consideration given to an income approach based on rolling back converted apartment rents to stabilized levels with rent concessions expected to continue on market rate units (10%). Finally, a conversion of one-third of the complex to for sale co- operative housing at a net per unit sale price of $515,000, which would result in no loss to the first mortgage, was also considered at a 10% probability of occurrence. The remaining 14 specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $20.6 million appraisal reduction for seven of the remaining specially serviced loans. Moody's has estimated an aggregate $165.3 million loss (42% expected loss on average) for all of the specially serviced loans. Moody's has assumed a high default probability for 17 poorly performing loans representing 7.7% of the pool and has estimated an aggregate $35.7 million loss (20% expected loss based on a 50% probability of default) from these troubled loans. Based on the most recent remittance statement, Class H through S have experienced cumulative interest shortfalls totaling $1.4 million. Interest shortfalls increased from Class L to Class H in November due to the servicer recognizing appraisal entitlement reductions on several loans, including the PCV/ST Loan, based on recent appraisal reductions. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, ASERs and extraordinary trust expenses. Moody's was provided with full year 2009 operating results for 93% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV for the conduit component is 119% compared to 118% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11.4% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's actual and stressed DSCRs for the performing conduit loans are 1.27X and 0.88X, respectively, compared to 1.25X and 0.87X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 28 compared to 29 at Moody's prior review. The loan with a credit estimate is the GGP-sponsored Ala Moana Portfolio Loan ($97.4 million -- 4.2%), which is a pari passu interest in a first mortgage loan secured by a 2.0 million square foot mixed-use portfolio located on the island of Hawaii. The largest property is the Ala Moana Mall, which is considered the world's largest open-air shopping center. As of March 2010, the portfolio was 95% leased, essentially the same as at last review. The loan was transferred to special servicing in April 2009 when GGP filed for bankruptcy. It is anticipated that GGP will significantly pay down the current balance once the new company emerges from bankruptcy. In addition, the loan's maturity will be extended to 2018 and the loan will be structured with a 25-year amortization schedule. Moody's credit estimate and stressed DSCR are A3 and 0.90X, respectively, compared to A3 and 0.87X at the prior review. The top three performing conduit loans represent 21% of the pool balance. The largest loan is the 75 Broad Street Loan ($243.5 million -- 10.5% of the pool), which is secured by a 648,000 SF office telecom building located in the Financial District of New York. The property was 95% leased as of June 2010 compared to 96% at last review. The largest tenants include Internap (13% of the new rentable area; lease expiration December 2016) and the Board of Education (12% of the NRA; lease expiration August 2018). The loan is interest only for its entire ten-year term. Moody's LTV and stressed DSCR are 117% and 0.85X, respectively, compared to 125% and 0.80X at last review. The second largest loan is The Woodies Building Loan ($172.1 million -- 7.4% of the pool), which is secured by a 485,000 SF mixed use office/retail property located in East End sub-market of Washington, D.C. The office component represents 73% of the NRA and is predominantly leased to government agencies. The largest office tenants are the Federal Bureau of Investigation (31% of the NRA; lease expirations in 2015 and 2016), the National Endowment of Democracy (10% of the NRA; lease expiration in June 2016) and the Environmental Protection Agency (10% of the NRA; lease expiration in March 2014). The largest retail tenants are Forever 21, H&M and Zara. As of December 2009, the property was 91% leased compared to 94% at last review. Moody's LTV and stressed DSCR are 147% and 0.66X, respectively, compared to 131% and 0.74X at last review. The third largest loan is the One Summer Street Loan ($80.2 million -- 3.4% of the pool), which is secured by a 388,000 SF office telecom building located in Boston, Massachusetts. The largest tenants include Qwest Communications Corp (17% of the NRA; lease expiration June 2015) and WiTel Communications LLC (15% of the NRA; lease expiration February 2020). The property was 64% leased as of June 2010, compared to 58% at last review. The loan is interest only for the first 24 months of its ten-year term. Moody's LTV and stressed DSCR are 93% and 1.19X, respectively, compared to 105% and 1.06X at last review. COBALTS TRUST: Moody's Reviews 'Ba3' Rating on Certificates ----------------------------------------------------------- Moody's Investors Service announced that it has placed on review for downgrade these certificates issued by COBALTS Trust for Sprint Capital Notes: -- 1,000,000 8.125% COBALTS Trust Series Sprint Capital Certificates, Series 2002-1; Ba3, Placed on Review for Downgrade; Previously on December 10, 2009 Downgraded to Ba3 The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of $29,686,000 6.875% Notes due 2028 issued by Sprint Capital Corporation which were placed on review for downgrade by Moody's on November 15, 2010. COLTS 2007-1: S&P Affirms Ratings on Various Classes of Notes ------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on the class A, B, C, D, and E notes from COLTS 2007-1 Ltd., a collateralized loan obligation transaction with Ivy Hill Asset Management L.P, an affiliate of Ares Management LLC, as subservicer. At the same time, S&P removed the ratings on class A, B, and C from CreditWatch with positive implications. The affirmations reflect S&P's view of the combined, and somewhat offsetting, effect of a reduction in the outstanding balance of the class A notes, as well as the credit deterioration S&P has observed in the transaction's underlying portfolio since its last rating action in February 2010. According to the Nov. 5, 2010, trustee report, the transaction held $24.9 million in defaulted assets, which is an increase from the $17.4 million noted in the Dec. 4, 2009, trustee report. In addition, assets from obligors rated in the 'CCC' category were 16.18% of the collateral pool in November 2010, compared with 16.19% in December 2009. The class A overcollateralization test improved to 153.43% in November 2010 from 131.02% as of December 2009, largely as a result of $80.9 million in pay downs to the class A notes since S&P's last rating action. In S&P's view, credit deterioration in the underlying collateral pool somewhat offsets the positive impact of the reduction of the class A notes. 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 S&P deem necessary. Rating And Creditwatch Actions COLTS 2007-1 Ltd. Rating ------ Class To From ----- -- ---- A AA+ (sf) AA+ (sf)/Watch Pos B AA- (sf) AA- (sf)/Watch Pos C BBB (sf) BBB (sf)/Watch Pos Ratings Affirmed COLTS 2007-1 Ltd. Class Rating ----- ------ D B+ (sf) E CCC- (sf) COMM 2001-J2: Moody's Affirms Ratings on 16 2001-J2 Certs. ---------------------------------------------------------- Moody's Investors Service affirmed the ratings of 16 classes of COMM 2001-J2 Commercial Pass-Through Certificates, Series 2001-J2: -- Cl. A-1, Affirmed at Aaa (sf); previously on April 14, 2003 Upgraded to Aaa (sf) -- Cl. A-1F, Affirmed at Aaa (sf); previously on April 14, 2003 Upgraded to Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on April 14, 2003 Upgraded to Aaa (sf) -- Cl. A-2F, Affirmed at Aaa (sf); previously on April 14, 2003 Upgraded to Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Nov. 10, 2006 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on March 27, 2007 Upgraded to Aaa (sf) -- Cl. D, Affirmed at Aaa (sf); previously on March 27, 2007 Upgraded to Aaa (sf) -- Cl. E, Affirmed at Aa2 (sf); previously on June 26, 2008 Upgraded to Aa2 (sf) -- Cl. F, Affirmed at Aa3 (sf); previously on June 26, 2008 Upgraded to Aa3 (sf) -- Cl. G, Affirmed at Baa2 (sf); previously on March 27, 2007 Upgraded to Baa2 (sf) -- Cl. H, Affirmed at Caa1 (sf); previously on March 27, 2007 Downgraded to Caa1 (sf) -- Cl. X, Affirmed at Aaa (sf); previously on April 14, 2003 Upgraded to Aaa (sf) -- Cl. XP, Affirmed at Aaa (sf); previously on April 14, 2003 Upgraded to Aaa (sf) -- Cl. XC, Affirmed at Aaa (sf); previously on April 14, 2003 Upgraded to Aaa (sf) -- Cl. E-CS, Affirmed at Aa2 (sf); previously on June 26, 2008 Upgraded to Aa2 (sf) -- Cl. E-IO, Affirmed at Aa2 (sf); previously on June 26, 2008 Upgraded to Aa2 (sf) The affirmations are based on the expectation of continuing stable performance of the loans securing the certificates, the substitution of defeasance collateral for three loans (the AT&T Building Loan, the Wyndham Anatole Hotel Loan and the Thayer Lodging Portfolio Loan) that combined account for 30% of the trust balance, the high quality of the two largest assets in the trust, the Citigroup Center Loan (32% of the non-defeased collateral) and the Willowbrook Mall Loan (17% of the non-defeased collateral), and Moody's expected loss projections for the pool. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Large Loan Model v 8.0 which is used for both large loan and single borrower transactions. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. The model also incorporates a supplementary tool to allow for the testing of the credit support at various rating levels. The scenario or "blow-up" analysis tests the credit support for a rating assuming that loans in the pool default with an average loss severity that is commensurate with the rating level being tested. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's 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 transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated October 28, 2009. Deal Performance As of the November 16, 2010 Payment Date, the transaction's certificate balance has decreased by 14% to $1.3 billion from $1.5 billion at securitization due to scheduled principal amortization. Currently the certificates are collateralized by seven fixed-rate mortgage loans and three defeased loans. The three largest loans account for 50% of the trust balance. Moody's was provided with full-year 2009 and year-to-date 2010 operating statements for 100% of the non-defeased loans in the trust. Moody's weighted average loan to value ratio is 55% compared to 57% at last review. Moody's stressed debt service coverage ratio is 1.75X compared to 1.66X at last review. Moody's stressed DSCR is based on Moody's net cash flow and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. Large loan transactions have a Herf of less than 20. This pool has a Herf of 8, the same as at Moody's prior review. The Citigroup Center Loan ($293.1 million -- 22% of the trust balance) is the senior portion of a first mortgage loan with a current balance of $457.5 million. Approximately $51 million of the senior portion has been certificated in the COMM 2001-CITI trust. The loan is secured by two condominium interests and a leasehold interest in part of a third condominium unit in Citigroup Center, a 59-story Class A office property containing 1.6 million square feet of office and retail space. Approximately 95% of the property is office space and 5% is retail. The largest tenant is Citibank N.A. (Moody's Senior Unsecured A1; Negative Outlook) that leases 29% of NRA with lease expiration in April 2016. Other significant tenants include the law firm Kirkland & Ellis (24%), with a lease expiration in February 2019 and Citadel Investment Group (7%), with lease expiration in April 2017. General Motors, which in January 2009 took occupancy of 119,956 square feet, rejected its lease in bankruptcy and vacated the building in June 2009. The property, which has had a history of high occupancy, was 97% leased prior to General Motors vacating its space. Occupancy as of the August 2010 rent roll was 89%. However, the law firm Freshfields Bruckhaus Deringer signed a lease in September 2010 for approximately 110,000 square feet increasing occupancy to approximately 95%. The loan matures in May 2011. he property is owned and managed by affiliates of Boston Properties, Inc., a publicly traded real estate investment trust (Moody's Senior Unsecured Baa2; stable outlook). Moody's current LTV is 45%. Moody's current credit estimate is Aaa. The Willowbrook Mall Loan ($154.0 million -- 17%) is secured by approximately 493,394 square feet of mall shop space in a 1.5 million square foot super-regional mall located in Wayne, New Jersey. Willowbrook Mall, considered one of the top malls in the region, is anchored by Macy's, Bloomingdales, Lord & Taylor and Sears. As of June 2010 the in-line space was approximately 99% leased. Comparable in-line sales for the trailing 12-month period ending in July 2010 were $577 per square foot with an occupancy cost of approximately 14%. The loan sponsor is an affiliate of General Growth Properties, Inc. GGP emerged from bankruptcy protection in November 2010. As part of GGP's bankruptcy plan, the loan's maturity date was extended from July 1, 2011 to June 30, 2016. Moody's current LTV is 48%. Moody's current credit estimate is Aa1. The Guardian Life Loan ($117.8 million -- 13%) is secured by Seven Hanover Square, a 28-story Class A office building with approximately 841,4921 square feet NRA located in downtown Manhattan, New York City. The building is the headquarters location of the Guardian Life Insurance Company of America (Moody's Senior Unsecured Aa3; Stable Outlook). Guardian Life occupies 99.5% of the building under a long term lease expiring in 2019. Approximately 46,000 square feet has been subleased to the newly formed Newsweek Daly Beast Company, a merger between Newsweek and The Daily Beast, a news website owned by IAC. The loan matures in June 2013 and has an anticipated repayment date in June 2011. The loan sponsor is the Millstein Family. Moody's current credit estimate Baa3. COMM 2004-LNB3: Moody's Confirms Ratings on Two Certificates ------------------------------------------------------------ Moody's Investors Service confirmed the ratings of two classes, affirmed seven classes and downgraded ten classes of COMM 2004- LNB3, Commercial Mortgage Pass-Through Certificates: -- Cl. A-2, Affirmed at Aaa (sf); previously on July 1, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on July 1, 2004 Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on July 1, 2004 Assigned Aaa (sf) -- Cl. A-5, Affirmed at Aaa (sf); previously on July 1, 2004 Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on July 1, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X, Affirmed at Aaa (sf); previously on July 1, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Oct. 29, 2008 Upgraded to Aaa (sf) -- Cl. C, Confirmed at Aa2 (sf); previously on Oct. 7, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Confirmed at A2 (sf); previously on Oct. 7, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Baa2 (sf); previously on Oct. 7, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to Ba2 (sf); previously on Oct. 7, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to B2 (sf); previously on Oct. 7, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to Caa2 (sf); previously on Oct. 7, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to Ca (sf); previously on Oct. 7, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to C (sf); previously on Oct. 7, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Oct. 7, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to C (sf); previously on Oct. 7, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. N, Downgraded to C (sf); previously on Oct. 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. O, Downgraded to C (sf); previously on Oct. 7, 2010 Ca (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans and interest shortfalls. The confirmations and affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the confirmed and affirmed classes are sufficient to maintain their current ratings. On October 7, 2010, Moody's placed 12 classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 4.1% of the current balance. At last review, Moody's cumulative base expected loss was 1.9%. Moody's stressed scenario loss is 7.7% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated April 9, 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 10, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 17% to $1.1 billion from $1.3 billion at securitization. The Certificates are collateralized by 87 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 49% of the pool. Fourteen loans, representing 22% of the pool, have defeased and are collateralized with U.S. Government securities, which is the same as at last review. The pool includes three loans with investment grade credit estimates, representing 29% off the pool. Nineteen loans, representing 11% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Three loans have been liquidated from the pool since securitization, resulting in an aggregate $17.1 million loss (55% loss severity on average). Due to realized losses, class P has been eliminated entirely and Class O has experienced an 8% principal loss. Five loans, representing 6% of the pool, are currently in special servicing. The largest specially serviced loan is Beau Terre Office Building Loan ($35.2 million -- 3.2% of the pool), which is secured by thirty-six buildings totaling 378,000 square feet located in Bentonville, Arkansas. The loan was transferred into special servicing in May 2010 and is currently in foreclosure. The master servicer recognized a $14.6 million appraisal reduction for this loan in September 2010. The remaining four specially serviced loans are secured by multifamily properties. The master servicer has recognized an aggregate $13.4 million appraisal reduction for the remaining specially serviced loans. Moody's has estimated an aggregate $30.1 million loss (47% expected loss on average) for all of the specially serviced loans. Moody's has assumed a high default probability for seven poorly performing loans representing 2.3% of the pool and has estimated an aggregate $5.1 million loss (20% expected loss based on a 50% probability of default) from these troubled loans. Based on the most recent remittance statement, Classes H through P have experienced cumulative interest shortfalls totaling $1.1 million. Interest shortfalls increased in November due to the servicer recognizing appraisal entitlement reductions on several loans based on recent appraisal reductions. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, ASERs and extraordinary trust expenses. Moody's was provided with full year 2009 operating results for 96% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV for the conduit component is 94% compared to 98% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 14.2% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Moody's actual and stressed DSCRs for the performing conduit loans are 1.48X and 1.10X, respectively, compared to 1.30X and 1.05X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 21 compared to 23 at Moody's prior review. The largest loan with a credit estimate is the Garden State Plaza Loan ($97.4 million -- 4.2%), which represents a 25% pari-passu interest in a first mortgage loan. The loan is secured by the borrower's interest in a 2.0 million SF super-regional mall located in Paramus, New Jersey. The mall is anchored by Macy's, Nordstrom, J.C. Penney, Neiman Marcus and Lord & Taylor. The in- line space was 98% leased as of June 2010 compared to 96% at last review. The loan is interest only for its entire 10-year term. The loan sponsors are Westfield America Inc. and affiliates of Prudential Assurance Co. Ltd. Moody's current credit estimate and stressed DSCR are A1 and 1.47X, respectively, compared to A1 and 1.44X at the prior review. The second loan with a credit estimate is the 731 Lexington Avenue Loan ($106.2 million -- 9.6%), which represents a 39.8% pari-passu interest in a first mortgage loan. In addition, the property is encumbered by an $86.0 million junior note held outside of the trust. The loan is secured by a 694,000 SF office condominium located in New York, New York. The collateral is part of a 1.4 million SF complex in midtown Manhattan on Lexington Avenue between 58th and 59th Streets. Built in 2005, the condominium is 100% leased to Bloomberg, L.P. through 2028. The loan's anticipated repayment date is March, 2014. Moody's current credit estimate is A3, the same as at last review. The third loan with a credit estimate is the Tysons Corner Center Loan ($57.9 million -- 5.2%), which represents an 18.4% pari-passu interest in a first mortgage loan. The loan is secured by the borrower's interest in a 2.0 million SF regional mall located in McLean, Virginia. The mall is anchored by Bloomingdale's, Macy's, Nordstrom and Lord & Taylor. The property's financial performance has improved since securitization due to additional rental income from a 265,000 SF renovation/expansion that was completely in 2007. The property was 97% leased as of March 2010. The loan has amortized 7% since securitization. Moody's current credit estimate and stressed DSCR are Aaa and 2.29X, respectively, compared to Aaa and 2.18X at the prior review. The top three performing conduit loans represent 13% of the pool balance. The largest loan is the Centreville Square Loan ($57.2 million -- 5.2% of the pool), which is secured by a 312,000 SF grocery store anchored retail center located in Centreville, Virginia. The center was 89% occupied as of December 2009, the same as at last review. Moody's LTV and stressed DSCR are 89% and 1.06X, respectively, compared to 91% and 1.04X at last review. The second largest loan is DDR Portfolio Loan ($45.4 million -- 4.1% of the pool), which represents a 35.1% pari-passu interest in a first mortgage loan. The loan is secured by 20 retail properties located throughout six states and totaling 3.3 million SF. The portfolio was 81% leased as of June 2010 compared to 77% at last review. Performance has declined significantly because of occupancy declines and increased operating expenses. The loan was transferred to special servicing in May 2009 for imminent maturity default. The borrower was not able to obtain refinancing on its June 1, 2009 maturity date. The maturity date has been extended until June 2011 and the loan has been transferred back to the master servicer. Moody's LTV and stressed DSCR are 111% and 0.92X, respectively, compared to 77% and 1.28X at last review. The third largest loan is the 3 Beaver Valley Loan ($38.7 million -- 3.5% of the pool), which is secured by a 263,000 SF office building located in suburban Wilmington, Delaware. The property is 100% leased to American International Insurance Company (senior unsecured rating of parent company, American International Group, A3 -- stable outlook) through January 2015. The lease expiration is coterminous with the loan maturity and therefore the property will be exposed to significant rollover risk at loan maturity. Moody's analysis reflects a significant haircut to the reported NOI to reflect the rollover risk. The loan has amortized 3% since last review. Moody's LTV and stressed DSCR are 90% and 1.09X, respectively, compared to 93% and 1.05X at last review. COMM 2005-C6: Moody's Downgrades Ratings on Nine Certificates ------------------------------------------------------------- Moody's Investors Service downgraded the ratings of nine classes and affirmed ten classes of COMM 2005-C6, Commercial Mortgage Pass-Through Certificates: -- Cl. A-AB, Affirmed at Aaa (sf); previously on April 30, 2009 Affirmed at Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on April 30, 2009 Affirmed at Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on April 30, 2009 Affirmed at Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on April 30, 2009 Affirmed at Aaa (sf) -- Cl. A-5A, Affirmed at Aaa (sf); previously on April 30, 2009 Affirmed at Aaa (sf) -- Cl. X-C, Affirmed at Aaa (sf); previously on April 30, 2009 Affirmed at Aaa (sf) -- Cl. X-P, Affirmed at Aaa (sf); previously on April 30, 2009 Affirmed at Aaa (sf) -- Cl. A-5B, Downgraded to Aa2 (sf); previously on Oct. 7, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-1A, Downgraded to Aa2 (sf); previously on Oct. 7, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Downgraded to Baa3 (sf); previously on Oct. 7, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B3 (sf); previously on Oct. 7, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Caa2 (sf); previously on Oct. 7, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Ca (sf); previously on Oct. 7, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to C (sf); previously on Oct. 7, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to C (sf); previously on Oct. 7, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to C (sf); previously on Oct. 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Affirmed at C (sf); previously on Oct. 7, 2010 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on Oct. 7, 2010 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Oct. 7, 2010 Downgraded to C (sf) Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain the existing ratings. On October 7, 2010, Moody's placed nine classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 10.1% of the current balance. Moody's stressed scenario loss is 19.8% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's 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 transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated April 13, 2009. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the ratings. Deal Performance As of the November 10, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 19% to $1.841 billion from $2.272 billion at securitization. The Certificates are collateralized by 122 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 48% of the pool. At last review there were two loans with credit estimates. Due to a decline in performance and increased leverage, the Lakewood Center Loan no longer has a credit estimate and is analyzed as part of the conduit pool. Three loans, representing 2% of the pool, have defeased and are collateralized with U.S. Government securities. Defeasance at last review represented 9% of the pool. Eighteen loans, representing 9% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Six loans have been liquidated from the pool since securitization, resulting in an aggregate realized loss of $54.8 million (72% loss severity). The pool had not experienced any losses at last review. Ten loans, representing 9% of the pool, are currently in special servicing. The largest specially serviced loan is the Tropicana Center Loan ($54.1 million -- 2.9% of the pool), which is secured by a 580,000 square foot retail property located in Las Vegas, Nevada. The loan was transferred to special servicing in March 2009 due to imminent default and is currently 90 plus days delinquent. The remaining nine specially serviced loans are secured by a mix of property types. Moody's has estimated an aggregate $90.4 million loss (55% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 11 poorly performing loans representing 9% of the pool and has estimated a $38 million loss (23% expected loss based on a 50% probability default) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Moody's was provided with full year 2009 operating results for 93% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 106% compared to 114% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11.7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.43X and 1.02X, respectively, compared to 1.34X and 0.96X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 29 compared to 36 at Moody's prior review. The loan with a credit estimate is the 9701 Apollo Drive Loan ($5.4 million -- 0.3% of the pool), which is secured by a 94,000 square foot office building located in Largo (Prince George's County), Maryland. The property was 90% leased as of December 2009 compared to 100% at last review. The loan is structured with a 15-year amortization schedule and has amortized by approximately 9% since last review. Due to a decrease in expenses, property performance has improved. Moody's current credit estimate and stressed DSCR are Aaa and 2.61X, respectively, compared to Aa1 and 2.17X at last review. The top three performing conduit loans represent 28% of the pool balance. The largest conduit loan is the Lakewood Center Loan ($218.0 million -- 11.8% of the pool), which is secured by the borrower's interest in a 2.1 million square foot regional mall located in Lakewood (Los Angeles County), California. The mall is anchored by Macy's, J.C. Penney, Target and Costco. The property was 94% leased as of March 2010 compared to 97% at last review. The loan is interest only throughout the entire term. Moody's LTV and stressed DSCR are 80% and 1.16 X, respectively, compared to 71% and 1.26X at last review. The second largest conduit loan is the Kaiser Center Loan ($147 million -- 8.0% of the pool), which is secured by a 914,000 square foot Class A office building located in Oakland, California. The property was 93% leased as of June 2010 compared to 95% at last review. The largest tenants are BART (35% of the Net Rentable Area; lease expiration July 2014) and the Regents of the University of California (13% of the NRA; lease expiration April 2016). Performance has declined slightly due to increased expenses. The loan is interest only throughout the entire term. Moody's LTV and stressed DSCR are 124% and 0.81X, respectively, compared to 118% and 0.85X at last review. The third largest conduit loan is the Private Mini Storage Portfolio Loan ($144.2 million -- 7.8% of the pool), which is secured by a portfolio of 38 self storage facilities totaling 22,863 units located in six states. The properties were 74% leased as of December 2009 compared to 79% at last review. Moody's LTV and stressed DSCR are 101% and 0.99X, respectively, compared to 92% and 1.08X at last review. COMM 2007-C9: Moody's Downgrades Ratings on 19 2007-C9 Certs. ------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 19 classes and affirmed eight classes of COMM 2007-C9 Commercial Mortgage Pass- Through Certificates, Series 2007-C9: -- Cl. A-AB, Affirmed at Aaa (sf); previously on Aug. 22, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-1, Affirmed at Aaa (sf); previously on Aug. 22, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on Aug. 22, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Aug. 22, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Aug. 22, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Aug. 22, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. XS, Affirmed at Aaa (sf); previously on Aug. 22, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. XP, Affirmed at Aaa (sf); previously on Aug. 22, 2007 Assigned Aaa (sf) -- Cl. AM, Downgraded to Aa2 (sf); previously on Oct. 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AM-FL, Downgraded to Aa2 (sf); previously on Oct. 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Downgraded to Baa2 (sf); previously on Oct. 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. AJ-FL, Downgraded to Baa2 (sf); previously on Oct. 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Baa3 (sf); previously on Oct. 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Ba1 (sf); previously on Oct. 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Ba2 (sf); previously on Oct. 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Ba3 (sf); previously on Oct. 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to Caa1 (sf); previously on Oct. 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to Caa2 (sf); previously on Oct. 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to Caa3 (sf); previously on Oct. 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to Ca (sf); previously on Oct. 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to C (sf); previously on Oct. 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to C (sf); previously on Oct. 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Oct. 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. N, Downgraded to C (sf); previously on Oct. 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. O, Downgraded to C (sf); previously on Oct. 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. P, Downgraded to C (sf); previously on Oct. 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. Q, Downgraded to C (sf); previously on Oct. 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain the existing rating. On October 13, 2010, Moody's placed 19 classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 8.2% of the current balance. At last review, Moody's cumulative base expected loss was 6.4%. Moody's stressed scenario loss is 25.6% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's 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 transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated January 1, 2009. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the ratings. Deal Performance As of the November 10, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 1.5% to $2.857 billion from $2.901 billion at securitization. The Certificates are collateralized by 108 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 53% of the pool. At last review there were two loans with credit estimates. Due to a decline in performance and increased leverage, the loans no longer have credit estimates. The 135 East Street Loan is analyzed as part of the conduit pool and the second loan, the Georgian Towers Loan is in special servicing. The pool does not contain any defeased loans. Thirty six loans, representing 20% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $4.5 million (35% loss severity). Seven loans, representing 5% of the pool, are currently in special servicing. The largest specially serviced loan is the Georgian Towers Loan ($67.0 million -- 2.4% of the pool), which is secured by an 890 unit multifamily property located in Silver Spring, Maryland. The loan represents a pari-passu interest in a $125 million first mortgage loan. The loan was transferred to special servicing in December 2009 and is currently 90+ days delinquent. The remaining six specially serviced loans are secured by a mix of property types. Moody's has estimated an aggregate $79 million loss (54% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 25 poorly performing loans representing 14% of the pool and has estimated a $96 million loss (25% expected loss based on a 50% probability default) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Moody's was provided with full year 2009 operating results for 96% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 124% compared to 147% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 3.5% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.29X and 0.88X, respectively, compared to 1.22X and 0.94X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 23 compared to 26 at Moody's prior review. The loan that previously had a credit estimate is the 135 East 57th Street Loan ($85.0 million -- 3.0% of the pool), which is secured by a 425,999 square foot office property located in New York, New York. The property is 91% leased compared to 71% at securitization. Despite the increase in occupancy, the loan has not achieved the performance anticipated at securitization. Moody's LTV and stressed DSCR are 99% and 1.03X, respectively, compared to 81% and 1.63X at securitization. The top three performing conduit loans represent 24% of the pool balance. The largest loan is the 60 Wall Street Loan ($285.0 million -- 10.0% of the pool), which is secured by a 1.6 million square foot office property located in New York, New York. This loan represents a pari-passu interest in a $925.3 million first mortgage loan. The property is 100% leased to Deutsche Bank through 2022. The loan is interest only throughout the entire term. Moody's LTV and stressed DSCR are 114% and 0.78 X, respectively, the same at securitization. The second largest conduit loan is the Waterview Loan ($210 million -- 7.4% of the pool), which is secured by a 630,000 square foot office property in Rosslyn, Virginia. The property is 99% leased to Corporate Executive Board through 2028. The loan is interest only throughout the entire term. Moody's LTV and stressed DSCR are 92% and 0.99X, respectively, the same at securitization. The third largest conduit loan is the DDR Portfolio Loan ($199.1 million -- 7.0% of the pool), which is secured by a 6.5 million square foot portfolio of cross defaulted and cross collateralized retail properties located in ten states. This loan represents a pari-passu interest in an $885.0 million first mortgage loan. The properties were 91% leased as of October 2009 compared to 89% at last review. Moody's LTV and stressed DSCR are 116% and 0.82X, respectively, compared to 107% and 0.86X at last securitization. COMMERCIAL MORTGAGE: S&P Raises Ratings on Three 1998-C1 Certs. --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on three classes of commercial mortgage pass-through certificates from Commercial Mortgage Acceptance Corp.'s series 1998-C1, a U.S. commercial mortgage-backed securities transaction. Concurrently, S&P affirmed its ratings on two other classes from the same transaction. The raised and affirmed ratings reflect S&P's analysis of the remaining collateral in the transaction, the transaction structure, the liquidity available to the trust, and increased credit enhancement levels due to significant deleveraging of the pool. S&P's analysis also considered the seasoning of the remaining loans in the pool, as well as the portion of fully amortizing loans in the pool ($21.5 million, 21.5%) and 37 loans with balloon payments ($78.5 million, 78.5%) that mature between 2012 and 2023. S&P's analysis included a review of the credit characteristics of all of the remaining loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.53x and a loan-to-value ratio of 53.5%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 1.26x and an LTV ratio of 60.9%. The implied defaults and loss severity under the 'AAA' scenario were 17.5% and 32.0%, respectively. The DSC and LTV calculations noted above exclude two of the three specially serviced loans ($4.0 million, 4.0%) and one loan that S&P determined to be credit-impaired ($3.0 million, 3.0%). S&P separately estimated losses for these three specially serviced and credit-impaired loans and included them in its 'AAA' scenario implied default and loss figures. Transaction Summary As of the Nov. 15, 2010, trustee remittance report, the collateral pool balance was $99.97 million, which is 8.4% of the balance at issuance. The pool includes 45 loans, down from 314 loans at issuance. The master servicer, Midland Loan Services Inc., provided financial information for 94.6% of the loans in the pool, 90.9% of which was full-year 2009 data. S&P calculated a weighted average DSC of 1.49x for the loans in the pool based on the servicer-reported figures. S&P's adjusted DSC and LTV ratio were 1.53x and 53.5%, respectively. S&P's adjusted DSC and LTV figures exclude two of the three specially serviced loans ($4.0 million, 4.0%) and one loan that S&P determined to be credit-impaired ($3.0 million, 3.0%). S&P's adjusted DSC figure would be 1.46x if S&P included these three loans in its calculations. S&P separately estimated losses for these three specially serviced and credit-impaired loans and included them in S&P's 'AAA' scenario implied default and loss figures. The transaction has experienced $12.1 million in principal losses to date. Six loans ($10.9 million, 10.9%) in the pool are on the master servicer's watchlist. Nine loans ($14.3 million, 14.3%) have reported DSC below 1.10x, six of which ($10.6 million, 10.6%) have a reported DSC of less than 1.0x. Credit Considerations As of the Nov. 15, 2010, trustee remittance report, three loans ($5.9 million, 5.9%) in the pool were with the special servicer, also Midland. The payment status of the specially serviced loans, as reported in the November 2010 trustee remittance report, is: two are in foreclosure ($4.8 million, 4.8%) and one is 90-plus- days delinquent ($1.1 million, 1.1%). All three specially serviced loans have appraisal reduction amounts in effect totaling $2.6 million. Details on the three specially serviced loans are: The Hickory Ridge Shopping Center loan ($2.9 million, 2.9%) is secured by a 128,400-sq.-ft. retail strip center in Brunswick, Ohio. The loan, which is in foreclosure, was transferred to the special servicer, Midland, on March 6, 2009, due to imminent default. An ARA of $2.0 million, based on an August 2010 appraisal of $1.13 million, is in effect against the loan. Midland stated that it is exploring various liquidation strategies with the borrower, including a discounted payoff. Midland reported a DSC of 0.53x for the eight months ended Oct. 31, 2010, and occupancy of 56.9% as of Oct. 2010. S&P expects a significant loss upon the eventual resolution of this loan. The Econo Lodge Motel loan ($1.1 million, 1.1%) is secured by a 59-room limited- service hotel in Kansas City, Mo. The 90-plus-days delinquent loan was transferred to Midland on Jan. 11, 2010, because the borrower requested payment relief. Midland is exploring forbearance and a discounted payoff with the borrower that may close as early as this month. An ARA of $403,550, based on an updated February 2010 appraisal, is in effect against the loan. S&P expects a moderate loss upon the eventual resolution of this loan. The Meridian Mansions, Corporate Suites Apartments loan ($1.9 million, 1.9%) is secured by a 114-unit garden-style multifamily apartment complex in Oklahoma City, Oklahoma. The loan was transferred to Midland on Jan. 12, 2010, due to payment default. According to Midland, the loan has since been modified effective Sept. 27, 2010. The loan modification included, among other items, interest-only payments from November 1, 2009 through Jan. 1, 2011, principal and interest payments from Jan. 2, 2011, through the February 1, 2013, maturity, and repayment of past due amounts. Midland stated that the loan may be transferred back to master servicing as early as January 2011. An ARA of $179,493 is in effect against this loan. Midland reported negative cash flow for the period ended July 31, 2010, and occupancy of 71.7% as of August 2010. In addition to the specially serviced loans, S&P determined the Comfort Inn Airport West loan ($3.0 million, 3.0%) to be credit-impaired. The loan, secured by a 100-room limited- service hotel in Millbrae, California, has reported a DSC below 1.0x for the past three years. The DSC was 0.68x and occupancy was 58.8% for year-end 2009. As a result, S&P views this loan to be at an increased risk of default and loss. Four loans totaling $8.2 million (8.2%) were previously with the special servicer and have been returned to the master servicer. Pursuant to the transaction documents, the special servicer is entitled to a workout fee that is 1% of future principal and interest payments if the loans perform and remain with the master servicer. According to Midland, the workout fee will be collected on these four loans. Summary of Top 10 Loans The top 10 loans have an aggregate outstanding balance of $48.8 million (48.8%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.62x for the top 10 loans. S&P's adjusted DSC and LTV ratio for the top 10 loans are 1.53x and 59.7%, respectively. One of the top 10 loans ($3.1 million, 3.1%) is on the master servicer's watchlist. Details on the two largest loans and the top 10 loan on the master servicer's watchlist are below: The Shrewsbury Plaza loan ($10.9 million, 10.9%) is the largest loan in the pool. The loan is secured by a 224,960-sq.-ft. retail strip center in Shrewsbury, New Jersey. Midland reported a DSC of 1.29x for year-end 2009 and occupancy of 83.1% as of October 2010. The JP Center loan ($8.5 million, 8.5%) is the second-largest loan in the pool. The loan is secured by a 68,350-sq.-ft. mixed-use retail strip center in Jamaica Plain, Mass. Midland reported a DSC of 1.44x for year-end 2009 and occupancy of 100% as of June 2010. The Porters Neck Shopping Center loan is the 10th-largest loan in the pool and the largest loan on the master servicer's watchlist. The loan is secured by a 73,260-sq.-ft. grocery-anchored retail strip center in Wilmington, North Carolina. The loan appears on the master servicer's watchlist because a tenant, Blockbuster Inc., representing less than 10% of the net rentable area, filed for bankruptcy protection. Midland reported a DSC of 1.55x for year-end 2009 and occupancy of 90.9% as of February 2010. Standard & Poor's stressed the collateral in the pool according to its criteria. The resultant credit enhancement levels are consistent with S&P's raised and affirmed ratings. Ratings Raised Commercial Mortgage Acceptance Corp. Commercial mortgage pass-through certificates series 1998-C1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- F AA- (sf) A- (sf) 65.44 G A (sf) BBB+ (sf) 53.51 H BBB+ (sf) BBB (sf) 44.57 Ratings Affirmed Commercial Mortgage Acceptance Corp. Commercial mortgage pass-through certificates series 1998-C1 Class Rating Credit enhancement (%) ----- ------ ---------------------- J BB+ (sf) 29.66 K BB (sf) 20.72 COMMERCIAL MORTGAGE: Moody's Affirms Ratings on 1999-C2 Certs. -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of nine classes and downgraded five classes of Commercial Mortgage Asset Trust, Commercial Mortgage Pass-Through Certificates, Series 1999-C2: -- A-3, Affirmed at Aaa (sf); previously on Oct. 26, 1999 Definitive Rating Assigned Aaa (sf) -- X, Affirmed at Aaa (sf); previously on Oct. 26, 1999 Definitive Rating Assigned Aaa (sf) -- B, Affirmed at Aaa (sf); previously on Feb. 17, 2005 Upgraded to Aaa (sf) -- C, Affirmed at Aaa (sf); previously on Feb. 17, 2005 Upgraded to Aaa (sf) -- D, Affirmed at Aaa (sf); previously on May 16, 2006 Upgraded to Aaa (sf) -- E, Downgraded to A3 (sf); previously on Dec. 17, 2009 Downgraded to Aa3 (sf) -- F, Downgraded to B1 (sf); previously on Dec. 17, 2009 Downgraded to A3 (sf) -- G, Downgraded to Caa1 (sf); previously on Dec. 17, 2009 Downgraded to B1 (sf) -- H, Downgraded to Ca (sf); previously on Dec. 17, 2009 Downgraded to Caa1 (sf) -- J, Downgraded to C (sf); previously on Dec. 17, 2009 Downgraded to Caa3 (sf) -- K, Affirmed at C (sf); previously on Dec. 17, 2009 Downgraded to C (sf) -- L, Affirmed at C (sf); previously on Dec. 17, 2009 Downgraded to C (sf) -- M, Affirmed at C (sf); previously on Dec. 17, 2009 Downgraded to C (sf) -- N, Affirmed at C (sf); previously on Dec. 17, 2009 Downgraded to C (sf) Ratings Rationale The downgrades of five classes are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced loans and interest shortfalls. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 12.6% of the current balance compared to 7.8% at Moody's prior review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 6, the same as at last review. In cases where the Herf falls below 20, Moody's generally employs the large loan/single borrower methodology. Moody's did not employ this methodology for this deal despite the low Herf Index due to a significant increase in credit subordination since Moody's last review and the increased cash flow analysis stresses Moody's used in Moody's analysis. 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 transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated December 17, 2009. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 17, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 67% to $253.8 million from $775.2 million at securitization. The Certificates are collateralized by 23 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans representing 58% of the pool. Nine loans, representing 41% of the pool, have defeased and are collateralized by U.S. Government securities. The largest loan is a credit tenant lease loan. Twelve loans have been liquidated from the pool since securitization, resulting in an aggregate $34.9 million loss (42% loss severity on average). Due to realized losses, classes M through Q-2 have been eliminated entirely and class L has experienced a 75% principal loss. Currently, there are three loans in special servicing, representing 14% of the pool. The largest special serviced loan is the Henry W. Oliver Building Loan ($29.5 million -- 11.6% of the pool), which is secured by a 472,000 square foot, Class B office building in Pittsburgh, Pennsylvania. The loan was transferred to special servicing in October 2009 for imminent default. As of September 2010, the property was 31% leased compared to 91% at last review. The spike in vacancy is mostly attributed to the largest tenant, which occupied 53% of the net rentable area, vacating the premises when its lease expired in December 2009. The special servicer has engaged legal counsel to initiate foreclosure. The remaining specially serviced loans are secured by single- tenant retail properties that were previously occupied by Circuit City. The properties are vacant due to the tenant rejecting the leases as part of its bankruptcy filing. The loans are real estate owned. The master servicer has recognized appraisal reductions totaling $28.8 million for the specially serviced loans. Moody's has estimated a $29.5 million loss (82% expected loss on average) from these loans. Based on the most recent remittance statement, Classes F through L have experienced cumulative interest shortfalls totaling $2.3 million. Interest shortfalls increased to Class F in November due to the servicer recognizing appraisal entitlement reductions on the specially serviced loans, based on recent appraisal reductions. Moody's anticipates that the pool will continue to experience interest shortfalls because of the exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, ASERs and extraordinary trust expenses. Moody's was provided with full year 2009 and partial year 2010 operating results for 100% and 42% of the conduit pool, respectively. Excluding specially serviced, Moody's weighted average LTV is 80% compared to 70% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.6%. Excluding specially serviced loans, Moody's actual and stressed DSCRs are 1.23X and 1.53X, respectively, compared to 1.36X and 1.75X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 23% of the pool. The largest conduit loan is the Westin Denver Tabor Center Loan ($35.3 million -- 14% of the pool), which is secured by a 430-room full-service hotel located in downtown Denver, Colorado. The hotel is part of an upscale mixed-use complex that includes a 570,000 square foot office building and an urban mall. The loan sponsor is Host Marriott. Moody's LTV and stressed DSCR are 64% and 1.96X, respectively, compared to 63% and 2.06X at last review. The second largest conduit loan is the Geneva Crossing Loan ($11.8 million -- 3.3% of the pool), which is secured by a 123,000 square foot unanchored retail center located in Carol Stream, Illinois. As of August 2010, the property was 97% leased compared to 92% at last review. Performance has improved due to a 21% increase in net operating income since last review. Moody's LTV and stressed DSCR are 87% and 1.19X, respectively, compared to 101% and 1.01X at last review. The third largest loan is the Auerbach Retail Portfolio ($10.7 million -- 4.2% of the pool), which is secured by two retail properties located in California. As of October 2010, the properties were 100%, the same as at last review. Performance remains stable. Moody's LTV and stressed DSCR are 82% and 1.34X, respectively, compared to 83% and 1.33X at last review. The CTL component consists of the Accor/Motel 6 Portfolio Loan ($35.7 million --14% of the pool), which is secured by 14 limited service hotels operating under the Motel 6 flag and located throughout Illinois, Indiana, Massachusetts, Pennsylvania, Tennessee and Oregon. Property performance has declined since last review as hotels have been impacted by the downturn in the tourism industry. The loan sponsor is Accor S.A. On July 2, 2010, Moody's withdrew Accor S.A.'s Prime-3 commercial paper rating due to business reasons. For the purpose of rating this component of the subject transaction, Moody's developed an internal view of the credit quality of the company.The loan is on the master servicer's watch list for low debt service. COMMERCIAL MORTGAGE: Moody's Upgrades Ratings on Two Certs. ----------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes, downgraded two classes and affirmed four classes of Commercial Mortgage Securities Corp. Commercial Mortgage Pass-Through Certificates, Series 2000-2: -- Cl. X, Affirmed at Aaa (sf); previously on June 27, 2000 Definitive Rating Assigned Aaa (sf) -- Cl. F, Upgraded to Aaa (sf); previously on June 4, 2008 Upgraded to A2 (sf) -- Cl. G, Upgraded to A3 (sf); previously on June 4, 2008 Upgraded to Baa1 (sf) -- Cl. H, Affirmed at Ba3 (sf); previously on Oct. 15, 2009 Downgraded to Ba3 (sf) -- Cl. I, Downgraded to Ca (sf); previously on Oct. 15, 2009 Downgraded to B3 (sf) -- Cl. J, Downgraded to C (sf); previously on Oct. 15, 2009 Downgraded to Caa3 (sf) -- Cl. K, Affirmed at C (sf); previously on Oct. 15, 2009 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Oct. 15, 2009 Downgraded to C (sf) Ratings Rationale The upgrades are due to the significant increase in subordination due to loan payoffs and amortization and the pool's high exposure to defeasance, which represents 36% of the current pool balance. The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans and concerns about loans approaching maturity in an adverse environment. Three loans, representing 22% of the pool, either have matured or mature within the next six months. All of these loans are in special servicing. Moody's affirmed five classes because the current credit enhancement levels for these classes are sufficient to maintain their existing ratings based on Moody's current estimate of base expected loss. Moody's rating action reflects a cumulative base expected loss of 16.1% of the current balance. Moody's stressed scenario loss is 23.0% of the current balance. If future performance materially declines, the expected level of credit enhancement for the remaining outstanding classes may be insufficient for their current ratings. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions as well as the excel-based CMBS Large Loan Model v. 8.0 which is used for Large Loan transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral herf score is 40. The pool has a Herf of 3 compared to 18 at last review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated October 15, 2009. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 18, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 92% to $55.9 million from $738.7 million at securitization. The Certificates are collateralized by seven mortgage loans ranging in size from less than 2% to 29% of the pool. The pool only contains two performing conduit loans, representing 32% of the pool. The remaining loans are either defeased (one loan representing 36% of the pool) or are in special servicing (four loans representing 32% of the pool). Currently there are no loans on the watchlist. Twelve loans have been liquidated from the pool, resulting in an aggregate realized loss of $32.5 million (33% loss severity on average). Due to realized losses, classes L through M have been eliminated entirely and Class K has experienced a 79% principal loss. At last review the pool had experienced $12.4 million in realized losses. The largest specially serviced loan is the Baseline Greenfield Shopping Center ($6.6 million -- 11.8% of the pool), which is secured 79,412 square foot former grocery-anchored retail center located in Gilbert, Arizona. The loan was transferred to special servicing in September 2009 as a result of payment default and was foreclosed on August 22, 2010. The servicer has recognized appraisal reductions totaling $3.4 million on two of the specially serviced loans. Moody's has estimated an aggregate $7.8 million loss (42% expected loss on average) for the specially serviced loans. Based on the most recent remittance statement, Classes K and J have a cumulative interest shortfalls totaling $50,795. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions and extraordinary trust expenses. Due to the high percentage of loans in special servicing, Moody's analysis was largely based on a loss and recovery analysis of defaulted loans. The performance of the conduit component, which only represents 32% of the pool, is stable and performing in-line with expectations. The largest conduit loan is the AEC II - Arbor Landings I & II ($16.4 million -- 29.4% of the pool), which is secured by a 328 unit multifamily property located in Ann Arbor, Michigan. The property was 88% leased as of June 2010 compared to 92% at last review. Moody's LTV and stressed DSCR are 86% and 1.12X, respectively, compared to 89% and 1.09X at last review. The second conduit loan is the CVS Pharmacy Loan ($1.36 million -- 2.4% of the pool), which is secured by a 10,000 square foot single tenant retail property located in Columbia, South Carolina. The property was 100% leased as of June 2010, the same as last review. Moody's LTV and stressed DSCR are 86% and 1.03X respectively, compared to 86% and 1.22X at last review. CONSECO FINANCE: Moody's Takes Rating Actions on Various Tranches ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one tranche and has confirmed the rating of one tranche from two RMBS transactions issued by Conseco Finance Home Loan Trust. The collateral backing these deals primarily consists of closed end second lien loans. Ratings Rationale The actions are a result of the continued performance deterioration in second lien pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on second lien pools. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. If expected losses on the each of the collateral pools were to increase by 10%, model implied results indicate that the ratings would remain stable. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Conseco Finance Home Loan Trust 1999-G * Expected Losses (as a % of Original Balance): 18% -- Cl. B-2, Downgraded to C (sf); previously on March 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Conseco Finance Home Improvement Loan Trust 2000-E * Expected Losses (as a % of Original Balance): 10% -- Cl. B-1, Confirmed at B3 (sf); previously on March 18, 2010 B3 (sf) Placed Under Review for Possible Downgrade CONTINENTAL AIRLINES: S&P Assigns Rating on 2010-1 Certs. --------------------------------------------------------- Standard & Poor's Ratings Services said that it has assigned its 'A-'(sf) rating to Continental Airlines Inc.'s series 2010-1 class A pass-through certificates with an expected maturity of Jan. 12, 2021, and its 'BBB-'(sf) rating to the class B pass-through certificates with an expected maturity of Jan. 12, 2019. The final legal maturities will be 18 months after the expected maturity. The issues are drawdowns under a Rule 415 shelf registration. The ratings are each based on Continental's credit quality, substantial collateral coverage provided by a combination of very desirable and somewhat less-liquid aircraft, and legal and structural protections available to the pass-through certificates. The company will use the proceeds of the offering to acquire three B737-800 and three B737-900ER aircraft scheduled for delivery from December 2010 to April 2011, and to refinance three B737-800, four B737-900 (non-ER), and five 767-400ER aircraft that Continental already owns (and were previously collateral for earlier pass- through certificates). Each aircraft's secured notes are cross- collateralized and cross-defaulted--a provision S&P believes increases the likelihood that Continental would affirm the notes (and thus continue to pay on the certificates) while in bankruptcy. The pass-through certificates are a form of enhanced equipment trust certificates and benefit from legal protections afforded under Section 1110 of the federal bankruptcy code and by a liquidity facility provided by Landesbank Hessen-Thueringen Girozentrale. The liquidity facility is intended to cover up to three semiannual interest payments, a period during which collateral could be repossessed and remarketed by certificateholders following any default by the airline, or to maintain continuity of interest payments as certificateholders negotiate with Continental in a bankruptcy with regard to the certificates. Ratings List Continental Airlines Inc. Corporate credit rating B/Stable/-- New Ratings Continental Airlines Inc. Series 2010-1 class A pass-thru certs A-(sf) Series 2010-1 class B pass-thru certs BBB-(sf) CORPORATE BACKED: Moody's Reviews 'Ba3' Rating on Class A-1 ----------------------------------------------------------- Moody's Investors Service announced that it has placed on review for downgrade these certificates issued by Corporate Backed Trust Certificates, Sprint Capital Note-Backed Series 2003-17: -- US$25,000,000 Principal Amount of 7.00% Class A-1 Certificates due 2028; Ba3, Placed on review for downgrade; Previously on December 10, 2009 Downgraded to Ba3 The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of $25,455,000 6.875% Notes due 2028 issued by Sprint Capital Corporation which were placed on review for downgrade by Moody's on November 15, 2010. CREDIT SUISSE: Fitch Downgrades Ratings on 16 2006-C1 Certs. ------------------------------------------------------------ Fitch Ratings has downgraded 16 classes of Credit Suisse Commercial Mortgage Trust, series 2006-C1 commercial mortgage pass-through certificates, due to further deterioration of loan performance, most of which involves increased losses on the specially serviced loans. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 5.4% for the remaining pool (expected losses of the original pool are at 5.2% including losses already incurred to date). Fitch has designated 100 loans (20%) as Fitch Loans of Concern, which includes 36 specially serviced loans (9.4%). Fitch expects classes O through S may be fully depleted from losses associated with the specially serviced loans. As of the November 2010 distribution date, the pool's aggregate principal balance has decreased by 5.5% to $2.8 billion from $3 billion at issuance. One loan (0.1%) is currently defeased. Cumulative interest shortfalls in the amount of $2.4 million are currently affecting classes M through S. The largest contributor to Fitch modeled losses is a specially serviced loan (0.6% of pool balance) secured by a 28,000 sf single tenanted retail property located in midtown Manhattan. The loan was transferred to special servicing in April 2009 due to non- payment of debt service after the sole tenant discontinued rental payments. The special servicer is working to cure the default. The next largest contributor to Fitch modeled losses is a loan (2.7%) secured by a 360,000 sf office property located in MacLean, VA. Property performance declined by 17% between 2008 and 2009, and the loan no longer passes Fitch's maturity stress. The third largest contributor to Fitch modeled losses is a loan (0.6%) secured by a 314 all suites hotel located in Phoenix, AZ. Property performance has declined significantly with the trailing 12 month June 2010 debt service coverage ratio reported by the servicer at 0.41 times compared to 1.63x at year end 2008. The loan no longer passes Fitch's term stress. Fitch downgrades these classes, assigns Outlooks and Recovery Ratings as indicated: -- $236.5 million class A-J to 'AAsf/LS3' from 'AAAsf/LS3'; Outlook Stable; -- $18.8 million class B to 'AAsf/LS5' from 'AA+sf/LS5'; Outlook Stable; -- $37.5 million class C to 'Asf/LS5' from 'AAsf/LS5'; Outlook Stable; -- $33.8 million class D to 'BBBsf/LS5' from 'AA-sf/LS5'; Outlook Stable; -- $22.5 million class E to 'BBBsf/LS5' from 'Asf/LS5'; Outlook Stable; -- $33.8 million class F to 'BBsf/LS5' from 'Asf/LS5'; Outlook Stable; -- $30 million class G to 'BBsf/LS5' from 'BBBsf/LS5'; Outlook Negative; -- $33.8 million class H to 'Bsf/LS5' from 'BBsf/LS5'; Outlook Negative; -- $30 million class J to 'B-sf/LS5' from 'BBsf/LS5'; Outlook Negative; -- $37.5 million class K to 'CCCsf/RR1' from 'Bsf/LS5'; -- $15 million class L to 'CCCsf/RR1' from 'B-sf/LS5'; -- $11.3 million class M to 'CCCsf/RR1' from 'B-sf/LS5'; -- $11.3 million class N to 'CCsf/RR3' from 'B-sf/LS5'; -- $3.8 million class O to 'CCsf/RR6' from 'B-sf/LS5'; -- $3.8 million class P to 'CCsf/RR6' from 'B-sf/LS5'; -- $7.5 million class Q to 'CCsf/RR6' from 'B-sf/LS5'. Fitch also affirms and revises Outlooks to these classes as indicated: -- -$220.4 million class A-2 at 'AAAsf/LS1'; Outlook Stable; -- -$336.9 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- -$155 million class A-AB at 'AAAsf/LS1'; Outlook Stable; -- -$698 million class A-4 at 'AAAsf/LS1'; Outlook Stable; -- -$530.2 million class A-1A at 'AAAsf/LS1'; Outlook Stable; -- $300.4 million class A-M at 'AAAsf/LS3'; Outlook Stable. Fitch withdraws the rating on the interest-only classes A-X and A- Y. CREDIT SUISSE: Moody's Downgrades Ratings on 12 2002- CKN2 Certs. ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 12 classes and affirmed five classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2002- CKN2: -- Cl. A-2, Affirmed at Aaa (sf); previously on May 15, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on May 15, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. A-X, Affirmed at Aaa (sf); previously on May 15, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. A-Y, Affirmed at Aaa (sf); previously on May 15, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on March 9, 2006 Upgraded to Aaa (sf) -- Cl. C-1, Downgraded to Aa2 (sf); previously on Oct. 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. C-2, Downgraded to Aa2 (sf); previously on Oct. 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to A2 (sf); previously on Oct. 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Baa2 (sf); previously on Oct. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to Ba3 (sf); previously on Oct. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to B3 (sf); previously on Oct. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to Caa2 (sf); previously on Oct. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to Ca (sf); previously on Oct. 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to C (sf); previously on Oct. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to C (sf); previously on Oct. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Oct. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. N, Downgraded to C (sf); previously on Oct. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans and concerns about refinance risk associated with loan facing near-term maturity in an adverse environment. One hundred forty-six loans, representing 74% of the pool, mature within the next 24 months. Fifty-five of these loans, representing 29% of the pool, have a Moody's stressed debt service coverage ratio less than 1.0X. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed DSCR and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. On October 27, 2010 Moody's placed 12 classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 5.0% of the current balance. At last full review, Moody's cumulative base expected loss was 2.6%. Moody's stressed scenario loss is 8.0% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 17 compared to 21 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the Excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated October 29, 2008. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 18, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 21% to $727.4 million from $918.1 million at securitization. The Certificates are collateralized by 179 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 34% of the pool. Thirty loans, representing 26% of the pool, have defeased and are collateralized with U.S. Government securities. Defeasance at last review represented 24% of the pool. Twenty-seven loans, representing 16% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Seven loans have been liquidated from the pool since securitization, resulting in an aggregate $22.1 million loss (57% loss severity on average). The pool had experienced an aggregate $3.1 million loss at last review. Twelve loans, representing 9% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $6.3 million appraisal reduction for six of the specially serviced loans. Moody's has estimated an aggregate loss of $26.8 million (43% expected loss on average) for all of the specially serviced loans. Moody's has assumed a high default probability for five poorly performing loans representing 3% of the pool and has estimated a $3.9 million loss (21% expected loss based on a 43% probability default) from these troubled loans. Moody's was provided with full year 2009 operating results for 85% of the non-defeased performing pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 81% compared to 86% at last full review. Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.7%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.33X and 1.39X, respectively, compared to 1.30X and 1.30X at last full review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 18% of the pool balance. The largest loan is the Paradise Island Apartments Loan ($50.3 million -- 6.9%), which is secured by a 980-unit multifamily complex located in Jacksonville, Florida. Performance has been stable and the property was 96% occupied as of June 2010 compared to 90% at last review. The loan had a 12-month interest only period and is amortizing on a 360-month schedule maturing in January 2012. The loan has amortized 3% since last review. Moody's LTV and stressed DSCR are 98% and 1.00X, respectively, compared to 94% and 1.03X at last review. The second largest loan is the Beaver Valley Mall Loan ($43.4 million -- 6.0%), which is secured by the borrower's interest in a 1.2 million square foot regional mall (966,000 square feet of collateral) located approximately 35 miles northwest of downtown Pittsburgh in Center Township, Pennsylvania. The mall is anchored by Sears, J.C. Penney, Boscov's and Macy's (not part of the collateral). The mall is currently on the master servicer's watchlist due to low DSCR. As of June 2010, the overall occupancy was 91% compared to 94% at last review. The loan has an anticipated repayment date (ARD) of April 2012 and has amortized 3% since last review. Moody's LTV and stressed DSCR are 88% and 1.14X, respectively, compared to 90% and 1.17X at last review. The third largest loan is the PNC Center Loan ($40.2 million -- 5.5%), which is secured by a 498,000 square foot office building located in downtown Cincinnati, Ohio. The largest tenants are PNC (39% of the NRA; lease expiration February 2014) and Frost Brown Todd (25% of the NRA; lease expiration December 2011). The property was 88% occupied as of June 2010 compared to 91% at last review. The decreased occupancy has led to decreased base rent and expense reimbursements. The loan has an ARD of March 2012 and has amortized 5% since last review. Moody's LTV and stressed DSCR are 93% and 1.13X, respectively, compared to 83% and 1.30X at last review. CT CDO: Fitch Downgrades Ratings on 15 Classes of Notes ------------------------------------------------------- Fitch Ratings has downgraded 15 classes issued by CT CDO IV Ltd. as a result of continued negative credit migration and increased interest shortfalls on the underlying collateral. On the Nov. 22, 2010 payment date, the class A-2 and B notes did not receive their full interest distribution as a result of insufficient interest proceeds due to continued interest shortfalls on the underlying collateral and the significant hedge payment. On Nov. 29, 2010, the trustee declared an Event of Default due to non-payment of full and timely accrued interest to the class A-2 and B notes. The class A-2 and B notes are non- deferrable classes and are downgraded due to default in the payment of their accrued interest. Noteholders had not given direction to accelerate the notes or liquidate the portfolio at the time of this review. Since Fitch's last rating action in June 2010, approximately 15.1% of the portfolio has been downgraded. Currently, 61.7% has a Fitch derived rating below investment grade and 34.3% has a rating in the 'CCC' rating category or lower, compared to 57.2% and 7.8%, respectively, at last review. As of the Nov. 16, 2010 trustee report, 29.2% of the portfolio is experiencing interest shortfalls, compared to 6.7% at the last review. The class A-1 notes have paid down by $33.9 million since the last review. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in Corporate CDOs'. Based on this analysis, the class A-1 notes' breakeven rates are generally consistent with the ratings assigned below. For the class C through M notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' category and lower) and assets that are experiencing interest shortfalls. Given the high probability of default of these assets and the expected limited recovery prospects upon default, the notes have been downgraded to 'Csf', indicating default is inevitable at or prior to maturity. CT CDO IV is backed by 40 tranches from 31 obligors, the majority of which is commercial mortgage backed securities (CMBS, 63.4%). The remainder of the pool consists of commercial real estate loans (21.1%), and CRE CDOs (15.5%). The transaction is considered a CMBS B-piece resecuritization (also referred to as first loss CRE CDO) as it primarily includes junior bonds of CMBS transactions. The transaction closed in March 2006. Fitch has downgraded these classes: -- $214,128,983 class A-1 to 'CCCsf' from 'BBsf/LS3'; -- $17,691,336 class A-2 to 'Dsf' from 'BBsf/LS5'; -- $17,711,304 class B to 'Dsf' from 'Bsf/LS5'; -- $12,408,966 class C to 'Csf' from 'Bsf/LS5'; -- $5,684,108 class D-FL to 'Csf' from 'Bsf/LS5'; -- $3,631,090 class D-FX to 'Csf' from 'Bsf/LS5'; -- $4,905,782 class E to 'Csf' from 'CCCsf': -- $2,234,871 class F-FL to 'Csf' from 'CCCsf': -- $3,680,088 class F-FX to 'Csf' from 'CCCsf': -- $7,402,648 class G to 'Csf' from 'CCsf'; -- $3,866,950 class H to 'Csf' from 'CCsf'; -- $2,440,512 class J to 'Csf' from 'CCsf'; -- $5,369,286 class K to 'Csf' from 'CCsf'; -- $4,899,424 class L to 'Csf' from 'CCsf'; -- $3,429,115 class M to 'Csf' from 'CCsf'. CT CDO: S&P Downgrades Ratings on 12 Classes of Notes ----------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 12 classes from CT CDO IV Ltd., a commercial real estate collateralized debt obligation transaction. At the same time, S&P affirmed its 'CCC- (sf)' ratings on three additional classes from the same transaction. The downgrades and affirmations primarily reflect S&P's analysis of the interest shortfalls affecting the transaction. S&P lowered its rating on class A-1 to 'B+ (sf)' due to its susceptibility to interest shortfalls, as class A-2 and all of the classes subordinate to it did not receive full interest according to the Nov. 16, 2010 remittance report. The interest shortfalls to the nondeferrable classes A-2 and B prompted S&P's downgrades of these classes to 'D (sf)'. The interest shortfalls to the nondeferrable classes triggered an event of default under the indenture based on a Nov. 29, 2010 notice from the trustee, Bank of America N.A. The interest shortfalls primarily resulted from the reclassification of $482,192 of the interest payments received on impaired securities as principal proceeds according to the Nov. 16, 2010, remittance report. It is S&P's understanding that while principal proceeds may be used to make payments due to the hedge counterparty and interest due to class A-1, any increases in the interest shortfalls to CT CDO IV Ltd. may cause interest shortfalls to the nondeferrable class A-1 and may also cause payment shortfalls to the hedge counterparty. A default in the payment due to the hedge counterparty may then result in the termination of the swap contract and trigger termination payments to the swap counterparty. If interest shortfalls are affecting class A-1, S&P will lower the rating to 'D (sf)'. Furthermore, a significant termination payment may result in S&P's determination that the interest due to the deferrable classes may be deferred for many years. This determination would prompt us to downgrade the deferrable classes to 'CC (sf)'. According to the Nov. 16, 2010 trustee report for CT CDO IV Ltd., the current asset pool included these: * Thirty CMBS tranches ($223.4 million, 64.5%); * Eight CRE CDO tranches ($93.5 million, 27.0%); and * Two subordinated loans ($29.4 million, 8.5%). Standard & Poor's analyzed CT CDO IV Ltd. according to its current criteria. S&P's analysis is consistent with the lowered and affirmed ratings. Ratings Lowered CT CDO IV Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- A-1 B+ (sf) BBB+ (sf) A-2 D (sf) BBB (sf) B D (sf) BBB- (sf) C CCC- (sf) BB+ (sf) D-FL CCC- (sf) BB (sf) D-FX CCC- (sf) BB (sf) E CCC- (sf) BB- (sf) F-FL CCC- (sf) B+ (sf) F-FX CCC- (sf) B+ (sf) G CCC- (sf) B- (sf) H CCC- (sf) CCC+ (sf) J CCC- (sf) CCC (sf) Ratings Affirmed CT CDO IV Ltd. Collateralized debt obligations Class Rating ----- ------ K CCC- (sf) L CCC- (sf) M CCC- (sf) CULLMAN REGIONAL: Fitch Downgrades Rating on 2009-A Bonds to 'BB+' ------------------------------------------------------------------ Fitch Ratings has downgraded to 'BB+' from 'BBB-' these bonds issued on behalf of Cullman Regional Medical Center: -- $68,815,000 Health Care Authority of Cullman County revenue bonds, series 2009-A. The Rating Outlook is revised to Stable from Negative. Rating Rationale: -- The downgrade to 'BB+' reflects CRMC's continued weak financial performance that is not reflective of an investment grade credit including low liquidity levels, unprofitable operations and nominal debt service coverage. Additional credit concerns include a significant rise in bad debt expense, coupled with an unfavorable payor mix. -- CRMC's main credit strength continues to be its good market position as the sole community provider in Cullman County, situated between the cities of Birmingham and Huntsville. Management indicated that tertiary providers in the state have expressed strong interest in an affiliation with CRMC. Key Rating Drivers: Fitch believes CRMC's financial performance has stabilized at the lower rating level and continued areas of opportunity for improved performance include successful physician recruitment and further reduction of outmigration. Security: The bonds are secured by a pledge of gross revenues, a mortgage, and a debt service reserve. Credit Summary: The downgrade to 'BB+' reflects CRMC's continued weak financial performance that is not reflective of an investment grade credit including low liquidity levels, unprofitable operations and nominal debt service coverage. CRMC's liquidity position provides little cushion with 96.7 days cash on hand at Sept. 30, 2010, but has remained stable from 98.5 days at fiscal year end 2009. Operations remains unprofitable but have also remained stable at a negative $1.5 million operating loss in fiscal 2010 and 2009 that generated operating margins of -1.3% and -1.4%, respectively. Fitch notes that CRMC receives approximately $500,000 a year mainly from proceeds from a county sales tax to help offset the costs of its self pay population, which is not included in operating revenue (reflected as non-operating income). Through the three months ended Sept. 30, 2010 (interim period), operations are profitable with a $415,000 operating gain (1.3% operating margin); however, first quarter performance has historically been profitable. For fiscal 2011, CRMC is budgeting an operating gain of $452,000 (breakeven operating margin). Debt related ratios are also weak with limited debt service coverage of 1.7x and 1.6x in fiscal 2010 and 2009 and cash to debt of only 35.6% at Sept. 30, 2010. CRMC has modest capital needs going forward, with plans of no more than $3.5 million in annual routine capital spending. Additional credit concerns include a significant rise in bad debt expense, coupled with an unfavorable payor mix. CRMC's bad debt expense increased to $21.5 million in fiscal year ending June 30, 2010, which equates to a very high 18.3% of revenues against Fitch's 'BBB' rated median of 6.5%. Bad debt expense continued to be high at 17.4% of revenues in the interim period ending Sept. 30, 2010. An increasing reliance on Medicaid and self-pay presents additional concern, which increased to 9.8% and 8.3%, respectively, in the interim period 2010, from 9% and 7.9% in fiscal 2010. Further, CRMC had a high days in accounts receivable of 80.3 in fiscal 2010 against the 'BBB' rated median of 45.0, which illustrates significant room for improvement in revenue cycle management. CRMC's main credit strength is its market position as the sole community provider in Cullman County, situated between the cities of Birmingham and Huntsville. Management indicated that tertiary providers in the state have expressed strong interest in an affiliation with CRMC, which Fitch would view positively. CRMC is currently weighing interest from several systems to explore affiliation options, and Fitch will monitor any formal changes as they arise. CRMC's market share has increased to 59% in Sept. 2009 from 44% in June 2009 after CRMC purchased its only competition in the market (Woodland) and secured its service area. CRMC is now leasing the Woodland facility to USA Healthcare, which is providing psychiatric services at the facility and does not compete for acute care services. USA Healthcare has invested capital to renovate the facility into a psychiatric facility. The lease agreement has an initial two-year term with an option for USA Healthcare to purchase the facility at any time. CRMC has a note payable associated with the facility of $3.5 million that currently matures in 2012 and the hospital plans to use the proceeds of the Woodland sale to repay the bank note. However, if USA Healthcare does not purchase the facility (which would then convert to a long-term lease arrangement), there would be an option to convert the note payable to a longer amortization structure that would coincide with the new lease term with the expectation that the lease payments from USA Healthcare would at least cover the debt service costs under the note payable. CRMC has no plans for additional debt and overall, CRMC's debt profile is conservative with 100% fixed rate and committed capital. Fitch views the elimination of interest rate and renewal risks positively. The Outlook revision to Stable reflects CRMC's stabilized performance at the lower rating level. Fitch expects that CRMC will continue to generate adequate debt service coverage metrics and slowly improve its profitability. A return to an investment grade rating would be dependent on a significantly improved financial profile including stronger liquidity, profitable operations, and more moderate debt metrics. Cullman Regional Medical Center is an acute care general hospital with 115 beds in service, located in Cullman, AL which is 50 miles north of Birmingham. CRMC is designated as a Level III trauma center and the only provider of interventional cardiology services through an affiliation agreement with University of Alabama Medical System at Birmingham between Birmingham and Huntsville. Total revenues were $117.3 million in fiscal 2010, excluding bad debt expense. The hospital covenants to disclose quarterly unaudited (within 60 days) and annual audited financial statements (within 120 days) including management discussion and analysis by to the Municipal Securities Rulemaking Board's EMMA System. Fitch believes that CRMC disclosure practices are very good. DEUTSCHE ALT-A: Moody's Downgrades Ratings on 46 Tranches --------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 46 tranches and confirmed the ratings of 3 tranches from 7 RMBS transactions issued by Deutsche Alt-A Securities Mortgage Loan Trust. The collateral backing these transactions primarily consists of first-lien, adjustable-rate, negative amortization residential mortgages. Ratings Rationale The actions are a result of the rapidly deteriorating performance of option arm pools in conjunction with macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on option arm pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on option arm RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-3 -- Cl. I-A-1, Confirmed at Caa2 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA1 -- Cl. A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA2 -- Cl. A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA3 -- Cl. A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4 -- Cl. I-A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-1B, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-1, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA5 -- Cl. A-1A, Downgraded to Ba2 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to Ba2 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Alt-A Securities, Mortgage Loan Trust Series 2006-OA1 -- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade DISTRIBUTION FINANCIAL: Fitch Affirms Ratings on Three Classes -------------------------------------------------------------- Fitch Ratings affirms all classes of Distribution Financial Services RV/Marine Trust 2001-1, as part of its ongoing surveillance process: -- Class B notes at 'AA', Outlook Stable; -- Class C notes at 'BB', Outlook Negative; -- Class D notes at 'C/RR4'. The rating actions reflect stable performance of the transaction over the past year for both delinquencies and cumulative net losses. Over the past year, CNL did increase to 4.86% from 4.55% while total delinquencies decreased to 4.88% from 5.74%. The Class D is currently undercollateralized. Fitch's analysis incorporated anticipated losses on defaulted collateral given Fitch's recovery expectations. Fitch's recovery expectations are based on collateral-specific cash flow expectations. The resulting anticipated collateral losses were then applied to the transaction structure, enabling Fitch to asses the impact of the losses on the securities and available credit enhancement. Fitch's Recovery Ratings are designed to estimate recoveries on a forward-looking basis while taking into account the time value of money. Fitch will continue to closely monitor the performance of the transaction, and will take further rating actions as deemed necessary. DLJ COMMERCIAL: S&P Downgrades Ratings on Five 2000-CF1 Certs. -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on five classes of commercial mortgage-backed securities from DLJ Commercial Mortgage Trust 2000-CF1. S&P downgraded classes B-6 and B-7 to 'D (sf)'. S&P also affirmed its ratings on four other classes from the same transaction, including the 'D (sf)' rating on class B-8. The lowered ratings reflect recurring interest shortfalls that have affected the trust, as well as the potential for future interest shortfalls. As of the November 2010 remittance report, the trust experienced monthly interest shortfalls totaling $166,310 primarily related to: Appraisal subordinate entitlement reduction amounts on three of the transaction's seven specially serviced assets. These three assets had appraisal reduction amounts totaling $13.7 million in effect, which generated aggregate ASERs of $100,438; The recovery of prior advances made by the master servicer on the Sonora Village Shopping Center loan, in the amount of $40,000; and An interest rate reduction related to the Sonora Village Shopping Center loan, resulting in a shortfall of $33,820. Interest shortfalls have affected all of the classes subordinate to and including class B-4. As a result, interest available to absorb additional shortfalls has been reduced significantly, particularly for the B-3 and B-4 classes, leaving them more susceptible to future shortfalls. In addition, class B-4 currently has an outstanding accumulated interest shortfall due to prior shortfalls. The affirmations of the ratings on classes B-1 and B-2 reflect subordination levels and available liquidity that are consistent with the outstanding ratings. S&P affirmed its 'D (sf)' rating on class B-8. S&P lowered the rating to 'D (sf)' in March 2010 due to interest shortfalls S&P determined were recurring at that time. As of the November 2010 remittance report, the class has experienced accumulated interest shortfalls for 18 consecutive months. S&P affirmed its rating on the class S interest-only (IO) certificate based on its current criteria. Credit Considerations As of the November 2010 remittance report, seven ($44.0 million, 40.2%) of the 10 remaining assets were with the special servicer, CWCapital Asset Management LLC. The Holiday Inn Select ($7.9 million, 7.2%) specially serviced asset is real estate owned, while the remaining specially serviced loans ($36.1 million, 33.0%) are all classified as matured balloon loans. ARAs totaling $13.7 million are in effect against three of the specially serviced assets. Details regarding the three largest specially serviced assets are: The Gateway Plaza loan ($16.0 million total exposure, 14.7%) is the third-largest loan and the largest loan with the special servicer. The loan is secured by a 283,887-sq.-ft. office property in Indianapolis, Ind. The loan was transferred to the special servicer in December 2009 for imminent maturity default. According to the special servicer, the borrower has been unable to secure refinancing proceeds and the special servicer is pursuing foreclosure. As of September 2009, reported debt service coverage was 0.94x, while reported occupancy was 80.7% as of November 2009. Standard & Poor's expects a significant loss upon the eventual resolution of this asset. The Paradyne Corp. loan ($14.8 million total exposure, 13.5%) is the fourth-largest loan in the deal and the second-largest loan with the special servicer. The loan is secured by a 332,689-sq.- ft. office property in Largo, Fla. The loan was transferred to the special servicer in May 2010 for maturity default. The special servicer indicated that it is pursuing foreclosure on the property. As of December 2009, reported DSC and occupancy were 1.55x and 100.0%, respectively. An ARA of $5.6 million is in effect for this asset. Standard & Poor's expects a significant loss upon the eventual resolution of this asset. The Holiday Inn Select ($10.3 million total exposure, 9.4%) is the fifth-largest loan in the deal and the third-largest loan with the special servicer. The exposure is secured by a 142-room lodging property in Clinton, N.J. The loan was transferred to the special servicer in February 2009 for imminent monetary default. Based on December 2008 financial information, the property's income was not sufficient to cover its expenses. A $7.5 million ARA is in effect for this asset. Standard & Poor's anticipates a severe loss upon the eventual resolution of this asset. The remaining four specially serviced loans each have a principal balance representing less than 2.0% of the outstanding trust balance. S&P estimated losses for all of these loans, arriving at a weighted-average estimated loss severity of 17.0% Transaction Summary As of the November 2010 remittance report, the transaction had an aggregate trust balance of $109.5 million, down from $886.2 million at issuance. The collateral includes nine loans and one REO asset, down from 128 loans at issuance. The master servicer, Midland Loan Services Inc., provided full-year 2008, interim 2009, or full-year 2009 financial information for 98.5% of the assets. S&P calculated a weighted average DSC of 1.77x for the pool based on the reported figures. This figure includes the 2.96x DSC associated with the largest loan in the deal, 77 Water Street (discussed below). The calculated DSC excluding this loan is 1.13x. Three ($24.3 million, 22.2%) assets have reported DSC of less than 1.00x. To date, the pool has experienced principal losses totaling $18.6 million on 13 assets. Watchlist Loans The master servicer reported a watchlist of three ($65.4 million, 59.8%) loans. The largest of these is the 77 Water Street loan ($37.6 million, 34.3%), which is also the largest loan in the deal. The loan is secured by a 547,330-sq.-ft. office property in Manhattan. As of December 2009, reported DSC and occupancy were 2.96x and 0.0%, respectively. The loan appears on the watchlist due to former single tenant, Goldman Sachs, having vacated the property. According to the watchlist comments, Goldman Sachs will occupy and pay rent to the borrower until its lease expires in March 2021, though the tenant may sublet the space. The Sonora Village Shopping Center loan ($26.5 million, 24.2%) is the second-largest loan in the deal and on the watchlist. The loan is secured by a 252,867-sq.-ft. retail property in Scottsdale, Ariz. As of December 2008, reported DSC was 1.33x, while reported occupancy was 79.4% as of August 2009. According to the watchlist comments, the master servicer has requested updated property performance information from the borrower. The Pamida Hometown Values loan ($1.3 million, 1.2%) is the ninth- largest loan in the deal and the third-largest loan on the watchlist. The loan is secured by a 42,476-sq.-ft. retail property in Gladwin, Mich. The loan appears on the watchlist due to a servicer trigger event. According to the watchlist comments, the borrower failed to submit a copy of a refinance commitment letter six months prior to the anticipated repayment date of Nov. 1, 2009. Standard & Poor's analyzed the transaction according to its current criteria and the lowered and affirmed ratings are consistent with S&P's analysis. Ratings Lowered DLJ Commercial Mortgage Trust 2000-CF1 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- B-3 BB+ (sf) BBB- (sf) 34.19 B-4 CCC+ (sf) BB+ (sf) 26.08 B-5 CCC- (sf) BB (sf) 24.06 B-6 D (sf) BB- (sf) 17.98 B-7 D (sf) B+ (sf) 9.87 Ratings Affirmed DLJ Commercial Mortgage Trust 2000-CF1 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- B-1 AA- (sf) 72.70 B-2 A (sf) 62.56 B-8 D (sf) 1.77 S AAA (sf) N/A DOWLING COLLEGE: Moody's Reviews 'B1' Rating on $15.2 Mil. Debt --------------------------------------------------------------- Moody's Investors Service has placed the B1 rating of Dowling College on Watchlist for possible downgrade. The rating action impacts $15.2 million of rated debt (Series 1996 and Series 2002 bonds). The Series 2002 bonds were issued through the Town of Brookhaven Industrial Development Agency, and the Series 1996 bonds were issued through the Suffolk County Industrial Development Agency. Moody's expects to conclude Moody's Watchlist period within the next 90 days. Ratings Rationale: The rating action reflects ongoing concern about the College's very thin unrestricted liquidity, deteriorating student market position with multiple years of pressure on enrollment, weakening of operating performance in FY 2009, and continued operating dependence on a $2 million operating line of credit which matures in October 2011. The College plans to provide FY 2010 audited financial statements in December. Legal Security: The Series 1996 and 2002 bonds are general obligations of the College and feature debt service reserve funds. The Series 2002 bonds are further secured by a first leasehold mortgage and security interest in the financed facility, a residence hall on the Shirley (Brookhaven) campus. The College's $37.7 million of Series 2006 bonds (not rated by Moody's) are a general obligation of the College and also have a debt service reserve fund. They are secured by a first mortgage lien and security interest in the College's Oakdale and Shirley campuses and property, excluding the residential facility financed with the Series 2002 bonds. The Series 2006 bonds have a subordinate mortgage lien and security interest in the Series 2002 facility. Per the Series 2006 Sublease between the College and the issuing authority, under certain circumstances (defined as Triggering Events in the Sublease), the College's Gross Revenues, excluding 2002 Facility Revenues pledged to the Series 2002 Trustee to secure the principal amount of the Series 2002 Bonds, would be directed to the Series 2006 trustee. Debt service on the Series 2006 bonds would first be paid from Gross Revenues, before other operating costs of the College. In Moody's opinion, the Series 1996 and 2002 bonds have a weaker legal security than the Series 2006 bonds. * Debt-Related Interest Rate Derivatives: None. Key Indicators (FY 2009 audited financial data and fall 2009 enrollment data): * Total Full-Time Equivalent Enrollment: 4,195 FTE students * Total cash and investments (including $4.3 million of debt service reserve funds): $10.2 million * Direct Debt: $64.2 million * Total cash and investments-to-direct debt: 0.16 times * FY 2009 Operating Margin: -3.1% * Operating Cash Flow Margin: 5.8% * Annual Debt Service Coverage: 0.86 times * Reliance on Student Charges: 92.1% Rated Debt: * Series 1996 and 2002: B1 rating Methodology And Last Rating Action The last rating action with respect to Dowling College was on September 15, 2009 when B1 rating removed from the watch list and confirmed. The outlook remained negative. DRYDEN-XI LEVERAGED: Moody's Upgrades Ratings on Three Notes ------------------------------------------------------------ Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Dryden-XI Leveraged Loan CDO 2006: -- US$25,000,000 Class A-2B First Priority Senior Secured Floating Rate Notes due April 12, 2020, Upgraded to Aa3 (sf); previously on June 22, 2009, Downgraded to A1 (sf); -- US$47,200,000 Class B Third Priority Mezzanine Secured Deferrable Floating Rate Notes due April 12, 2020, Upgraded to Baa3 (sf); previously on June 22, 2009 Confirmed at Ba1 (sf); -- US$23,600,000 Class D Fifth Priority Mezzanine Secured Deferrable Floating Rate Notes due April 12, 2020 (current outstanding balance of $20,143,416), Upgraded to Caa3 (sf); previously on November 23, 2010 Ca (sf), Placed Under Review for Possible Upgrade. In addition, the Class Q-1 Securities were previously exchanged for their underlying components at the noteholder's request. -- US$10,000,000 Class Q-1 Securities due April 12, 2020, Withdrawn; previously on June 22, 2009 Downgraded to Ca (sf). As a result, the rating of the notes has been withdrawn. Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from improvement in the credit quality of the underlying portfolio and an increase in the overcollateralization ratios of the notes since the last rating action in June 2009. In Moody's view, these positive developments coincide with reinvestment of sale proceeds and prepayments into substitute assets with higher par amounts and/or higher ratings. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor) and a decrease in the proportion of securities from issuers rated Caa1 and below. In particular, as of the latest trustee report dated November 5, 2010, the weighted average rating factor is currently 2386 compared to 2680 in the May 2009 report, and securities rated Caa1 or lower make up approximately 5.9% of the underlying portfolio versus 11.4% in May 2009. Additionally, defaulted securities total about $13 million of the underlying portfolio compared to $55 million in May 2009. The overcollateralization ratios of the rated notes have also improved since the last rating action. The Class A, Class B, Class C, and Class D overcollateralization ratios are reported at 124.13%, 114.86%, 108.43% and 105.27%, respectively, versus May 2009 levels of 115.59%, 107.11%, 101.21% and 97.93%, respectively, and all related overcollateralization tests are currently in compliance. In particular, the Class D overcollateralization ratio has increased due to the diversion of excess interest to delever the Class D notes, including on the January 2010 payment date, when $2.3 million of interest proceeds reduced the outstanding balance of the Class D Notes by 10%. Moody's also notes that the Class D Notes are no longer deferring interest and that all previously deferred interest has been paid in full. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds of $724 million, defaulted par of $14 million, weighted average default probability of 27.07% (implying a WARF of 3373), a weighted average recovery rate upon default of 42.18%, and a diversity score of 65. 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. Dryden-XI Leveraged Loan CDO 2006, issued in May 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition to the base case analysis described above, Moody's also performed a number of sensitivity analyses to test the impact on all rated notes, including these: 1. Various default probabilities to capture potential defaults in the underlying portfolio. 2. A range of recovery rate assumptions for all assets to capture variability in recovery rates. 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% (2698) -- Class A-1: +2 -- Class A-2A: 0 -- Class A-2B: +3 -- Class A-3: +2 -- Class B: +2 -- Class C-1: +2 -- Class C-2: +2 -- Class D: +2 -- Class Q-2: +3 Moody's Adjusted WARF + 20% (4048) -- Class A-1: -1 -- Class A-2A: -2 -- Class A-2B: -2 -- Class A-3: -2 -- Class B: -2 -- Class C-1: -3 -- Class C-2: -3 -- Class D: -1 -- Class Q-2: -1 A summary of the impact of different recovery rate 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 WARR + 2% (44.18) -- Class A-1: +1 -- Class A-2A: 0 -- Class A-2B: +1 -- Class A-3: 0 -- Class B: 0 -- Class C-1: +1 -- Class C-2: 0 -- Class D: 0 -- Class Q-2: +1 Moody's Adjusted WARR - 2% (40.18) -- Class A-1: 0 -- Class A-2A: -1 -- Class A-2B: 0 -- Class A-3: -1 -- Class B: 0 -- Class C-1: -1 -- Class C-2: -1 -- Class D: -1 -- Class Q-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 large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the managers' investment strategies and behavior, 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities, and 3) potential additional expected loss associated with swap agreements in CDOs as a result of recent U.S. bankruptcy court ruling on Lehman swap termination in the Dante case. Sources of additional performance uncertainties are described below: 1) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus 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. 2) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. 3) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 4) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. 5) 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, resulting in larger cash payments to the hedge counterparty. 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. DSLA MORTGAGE: Moody's Downgrades Ratings on 44 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 44 tranches from seven RMBS transactions issued by DSLA Mortgage Loan Trust. The collateral backing these transactions primarily consists of first-lien, adjustable-rate, negative amortization residential mortgages. Ratings Rationale The actions are a result of the rapidly deteriorating performance of option arm pools in conjunction with macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on option arm pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on option arm RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. Certain securities, as noted below, are insured by financial guarantors. The Cl. 2-A1C tranche issued by DSLA 2005-AR2 and the Cl. 2-A1B tranche issued by DSLA 2005-AR3 are wrapped by Ambac Assurance Corporation (Segregated Account -- Unrated). The Cl. 1- A1B and Cl. 2-A1B tranches issued by DSLA 2005-AR5, and the Cl. 1A-1B tranche issued by DSLA 2005-AR6, are wrapped by Assured Guaranty Municipal Corp. (Rated Aa3 -- Negative Outlook). The Cl. 1A-1B and Cl. 2A-1C tranches issued by DSLA 2006-AR1, are wrapped by Syncora Guarantee Inc. (Rated Ca). For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: DSLA Mortgage Loan Trust 2005-AR1 -- Cl. 1-A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to Ca (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: DSLA Mortgage Loan Trust 2005-AR2 -- Cl. 1-A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1C, Downgraded to C (sf); previously on April 16, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on Mar 30, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: DSLA Mortgage Loan Trust 2005-AR3 -- Cl. 1-A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to B3 (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A, Downgraded to B3 (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to Ca (sf); previously on March 30, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1C, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: DSLA Mortgage Loan Trust 2005-AR4 -- Cl. 1-A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to Ca (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1C, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1D, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: DSLA Mortgage Loan Trust 2005-AR5 -- Cl. 1-A1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A1B, Current rating at Aa3 (sf); previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3, Outlook Negative on Dec 18, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Current rating at Aa3 (sf); previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3, Outlook Negative on Dec 18, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: DSLA Mortgage Loan Trust 2005-AR6 -- Cl. 1A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-1B, Current rating at Aa3 (sf); previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3, Outlook Negative on Dec 18, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: DSLA Mortgage Loan Trust 2006-AR1 -- Cl. 1A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1A, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-1B, Current rating at Ca (sf); previously on March 9, 2009 Downgraded to Ca (sf) -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on March 9, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1C, Current rating at Ca (sf); previously on March 9, 2009 Downgraded to Ca (sf) -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on Mar 9, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade EDUCATION LOANS: Fitch Takes Rating Actions on Various Classes -------------------------------------------------------------- Fitch Ratings takes the rating actions on Education Loans Inc.'s Student Loan Trusts 1999-1, 2004-1 & 2004-C&D and withdraws all ratings. For these trusts, all ratings of senior and subordinate bonds are downgraded as indicated below except for one tranche which was recently affirmed. In addition, ratings on Education Loans Inc.'s Student Loan Trust 1998-1 and 2005-1 are being withdrawn. Fitch used its 'Global Structured Finance Rating Criteria', 'U.S. Private SL ABS Criteria' and 'FFELP Student Loan ABS Rating Criteria', as well as the refined basis risk criteria outlined in Fitch's Sept. 22, 2010 press release 'Fitch to Gauge Basis Risk in Auction-Rate U.S. FFELP SLABS Review' to review the ratings. Each of the 1999-1, 2004-1, 2004-C&D transactions are under significant pressure as losses continue to accumulate at rates above Fitch's expectations. The trusts are undercollateralized and exhibiting a downward parity trend, particularly for the 2004- C&D and 1999-1 trusts. The trusts are also under pressure due to the high cost associated with the failed auction-rate securities, not allowing the trusts to accumulate asset to build parity. Fitch is withdrawing all of its ratings assigned to Education Loans Inc.'s Student Loan Trusts following the issuer's decision to redeem subordinate bonds in the 2004-1 transaction with trust funds, an action which appears to be in breach of the provisions of the trust documents. In addition, the issuer has indicated that it has applied cash from 1999-1 trust accounts to make a payment related to a lawsuit. These actions took place in late 2009 and during this year and Fitch only became aware of them in recent conversations with the issuer as part of its surveillance review process. These actions were not contemplated in Fitch's rating analysis and Fitch has determined that it can no longer maintain accurate ratings as a result of such actions. For the portion of the trusts mentioned above that is backed by private loans, Fitch conducted a review of the collateral performance that involved the calculation of loss coverage multiples based on the most recent data provided by the issuer. A projected remaining net loss amount was compared to available credit enhancement to determine the loss multiples. Fitch derived the expected lifetime net loss based on the projected lifetime net default for each repayment year. Fitch then applied the current cumulative net loss level to determine the expected net loss over the remaining life for the trust. In addition, Fitch applied the most recent 12-month average excess spread rate over the remaining life. Basis risk stresses were also applied to account for the risk associated with the auction-rate securities. The ratings prior to the withdrawal are commensurate with the loss coverage multiples calculated. Fitch has taken these rating actions: Education Loans Inc, - 1998-1 Indenture Trust: -- Class 1D withdrawn; -- Class 1F 6/1/20 withdrawn; -- Class 1H withdrawn; -- Class 1K withdrawn. Education Loans Inc, - 1999-1 Indenture Trust: Series 1999-1 -- Class A downgraded to 'BBsf' from 'Asf'; withdrawn; -- Class C downgraded to 'CCCsf' from 'Bsf'; withdrawn. Series 2001-1 -- Class A downgraded to 'BBsf' from 'Asf'; withdrawn; -- Class B downgraded to 'BBsf' from 'Asf'; withdrawn; -- Class C downgraded to 'CCCsf' from 'Bsf'; withdrawn. Series 2002-1 -- Class A downgraded to 'BBsf' from 'Asf'; withdrawn; -- Class B downgraded to 'BBsf' from 'Asf'; withdrawn; -- Class C downgraded to 'CCCsf' from 'Bsf'; withdrawn. Series 2003-1 -- Class B downgraded to 'BBsf' from 'Asf'; withdrawn; -- Class C downgraded to 'BBsf' from 'Asf'; withdrawn; -- Class D downgraded to 'CCCsf' from 'Bsf'; withdrawn. Education Loans Inc, - 2004-1 Indenture Trust: -- Class A1 downgraded to 'BBBsf' from 'AAsf'; withdrawn; -- Class A3 downgraded to 'BBBsf' from 'AAsf'; withdrawn; -- Class A4 downgraded to 'BBBsf' from 'AAsf'; withdrawn; -- Class B1 affirmed at 'Bsf'; withdrawn. Education Loans Inc, - 2004-C&D Indenture Trust: -- Class C1 downgraded to 'BBB-sf' from 'AA-sf'; withdrawn; -- Class C2 downgraded to 'BBB-sf' from 'AA-sf'; withdrawn; -- Class C5 downgraded to 'BBB-sf' from 'AA-sf'; withdrawn; -- Class D downgraded to 'CCCsf' from 'Bsf'; withdrawn. Education Loans Inc, - 2005-1 Indenture Trust: -- Class A3 withdrawn; -- Class B withdrawn. EDUCATION LOANS: Moody's Downgrades Ratings on 18 Notes ------------------------------------------------------- Moody's Investors Service has downgraded 18 notes and placed under review for possible downgrade seven notes from five student loan- backed transactions issued by Education Loans Incorporated. The ratings of the downgraded notes remain under review for further possible downgrade. The underlying collateral of the 1998-1 and 2005-1 transactions consists of government guaranteed loans. The collateral underlying the remaining three transactions includes both FFELP and private student loans. Student Loan Finance Corporation is the sponsor, administrator and servicer of the transactions. Ratings Rationale The actions were prompted primarily by concerns related to the transactions' governance. The issuer directed the 2004-1 Trustee to use trust funds to redeem subordinate notes without meeting the required senior parity (the ratio of total assets to senior liabilities) and total parity (the ratio of total assets to total liabilities) thresholds after the redemption as stipulated in the Indenture. Due to the redemption, senior parity was reduced from 115.26% in October 2009 to 108.64% in January 2010, which was lower than the required 110%. Total parity after redemption was 98.70%, lower than the required level of 100%. In addition, the issuer used trust funds to pay for legal costs associated with a lawsuit filed against the 1998-1 and 1999 transactions. While the governing documents provide for the payment of some transaction expenses, the total sum paid was in excess of the permitted amounts. Although the 2004 C&D and 2005-1 trusts were not directly affected by the two incidents stated above, both transactions are exposed to the same governance risk that the other three trusts have experienced. Moody's has received Edlinc's plan to cure the covenant issues related to the 2004-1 trust. During the review period, Moody's will review and monitor the plan's implementation. In addition, Moody's will continue monitoring transactions' performance. Primary sources of uncertainty are transaction governance issues as well as credit deterioration on the transactions resulting from poor transaction governance. Principal Methodology In monitoring securitizations backed by student loans Moody's evaluates operational and transaction governance risks introduced by non-performance of various transaction parties, in addition to assessing liquidity and credit risks. The adherence of the transaction parties to legal agreements governing securitization transactions is the essential element of assuring that noteholders receive the timely payments of interest and ultimate repayment of their principal investments. Moody's monitors compliance with covenants and other legal provisions of the transaction documents. In addition, Moody's assesses both liquidity and credit risks of the student loan transactions. The factors affecting liquidity and credit performance of a transaction include defaults, guarantor reject rates, voluntary prepayments, basis risk, borrower benefit utilization, and the number of borrowers in non- repayment status, such as deferment and forbearance. As a part of Moody's analysis, Moody's examine historical FFELP static pool performance data. To the extent that performance data is available from a specific issuer, that information is used to arrive at Moody's cash flow assumptions for that particular issuer. If an issuer's data are either limited or unavailable, Moody's assumptions are based on FFELP performance data received from other participants. In addition, historical interest rates and spreads are analyzed to evaluate the basis risk between the interest rate to which the notes are indexed and the interest rate to which the FFELP loans are indexed. This historical data is used to derive at expected, or most likely, outcome for each variable. These expected defaults, prepayments, interest rates, and other assumptions are then stressed in accordance with the rating categories requested by the issuer. Factors that influence the stress levels include the availability of relevant issuer-specific performance data, the seasoning of the loans, collateral concentrations (school types, loan programs), the financial strength and stability of the servicer, and the general economic environment. These stressed assumptions are then incorporated into a cash flow model that takes into account the FFELP loan characteristics as well as structural (e.g., starting parity, cash flow waterfall, bond tranching, etc.) and pricing features of the transaction. The cash flow model outputs are analyzed to determine whether the transaction as structured by the issuer has sufficient credit protection to pay off the notes by their legal final maturity dates. In certain circumstances where cash flow runs are not available, Moody's rely on model results from similar transactions. Moody's also analyze the liquidity risk of the transaction given that borrowers can be in non-repayment status while in school, grace, deferment or forbearance status, and the transaction can experience delays in default reimbursement and other payments. Basis risk is the primary credit risk in FFELP student loan ABS. Moody's Aaa stressed basis risk assumption between LIBOR and the CP Rate is 25 basis points with certain periods in which the spread increases to 150 basis points. This is based on an analysis of historical spreads between the two indices. Ratings Issuer: Education Loans Incorporated, Student Loan Asset-Backed Callable Notes Series 1998-1 -- D, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; previously on Feb. 19, 1998 Assigned Aaa -- H, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; previously on Feb. 19, 1998 Assigned Aaa -- F-2, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; previously on Feb. 19, 1998 Assigned Aaa -- K, B3 Placed Under Review for Possible Downgrade; previously on Dec. 24, 2008 Downgraded to B3 Issuer: Education Loans Incorporated (1999 Indenture) -- 1999-1 Class 1A, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; previously on June 4, 2009 Confirmed at Aaa -- 2001-1 Class 1A, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; previously on June 4, 2009 Confirmed at Aaa -- 2001-1 Class 1B, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; previously on June 4, 2009 Confirmed at Aaa -- 2002-1 Class 1A, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; previously on June 4, 2009 Confirmed at Aaa -- 2002-1 Class 1B, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; previously on June 4, 2009 Confirmed at Aaa -- Senior Ser. 2003-1B, Downgraded to Baa3 and Placed Under Review for Possible Downgrade -- Senior Ser. 2003-1C, Downgraded to Baa3 and Placed Under Review for Possible Downgrade -- 1999-1 Class 1C, Ca Placed Under Review for Possible Downgrade; previously on June 4, 2009 Downgraded to Ca -- 2001-1 Class 1C, Ca Placed Under Review for Possible Downgrade; previously on June 4, 2009 Downgraded to Ca -- 2002-1 Class 1C, Ca Placed Under Review for Possible Downgrade; previously on June 4, 2009 Downgraded to Ca -- Sub. Ser. 2003-1D, Ca Placed Under Review for Possible Downgrade; previously on June 4, 2009 Downgraded to Ca Issuer: Education Loans Incorporated (2004 Indenture) -- 2004-A1, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; previously on April 8, 2004 Assigned Aaa -- 2004-A3, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; previously on April 8, 2004 Assigned Aaa -- 2004-A4, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; previously on April 8, 2004 Assigned Aaa -- 2004-B1, Caa1 Placed Under Review for Possible Downgrade; previously on Dec. 5, 2008 Downgraded to Caa1 Issuer: Education Loans Incorporated (2004 C and D Indenture) -- 2004-C1, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; previously on Aug. 6, 2004 Assigned Aaa -- 2004-C2, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; previously on Aug. 6, 2004 Assigned Aaa -- 2004-C5, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; previously on Aug. 6, 2004 Assigned Aaa -- 2004-D, Caa1 Placed Under Review for Possible Downgrade; previously on Dec. 5, 2008 Downgraded to Caa1 Issuer: Education Loan Incorporated (FFELP Loans - 2005 Indenture) -- 2005-1A3, Downgraded to Baa3 and Placed Under Review for Possible Downgrade; previously on June 23, 2005 Definitive Rating Assigned Aaa -- 2005-1B, Downgraded to B2 and Placed Under Review for Possible Downgrade; previously on July 2, 2009 Downgraded to Baa3 EMERSON PLACE: Moody's Upgrades Ratings on Class E to 'Caa3' ------------------------------------------------------------ Moody's Investors Service announced that it has upgraded the rating of these notes issued by Emerson Place CLO, Ltd.: -- US$11,000,000 Class E Deferrable Junior Floating Rate Notes Due 2019, Upgraded to Caa3; previously on November 23, 2010 Ca Placed Under Review for Possible Upgrade. In addition, Moody's has confirmed the rating of these notes: -- US$13,000,000 Class D Deferrable Mezzanine Floating Rate Notes Due 2019, Confirmed at Caa2; previously on November 23, 2010 Caa2 Placed Under Review for Possible Upgrade. Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from improvement in the credit quality of the underlying portfolio and an increase in the overcollateralization ratios of the notes since the last rating action in June 2009. In Moody's view, these positive developments coincide with reinvestment of principal proceeds (including higher than previously anticipated recoveries realized on defaulted securities) into substitute assets with higher par amounts and/or higher ratings. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor) and a decrease in the proportion of securities from issuers rated Caa1 and below. In particular, as of the latest trustee report dated November 5, 2010, the weighted average rating factor is currently 2667 compared to 2944 in the May 2009 report, and securities rated Caa1 or lower make up approximately 2.78% of the underlying portfolio versus 6.30% in September 2009. Additionally, defaulted securities total about $3.3 million of the underlying portfolio compared to $17.2 million in September 2009. The overcollateralization ratios of the rated notes have also improved since the last rating action. The Senior (Class A/B), Mezzanine (Class C/D) and Interest Reinvestment (Class E) overcollateralization ratios are reported at 117.63%, 106.72%, and 103.10%, respectively, versus May 2009 levels of 116.15%, 105.38%, and 101.80%, respectively, and all related overcollateralization tests are currently in compliance. Moody's notes that upon further analysis, the rating on the Class D Notes which was placed on watch for possible upgrade does not warrant an upgrade at this time. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par balance, including principal proceeds, of $332 million, defaulted par of $4.4 million, weighted average default probability of 28.07% (implying a WARF of 3628), a weighted average recovery rate upon default of 42.43%, and a diversity score of 55. 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. Emerson Place CLO, Ltd., issued in December 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition to the base case analysis, Moody's also performed a number of sensitivity analyses to test the impact on all rated notes, including these: 1. Various default probabilities to capture potential defaults in the underlying portfolio. 2. A range of recovery rate assumptions for all assets to capture variability in recovery rates. A summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2902) -- Class A: +2 -- Class B: +3 -- Class C: +2 -- Class D: +3 -- Class E: +2 Moody's Adjusted WARF + 20% (4354) -- Class A: -2 -- Class B: -1 -- Class C: -2 -- Class D: -3 -- Class E: -1 A summary of the impact of different recovery rate levels on all rated notes (shown in terms of the number of notches' difference versus the current model output, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARR + 2% (44.43%) -- Class A: 0 -- Class B: +1 -- Class C: 0 -- Class D: +1 -- Class E: 0 Moody's Adjusted WARR - 2% (40.43%) -- Class A: 0 -- Class B: 0 -- Class C: 0 -- Class D: -1 -- Class E: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the 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 described below: 1) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus selling defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming worse of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. Additionally, in light of the large positive difference between the reported and covenant levels for the weighted average spread, Moody's considered the impact of assuming the midpoint of the Moody's calculated weighted average spread and the covenant in its analysis. FIELDSTONE MORTGAGE: Moody's Downgrades Ratings on 2006-S1 Notes ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of one tranche issued by Fieldstone Mortgage Investment Trust 2006-S1. The collateral backing the deal primarily consists of closed end second lien loans. Ratings Rationale The actions are a result of the continued performance deterioration in second lien pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on second lien pools. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. If expected losses on the each of the collateral pools were to increase by 10%, model implied results indicate that the ratings would remain stable. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Fieldstone Mortgage Investment Trust 2006-S1 * Expected Losses (as a % of Original Balance): 85% -- Cl. A, Downgraded to C (sf); previously on March 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade Regulatory Disclosures Information sources used to prepare the credit rating are these: parties involved in the ratings, parties not involved in the ratings, public information, confidential and proprietary Moody's Investors Service information, confidential and proprietary Moody's Analytics' information. Moody's Investors Service considers the quality of information available on the issuer or obligation satisfactory for the purposes of maintaining a credit rating. Moody's adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process. FIFTH THIRD: Moody's Downgrades Ratings on 2003-1 Tranche --------------------------------------------------------- Moody's Investors Service has downgraded the ratings of a tranche from one RMBS transaction issued by Fifth Third Home Equity Loan Trust 2003-1. The collateral backing this deal primarily consists of home equity lines of credit. Ratings Rationale The actions are a result of the continued performance deterioration in second lien pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on second lien pools. 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 note issued by Fifth Third Home Equity Loan Trust 2003-1 is wrapped by Financial Guaranty Insurance Company, (Rating Withdrawn). RMBS securities wrapped by Financial Guaranty Insurance Company, are rated at their underlying rating without consideration of FGIC's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. If expected losses on the collateral pool were to increase by 10%, model implied results would be one notch lower (for example, Ba2 versus Ba1, or Ca versus Caa3). Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Fifth Third Home Equity Loan Trust 2003-1 * Expected Losses (as a % of Original Balance): 3% -- Fifth Third Home Equity Loan Asset-Backed Notes, Series 2003- 1, Downgraded to Ba1 (sf); previously on March 18, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) FLATIRON CLO: S&P Raises Ratings on Various Classes of Notes ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A-1A, B, C, D, and E notes from Flatiron CLO 2007-1 Ltd., a collateralized loan obligation transaction managed by New York Life Investment Management LLC. Simultaneously, S&P removed the ratings on the class B, C, and D notes from CreditWatch positive, and S&P affirmed its rating on the class A-1B notes. The upgrades reflect the improved performance S&P has observed in the deal since October 2009, when S&P lowered the rating on all classes of notes following a review of the transaction under S&P's updated criteria for rating corporate collateralized debt obligations that S&P published in September 2009. The affirmation reflects the availability of the credit support at the current rating level. At the time of S&P's last rating action, based on the Sept. 8, 2009, trustee report, the transaction was holding approximately $14 million in defaulted obligations and more than $33 million in underlying obligors with a rating in the 'CCC' range. Since that time, a number of defaulted obligors held in the deal emerged from the bankruptcy process, with some receiving proceeds that were higher than their carrying value in the overcollateralization ratio test calculations. This, in combination with a reduction in the 'CCC' range rated assets, benefited all O/C ratio tests in the transaction. The senior par coverage (O/C) test increased to 119.45% by Oct. 7, 2010, from 118.19% as of Sept. 8, 2009, while the class D par coverage test rose to 108.35% from 107.20% in the same period. 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 S&P deem necessary. Rating And Creditwatch Actions Flatiron CLO 2007-1 Ltd. Rating ------ Class To From ----- -- ---- A-1A AAA (sf) AA+ (sf) B notes AA (sf) A+ (sf)/ Watch Pos C notes A (sf) BBB+ (sf)/ Watch Pos D notes BBB (sf) BB+ (sf)/ Watch Pos E notes B+ (sf) CCC+ (sf) Rating Affirmed Flatiron CLO 2007-1 Ltd. Class Rating ----- ------ A-1B notes AA+ (sf) G-STAR 2003-3: Moody's Takes Rating Actions on 2003-3 Notes ----------------------------------------------------------- Moody's has affirmed one and downgraded two classes of Notes issued by G-Star 2003-3 Ltd. due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in Defaulted Securities and an increase in the current level of undercollateralization of the deal as a result of realized losses. The rating action is the result of Moody's on- going surveillance of commercial real estate collateralized debt obligation transactions. -- Class A-1 Floating Rate Senior Notes Due 2038, Affirmed at A2 (sf); previously on March 20, 2009 Downgraded to A2 (sf) -- Class A-2 Floating Rate Senior Notes Due 2038, Downgraded to B2 (sf); previously on March 20, 2009 Downgraded to Ba3 (sf) -- Class A-3 Floating Rate Senior Notes Due 2038, Downgraded to Ca (sf); previously on March 20, 2009 Downgraded to Caa3 (sf) Ratings Rationale G-Star 2003-3 Ltd. is a CRE CDO transaction backed by a portfolio of asset backed securities (48.0% of the pool balance), commercial mortgage backed securities (40.3%), real estate investment trust bonds (10.6%) and CDOs (1.1%). As of the October 15, 2010 Trustee report, the aggregate Note balance of the transaction has decreased to $246.9 million from $450.0 million at issuance, with the paydown directed to the Class A-1 Notes, as a result of failing the Class A Principal Coverage test. Including defaulted securities and Cash, there is only $213.5 million of collateral remaining in the deal as of the October 15, 2010 Trustee report. There are eleven assets with par balance of $13.1 million (33.2% of the current pool balance) that are considered Defaulted Securities as of the October 15, 2010 Trustee report. All of these assets (100.0% of the defaulted balance) are asset backed securities, primarily subprime residential mortgage-backed securities. There have been realized losses of approximately $34.4 million as of October 15, 2010. Moody's expects significant losses from the Defaulted Securities once they are realized. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation . 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 have completed updated credit estimates for the non- Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 1,202 compared to 1,607 at last review. The distribution of current ratings and credit estimates is: Aaa- Aa3 (30.6% compared to 24.6% at last review), A1-A3 (21.4% compared to 13.1% at last review), Baa1-Baa3 (28.1% compared to 26.5% at last review), Ba1-Ba3 (7.9% compared to 13.6% at last review), B1-B3 (2.1% compared to 0.9% at last review), and Caa1-C (9.9% compared to 21.4% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 2.7 years compared to 3.5 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 35.8% compared to 38.6% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 2.3% compared to 16.0% at last review. The low MAC is due to higher default probability collateral concentrated within a small number of collateral names. 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 35% to 20% or up to 50% would result in average rating movement on the rated tranches of 0 to 3 notches downward and 0 to 3 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in a majority of property sectors. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expects overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. GE CAPITAL: Moody's Downgrades Ratings on Ten 2007-C1 Certs. ------------------------------------------------------------ Moody's Investors Service downgraded the ratings of ten classes, confirmed four classes and affirmed 13 classes of GE Capital Commercial Mortgage Corporation Commercial Mortgage Pass-Through Certificates, Series 2007-C1: -- Cl. A-1, Affirmed at Aaa (sf); previously on May 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on May 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on May 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. X-C, Affirmed at Aaa (sf); previously on May 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. X-P, Affirmed at Aaa (sf); previously on May 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on May 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Confirmed at Aaa (sf); previously on Oct. 7, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-1A, Confirmed at Aaa (sf); previously on Oct. 7, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-M, Confirmed at Aa3 (sf); previously on Oct. 7, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-MFL, Confirmed at Aa3 (sf); previously on Oct. 7, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Downgraded to B3 (sf); previously on Oct. 7, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-JFL, Downgraded to B3 (sf); previously on Oct. 7, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Caa2 (sf); previously on Oct. 7, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Caa3 (sf); previously on Oct. 7, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Ca (sf); previously on Oct. 7, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Ca (sf); previously on Oct. 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to C (sf); previously on Oct. 7, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to C (sf); previously on Oct. 7, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to C (sf); previously on Oct. 7, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to C (sf); previously on Oct. 7, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. K, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. P, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. Q, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The confirmations and affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the confirmed and affirmed classes are sufficient to maintain their current ratings. On October 7, 2010, Moody's placed 14 classes on watch for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 12.2% of the current balance. Moody's stressed scenario loss is 24.6% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's 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 transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated December 3, 2009. Moody's Investors Service received and took into account one or more third-party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the ratings. Deal Performance As of the November 10, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 7% to $3.69 billion from $3.95 billion at securitization. The Certificates are collateralized by 189 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 46% of the pool. No loans have defeased and there are no loans with credit estimates. Thirty-five loans, representing 17% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $33.9 million (17% loss severity overall). Thirty-five loans, representing 28% of the pool, are currently in special servicing. The largest specially serviced loan is the 666 Fifth Avenue Loan ($249 million -- 6.7% of the pool), which is secured by a 1.5 million square foot Class A office building located in New York, New York. This loan represents a 21% pari-passu interest in a $1.215 billion first mortgage loan. The loan was transferred to special servicing in March 2010 when the borrower requested a modification. The loan remains current. The second largest specially serviced loan is the Manhattan Apartment Portfolio Loan ($192.1 million -- 5.2% of the pool), which is secured by a portfolio of 36 cross- collateralized and cross-defaulted multi-family properties located in Manhattan. The loan was transferred to special servicing on February 27, 2009 due to imminent default and is currently 90+ days delinquent. The remaining specially serviced loans are represented by a mix of property types. The servicer has recognized appraisal reductions totaling $179.5 million for 22 of the specially serviced loans. Moody's has estimated an aggregate $294.8 million loss (30% expected loss on average) for 26 of the specially serviced loans. Moody's has assumed a high default probability for 14 poorly performing loans representing 7% of the pool and has estimated a $70.5 million loss (26% expected loss based on a 51% probability default) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Moody's was provided with full year 2009 operating results for 93% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 114% compared to 136% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 10.7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.38X and 0.90X, respectively, compared to 1.16X and 0.79X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 31 compared to 39 at Moody's prior review. The top three performing loans represent 17% of the pool balance. The largest loan is the Wolfchase Galleria Loan ($225 million - 6.1% of the pool), which is secured by the borrower's interest in a 1.3 million square foot enclosed regional mall located in Memphis, Tennessee. The mall is anchored by Macy's, Dillard's, Sears and J.C. Penney, none of which are part of the loan collateral. The property was 89% leased as of June 2010 versus 90% at last review. The loan sponsor is Simon Property Group, Inc. Moody's LTV and stressed DSCR are 137% and 0.67X, respectively, compared to 134% and 0.67X at last review. The second largest loan is the Skyline Portfolio Loan ($203.4 million -- 5.5% of the pool), which is secured by a portfolio of eight cross-collateralized and cross-defaulted office buildings located in Falls Church, Virginia. This loan represents a 30% pari-passu interest in a $678 million first mortgage loan. The properties were 95% leased as of December 2009 compared to 97% as of December 2008. Despite the decline in occupancy, performance has improved since last review. The loan sponsor is Vornado Realty Trust. Moody's LTV and stressed DSCR are 121% and 0.78X, respectively, compared to 134% and 0.72X at last review. The third largest loan is the JP Morgan Portfolio Loan ($196.5 million -- 5.4% of the pool), which is secured by a 732,922 square foot office building and a 1,900 space parking garage located in Phoenix, Arizona and a 429,000 square foot office building located in Houston, Texas. Performance has been stable. The property is 100% leased to JP Morgan through March 31, 2021. The loan is interest-only throughout the term. Moody's LTV and stressed DSCR are 111% and 0.85X, respectively, compared to 161% and 0.61X at last review. GEM LIGOS: S&P Downgrades Ratings on Six Tranches ------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six tranches from GEM LIGOs III Ltd. and removed them from CreditWatch with negative implications. S&P also affirmed its ratings on eight tranches from GEM VIII Ltd. and removed them from CreditWatch with negative implications. At the same time, S&P also withdrew its rating on the class A-3 notes from Centurion Global Sovereign CBO Ltd. following its complete paydown. The downgraded tranches have a total issuance amount of $562 million. All three transactions are emerging market collateralized debt obligations. The CDO downgrades reflect a number of factors, including the application of S&P's updated criteria and assumptions used to rate corporate CDO transactions, as well as any deterioration in the credit quality of the underlying assets. The affirmations reflect current credit support levels that S&P believes are sufficient to maintain the current ratings. Standard & Poor's will continue to monitor the CDO transactions it rates and take rating actions, including CreditWatch placements, when appropriate. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Centurion Global A-3 NR BBB+ (sf)/Watch Pos Sovereign CBO I GEM VIII A-1A AAA (sf) AAA (sf)/Watch Neg GEM VIII A-1B AAA (sf) AAA (sf)/Watch Neg GEM VIII A-2 AAA (sf) AAA (sf)/Watch Neg GEM VIII A-3 AA (sf) AA (sf)/Watch Neg GEM VIII B A- (sf) A- (sf)/Watch Neg GEM VIII C BBB (sf) BBB (sf)/Watch Neg GEM VIII D-1 BB (sf) BB (sf)/Watch Neg GEM VIII D-2 BB (sf) BB (sf)/Watch Neg GEM LIGOs III A-1 AA+ (sf) AAA (sf)/Watch Neg GEM LIGOs III A-2 A+ (sf) AAA (sf)/Watch Neg GEM LIGOs III A-3 A- (sf) AA (sf)/Watch Neg GEM LIGOs III B BB+ (sf) A- (sf)/Watch Neg GEM LIGOs III C B+ (sf) BBB (sf)/Watch Neg GEM LIGOs III D B (sf) BB (sf)/Watch Neg NR - Not rated. GMAC COMMERCIAL: Fitch Downgrades Ratings on 11 2006-C1 Certs. -------------------------------------------------------------- Fitch Ratings has downgraded 11 classes of GMAC Commercial Mortgage Securities, Inc. series 2006-C1, commercial mortgage pass-through certificates, due to further deterioration of performance, most of which involves increased losses on the specially serviced loans. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 10.17% of the remaining pool; expected losses of the original pool are at 12.35%, including losses already incurred to date. Fitch has designated 32 loans (44.2%) as Fitch Loans of Concern, which includes nine specially serviced loans (17.5%). Fitch expects classes F thru M may be fully depleted from losses associated with the specially serviced assets and class E will also be affected. As of the November 2011 distribution date, the pool's aggregate principal balance has been paid down by approximately 9.9% to $1.56 billion from $1.73 billion at issuance. Interest shortfalls are affecting classes J through Q. The Fitch stressed loan-to-value for the pool is 87.5%. The top 15 loans represent 55.3% of the pool, nine of the top 15 loans were assumed to default and incur a loss, with severities ranging from 2% to 65%. The largest specially serviced loan and contributor to loss (3.3% of pool balance) is secured by a three-building office complex comprising 486,963 square feet, located in Springdale, Ohio. The loan transferred to special servicing on May 7, 2010 due to imminent monetary default. The decline in performance is a result of the loss of the largest tenant which occupied 63% of the space vacating upon lease expirations in December 2009 and March 2010. As of April 2010, the property was 36% occupied. The special servicer expects leasing could be difficult given the large amount of vacant space and the current economic market conditions. The special servicer is in the process of reviewing the file to determine the appropriate resolution strategy. The second largest specially serviced loan (4.6%) was originally secured by a portfolio of 35 single-tenanted retail properties located in California, Nevada, Arizona, and Texas, of which 26 remain. The collateral was previously 100% leased by Mervyn's under 20-year leases; however, the tenant subsequently filed for Chapter 11 bankruptcy relief, and rejected and vacated each of the stores. To date, seven of the stores have been fully leased, four partially leased, 10 have been sold, and two store sales are pending. Sales proceeds have been used to pay debt service through September 2010. Based on an updated valuation provided by the special servicer, losses are expected to the pooled classes as the outstanding trust debt exceeds the recent appraisal value. The loan is split into three pari passu notes, including the fixed-rate A-2 note in this transaction, the fixed-rate A-1 note ($71.3 million) securitized in the GE 2005-C4 transaction and the floating-rate A-3 note ($11.4 million) securitized in the COMM 2005-FL11 transaction. Fitch also rates the COMM 2005-FL11 transaction. The third largest loan specially serviced loan (4.3%) is secured by two apartment complexes totaling 720 units located in Phoenix, AZ and Memphis, TN. The loans are both cross-collateralized and cross-defaulted. The loans were transferred to special servicing in January 2010 for payment default. The borrower indicated increased vacancy and lower rents, particularly with respect to the property located in Phoenix, AZ. The special servicer is pursuing foreclosure. Based on an updated valuation provided by the special servicer, losses are expected to the pooled classes as the outstanding trust debt exceeds the recent appraisal value. Fitch downgrades and assigns Recovery Ratings: -- $114.6 million class A-J to 'BBB-sf/LS4' from 'BBBsf/LS4'; Outlook Negative; -- $36.1 million class B to 'Bsf/LS5' from 'BBsf/LS5'; Outlook Negative; -- $19.1 million class C to 'CCCsf/RR1' from 'BBsf/LS5'; -- $12.7 million class D to 'CCCsf/RR1' from 'BBsf/LS5' -- $21.2 million class E to 'CCCsf/RR2' from 'B-sf/LS5'; -- $17 million class F to 'CCsf/RR6' from 'B-sf/LS5'; -- $19.1 million class G to 'CCsf/RR6' from 'B-sf/LS5'; -- $19.1 million class H to 'CCsf/RR6' from 'CCCsf/RR6'; -- $23.3 million class J to 'Csf/RR6' from 'CCsf/RR6'; -- $6.4 million class K to 'Csf/RR6' from 'CCsf/RR6'; -- $6.4 million class L to 'Csf/RR6' from 'CCsf/RR6'. Fitch also affirms these classes and revises the Outlooks and LS ratings as indicated: -- $284.1 million class A-1A at 'AAAsf/LS2'; Outlook Stable; -- $97.1 million class A-2 at 'AAAsf/LS2'; Outlook Stable; -- $98 million class A-3 at 'AAAsf/LS2'; Outlook Stable; -- $576.1 million class A-4 at 'AAAsf/LS2'; Outlook Stable; -- $169.7 million class A-M at 'AAAsf/LS4'; Outlook to Stable from Negative; -- $6.8 million class M at 'Dsf/RR6'; -- $5.1 million class FNB-1 at 'Bsf; Outlook Negative; -- $5.6 million class FNB-2 at 'Bsf'; Outlook Negative; -- $2.1 million class FNB-3 at 'CCCsf/RR1'; -- $4.5 million class FNB-4 at 'CCCsf/RR1'; -- $2.4 million class FNB-5 at 'CCCsf/RR1'; -- $13.3 million class FNB-6 at CCCsf/RR1. Classes N, O, P, remain at 'Dsf/RR6' due to principal losses incurred. Class Q is not rated by Fitch. Classes A-1 and A-1D have paid in full. Fitch withdraws the ratings on the interest-only classes XP and XC. GMAC COMMERCIAL: Moody's Upgrades Ratings on Three 2002-C2 Certs. ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of three classes, downgraded three and affirmed ten classes of GMAC Commercial Mortgage Securities, Inc., Commercial Mortgage Pass-Through Certificates, Series 2002-C2: -- Cl. A-2, Affirmed at Aaa (sf); previously on June 27, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on June 27, 2002 Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on June 27, 2002 Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Feb. 1, 2006 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on Feb. 1, 2006 Upgraded to Aaa (sf) -- Cl. D, Affirmed at Aaa (sf); previously on July 9, 2007 Upgraded to Aaa (sf) -- Cl. E, Affirmed at Aaa (sf); previously on Aug. 28, 2007 Upgraded to Aaa (sf) -- Cl. F, Upgraded to Aaa (sf); previously on Aug. 28, 2007 Upgraded to Aa1 (sf) -- Cl. G, Upgraded to Aa3 (sf); previously on Aug. 28, 2007 Upgraded to A1 (sf) -- Cl. H, Upgraded to A2 (sf); previously on Aug. 28, 2007 Upgraded to A3 (sf) -- Cl. J, Affirmed at Baa3 (sf); previously on Feb. 1, 2006 Upgraded to Baa3 (sf) -- Cl. K, Affirmed at Ba2 (sf); previously on June 27, 2002 Definitive Rating Assigned Ba2 (sf) -- Cl. L, Affirmed at Ba3 (sf); previously on June 27, 2002 Definitive Rating Assigned Ba3 (sf) -- Cl. M, Downgraded to B3 (sf); previously on June 27, 2002 Definitive Rating Assigned B1 (sf) -- Cl. N, Downgraded to Caa1 (sf); previously on June 27, 2002 Definitive Rating Assigned B2 (sf) -- Cl. O, Downgraded to Caa2 (sf); previously on June 27, 2002 Definitive Rating Assigned B3 (sf) Ratings Rationale The upgrades are due to the significant increase in subordination due to loan payoffs and amortization, increased defeasance and overall stable pool performance. The pool has paid down by 7% since Moody's last review. Thirty-two loans, representing 36% of the pool, have defeased. Defeasance at last review represented 25% of the pool. The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 3.3% of the current balance. At last review, Moody's cumulative base expected loss was 1.1%. Moody's stressed scenario loss is 5.6% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 33 compared to 49 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated August 28, 2007. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 21% to $582.6 million from $737.6 million at securitization. The Certificates are collateralized by 97 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans representing 27% of the pool. Thirty-two loans, representing 36% of the pool, have defeased and are collateralized with U.S. Government securities. Nineteen loans, representing 18% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Four loans have been liquidated from the pool, resulting in an aggregate realized loss of $6.9 million (51% loss severity overall). Four loans, representing 2% of the pool, are currently in special servicing. Moody's has estimated an aggregate $3.3 million loss (39% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for four poorly performing loans representing 3% of the pool and has estimated a $5.1 million aggregate loss (20% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 operating results for 97% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 76% compared to 79% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.8%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.44X and 1.51X, respectively, compared to 1.45X and 1.40X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 12% of the pool balance. The largest loan is the Sovran Self-Storage Loan ($27.7 million -- 8.9%), which is secured by 11 self storage properties located in six states: Michigan (3), Florida (2), Texas (2), Ohio (2), New York and Massachusetts. The portfolio includes 6,583 units and approximately 23% of the units are climate controlled. Moody's LTV and stressed DSCR are 79% and 1.39X, respectively, compared to 80% and 1.35X at last review. The second largest loan is the Ames Industrial Loan ($25.1 million - 4.3%), which is secured by a 1.0 million square foot warehouse/distribution facility located in Carlisle, Pennsylvania. The property is fully leased to Ames True Temper, Inc., a manufacturer of non-powered lawn and garden tools, through November 2015. The loan has benefited from rent steps and amortization. Moody's LTV and stressed DSCR are 60% and 1.71X, respectively, compared to 78% and 1.29X at last review. The third largest loan is Northway Mall Loan ($18.5 million -- 3.2%), which is secured by a 209,600 square foot retail center located in Colonie, New York. The property's financial performance has declined since last review due to several tenants vacating the center, including Linen N'Things and Thomasville Furniture. The property was 89% leased as of June 2010. The loan is on the watchlist due to near-term lease expirations. Moody's LTV and stressed DSCR are 136% and 0.75X, respectively, compared to 80% and 1.28X at last review. GMAC COMMERCIAL: Moody's Affirms Ratings on 11 2002-C3 Certs. ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 11 classes and downgraded six classes of GMAC Commercial Mortgage Securities, Inc., Series 2002-C3 Mortgage Pass-Through Certificates: -- Cl. A-1, Affirmed at Aaa (sf); previously on Dec. 19, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on Dec. 19, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Dec. 19, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Feb. 16, 2006 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on Feb. 16, 2006 Upgraded to Aaa (sf) -- Cl. D, Affirmed at Aaa (sf); previously on May 2, 2007 Upgraded to Aaa (sf) -- Cl. E, Affirmed at Aa1 (sf); previously on Sept. 25, 2008 Upgraded to Aa1 (sf) -- Cl. F, Affirmed at Aa3 (sf); previously on Sept. 25, 2008 Upgraded to Aa3 (sf) -- Cl. G, Affirmed at A3 (sf); previously on Feb. 16, 2006 Upgraded to A3 (sf) -- Cl. H, Affirmed at Baa1 (sf); previously on Feb. 16, 2006 Upgraded to Baa1 (sf) -- Cl. J, Affirmed at Baa3 (sf); previously on Feb. 16, 2006 Upgraded to Baa3 (sf) -- Cl. K, Downgraded to Ba3 (sf); previously on Feb. 16, 2006 Upgraded to Ba1 (sf) -- Cl. L, Downgraded to B3 (sf); previously on Dec. 19, 2002 Definitive Rating Assigned Ba3 (sf) -- Cl. M, Downgraded to Caa3 (sf); previously on Dec. 19, 2002 Definitive Rating Assigned B1 (sf) -- Cl. N, Downgraded to Ca (sf); previously on Dec. 19, 2002 Definitive Rating Assigned B2 (sf) -- Cl. O-1, Downgraded to C (sf); previously on Dec. 19, 2002 Definitive Rating Assigned B3 (sf) -- Cl. O-2, Downgraded to C (sf); previously on Jan. 3, 2003 Assigned B3 (sf) Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 3.1% of the current balance compared to 1.8% at Moody's prior review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated May 2, 2007. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 10, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 23% to $596.5 million from $777.4 billion at securitization. The Certificates are collateralized by 98 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans representing 26% of the pool. Twenty-one loans, representing 29% of the pool, have defeased and are collateralized by U.S. Government securities. Twenty-one loans, representing 24% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Three loans have been liquidated from the pool since securitization, resulting in an aggregate $11.2 million loss (55% loss severity on average). Currently, six loans, representing 6.5% of the pool, are in special servicing. The master servicer has recognized appraisal reductions totaling $6.0 million for three of the specially serviced loans. Moody's has estimated an aggregate $11.6 million loss (48% expected loss on average) for four of the specially serviced loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 91% and 76% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 84%, essentially the same as at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11.3% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.39X and 1.3X, respectively, compared to 1.42X and 1.27X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 42 compared to 54 at last review. The top three performing loans represent 12% of the pool. The largest loan is the Clifton Commons Loan ($31.0 million -- 5.2% of the pool), which is secured by a 173,000 square foot retail center located in Clifton, New Jersey. Major tenants include a 16-screen AMC Theater (19% of the gross leasable area (GLA); lease expiration in May 2019), The Sports Authority (25% of the GLA; lease expiration in March 2014) and Barnes & Noble (21% of the GLA; lease expiration in May 2014). As of June 2010, the property was 100% leased; the same as at last review. Performance has improved due to increased rental revenues. Moody's LTV and stressed DSCR are 78% and 1.2X, respectively, compared to 88% and 1.09X at last review. The second largest loan is the Shops at River Park Loan ($25.0 million -- 4.2% of the pool), which is secured by a 134,000 square foot retail center located in Fresno, California. Major tenants include Borders Book (19% of the GLA; lease expiration in May 2013) and Cost Plus World Market (14% of the GLA; lease expiration in January 2012). As of December 2009, the property was 95% leased compared to 99% at last review. Moody's LTV and stressed DSCR are 78% and 1.28X, respectively, compared to 77% and 1.29X at last review. The third largest loan is Sand Pebbles & Spanish Oaks Apartment Loan ($15.1 million -- 2.5% of the loan), which is secured by two adjacent multi-family properties with 448 units located in Reno, Nevada. As of December 2009, the combined occupancy was 89%, the same as at last review. Performance has declined since last review. Moody's LTV and stressed DSCR are 86% and 1.12X, respectively, compared to 76% and 1.26X, at last review. GMAC COMMERCIAL: S&P Downgrades Ratings on 11 2003-C2 Certs. ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 11 classes of commercial mortgage pass-through certificates from GMAC Commercial Mortgage Securities Inc.'s series 2003-C2 and removed them from CreditWatch with negative implications. S&P lowered its ratings on classes K, L, M, N, and O to 'D (sf)'. At the same time, S&P affirmed its ratings on five other classes and removed two of them from CreditWatch with negative implications. The downgrades reflect S&P's analysis of the interest shortfalls that have affected the trust, and the potential for these shortfalls to recur. These shortfalls have significantly reduced overall liquidity available to the trust. The shortfalls are due to appraisal subordinate entitlement reduction amounts and nonrecoverable advance declarations related to the specially serviced assets. Projected losses on these assets could substantially impair the subordinate portion of the capital structure. S&P lowered its ratings on the class K, L, M, N, and O certificates to 'D (sf)' due to recurring interest shortfalls that S&P expects will continue for the foreseeable future. The downgrades also reflect a reduction of available interest to the trust, as well as the susceptibility of the certificates to experience interest shortfalls in the future. As of the Nov. 10, 2010, remittance report, the trust experienced monthly interest shortfalls totaling $310,935. The interest shortfalls were primarily due to ASER amounts ($142,245) stemming from appraisal reduction amounts on two specially serviced assets, and interest not advanced ($82,148) due to a nonrecoverable advance declaration associated with one specially serviced asset. The monthly interest shortfalls caused classes K, L, M, N, and O to experience interest shortfalls for four or more months each. S&P expects these shortfalls to continue for the foreseeable future, and as a result lowered these classes to 'D (sf)'. Classes H and J have experienced shortfalls for one and two months, respectively, and are at an increased risk of experiencing shortfalls in the future. If these shortfalls continue, S&P will likely further downgrade these classes to 'D (sf)'. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, Standard & Poor's calculated an adjusted debt service coverage of 1.46x and a loan-to-value ratio of 88.3%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 1.16x and an LTV ratio of 112.2%. The implied defaults and loss severity under the 'AAA' scenario were 31.9% and 37.2%, respectively. All of the adjusted DSC and LTV calculations excluded three ($63.4 million, 7.8%) of the four specially serviced assets, and 22 ($292.1 million, 36.0%) defeased loans. S&P separately estimated losses for the three specially serviced assets, which S&P included in its 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its rating on the class X-1 interest-only certificates based on its current criteria. Credit Considerations As of the November 2010 remittance report, four assets ($105.5 million, 13.0%) were with the special servicer, CWCapital Asset Management LLC. One of these assets ($16.7 million, 2.1%) is real estate owned by the trust, one ($2.9 million, 0.4%) is in foreclosure, one ($43.8 million, 5.4%) is 30 days delinquent, and one ($42.1 million, 5.2%) is current. ARAs totaling $44.8 million are in effect against three of the four assets. The River Oaks West Apartments loan ($43.8 million, 5.4%), the largest exposure in the pool, is the largest asset with the special servicer and is secured by a 420-unit multifamily complex in Novi, Michigan. The loan was transferred to CWCapital on Jan. 8, 2010, due to imminent monetary default, and is currently 30 days delinquent. An ARA of $28.5 million is currently in effect against this asset. A loan modification has been approved with the outstanding principal balance split between a $21.0 million senior note and a subordinate note for the remaining balance. Debt service on the senior note will be interest only, while debt service on the subordinate note will be deferred. In addition, the modification provides for two, one- year extension options, provided certain DSC covenants are met. The borrower will contribute $1.7 million in additional equity in connection with this modification. Despite this modification, the total loan exposure is high relative to comparable properties in the submarket, as well as the most recent appraisal provided to the special servicer. Consequently, if the borrower is unable to comply with the terms of the modification, S&P would anticipate a significant loss upon the eventual resolution of this asset. The Boulevard Mall loan ($42.1 million, 5.2%), the third- largest exposure in the pool, is secured by 587,170 sq. ft. of a 1.2 million-sq.-ft. regional mall in Las Vegas, Nevada. The loan was transferred to CWCapital on April 23, 2009, in connection with the bankruptcy filing of its sponsor, General Growth Properties, on April 16, 2009. In connection with this reorganization, the maturity of this loan was extended to July 1, 2018. As of Dec. 31, 2009, the property had a DSC of 1.85x, and as of June 30, 2010, it was 83.7% occupied. S&P anticipate that this loan will be returned to the master servicer. The Woodbridge Crossing Retail Center ($16.7 million, 2.1%), the 10th-largest exposure in the pool, is secured by the leased fee interest in a 284,463-sq.-ft. anchored retail center in Woodbridge, New Jersey. The asset transferred to CWCapital on March 27, 2009, and the underlying leasehold mortgage was foreclosed on July 15, 2010. The property is currently REO. An ARA of $14.9 million is currently in effect, and the master servicer, Berkadia Commercial Mortgage LLC, has made a nonrecoverable advance declaration in connection with this asset. S&P expects close to a 100% loss upon the eventual resolution of this asset. The remaining specially serviced asset, the Los Alamos Plaza loan ($2.9 million, 0.4%), is secured by a 20,920-sq.-ft. office building in Scottsdale, Ariz. The loan was transferred to CWCapital on July 8, 2010, due to monetary default, following the departure of a tenant that occupied 31.0% of the building gross leasable area. Other tenants in the building are demanding rent concessions. An ARA of $1.4 million is currently in effect against this asset. As of Dec. 31, 2009, the property had a DSC of 1.75x with 60.0% occupancy. S&P anticipate a significant loss upon the eventual resolution of this asset. One loan ($2.0 million, 0.2%) was previously with the special servicer, but has since been returned to the master servicer. According to the transaction documents, the special servicer is entitled to a workout fee equal to 1.0% of all future principal and interest payments on the loan (including the balloon maturity payment) if it continues to perform and remains with the master servicer. Transaction Summary As of the November 2010 remittance report, the aggregate pooled trust balance was $812.0 million, which represents 62.9% of the aggregate pooled balance at issuance. There are 72 assets in the pool, down from 90 at issuance. The master servicer provided financial information for 100.0% of the pool, and 86.1% of the servicer-provided information was full-year 2009 or interim 2010 data. S&P calculated a weighted average DSC of 1.55x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.46x and 88.3%, respectively, which exclude three of the four specially serviced assets ($63.4 million, 7.8%) for which S&P has estimated losses separately. Based on the servicer-reported DSC figures, S&P calculated a weighted average DSC of 1.26x for these three loans. Seven loans ($59.2 million, 7.3%) are on the master servicer's watchlist, including one of the top 10 loans. Six loans ($54.5 million, 6.7%) have a reported DSC of less than 1.1x, and two of these loans ($11.6 million, 1.4%) have a reported DSC of less than 1.0x. Twenty-two loans ($292.1 million, 36.0%) have been defeased. To date, the transaction has realized principal losses of $7.9 million in connection with two loans. Summary of The Top 10 Loans The top 10 exposures secured by real estate have an aggregate outstanding balance of $301.3 million (37.1%). Using servicer- reported numbers, S&P calculated a weighted average DSC of 1.49x for the top 10 loans. S&P's adjusted DSC and LTV for the top 10 loans were 1.29x and 101.6%, respectively. One of the top 10 loans appears on the master servicer's watchlist. The Park Portfolio loan ($18.4 million, 2.3%), the ninth-largest exposure in the pool, is secured by a four-property, 407,753-sq.- ft. mixed-use portfolio in Washington, D.C., and its Maryland suburbs. The portfolio is 46.8% office, 42.8% mixed-use, and 10.4% retail. The loan appears on the master servicer's watchlist due to low DSC and an occupancy decrease. As of Dec. 31, 2009, DSC and occupancy were 1.01x and 65%, respectively. As of June 30, 2010, these figures had declined to 0.73x and 62%, respectively. Standard & Poor's stressed the loans in the pool according to its U.S. conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2003-C2 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- D AA (sf) AA+ (sf)/Watch Neg 16.51 E A+ (sf) AA (sf)/Watch Neg 14.53 F BB+ (sf) BBB+(sf)/Watch Neg 11.94 G B+ (sf) BBB (sf)/Watch Neg 10.55 H CCC+ (sf) BB+ (sf)/Watch Neg 8.57 J CCC- (sf) B+ (sf)/Watch Neg 5.98 K D (sf) B (sf)/Watch Neg 4.99 L D (sf) B- (sf).Watch Neg 4.00 M D (sf) CCC+ (sf)/Watch Neg 2.80 N D (sf) CCC(sf)/Watch Neg 2.21 O D (sf) CCC- (sf)/Watch Neg 1.61 Ratings Affirmed And Removed From Creditwatch GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2003-C2 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- B AAA (sf) AAA (sf)/Watch Neg 22.28 C AAA (sf) AAA (sf)/Watch Neg 20.29 Ratings Affirmed GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2003-C2 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA (sf) 27.24 A-2 AAA (sf) 27.24 X-1 AAA (sf) N/A N/A - Not Applicable GMAC COMMERCIAL: S&P Downgrades Ratings on Five Securities ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on five classes of commercial mortgage-backed securities from GMAC Commercial Mortgage Securities Inc.'s series 2005-C1. S&P placed four of these ratings on CreditWatch with negative implications and downgraded the class G certificate to 'D (sf)'. Concurrently, S&P placed its ratings on two additional classes from the same transaction on CreditWatch with negative implications. The downgrades and CreditWatch placements follow S&P's preliminary analysis of the transaction. The downgrades of the class D, E, F, and G certificates reflect recurring interest shortfalls to these classes that S&P expects to continue for the foreseeable future. The CreditWatch negative placements primarily reflect these classes' susceptibility to liquidity interruptions, as well as credit support erosion that S&P anticipate will occur upon the eventual resolution of the 14 assets with the special servicer. Because class D and all classes subordinate to it have not received full interest payments, there is less liquidity available to absorb any future shortfall amounts on the more-senior classes. This was a significant factor in S&P's CreditWatch placements on the class A-J, B, and C ratings and the downgrade of class C. As of the Nov. 10, 2010, remittance report, the transaction's current interest shortfalls totaled $395,528 and have affected all of the classes subordinate to and including class D. The interest shortfalls are primarily due to appraisal reduction amounts, totaling $69.3 million, which are currently in effect for 12 of the 14 specially serviced assets. The reported appraisal subordinate entitlement reductions for these five assets totaled $323,377. There are 14 ($304.2 million, 31.2%) assets with the special servicer, Berkadia Commercial Mortgage. The payment status of the 14 specially serviced assets is as follows: one is real estate owned (REO; $8.2 million, 0.8%); one is in foreclosure ($13.1 million, 1.3%); 10 are 90-plus days delinquent ($195.7 million, 20.1%); one is 30 days delinquent ($3.5 million, 0.4%); and one is in its grace period ($83.7 million, 8.6%). Details of the three largest specially serviced assets are: The Windsor Hospitality Portfolio loan ($83.7 million, 8.6%) is the largest loan in the pool and is secured by four hotel properties (three Embassy Suites, one Renaissance) in Las Vegas, North Carolina, California, and Georgia with a total of 902 rooms. The loan was transferred to Berkadia on Sept. 24, 2010, due to imminent loan maturity (on Nov. 1, 2010). The loan is currently in its grace period. The 3301 N. Buffalo Drive loan ($57.8 million, 5.9%) is the third-largest loan in the pool and is secured by a 321,041-sq.- ft. office property built in 1997 in Las Vegas. The loan was transferred to Berkadia on April 17, 2009, for imminent default, and is currently 90-plus days delinquent. A $21.4 million ARA is in effect for this asset. The City Center Square loan ($40.7 million, 4.2%) is the fifth-largest loan in the pool and is secured by a 650,097-sq.-ft. office property built in 1979 in Kansas City, Mo. The loan was transferred to Berkadia on April 9, 2010, for imminent default, and is currently 90-plus days delinquent. A $7.2 million ARA is in effect for this asset. Standard & Poor's expects to resolve the CreditWatch placements after completing a full review of the transaction, which will include an analysis of current and expected interest shortfalls, as well as a review of the credit characteristics of the remaining loans in the pool. Rating Lowered GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2005-C1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- G D (sf) CCC- (sf) 4.59 Ratings Lowered And Placed On Creditwatch Negative GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2005-C1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- C BBB- (sf)/Watch Neg BBB+ (sf) 11.96 D BB+ (sf)/Watch Neg BBB (sf) 9.50 E B (sf)/Watch Neg BB (sf) 7.86 F CCC- (sf)/Watch Neg B- (sf) 6.23 Ratings Placed On Creditwatch Negative GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2005-C1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-J A+ (sf)/Watch Neg A+ (sf) 16.67 B A- (sf)/Watch Neg A- (sf) 13.19 GMAC COMMERCIAL: S&P Downgrades Ratings on Nine Securities ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on nine classes of commercial mortgage-backed securities from GMAC Commercial Mortgage Securities Inc.'s series 2004-C1 and placed them on CreditWatch with negative implications. Concurrently, S&P placed its ratings on four additional classes from the same transaction on CreditWatch with negative implications. The downgrades and CreditWatch placements follow S&P's preliminary analysis of the transaction. The downgrades of the class H, J, K, L, M, N, and O certificates reflect recurring interest shortfalls to these classes that S&P expects to continue for the foreseeable future. The CreditWatch placements primarily reflect these classes' susceptibility to liquidity interruptions, as well as credit support erosion that S&P anticipates will occur upon the eventual resolution of the five assets with the special servicer, CW Capital Asset Management LLC. All classes subordinate to class G shorted interest payments, which decreased the liquidity available to the more senior classes if there are additional interest shortfalls. This was a significant factor in S&P's CreditWatch placements o on the class B, C, D, E, F, and G ratings and the downgrade of classes F and G. As of the Nov. 10, 2010 remittance report, the transaction's current interest shortfalls totaled $181,423, which have affected all of the classes including and subordinate to class H. The interest shortfalls are primarily due to appraisal reduction amounts totaling $32.0 million that are currently in effect for five ($63.9 million; 10.9%) assets with CW Capital. The reported appraisal subordinate entitlement reductions for these five assets totaled $167,472. The payment status of the five specially serviced assets is as follows: two are real estate owned ($7.3 million, 1.2%); two are in foreclosure ($51.5 million, 8.8%); and one is 90-plus days delinquent ($5.2 million 0.9%). Details of the five specially serviced assets are: The Fort Washington Executive Center loan ($44.2 million, 7.5%) is secured by three office buildings totaling 393,067-sq.-ft. built in 1988 in Fort Washington, Pa., 13 miles north of the Philadelphia central business district. The loan was transferred to CWCapital on March 5, 2010, for imminent default, and the loan is in foreclosure. A $19.3 million ARA is in effect for this loan. The Farmer Jack Center loan ($7.2 million, 1.2%) is secured by a 110,908-sq.-ft. retail property built in 1964 in Mount Clemens, Mich. The loan was transferred to CWCapital on Oct. 23, 2009, for imminent default, and the loan is in foreclosure. A $5.7 million ARA is in effect for this loan. The Casa De Topaz Apartments loan ($5.2 million, 1.3%) was transferred to the special servicer due to imminent maturity default on Jan. 8, 2010, and is currently in foreclosure. The 140-unit multifamily property was built in 1995 in Casa Grande, Ariz. A $2.9 million ARA is in effect for this loan. The Shoppes of Kissimmee ($5.0 million, 0.9%) became REO in June 2010 and comprises a 74,230-sq.-ft. retail property built in 1988 in Kissimmee, Florida. A $3.4 million ARA is in effect for this asset. The Cave Creek Shopping Center ($2.3 million, 0.4%) became REO in July 2010 and comprises a 21,595-sq.-ft. retail property built in 1978 in Phoenix. A $641,432 ARA is in effect for this asset. S&P expects to resolve its CreditWatch placements following a full analysis of the transaction, which will include an analysis of current and expected interest shortfalls, as well as a review of the credit characteristics of the remaining loans in the pool. Ratings Lowered And Placed On Creditwatch Negative GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2004-C1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- F BBB-/Watch Neg (sf) BBB+ (sf) 8.82 G BB/Watch Neg (sf) BBB (sf) 7.44 H BB-/Watch Neg (sf) BBB- (sf) 5.60 J CCC+/Watch Neg (sf) BB+ (sf) 4.83 K CCC/Watch Neg (sf) BB (sf) 4.07 L CCC-/Watch Neg (sf) BB- (sf) 3.30 M CCC-/Watch Neg (sf) B+ (sf) 2.84 N CCC-/Watch Neg (sf) B (sf) 2.38 O CCC-/Watch Neg (sf) B- (sf) 1.92 Ratings Placed On Creditwatch Negative GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2004-C1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- B AA+/Watch Neg (sf) AA+ (sf) 16.34 C AA/Watch Neg (sf) AA (sf) 14.96 D A+/Watch Neg (sf) A+ (sf) 12.35 E A/Watch Neg (sf) A (sf) 10.97 GRAMERCY REAL: Moody's Downgrades Ratings on Five Classes --------------------------------------------------------- Moody's has downgraded five classes of Notes issued by Gramercy Real Estate CDO 2007-1, Ltd., due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor, and failure of the Par Value Coverage Tests. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Issuer: Gramercy Real Estate CDO 2007-1, Ltd. -- Cl. A-1, Downgraded to Baa3 (sf); previously on Mar 30, 2009 Confirmed at Aaa (sf) -- Cl. A-2, Downgraded to Ba3 (sf); previously on Mar 30, 2009 Confirmed at Aaa (sf) -- Cl. A-3, Downgraded to Caa2 (sf); previously on Mar 30, 2009 Downgraded to A2 (sf) -- Cl. B-FL, Downgraded to Caa3 (sf); previously on Mar 30, 2009 Downgraded to Ba1 (sf) -- Cl. B-FX, Downgraded to Caa3 (sf); previously on Mar 30, 2009 Downgraded to Ba1 (sf) Ratings Rationale Gramercy Real Estate CDO 2007-1, Ltd., is a partially revolving CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (74.2% of the pool balance), mezzanine loans (12.6%), A-notes and whole loans (7.7%) and B-notes (5.5%). As of the November 15, 2010 Note Valuation report, the aggregate Note balance of the transaction was $1,102.1 million from $1,100.0 million at issuance, due to capitalized deferred interest on the PIK-able classes. There are three assets with a par balance of $72.5 million (6.6% of the current pool balance) that are considered Defaulted Securities as of the November 8, 2010 Trustee report. 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 these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life , weighted average recovery rate , and Moody's asset correlation . 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 have completed updated credit estimates for the non- Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. For non-CUSIP collateral, Moody's is eliminating the additional default probability stress applied to corporate debt in CDOROM(R) v2.6 as Moody's expects the underlying non-CUSIP collateral to experience lower default rates and higher recovery compared to corporate debt due to the nature of the secured real estate collateral. Moody's modeled a bottom-dollar WARF of 3,380 compared to 2,889 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (0.6% compared to 6.7% at last review), A1-A3 (11.3% compared to 61.4% at last review), Baa1-Baa3 (26.5% compared to 0.4% at last review), Ba1-Ba3 (16.3% compared to 3.7% at last review), B1-B3 (19.4% compared to 0.0% at last review), and Caa1-C (25.9% compared to 27.8% 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 5.6 years compared to 7.1 years at last review. The WAL reflects the current actual WAL of the collateral including extensions on the loan collateral. 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 25.3% compared to 38.8% 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). For non-CUSIP collateral, Moody's is reducing the maximum over concentration stress applied to correlation factors due to the diversity of tenants, property types, and geographic locations inherent in pooled transactions. Moody's modeled a MAC of 19.8% compared to 8.9% at last review. 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 25.3% to 5.3% or up to 45.3% would result in average rating movement on the rated tranches of 1 to 3 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 current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in a majority of property sectors. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expects overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. GREEN TREE: Moody's Confirms Ratings on Four Tranches ----------------------------------------------------- Moody's Investors Service has confirmed the ratings of four tranches from four RMBS transactions issued by Green Tree Home Improvement Loans. The collateral backing these deals primarily consists of closed end second lien home improvement loans. Ratings Rationale The actions are a result of the continued performance deterioration in second lien pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on second lien pools. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. If expected losses on the each of the collateral pools were to increase by 10%, model implied results indicate that most of the deals' ratings would remain stable, with the exception of Class B- 2 from Green Tree Home Improvement Loans 1995-F, for which model implied results would be one notch lower (for example, Ba2 versus Ba1, or Ca versus Caa3). Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Certificates for Home Improvement Loans, Series 1995-C * Expected Losses (as a % of Original Balance): 5.65% -- B-2, Confirmed at Caa1 (sf); previously on March 18, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Certificates for Home Improvement Loans, Series 1995-D * Expected Losses (as a % of Original Balance): 5.24% -- B-2, Confirmed at Caa1 (sf); previously on March 18, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Green Tree Home Improvement Loans 1995-F * Expected Losses (as a % of Original Balance): 5.68% -- B-2, Confirmed at Ba3 (sf); previously on March 18, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Green Tree Home Improvement Loans 1996-A * Expected Losses (as a % of Original Balance): 5.7% -- B-2, Confirmed at Caa2 (sf); previously on March 18, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade GREENWICH CAPITAL: Fitch Downgrades Ratings on 16 2007-GG9 Certs. ----------------------------------------------------------------- Fitch Ratings downgrades 16 classes of Greenwich Capital Commercial Funding Corp., series 2007-GG9, commercial mortgage pass-through certificates, due to further deterioration of performance primarily due to increased expected losses on the specially serviced loans. The downgrades reflect an increase in Fitch modeled losses across the pool, which includes assumed losses on loans in special servicing and on performing loans with declines in performance indicative of a higher probability of default. Fitch modeled losses of 9.8% (10.5% cumulative transaction losses, which includes losses realized to date) based on expected losses on the specially serviced loans and loans that could not refinance at maturity. As of the November 2010 distribution date, the pool's aggregate principal balance has decreased 3% to $6.38 billion from $6.58 billion at issuance. No loans have been defeased. As of November 2010, there are cumulative interest shortfalls in the amount of $4.2 million, currently affecting classes N through S. The largest contributor to loss is secured by a portfolio of 36 industrial properties located in Nassau and Suffolk Counties on Long Island, NY. The portfolio was originally underwritten to a stabilized cash flow with the expectation that below market rents would increase to market levels. In actuality many of the tenants have been severely affected by the economic downturn. The loan is expected to transfer to special servicing. The next largest contributor to loss is the specially serviced Peachtree Center (3.3%) in Atlanta, GA. The collateral consists of six office buildings totaling 2.4 million square feet, three parking garages and a 134,024 sf retail center. The loan transferred to special servicing in February 2010 due to imminent default. A loan modification has closed whereby the borrower will post an additional $15 million to the leasing cost reserve account and the loan will have a springing A/B structure. Upon maturity in 2012, the loan will be bifurcated into a $140 million A-note and a $67.6 million B-note both of which will mature in 2015. A recent appraisal indicates a value significantly below the loan amount. The next largest contributor to loss (2.2%) is secured by the Hyatt Regency Bethesda. The collateral is a 390 room full-service hotel. The loan transferred to special servicing in December 2009 due to imminent default. The hotel has been adversely affected by the economic downturn. The loan is delinquent and the special servicer is pursuing foreclosure. Fitch stressed the value of the non-defeased loans by applying a 5% haircut to 2009 fiscal year-end net operating income (NOI) and applying an adjusted market cap rate between 7.25% and 10% to determine value. Each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Loans that could refinance to a debt service coverage ratio of 1.25 times or higher were considered to pay off at maturity. Of the non-defeased or non-specially serviced loans, 166 loans (85.6% of the overall pool) were assumed not to be able to refinance, of which Fitch modeled losses for 109 loans (64.4%) in instances where Fitch's derived value was less than the outstanding balance. Fitch has downgraded, Revised Outlooks and LS ratings, and assigned Recovery Ratings to these classes as indicated: -- $575.3 million class A-J to 'BBsf/LS5' from 'BBBsf/LS5'; Outlook to Stable from Negative; -- $32.9 million class B to 'Bsf/LS5' from 'BBB-sf/LS5'; Outlook Negative; -- $98.6 million class C to 'CCCsf/RR1' from 'BBsf/LS5'; -- $41.1 million class D to 'CCCsf/RR1' from 'BBsf/LS5'; -- $41.1 million class E to 'CCCsf/RR1' from 'BBsf/LS5'; -- $57.5 million class F to 'CCCsf/RR1' from 'Bsf/LS5'; -- $57.5 million class G to 'CCsf/RR3' from 'B-sf/LS5'; -- $82.2 million class H to 'CCsf/RR6' from 'B-sf/LS5'; -- $65.8 million class J to 'CCsf/RR6' from 'B-sf/LS5'; -- $65.8 million class K to 'CCsf/RR6' from 'B-sf/LS5'; -- $32.9 million class L to 'CCsf/RR6' from 'B-sf/LS5'; -- $16.4 million class M to 'CCsf/RR6' from 'B-sf/LS5'; -- $24.7 million class N to 'Csf/RR6' from 'B-sf/LS5'; -- $16.4 million class O to 'Csf/RR6' from 'B-sf/LS5'; -- $16.4 million class P to 'Csf/RR6' from 'B-sf/LS5'; -- $8.2 million class Q to 'Csf/RR6' from 'B-sf/LS5'. Additionally, Fitch has affirmed these classes and Rating Outlook and revised LS Ratings as indicated: -- $1.14 billion class A-2 at 'AAAsf/LS2'; Outlook Stable; -- $86 million class A-3 at 'AAAsf/LS2'; Outlook Stable; -- $88 million class A-AB at 'AAAsf/LS2'; Outlook Stable; -- $2.67 billion class A-4 at 'AAAsf/LS2'; Outlook Stable; -- $493.5 million class A-1A at 'AAAsf/LS2'; Outlook Stable; -- $557.6 million class A-M at 'AAAsf/LS3'; Outlook Stable; -- $100 million class A-MFL at 'AAAsf/LS3'; Outlook Stable; Class A-1 has been paid in full. Fitch does not rate the $33.1 million class S. Fitch withdraws the ratings on the interest-only class X. GRMT MORTGAGE: Moody's Downgrades Ratings on Two Tranches --------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two tranches and confirmed the ratings of two tranches from a RMBS transaction issued by GRMT Mortgage Pass-Through Certificates, Series 2001-1. The collateral backing this deal primarily consists of closed end second lien loans. Ratings Rationale The actions are a result of the continued performance deterioration in second lien pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on second lien pools. Tranche Cl. A-5NAS issued by GRMT Mortgage Pass-Through Certificates, Series 2001-1 is wrapped by Ambac Assurance Corporation (Segregated Account - Unrated). For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. If expected losses on the each of the collateral pools were to increase by 10%, model implied results indicate that most of the deals' ratings would remain stable, with the exception of Class M- 1, for which model implied results would be one notch lower (for example, Ba2 versus Ba1, or Ca versus Caa3). Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: GRMT Mortgage Pass-Through Certificates, Series 2001-1 * Expected Losses (as a % of Original Balance): 8.5% -- Cl. A-5NAS, Downgraded to A2 (sf); previously on March 18, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to A2 (sf); previously on March 18, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. M-1, Downgraded to A3 (sf); previously on March 18, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Confirmed at Baa2 (sf); previously on March 18, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Confirmed at Ba2 (sf); previously on March 18, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade HARBORVIEW MORTGAGE: Moody's Downgrades Ratings on 40 Tranches -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 40 tranches from 5 transactions issued by Harborview Mortgage Loan Trust in 2005-2007. Ratings Rationale The collateral backing the transactions consists of Option ARM residential mortgage loans. The actions are a result of the rapidly deteriorating performance of Option ARM pools in conjunction with macroeconomic conditions that remain under duress and Moody's updated loss expectations on Option ARM pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on Option ARM RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. The above mentioned approach "Option ARM RMBS Loss Projection Update: April 2010" is adjusted slightly when estimating losses on pools left with a small number of loans. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 19% and 21% for the 2005, 2006 and 2007 vintage respectively). This baseline rate is higher than the average rate of new delinquencies for the vintage to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility and hence the stress applied. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2005 vintage, the adjusted rate of new delinquency would be 10.10%. 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 0.2 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete Rating Actions are: Issuer: HarborView Mortgage Loan Trust 2005-13 -- Cl. 1-A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-1B, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1C, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. 2-A1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2005-9 -- Cl. 1-A, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa1 (sf); previously on March 30, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. 1-X, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-PO, Downgraded to C (sf); previously on Jan. 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1A, Downgraded to B1 (sf); previously on Jan. 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1B, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa3 (sf); previously on March 30, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on March 9, 2009) -- Cl. 2-A-1C, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to B1 (sf); previously on Jan. 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-PO, Downgraded to C (sf); previously on Jan. 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to C (sf); previously on Jan. 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-PO, Downgraded to C (sf); previously on Jan. 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Jan. 27, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Jan. 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Jan. 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-5, Downgraded to C (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-6, Downgraded to C (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-7, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-8, Downgraded to C (sf); previously on Jan. 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-9, Downgraded to C (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2006-7 -- Cl. 1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1C, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: HarborView Mortgage Loan Trust 2006-CB1 -- Cl. 2-A1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1C, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-PO, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Current Rating at Ca (sf); previously on March 9, 2009 Downgraded to Ca (sf) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on Mar 9, 2009) Issuer: HarborView Mortgage Loan Trust 2007-6 -- Cl. 1A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade HARBORVIEW MORTGAGE: Moody's Downgrades Ratings on 197 Tranches --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 197 tranches from 26 transactions issued by Harborview in 2005-2007. Ratings Rationale The collateral backing the transactions consists of Option ARM residential mortgage loans. The actions are a result of the rapidly deteriorating performance of Option ARM pools in conjunction with macroeconomic conditions that remain under duress and Moody's updated loss expectations on Option ARM pools issued from 2005 to 2007. The rating action also reflects a correction to the rating of class 2-A-1B from Harborview Mortgage Loan Trust 2005-2. In previous rating actions, 2-A-1B was treated as a super senior class and was given additional support from the 2-A-1C bond. According to the Prospectus Supplement and the Pooling and Serving Agreement for this deal, losses are allocated pro rata to 2-A-1B and 2-A-1C. Moody's rating has been adjusted to reflect that losses are allocated pro rata to 2-A-1B and 2-A-1C, as described in the PSA. To assess the rating implications of the updated loss levels on Option ARM RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. The above mentioned approach "Option ARM RMBS Loss Projection Update: April 2010" is adjusted slightly when estimating losses on pools left with a small number of loans. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 19% and 21% for the 2005, 2006 and 2007 vintage respectively). This baseline rate is higher than the average rate of new delinquencies for the vintage to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility and hence the stress applied. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2005 vintage, the adjusted rate of new delinquency would be 10.10%. 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 0.2 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete Rating Actions are: Issuer: HarborView Mortgage Loan Trust 2005-1 -- Cl. 1-A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. X-IO, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. X-PO-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- X-PO-1, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2005-10 -- Cl. 1-A1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A1B, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1C1, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1C2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2005-11 -- Cl. 1-A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-1B, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on March 9, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1B, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1C, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on March 9, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2005-12 -- Cl. 1-A-1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-1B, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X-B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-2A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2B, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-1, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-2A, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-2B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2005-15 -- Cl. 1-A1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A1B, Current rating at Ca (sf); previously on March 9, 2009 Downgraded to Ca (sf) -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on March 9, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1A1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1A2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-3A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. X-3B, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. X-B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. PO-1, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-3A, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-3B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. PO-B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2005-16 -- Cl. 1-A1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A1B, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1C, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1C, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A1B, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. X-3, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-4, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X-B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. PO-1, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-3, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-4, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2005-2 -- Cl. 1-A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2005-3 -- Cl. 1-A, Downgraded to Ca (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1C, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-1, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-2, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2005-5 -- Cl. 1-A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-1, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-2, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2005-7 -- Cl. 1-A1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-PO, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-PO, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2005-8 -- Cl. 1-A1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A1B, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2C, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-PO, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2B, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-XA1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-XA2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-PO1, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-PO2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2006-1 -- Cl. 1-A1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A1B, Current rating at Aa3 (sf); previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3, Outlook Negative on Dec 18, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1C, Current rating at Aa3 (sf); previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3, Outlook Negative on Dec 18, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2A1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. PO-1, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-2A1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2006-10 -- Cl. 1A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-1B, Current rating at Aa3 (sf); previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3, Outlook Negative on Dec 18, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1C, Current rating at Aa3 (sf); previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3, Outlook Negative on Dec 18, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2006-12 -- Cl. 1A-1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1A2, Downgraded to B1 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1A3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Current rating at Aa3 (sf); previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3, Outlook Negative on Dec 18, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-2A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-2B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-2C, Current rating at Aa3 (sf); previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3, Outlook Negative on Dec 18, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2006-4 -- Cl. 1-A1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A1B, Current rating at Ca (sf); previously on March 9, 2009 Downgraded to Ca (sf) -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on March 9, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2B, Current rating at Ca (sf); previously on March 9, 2009 Downgraded to Ca (sf) -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on March 9, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1C, Current rating at Ca (sf); previously on March 9, 2009 Downgraded to Ca (sf) -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on March 9, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1C, Current rating at Ca (sf); previously on March 9, 2009 Downgraded to Ca (sf) -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on March 9, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. X-3A, Downgraded to Ca (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-1, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-3A, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2006-5 -- Cl. 1-A1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A1B, Current rating at Ca (sf); previously on March 9, 2009 Downgraded to Ca (sf) -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on March 9, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-1, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. PO-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. PO-B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2006-8 -- Cl. 1A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2006-9 -- Cl. 1A-1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B1, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1C1, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1C2, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2006-BU1 -- Cl. 1A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-1B, Current rating at Ca (sf); previously on March 9, 2009 Downgraded to Ca (sf) -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on March 9, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1C, Current rating at Ca (sf); previously on March 9, 2009 Downgraded to Ca (sf) -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on March 9, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2006-SB1 -- Cl. A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2007-1 -- Cl. 1A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-1B, Current rating at Aa3 (sf); previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3, Outlook Negative on Dec 18, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1C1, Current rating at Aa3 (sf); previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3, Outlook Negative on Dec 18, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1C2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2007-2 -- Cl. 1A-1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1C, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2007-3 -- Cl. 1A-1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2007-4 -- Cl. 1A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2007-5 -- Cl. A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2007-7 -- Cl. 1A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1A, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to Ca (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade HOME EQUITY: Moody's Confirms Ratings on Three Tranches ------------------------------------------------------- Moody's Investors Service has confirmed the ratings of three tranches from one RMBS transaction issued by Home Equity Loan Trust 1998-HI2. The collateral backing this deal primarily consists of closed end second lien loans. Ratings Rationale The actions are a result of the continued performance deterioration in second lien pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on second lien pools. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. If expected losses on the collateral pool were to increase by 10%, model implied results indicate that the ratings would remain stable. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Home Equity Loan Trust 1998-HI2 * Expected Losses (as a % of Original Balance): 9% -- M-2, Confirmed at A2 (sf); previously on March 18, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- B-1, Confirmed at Baa3 (sf); previously on March 18, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- B-2, Confirmed at Ba3 (sf); previously on March 18, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade HOME EQUITY: Moody's Downgrades Ratings on Three Tranches --------------------------------------------------------- Moody's Investors Service has downgraded the ratings of three tranches and confirmed the rating of one tranche from one RMBS transaction issued by Home Equity Mortgage-Backed Pass-Through Certificates, Series 2004-3. The collateral backing this deal primarily consists of closed end second lien loans. Ratings Rationale The actions are a result of the continued performance deterioration in second lien pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on second lien pools. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. If expected losses on the each of the collateral pools were to increase by 10%, model implied results indicate that the most of the deals' ratings would remain stable, with the exception of Class M-5, for which model implied results would be one notch lower (for example, Ba2 versus Ba1, or Ca versus Caa3). Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Home Equity Mortgage-Backed Pass-Through Certificates, Series 2004-3 * Expected Losses (as a % of Original Balance): 7% -- Cl. M-3, Downgraded to A2 (sf); previously on March 18, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Confirmed at Baa3 (sf); previously on March 18, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa1 (sf); previously on March 18, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on March 18, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade HOME LOAN: Moody's Downgrades Ratings on Six Tranches ----------------------------------------------------- Moody's Investors Service has downgraded the ratings of six tranches from two RMBS transactions issued by Home Loan Trust. The collateral backing these deals primarily consists of closed end second lien high LTV loans. Ratings Rationale The actions are a result of the continued performance deterioration in second lien pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on second lien pools. 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 remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. If expected losses on the each of the collateral pools were to increase by 10%, model implied results indicate that all of the tranches' ratings would be one notch lower (for example, Ba2 versus Ba1, or Ca versus Caa3), with the exception of the Class M- 2 from Home Loan Trust 2003-HI4, for which model implied results would remain stable. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Home Loan Trust 2000-HL1 * Expected Losses (as a % of Original Balance): 6% -- Cl. A-I-2, Downgraded to A2 (sf); previously on March 18, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to A2 (sf); previously on March 18, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Home Loan Trust 2003-HI4 * Expected Losses (as a % of Original Balance): 12% -- Cl. A-II, Downgraded to Aa3 (sf); previously on March 18, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to Aa3 (sf); previously on March 18, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A2 (sf); previously on March 18, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Baa2 (sf); previously on March 18, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ba1 (sf); previously on March 18, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade HSPI DIVERSIFIED: S&P Downgrades Ratings on Four Classes to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four classes of notes of HSPI Diversified CDO Fund I Ltd., to 'D (sf)' due to missed payments. At the same time S&P affirmed its ratings on two deferrable classes. Each downgraded class is not permitted to defer interest payments under the terms of the transaction. The transaction experienced an event of default in May 2008 following failure to maintain a specified par value ratio. S&P has initiated multiple rating actions on this transaction in the past, and the rating actions follow confirmation from the trustee that the classes S and A, which are non-PIKable classes, are not current in making their interest. The downgrades reflect the application of S&P's criteria for ratings on CDO transactions that have triggered an EOD and may be subject to acceleration or liquidation. S&P affirmed its ratings on the class B and C notes because they are deferrable classes according to the terms of the transaction. Ratings Lowered HSPI Diversified CDO Fund I Ltd. Rating ------ Class To From ----- -- ---- S D (sf) CCC- (sf) A-1 D (sf) CC (sf) A-2 D (sf) CC (sf) A-3 D (sf) CC (sf) Ratings Affirmed HSPI Diversified CDO Fund I Ltd. Class Rating ----- ------ B CC (sf) C CC (sf) INDYMAC IMSC: Moody's Downgrades Ratings on 97 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 97 tranches, upgraded the ratings of two tranches, and confirmed the ratings of 14 tranches from 19 RMBS transactions issued by IndyMac. The collateral backing these transactions primarily consists of first-lien, adjustable-rate, negative amortization residential mortgages. Ratings Rationale The actions are a result of the rapidly deteriorating performance of option arm pools in conjunction with macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on option arm pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on option arm RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. Certain securities, as noted below, are insured by financial guarantors. The Cl. 1-A-3B and Cl. 2-A-2 tranches issued by IndyMac INDX 2006-AR2, and the Cl. 1-A-3B and Cl. 2-A-3B tranches issued by IndyMac INDX 2005-AR18, are wrapped by Ambac Assurance Corporation (Segregated Account -- Unrated). The Cl. A-1-2 and Cl. A-2-3 tranches issued by IndyMac IMSC 2007-HOA1, are wrapped by Assured Guaranty Municipal Corp. (Rated Aa3, negative outlook). The Cl. 1-A-1B and Cl. 2-A-1C tranches issued by IndyMac INDX 2006-AR6, are wrapped by Syncora Guarantee Inc. (Rated Ca). For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: IndyMac IMSC Mortgage Loan Trust 2007-HOA1 -- Cl. A-1-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1-2, Current rating at Aa3 (sf); previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3, Outlook Negative on Dec. 18, 2009) -- Underlying Rating: Downgraded to C (sf); previously on Mar 30, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2-2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2-3, Current rating at Aa3 (sf); previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3, Outlook Negative on Dec. 18, 2009) -- Underlying Rating: Upgraded to Ca (sf); previously on Oct. 1, 2009 Downgraded to C (sf) -- Cl. A-2-4, Upgraded to Ca (sf); previously on Oct. 1, 2009 Downgraded to C (sf) -- Cl. AXPP, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR10 -- Cl. A-1, Downgraded to B3 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ca (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR12 -- Cl. 1-A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-X-2, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR16IP -- Cl. A-1, Downgraded to B1 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ca (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR18 -- Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3A, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3B, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1A, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1B, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2A, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2C, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3A, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3B, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR4 -- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1A, Downgraded to B3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-X-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR6 -- Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B1 (sf); previously on Jan. 27, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-X-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR8 -- Cl. 1-A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-X-2, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR12 -- Cl. A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR14 -- Cl. 1-A1A, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-AX, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A3BU, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2A, Confirmed at Caa2 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A3A, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A4A, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A1AU, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2AU, Confirmed at Caa2 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A3AU, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A4AU, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-AX, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR2 -- Cl. 1-A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-1B, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3A, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3B, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR6 -- Cl. 1-A-1A, Confirmed at Caa3 (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-1B, Current rating at Ca (sf); previously on March 9, 2009 Downgraded to Ca (sf) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on March 9, 2009) -- Cl. 2-A-1A, Confirmed at Caa2 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1C, Current rating at Ca (sf); previously on March 9, 2009 Downgraded to Ca (sf) -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on March 9, 2009) -- Underlying Rating: Downgraded to C (sf); previously on March 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR8 -- Cl. A2-B, Confirmed at Caa1 (sf); previously on Jul 22, 2010 Downgraded to Caa1 (sf) and Remained On Review for Possible Downgrade -- Cl. A3-A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A3-B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A4-A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A4-B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX1 -- Cl. A-1, Upgraded to Aaa (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B1 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX2 -- Cl. A-1-A, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1-B, Downgraded to B3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1-C, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX3 -- Cl. A-1, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX4 -- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX5 -- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at B1 (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX6 -- Cl. 1-A-1, Confirmed at Caa2 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade ING INVESTMENT: S&P Raises Ratings on Various Classes of Notes -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1a, A-1b, A-2, B, C, and D notes from ING Investment Management CLO V Ltd., a collateralized loan obligation transaction managed by ING Alternative Asset Management LLC. At the same time, S&P removed the ratings on class A-1a, A-1b, and A-2 from CreditWatch with positive implications. The upgrades reflect the improved performance S&P has observed in the transaction since its last rating action in October 2009. According to the Oct. 21, 2010, trustee report, the transaction held $5.2 million in defaulted assets, down from $20.4 million noted in the Aug. 21, 2009, trustee report. In addition, assets from obligors rated in the 'CCC' category were 3.42% of the collateral pool in October 2010, compared with 9.69% in August 2009. The class A overcollateralization test improved to 120.0% in October 2010 from 118.2% as of August 2009. 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 S&P deems necessary. Rating And Creditwatch Actions ING Investment Management CLO V Ltd. Rating ------ Class To From ----- -- ---- A-1a AAA (sf) AA+ (sf)/Watch Pos A-1b AA+ (sf) A+ (sf)/Watch Pos A-2 AA- (sf) BBB+ (sf)/Watch Pos B A- (sf) BB+ (sf) C BBB- (sf) B+ (sf) D BB (sf) B (sf) JP MORGAN: Moody's Affirms Ratings on Seven 2002-C2 Certs. ---------------------------------------------------------- Moody's Investors Service affirmed the ratings of seven classes and downgraded eight pooled and three non-pooled, or rake, classes of J.P. Morgan Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2002-C2: -- Cl. A-1, Affirmed at Aaa (sf); previously on Dec. 10, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on Dec. 10, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Dec. 10, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on July 26, 2007 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on July 26, 2007 Upgraded to Aaa (sf) -- Cl. D, Affirmed at Aa2 (sf); previously on March 25, 2009 Upgraded to Aa2 (sf) -- Cl. E, Affirmed at A2 (sf); previously on July 26, 2007 Upgraded to A2 (sf) -- Cl. F, Downgraded to Baa3 (sf); previously on Dec. 10, 2002 Definitive Rating Assigned Baa2 (sf) -- Cl. G, Downgraded to Ba2 (sf); previously on Dec. 10, 2002 Definitive Rating Assigned Baa3 (sf) -- Cl. H, Downgraded to Caa1 (sf); previously on Dec. 10, 2002 Definitive Rating Assigned Ba1 (sf) -- Cl. J, Downgraded to Ca (sf); previously on Dec. 10, 2002 Definitive Rating Assigned Ba2 (sf) -- Cl. K, Downgraded to C (sf); previously on March 25, 2009 Downgraded to B1 (sf) -- Cl. L, Downgraded to C (sf); previously on March 25, 2009 Downgraded to B3 (sf) -- Cl. M, Downgraded to C (sf); previously on March 25, 2009 Downgraded to Caa1 (sf) -- Cl. N, Downgraded to C (sf); previously on March 25, 2009 Downgraded to Ca (sf) -- Cl. SP-1, Downgraded to Caa2 (sf); previously on March 25, 2009 Downgraded to B3 (sf) -- Cl. SP-2, Downgraded to Caa3 (sf); previously on March 25, 2009 Downgraded to Caa1 (sf) -- Cl. SP-3, Downgraded to Ca (sf); previously on March 25, 2009 Downgraded to Caa2 (sf) Ratings Rationale The downgrades of eight pooled classes are due to higher expected losses for the pool resulting from realized and anticipated losses from troubled loans. The downgrade of three non-pooled classes, which are supported by a junior loan associated with the Simon Portfolio II Loan, a pool of three malls located in Florida, Pennsylvania and Texas, is due to a decline in performance of the properties. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 3.6% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 12 compared to 19 at last review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds and sponsorship. These aggregated proceeds are then adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated March 25, 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 11, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 20% to $839.2 million from $1.05 billion at securitization. The Certificates are collateralized by 100 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans representing 29% of the pool. Twenty-three loans, representing 42% of the pool, have defeased and are collateralized by U.S. Government securities. The pool contains one loan, representing 1.6% of the pool, with an investment-grade credit estimate. Twenty-one loans, representing 27% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Four loans have been liquidated from the pool since securitization, resulting in an aggregate $18.4 million loss (52% loss severity on average). Currently, there are five loans in special servicing, representing 4.5% of the pool. The largest special serviced loan is the Circuit City Distribution Center Loan ($19.1 million -- 2.3% of the pool), which is secured by a 1.1 million square foot industrial building located in Marion, Illinois. The property had been 100% leased to Circuit City. The loan transferred to special servicing in April 2009 due to imminent payment default and is currently real estate owned. Circuit City rejected its lease premises as part of its Chapter 11 bankruptcy filing. The remaining specially serviced loans are secured by multifamily (3) and retail (1) properties. The master servicer has a recognized appraisal reductions totaling $16.1 million for the specially serviced loans. Moody's has estimated a $17.3 million loss (47% expected loss on average) from the loans in special servicing. Moody's has also assumed a high default probability for two poorly performing loans representing 1.7% of the pool. Moody's has estimated a $2.85 million loss (20% expected loss based on a 50% default probability) from the troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 93% and 87% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 94% compared to 97% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11.8% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.27X and 1.22X, respectively, compared to 1.22X and 1.13X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit estimate is the U-Haul Portfolio Loan ($13.3 million -- 1.6% of the pool), which is secured by five self-storage facilities located in California, Florida and South Dakota. Performance has been stable and the loan has benefited from amortization. The loan has amortized 4% since last review. Moody's credit estimate and stressed DSCR are A3 and 1.83X, respectively, compared to Baa1 and 1.68X at last review. The top three conduit loans represent 17% of the pool. The largest conduit loan is the Simon Portfolio II Loan ($106.1 million -- 12.9% of the pool), which is secured by the borrower's interest in two regional malls totaling 1.9 million square feet and a 280,000 square foot power retail center. The collateral securing the loan totals 1.0 million square feet. The portfolio includes Century III Mall (Pittsburgh, Pennsylvania; 63% of the allocated balance), Longview Mall (Longview, Texas; 24% of the allocated balance) and Highland Lakes Shopping Center (Orlando, Florida; 13% of the allocated balance). None of the centers are dominant in their trade area. As of December 2009, the average in-line occupancy for the portfolio was 72% compared to 66% at last review. The portfolio's performance has declined since securitization due to lower occupancy, lower rents and increased operating expenses. The portfolio is also encumbered by three subordinate loans totaling $17.4 million which secure the non-pooled Classes SP-1, SP-2 and SP-3. Moody's LTV and stressed DSCR for the pooled portion of the loan are 98% and 1.04X, respectively, compared to 86% and 1.2X at last review. The second largest conduit loan is the Coventry Green Apartments Loan ($15.8 million -- 1.9% of the pool), which is secured by a 216-unit multifamily property located in Clarence, NY, a suburb of Buffalo, New York. As of May 2010, the property was 88% leased, essentially the same as at last review. Performance has been stable and the loan is benefitting from amortization. The loan has amortized 3% since last review. Moody's LTV and stressed DSCR are 115% and 0.84X, respectively, compared to 133% and 0.73X at last review. The third largest conduit loan is the West Valley Business Park Loan ($15.4 million -- 1.9% of the pool), which is secured by a 205,000 square foot industrial flex property located in Kent, Washington. As of October 2010, the property was 86% leased, essentially the same as at last review. The property has significant rollover risk due to 70% of leases expiring within the next year. Moody's LTV and stressed DSCR are 118% and 0.89X, respectively, compared to 110% and 0.94X at last review. JP MORGAN: Moody's Affirms Ratings on Three 2004-LN2 Certs. ----------------------------------------------------------- Moody's Investors Service affirmed the ratings of three classes and downgraded 15 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2004-LN2: -- Cl. A-1, Affirmed at Aaa (sf); previously on Aug. 23, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Aug. 23, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X-2, Affirmed at Aaa (sf); previously on Aug. 23, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Downgraded to Aa3 (sf); previously on Nov. 4, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-1A, Downgraded to Aa3 (sf); previously on Nov. 4, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Baa1 (sf); previously on Nov. 4, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Baa2 (sf); previously on Nov. 4, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Ba2 (sf); previously on Nov. 4, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to B2 (sf); previously on Nov. 4, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to Caa1 (sf); previously on Nov. 4, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to Caa3 (sf); previously on Nov. 4, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to C (sf); previously on Nov. 4, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to C (sf); previously on Nov. 4, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to C (sf); previously on Nov. 4, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to C (sf); previously on Nov. 4, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Nov. 4, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. N, Downgraded to C (sf); previously on Nov. 4, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. P, Downgraded to C (sf); previously on Nov. 4, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans and interest shortfalls. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. On November 4, 2010, Moody's placed 15 classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 9.2% of the current balance. At last review, Moody's cumulative base expected loss was 4.9%. Moody's stressed scenario loss is 14.8% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated January 8, 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 19% to $1.01 billion from $1.25 billion at securitization. The Certificates are collateralized by 156 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 29% of the pool. Eight loans, representing 4% of the pool, have defeased and are collateralized with U.S. Government securities, compared to 10% at last review. At last review the World Apparel Center Loan ($69.7 million -- 6.7% of the pool) had an investment grade credit estimate. However, the performance of this loan has declined and it is now analyzed as part of the conduit pool. Thirty-nine loans, representing 30% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eight loans have been liquidated from the pool since securitization, resulting in a $17.5 million loss (65% loss severity on average). Fourteen loans, representing 13% of the pool, are currently in special servicing. The largest specially serviced loan is the Countryside Apartments Loan ($22.7 million -- 2.2% of the pool), which is secured by 701 unit apartment complex located in St. Louis, Missouri. The subject was built in 1970. The loan was transferred to special servicing in January 2010 for maturity default and was granted a six month extension. A possible loan extension or modification is currently being pursued. The remaining 13 specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $26.7 million appraisal reduction for eight of the specially serviced loans. Moody's has estimated an aggregate $59.7 million loss (46% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 12 poorly performing loans representing 4.2% of the pool and has estimated an aggregate $10.6 million loss (25% expected loss based on a 50% probability of default) from these troubled loans. Based on the most recent remittance statement, Classes H through NR have experienced cumulative interest shortfalls totaling $1.3 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions and extraordinary trust expenses. Moody's was provided with full year 2009 operating results for 87% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 91% compared to 105% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 9.4% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.3%. Moody's actual and stressed DSCRs for the performing conduit loans are 1.49X and 1.24X, respectively, compared to 1.38X and 1.19X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 49 compared to 67 at Moody's prior review. The loan which previously had a credit estimate is the World Apparel Center Loan ($69.7 million -- 6.7% of the pool), which represents a 33.3% pari passu interest in a $209.2 million first mortgage loan. The loan is secured by a 1.1 million square foot Class A office building located in the Times Square submarket of New York City. Built in 1970 and renovated in 2002, the building's principal tenants include Jones Apparel Group (25% of the GLA; lease expiration April 2012) and J.P. Morgan Chase & Co. (6% of the GLA; lease expiration October 2016). As of June 2010, the property was 72% leased. Moody's LTV and stressed DSCR are 73% and 1.3X, respectively, compared to 65% and 1.24X at last review. The top three performing conduit loans represent 11% of the pool balance. The largest loan is the Chesapeake Square Loan ($68.9 million -- 6.8% of the pool), which is secured by an 810,305 SF (530,158 SF of collateral), single-level, enclosed regional mall located in Chesapeake, Virginia. Anchor tenants include Target (not part of the collateral), Macy's, Sears and Dillard's. As of June 2010, the property was 68% leased compared to 76% at last review. Financial performance has deteriorated since last review due in part to increased expenses. The loan sponsor is Simon Property Group. The loan is currently on the master servicer's watchlist due to low occupancy. Moody's LTV and stressed DSCR are 138% and 0.78X, respectively, compared to 119% and 0.91X at last review. The second largest loan is the Embassy Suites - BWI Airport Loan ($21.3 million -- 2.1% of the pool), which is secured by a 251 room full service hotel located in Linthicum, Maryland. The trailing 12 month occupancy as of June 2010 was 70%. The loan sponsor is FelCor Lodging Trust Inc. Moody's LTV and stressed DSCR are 76% and 1.59X, respectively, compared to 72% and 1.70X at last review. The third largest loan is the Plaza Mobile Estates Loan ($20.7 million -- 2.0% of the pool), which is secured by a 237 pad manufactured housing community located in the Santa Ana, California. The property was 87% leased as of June 2010, the same as at last review. Performance has been stable and the loan has benefitted from 3% amortization since last review. Moody's LTV and stressed DSCR are 62% and 1.44X, respectively, compared to 69% and 1.09X at last review. JP MORGAN: Moody's Downgrades Ratings on 15 2005-CIBC12 Certs. -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 15 classes and affirmed eight classes of J.P. Morgan Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-CIBC12: -- Cl. A-SB, Affirmed at Aaa (sf); previously on July 29, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on July 29, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-3A1, Affirmed at Aaa (sf); previously on July 29, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-3A2, Affirmed at Aaa (sf); previously on July 29, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-3B, Affirmed at Aaa (sf); previously on July 29, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on July 29, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on July 29, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. X-2, Affirmed at Aaa (sf); previously on July 29, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-M, Downgraded to Aa2 (sf); previously on Nov. 4, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Downgraded to Baa2 (sf); previously on Nov. 4, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Ba2 (sf); previously on Nov. 4, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to B1 (sf); previously on Nov. 4, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to B3 (sf); previously on Nov. 4, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Caa1 (sf); previously on Nov. 4, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to Caa3 (sf); previously on Nov. 4, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to Ca (sf); previously on Nov. 4, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to C (sf); previously on Nov. 4, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to C (sf); previously on Nov. 4, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to C (sf); previously on Nov. 4, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to C (sf); previously on Nov. 4, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Nov. 4, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. N, Downgraded to C (sf); previously on Nov. 4, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. P, Downgraded to C (sf); previously on Nov. 4, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans, interest shortfalls and concerns about loans approaching maturity in an adverse environment. Twenty loans, representing 16% of the pool, have either matured or mature within the next 24 months and have a Moody's stressed debt service coverage ratio less than 1.0X. The affirmations are due to key parameters, including Moody's loan to value ratio, the Herfindahl Index and Moody's stressed DSCR, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. On November 4, 2010 Moody's placed Classes AM through P on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 9.0% of the current balance. At last review, Moody's cumulative base expected loss was 5.5%. Moody's stressed scenario loss is 24.7% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated July 16, 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months Deal Performance As of the November 12, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 10% to $1.99 billion from $2.22 billion at securitization. The Certificates are collateralized by 184 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans representing 26% of the pool. There is one loan, representing 2.3% of the pool, with an investment grade credit estimate. Four loans, representing 2.8% of the pool, have defeased are are collateralized with U.S. Government securities. Thirty-four loans, representing 13% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. Moody's has assumed a high default probability for 13 of the watchlisted loans as well as two other poorly performing loans. Moody's has estimated a $21.7 million loss (24% expected loss based on an 58% default probability) from these troubled loans. Seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $21.5 million (45% loss severity overall). Twenty-six loans, representing 16% of the pool, are currently in special servicing. The largest specially serviced loan is the 40 Rector Street Loan ($80 million -- 4.0%) which is secured by a 440,127 square foot office building located in the Financial District of Manhattan. The property was 86% leased as of September 2009 compared to 92% at securitization. The loan was transferred into special servicing June 2010 due to maturity default. The remaining specially serviced loans are secured by a mix of office, retail, multifamily, industrial and mixed use properties and each represent less than 2% of the pool. Moody's has estimated an aggregate $122.3 million loss (41% expected loss on average) for the specially serviced loans. Based on the most recent remittance statement, Classes F through NR have experienced cumulative interest shortfalls totaling $6.2 million. The largest contributor to interest shortfalls are appraisal reductions. The servicer has recognized appraisal reductions totaling $122.1 million on 21 specially serviced loans. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions and extraordinary trust expenses. Moody's was provided with full year 2009 operating results for 84% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 98% compared to 105% at last review Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.98X and 1.04X, respectively, compared to 1.35X and 0.97X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 67 compared to 65 at last review. The loan with a credit estimate is the 4250 North Fairfax Drive Loan ($45 million -- 2.3%), which is secured by a 304,500 square foot office building located in Arlington, Virginia. The loan is interest only for its entire term. The property was 100% leased as of June 2010 compared to 97% at last review. The largest tenant, Qwest Communications, leases 53% of the net rentable area (NRA) through June 2014. Performance has improved since last review. Moody's current credit estimate and stressed DSCR are A3 and 1.70X, respectively, compared to Baa1 and 1.57X at last review. The top three performing conduit loans represent 11% of the pool balance. The largest loan is the Universal Hotel Portfolio Loan ($100 million -- 5.0%), which is a pari passu interest in a $400.0 million first mortgage loan secured by three full service hotel properties. The three hotels are all located in Orlando, Florida and total 2,400 guest rooms. The properties are also encumbered by a $50.0 million B note which is held in the trust. The portfolio's performance has been negatively affected by the economic recession which has caused a decline in business and tourist travel. However, the Orlando hotel market has recently began to show improvement. Moody's analysis incorporates an upward adjustment reflecting Moody's view that the Orlando market will continue to improve. The three hotels are relatively new luxury hotels that are located within Orlando's Universal Theme Park. Moody's current LTV and stressed DSCR are 102% and 1.11X, respectively, compared to 111% and 1.57X at last review. The second largest loan is the Promenade at Westlake Loan ($69.7 million -- 3.5%), which is secured by a 201,570 square foot retail center located in Thousand Oaks, California. The loan is interest only for the first five years, converting to a 360-month schedule thereafter. The property was 99% leased as of August 2010 compared to 100% at last review. Performance has improved slightly since last review. Moody's LTV and stressed DSCR are 98% and 0.94X, respectively, compared to 101% and 0.91X at last review. The third largest loan is the LXP-ISS Loan ($42.3 million -- 2.1%), which is secured by three office buildings containing 289,000 square feet and located in Atlanta, Georgia. The buildings are 100% leased to Internet Security System through May 2013. Moody's LTV and stressed DSCR are 99% and 1.06X, respectively, compared to 99% and 1.01X at last review. JP MORGAN: Moody's Affirms Ratings on 2005-LDP2 Certs. ------------------------------------------------------ Moody's Investors Service affirmed the ratings of eight classes and downgraded 18 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2005-LDP2: -- Cl. A-2, Affirmed at Aaa (sf); previously on July 5, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on July 5, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-3A, Affirmed at Aaa (sf); previously on July 5, 2005 Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on July 5, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-SB, Affirmed at Aaa (sf); previously on July 5, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on July 5, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on July 5, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. X-2, Affirmed at Aaa (sf); previously on July 5, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-M, Downgraded to Aa2 (sf); previously on Nov. 4, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-MFL, Downgraded to Aa2 (sf); previously on Nov. 4, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Downgraded to A3 (sf); previously on Nov. 4, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Baa1 (sf); previously on Nov. 4, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Baa2 (sf); previously on Nov. 4, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Ba2 (sf); previously on Nov. 4, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to B1 (sf); previously on Nov. 4, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to B2 (sf); previously on Nov. 4, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to B3 (sf); previously on Nov. 4, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to Caa1 (sf); previously on Nov. 4, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to Ca (sf); previously on Nov. 4, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to C (sf); previously on Nov. 4, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to C (sf); previously on Nov. 4, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Nov. 4, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. N, Downgraded to C (sf); previously on Nov. 4, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. O, Downgraded to C (sf); previously on Nov. 4, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. P, Downgraded to C (sf); previously on Nov. 4, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. Q, Downgraded to C (sf); previously on Nov. 4, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. On November 4, 2010, Moody's placed 18 classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 10.7% of the current balance. At last review, Moody's cumulative base expected loss was 3.3%. Moody's stressed scenario loss is 20.9% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated June 5, 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 15% to $2.54 billion from $2.98 billion at securitization. The Certificates are collateralized by 268 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans representing 27% of the pool. Nine loans, representing 2% of the pool, have defeased and are collateralized with U.S. Government securities, the same as at last review. Sixty-nine loans, representing 19% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Fourteen loans have been liquidated from the pool since securitization, resulting in a $25.3 million loss (37% loss severity on average). Realized losses totaled $7.8 million at last review. Twenty-five loans, representing 12% of the pool, are currently in special servicing. The largest specially serviced loan is the Cross Creek Shopping Center Loan ($45.8 million -- 1.8% of the pool), which is secured by a 363,000 square foot (SF) retail center located in Memphis, Tennessee. The loan was transferred to special servicing in January 2010 for imminent default and is currently real estate owned. The master servicer recognized a $32.0 million appraisal reduction for this loan in November 2010. The remaining 24 specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $45.9 million appraisal reduction for eight of the remaining specially serviced loans. Moody's has estimated an aggregate $171.9 million loss (56% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 24 poorly performing loans representing 5.7% of the pool and has estimated an aggregate $28.9 million loss (20% expected loss based on a 50% probability of default) from these troubled loans. Based on the most recent remittance statement, Classes K through NR have experienced cumulative interest shortfalls totaling $3.0 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions and extraordinary trust expenses. Moody's was provided with full year 2009 operating results for 88% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 105% compared to 103% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 10.9% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed DSCRs for the performing conduit loans are 1.41X and 1.04X, respectively, compared to 1.39X and 0.98X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 73 compared to 88 at Moody's prior review. The top three performing conduit loans represent 12% of the pool balance. The largest loan is the City Place Corporate Center Loan ($118.8 million -- 4.7% of the pool), which is secured by five office buildings totaling 789,000 SF, a 50,000 SF mixed use property and a 28,000 SF retail building. All of the properties are located in Creve Coeur, Missouri. The portfolio's weighted average occupancy as of June 2010 was 93% compared to 96% at last review. Moody's LTV and stressed DSCR are 107% and 0.95X, respectively, compared to 104% and 0.98X at last review. The second largest loan is the Shops at Canal Place Loan ($90.0 million -- 3.5% of the pool), which is secured by a 215,000 SF retail center located in New Orleans, Louisiana. The property was severely damaged by fire and looting immediately following Hurricane Katrina and was closed until February 2006. The property was 87% occupied as of June 2010 compared to 95% at last review. The property is operating below original projections. Moody's LTV and stressed DSCR are 143% and 0.64X, respectively, compared to 132% and 0.70X at last review. The third largest loan is the Hutchinson Metro Center Loan ($86.0 million -- 3.4% of the pool), which is secured by a 424,000 SF office building located in the Bronx, New York. The property was 99% leased as of June 2010 which is the same as at last review. Moody's LTV and stressed DSCR are 106% and 0.91X, respectively, compared to 115% and 0.85X at last review. JP MORGAN: Moody's Downgrades Ratings on 15 2006-CIBC14 Certs. -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 15 classes and affirmed eight classes of JP Morgan Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2006-CIBC14: -- Cl. A-2, Affirmed at Aaa (sf); previously on March 28, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-3A, Affirmed at Aaa (sf); previously on March 28, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-3B, Affirmed at Aaa (sf); previously on March 28, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on March 28, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-SB, Affirmed at Aaa (sf); previously on March 28, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on March 28, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on March 28, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. X-2, Affirmed at Aaa (sf); previously on March 28, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-M, Downgraded to Aa3 (sf); previously on Oct. 28, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Downgraded to B1 (sf); previously on Oct. 28, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Caa1 (sf); previously on Oct. 28, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Caa2 (sf); previously on Oct. 28, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Ca (sf); previously on Oct. 28, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to C (sf); previously on Oct. 28, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to C (sf); previously on Oct. 28, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to C (sf); previously on Oct. 28, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to C (sf); previously on Oct. 28, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to C (sf); previously on Oct. 28, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to C (sf); previously on Oct. 28, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to C (sf); previously on Oct. 28, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Oct. 28, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. N, Downgraded to C (sf); previously on Oct. 28, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. P, Downgraded to C (sf); previously on Oct. 28, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans, interest shortfalls and concerns about loans approaching maturity in an adverse environment. Twenty-two loans, representing 7% of the pool, have either matured or mature within the next 24 months and have a Moody's stressed debt service coverage ratio less than 1.0X. The affirmations are due to key parameters, including Moody's loan to value ratio, the Herfindahl Index and Moody's stressed DSCR, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. On October 28, 2010, Moody's placed Classes AM through P on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 11.4% of the current balance. At last review, Moody's cumulative base expected loss was 4.1%. Moody's stressed scenario loss is 17.3% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated February 11, 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months Deal Performance As of the November 12, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 3% to $2.65 billion from $2.75 billion at securitization. The Certificates are collateralized by 197 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 39% of the pool. There are two loans, representing 15.4% of the pool, with investment grade credit estimates. Fifty-two loans, representing 20% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. Moody's has assumed a high default probability for ten of the watchlisted loans has estimated a $16.6 million loss (21% expected loss based on an 50% default probability) from these troubled loans. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $10.5 million (55% loss severity overall). Thirty-nine loans, representing 23% of the pool, are currently in special servicing. The largest specially serviced loan is the Center Point I Loan ($117.5 million -- 4.4%) which is secured by 16 cross collateralized and cross defaulted industrial and warehouse properties located in two suburban markets of Chicago, Illinois. The loan was transferred into special servicing August 2010 due to imminent maturity default. The loan matured in October 2010. The second largest specially serviced loan is the Avion Business Park Portfolio Loan ($95 million -- 3.6%) which is secured by seven office complexes located in Chantilly, Virginia, 24 miles west of Washington, D.C. The loan was transferred into special servicing October 2010 due to delinquency and is 30 days delinquent. The portfolio's performance has deteriorated due to occupancy declines. The remaining specially serviced loans are secured by a mix of office, retail, multifamily and industrial properties and each represent less than 2% of the pool. Moody's has estimated an aggregate $243.5 million loss (40% expected loss on average) for the specially serviced loans. Based on the most recent remittance statement, Classes B through NR have experienced cumulative interest shortfalls totaling $10.7 million. The largest contributor to interest shortfalls are appraisal reductions. The servicer has recognized appraisal reductions totaling $144.4 million on 34 specially serviced loans. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions and extraordinary trust expenses. Moody's was provided with full year 2009 operating results for 86% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 103% compared to 100% at securitization Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.41X and 1.04X, respectively, compared to 1.36X and 0.99X at securitization. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 39 compared to 56 at securitization. The largest loan with a credit estimate is the Houston Galleria Loan ($290 million -- 10.9%), which represents a 50% pari-passu interest in a $580 million first mortgage loan secured by a 2.3 million square foot regional mall located in Houston, Texas. The center is anchored by Macy's, Neiman Marcus, Nordstrom and Saks Fifth Avenue. The space formerly occupied by Lord & Taylor was reconfigured to 102,000 square feet of additional in-line space in 2006. The property was 92% leased as of December 2009 which is in-line with last review and securitization. The loan is interest only for the entire term. Moody's current credit estimate and stressed DSCR are Baa2 and 1.28X, respectively, the same as at securitization. The second loan with a credit estimate is the Patrick Henry Building Loan ($120 million -- 4.5%), which is secured by a 520,000 square foot office building located in Washington, DC. The property is 100% leased by the U.S. Department of Justice until August 2015. The loan is interest only for the entire term. Moody's current credit estimate and stressed DSCR are Baa3 and 1.34X, respectively, the same as at securitization. The top three performing conduit exposures represent 17% of the pool balance. The largest exposure is the Ballantyne Corporate Park Loan ($217 million -- 8.2%), which is secured by a 1.6 million square foot office property built in 1999 and located in Charlotte, North Carolina. As of June 2010, the property was 90% leased compared to 88% at securitization. Property performance has been stable since securitization. Moody's LTV and stressed DSCR are 97% and 1.06X, respectively, compared to 98% and 1.10X at securitization. The second largest exposure is the Colony Line II Loan ($158.6 million -- 6.0%), which is secured by eight cross-defaulted and cross-collateralized loans secured by eight properties located in Georgia, Illinois, Texas and Virginia. The properties include four industrial properties, two multifamily properties and two office properties. The portfolio is 88% leased compared to 91% at securitization. The loan is interest only for the entire term. Moody's LTV and stressed DSCR are 108% and 1.08X, respectively, compared to 93% and 0.93X at securitization. The third largest exposure is the Chartwell II Portfolio Loan ($67.1 million -- 2.5%), which is secured by a 499-unit senior housing property located in Boulder, Colorado. The property was 92% leased as of December 2009 compared to 96% at securitization. Property performance has improved and the loan has amortized 7% since securitization. Moody's LTV and stressed DSCR are 92% and 1.29X, respectively, compared to 110% and 1.13X at securitization. JP MORGAN: Moody's Downgrades Ratings on 15 2006-CIBC16 Certs. -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 15 classes and affirmed nine classes of J.P. Morgan Chase Commercial Securities Trust 2006-CIBC16, Commercial Mortgage Pass-Through Certificates, Series 2006-CIBC16: -- Cl. A-1, Affirmed at Aaa (sf); previously on Oct. 2, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on Oct. 2, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-3FL, Affirmed at Aaa (sf); previously on Oct. 2, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-3B, Affirmed at Aaa (sf); previously on Oct. 2, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Oct. 2, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-SB, Affirmed at Aaa (sf); previously on Oct. 2, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Oct. 2, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Oct. 2, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. X-2, Affirmed at Aaa (sf); previously on Oct. 2, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-M, Downgraded to Aa3 (sf); previously on Sept. 29, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Downgraded to B1 (sf); previously on Sept. 29, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Caa1 (sf); previously on Sept. 29, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Caa2 (sf); previously on Sept. 29, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Caa3 (sf); previously on Sept. 29, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Ca (sf); previously on Sept. 29, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to C (sf); previously on Sept. 29, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to C (sf); previously on Sept. 29, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to C (sf); previously on Sept. 29, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to C (sf); previously on Sept. 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to C (sf); previously on Sept. 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to C (sf); previously on Sept. 29, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Sept. 29, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. N, Downgraded to C (sf); previously on Sept. 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. P, Downgraded to C (sf); previously on Sept. 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain the existing rating. On September 29, 2010, Moody's placed 15 classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 10.2% of the current balance. At last review, Moody's cumulative base expected loss was 5.8%. Moody's stressed scenario loss is 27.8% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's 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 transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated January 12, 2009. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the ratings. Deal Performance As of the November 12, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 3.7% to $2.067 billion from $2.147 billion at securitization. The Certificates are collateralized by 118 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 50% of the pool. There are no loans with credit estimate and the pool does not contain any defeased loans. Thirty three loans, representing 23% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Four loans have been liquidated from the pool, resulting in an aggregate realized loss of $27.3 million (65% loss severity). Thirteen loans, representing 18% of the pool, are currently in special servicing. The largest specially serviced loan is the Sequoia Plaza Loan ($92.7 million -- 4.5% of the pool), which is secured by a 370,000 square foot office property located in Arlington, Virginia. The loan was transferred to special servicing in February 2010 due to imminent default and is currently less than one month delinquent. Property performance has declined since last review due to a drop in occupancy. The remaining 12 specially serviced loans are secured by a mix of property types. Moody's has estimated an aggregate $154 million loss (43% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 12 poorly performing loans representing 24% of the pool and has estimated a $26 million loss (20% expected loss based on a 50% probability default) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Moody's was provided with full year 2009 operating results for 77% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 104% compared to 149% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11.1% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.32X and 0.99X, respectively, compared to 0.97X and 0.85X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 21 compared to 26 at Moody's prior review. The top three performing conduit loans represent 27% of the pool balance. The largest conduit loan is the RREEF Silicon Valley Office Portfolio ($250 million -- 12.1% of the pool), which is secured by a 36 property office portfolio located across California. This loan represents a pari-passu interest in a $700 million first mortgage loan. The loan is interest only throughout the entire term. Moody's LTV and stressed DSCR are 112% and 0.82X, respectively, compared to 107% and 0.87X at last review. The second largest loan is the One and Two Prudential Plaza Loan ($205.0 million -- 9.9% of the pool), which is secured by a 2.2 million square foot Class A office building located in Chicago, Illinois. This loan represents a pari-passu interest in a $410 million first mortgage loan. The property was 90% leased as of March 2010 compared to 93% at last review. The loan is interest only throughout the term. Moody's LTV and stressed DSCR are 92% and 1.06X, respectively, compared to 87% and 1.12X at last review. The third largest conduit loan is the Prime Retail Outlets Portfolio Loan ($111.6 million -- 5.4% of the pool), which is secured by three outlet centers totaling 780,000 square feet. The properties are located in Lee, Massachusetts; Gaffney, South Carolina and Calhoun Georgia. The properties were 95% leased as of March 2010. Performance has improved since last review. Moody's LTV and stressed DSCR are 96% and 1.08X, respectively, compared to 124% and 0.83X at last review. JP MORGAN: Moody's Downgrades Ratings on 15 2006-CIBC17 Certs. -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 15 classes and affirmed six classes of JP Morgan Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2006-CIBC17: -- Cl. A-SB, Affirmed at Aaa (sf); previously on Feb. 20, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-1, Affirmed at Aaa (sf); previously on Feb. 20, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Feb. 20, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Feb. 20, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Feb. 20, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. X, Affirmed at Aaa (sf); previously on Feb. 20, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-M, Downgraded to Aa2 (sf); previously on Nov. 4, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Downgraded to Ba1 (sf); previously on Nov. 4, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B2 (sf); previously on Nov. 4, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to B3 (sf); previously on Nov. 4, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Caa2 (sf); previously on Nov. 4, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Caa3 (sf); previously on Nov. 4, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to Ca (sf); previously on Nov. 4, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to C (sf); previously on Nov. 4, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to C (sf); previously on Nov. 4, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to C (sf); previously on Nov. 4, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to C (sf); previously on Nov. 4, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to C (sf); previously on Nov. 4, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Nov. 4, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. N, Downgraded to C (sf); previously on Nov. 4, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. P, Downgraded to C (sf); previously on Nov. 4, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value ratio, the Herfindahl Index and Moody's stressed DSCR, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. On November 4, 2010, Moody's placed Classes AM through P on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 10.0% of the current balance. At last review, Moody's cumulative base expected loss was 4.3%. Moody's stressed scenario loss is 23.0% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated February 11, 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months Deal Performance As of the November 12, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 2% to $2.49 billion from $2.54 billion at securitization. The Certificates are collateralized by 150 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 46% of the pool. At securitization, the Centro Heritage Portfolio Loan had an investment grade credit estimate. However, due a decline in property performance and increased leverage, this loan is now analyzed as part of the conduit pool. Thirty-seven loans, representing 28% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. Moody's has assumed a high default probability for 12 of the watchlisted loans as well as seven additional loans that mature within the next 36 months and have a Moody's stressed DSCR less than 1.0X. Moody's has estimated a $93.6 million loss (23% expected loss based on an 56% default probability) from these troubled loans. One loan has been liquidated from the pool, resulting in a realized loss of $1.3 million (26% loss severity). Fifteen loans, representing 9% of the pool, are currently in special servicing. The largest specially serviced loan is the CityView Portfolio II Loan ($58.2 million -- 2.3%) which is secured by seven multifamily properties located in Houston, Texas. The loan was transferred into special servicing February 2010 due to delinquency and is currently real estate owned. The remaining specially serviced loans are secured by a mix of office, retail, multifamily and hotel properties and each represent less than 2% of the pool. Moody's has estimated an aggregate $113.7 million loss (53% expected loss on average) for the specially serviced loans. Based on the most recent remittance statement, Classes H through NR have experienced cumulative interest shortfalls totaling $2.8 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions and extraordinary trust expenses. Moody's was provided with full year 2009 operating results for 91% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 114% compared to 109% at securitization. Moody's net cash flow reflects a weighted average haircut of 10% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.32X and 0.95X, respectively, compared to 1.27X and 0.97X at securitization. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 31 compared to 36 at securitization. The top three performing conduit loans represent 25% of the pool balance. The largest loan is the Bank of America Plaza Loan ($263 million -- 10.6%), which is secured by a 1.3 million square foot office property built in 1992 and located in Atlanta, Georgia. The largest tenant is Bank of America (30% of the gross leasable area; lease expiration May 2012). Bank of America plans to downsize in October 2011 and will only occupy 15% of the GLA. As of June 2010, the property was 79% leased compared to 85% at last review and 100% at securitization. Moody's LTV and stressed DSCR are 132% and 0.76X, respectively, compared to 87% and 0.84X at securitization. The second largest loan is the Centro Heritage Portfolio Loan ($221 million -- 8.9%), which is secured by a 2.8 million square foot retail center located in Bartonville, Illinois. The property's performance has declined since securitization due to a drop in occupancy and revenue. Moody's LTV and stressed DSCR are 82% and 1.18X, respectively, compared to 73% and 1.28X at last review. The third largest loan is the Residence Inn Times Square Loan ($139.5 million -- 5.6%), which is secured by a 357-room extended stay hotel in Manhattan. The loan is structured with a 25-year amortization schedule and has amortized 7% since securitization. Moody's LTV and stressed DSCR are 124% and 0.94X, respectively, compared to 133% and 0.93X at securitization. JP MORGAN: Moody's Downgrades Ratings on 17 2007-C1 Certs. ---------------------------------------------------------- Moody's Investors Service downgraded the ratings of 17 classes, confirmed two classes and affirmed five classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2007-C1: -- Cl. A-1, Affirmed at Aaa (sf); previously on Jan. 14, 2008 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on Jan. 14, 2008 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Jan. 14, 2008 Definitive Rating Assigned Aaa (sf) -- Cl. X-2, Affirmed at Aaa (sf); previously on Jan. 14, 2008 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Jan. 14, 2008 Definitive Rating Assigned Aaa (sf) -- Cl. A-SB, Confirmed at Aaa (sf); previously on Oct. 28, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at Aaa (sf); previously on Oct. 28, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-M, Downgraded to A1 (sf); previously on Oct. 28, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Downgraded to Baa3 (sf); previously on Oct. 28, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Ba1 (sf); previously on Oct. 28, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Ba3 (sf); previously on Oct. 28, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Caa1 (sf); previously on Oct. 28, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Caa2 (sf); previously on Oct. 28, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to Caa3 (sf); previously on Oct. 28, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to Ca (sf); previously on Oct. 28, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to C (sf); previously on Oct. 28, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to C (sf); previously on Oct. 28, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to C (sf); previously on Oct. 28, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to C (sf); previously on Oct. 28, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Oct. 28, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. N, Downgraded to C (sf); previously on Oct. 28, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. P, Downgraded to C (sf); previously on Oct. 28, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. Q, Downgraded to C (sf); previously on Oct. 28, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. T, Downgraded to C (sf); previously on Oct. 28, 2010 Ca (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from anticipated losses from specially serviced and troubled loans. The confirmations and affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the confirmed and affirmed classes are sufficient to maintain the existing rating. On October 27, 2010, Moody's placed 19 classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 11.5% of the current balance. At last review, Moody's cumulative base expected loss was 5.1%. Moody's stressed scenario loss is 23.3% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 15 compared to 20 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated February 3, 2009. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the ratings. Deal Performance As of the November 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 1.1% to $1.165 billion from $1.178 billion at securitization. The Certificates are collateralized by 59 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 61% of the pool. The pool does not contain any defeased loans or loans with credit estimates. Eighteen loans, representing 34% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has not experienced any realized losses to date. Seven loans, representing 16% of the pool, are currently in special servicing. The largest specially serviced loan is the Westin Portfolio Loan ($105.0 million - 9.0% of the pool), which represents a pari passu interest in a $209.0 million first mortgage loan. The loan is secured by a 487-unit full service hotel located in Tucson, Arizona and a 412-unit full service hotel located in Hilton Head, South Carolina. The loan was transferred to special servicing in October 2008 due to imminent default and is now 90+ days delinquent. A September 2009 appraisal valued the properties at $142.0 million, a 53% decline from the $303.8 million value recognized at securitization. The master servicer has recognized a $44.2 million appraisal reduction for this loan. The remaining six specially serviced loans are represented by a mix of property types. Moody's has estimated an aggregate $73 million loss (49% expected loss on average) for six of the seven specially serviced loans. Moody's has assumed a high default probability for 13 poorly performing loans representing 19% of the pool and has estimated a $46 million loss (22% expected loss based on a 50% probability default) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Moody's was provided with full year 2009 operating results for 92% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 108% compared to 148% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.31X and 1.05X, respectively, compared to 0.94X and 0.87X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 28% of the pool balance. The largest loan is the American Cancer Society Plaza Loan ($136 million -- 11.7% of the pool), which is secured by a 1.0 million square foot office property located in Atlanta, Georgia. The largest tenant is the American Cancer Society which leases 27% of the NRA through June 2022. The property was 82% leased as of June 2010 compared to 100% at securitization. Despite the decline in occupancy, performance has been stable. Moody's LTV and stressed DSCR are 118% and 0.85X, respectively, compared to 119% and 0.89X at securitization. The second largest conduit loan is the Block at Orange Loan ($110.0 million - 9.4% of the pool), which represents a pari passu interest in a $220.0 million first mortgage loan. The loan is secured by 700,000 square foot retail entertainment center located in Orange, California. The property is anchored by an AMC Entertainment movie theater, Dave & Buster's and Vans Skate Park. The property was 86% leased as of December 2009 compared to 95% at securitization. Moody's LTV and stressed DSCR are 129% and 0.69X, respectively, compared to 110% and 0.81X at last securitization. The third largest conduit loan is the Gurnee Mills Loan ($75.0 million -- 6.4% of the pool), which is a pari-passu interest in a $321.0 million first mortgage loan. The loan is secured by the borrower's interest in a 1.8 million square foot regional mall located in Gurnee, Illinois. The mall's major tenants include Sears, Bass Pro Shops Outdoor World and Kohl's. The property was 85% leased as of June 2010 compared to 98% at securitization. The loan is interest-only for its entire ten-year term maturing in July 2017. Moody's LTV and stressed DSCR are 129% and 0.73X, respectively, compared to 122% and 0.73X at securitization. KENTUCKY HOUSING: S&P Raises Ratings on Revenue Bonds From 'BB+' ---------------------------------------------------------------- Standard & Poor's Ratings Services said it raised to 'AAA' from 'BB+' the rating on Kentucky Housing Corp.'s series 2010 conduit multifamily housing revenue bonds (GNMA collateralized mortgage loan; Country Place Apartments Project). The upgrade reflects: * The sufficiency of cash flows to pay principal and interest on the bonds until maturity assuming zero reinvestment of income; * An asset/liability parity of 100.67% as of Oct.20, 2010; and * The high quality of assets, including a Ginnie Mae mortgage- backed security and 'AAAm' rated Federated Treasury Obligations money market fund. On May 12, 2010, the issue was included in a rating action where S&P placed its ratings on certain housing issues on CreditWatch with negative implications due to revised criteria for certain federal government-enhanced housing transactions. S&P's revised criteria affect government-enhanced housing transactions where funds are invested in money market funds and other investments with no guaranteed rate of return. Standard & Poor's had downgraded the bonds on Sept. 29, 2010, based on updated cash flow statements assuming zero reinvestment for all scenarios as set forth in the related criteria articles. The cash flow projections at that time indicated insufficient revenues to pay regularly scheduled debt service. In addition, in the event that the security prepays, the cash flows indicated insufficient assets to cover the reinvestment risk based on the 15-day minimum notice period required for special redemptions. Since then, Standard & Poor's has received information on new cash flows assuming zero reinvestment income that indicate full payment of principal and interest on the bonds, plus fees as well as sufficient assets to cover reinvestment based on the notice period. To address the previous cash flow insufficiency, rebate fees will no longer be paid from the trust estate. The flow of funds is open in this transaction, subject to retention of a carryforward amount that matches the excesses available in the updated cash flows. KODIAK CDO: Moody's Downgrades Ratings on Two Classes of Notes -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded these notes issued by Kodiak CDO II Ltd. -- US$338,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2042, Downgraded to B2 (sf); previously on April 9, 2009 Downgraded to Ba1 (sf); -- US$53,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2042, Downgraded to Caa2 (sf); previously on April 9, 2009 Downgraded to Caa1 (sf). Ratings Rationale Kodiak CDO II, Ltd., issued on June 29, 2007, is a collateral debt obligation backed by a portfolio of CMBS securities, CRE CDOs, and REIT trust preferred securities. On April 9, 2009, the last rating action date, Moody's downgraded five classes of notes as a result of the application of revised and updated key modeling assumptions, as well as the deterioration in the credit quality of the transaction's underlying portfolio. Moody's indicated that the downgrades on the notes are primarily the result of increase of the assumed defaulted amount and Weighted Average Rating Factor of the pool. Since the last rating action, the assumed defaulted amount has increased by 423%. Cumulative assumed defaulted amounts now total $184.4 million (24.7% of the portfolio). All the assumed defaulted assets are carried at zero recovery in Moody's analysis. The remaining assets in the portfolio have also suffered credit deterioration, as indicated by the WARF which increased to 4370. This current WARF accounts for a credit estimate stress, described in Moody's Rating Methodology "Updated Approach to the Usage of Credit Estimates in rated Transactions", October 2009. WARF assumptions for the last rating action were 3148 for First Scenario and 2948 for Second Scenario, details of which are explained in the last rating actions' press release. The par loss due to the increase in the assumed defaulted amount has resulted in loss of overcollateralization and interest coverage for the affected tranches. This has led to an increase of their expected losses since the last rating action. The overcollateralization tests continue to breach their triggers which have resulted in a diversion of excess spreads to pay down senior notes. As of the latest trustee report dated November 1, 2010, the Class A/B Overcollateralization Test is reported at 114.419%, versus trustee reported levels from the report dated February 27, 2009 of 131.06%, which were used during the last rating action. Additionally, the Class A/B Interest Coverage Test is reported at 134.136%, versus trustee reported levels of 179.69% as of the last rating action date. In Moody's opinion, most U.S. REITs and REOCs have began to show signs of recovery and the credit fundamentals are stabilizing for the sector. Moody's also expect relative rating stability for U.S. CMBS in 2011 as property markets begin to recover. In Moody's analysis, Moody's assume no prepayments. The WAL of the portfolio is approximately 32 years. The portfolio of this CDO is composed of CMBS securities and trust preferred securities issued by REITs that are generally not publicly rated by Moody's. To evaluate their credit quality, Moody's derives credit scores for these non-publicly rated assets and evaluates the sensitivity of the rated transactions to their volatility, as described in Moody's Rating Methodology "Updated Approach to the Usage of Credit Estimates in Rated Transactions", October 2009. The effect of the stress testing of these credit scores varies between one and three notches, depending on the total amount and relative size of these securities in the collateral pool. 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 increases and decreases to the WARF (representing a slight improvement and a slight deterioration of the credit quality of the collateral pool) was examined. If WARF is increased by 425 points from the base case of 4370, the model results in an expected loss that is one notch worse than the result of the base case for Class A1 notes. If the WARF is decreased by 460 points, expected losses are one notch better than the base case results. Additionally, the effects of the actual amortization profiles were tested resulting in an expected loss that was one notch worse for the Class A-1 notes. 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 this transaction, 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. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past 6 months. LEHMAN ABS: Moody's Downgrades Ratings on Two Tranches ------------------------------------------------------ Moody's Investors Service has downgraded the ratings of two tranches from two RMBS transactions issued by Lehman ABS Corporation Home Equity Loan Asset-Backed Notes. The collateral backing these deals primarily consists of closed end second lien loans and home equity lines of credit. Ratings Rationale The actions are a result of the continued performance deterioration in second lien pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on second lien pools. Tranche Cl. A issued by Lehman ABS Corporation Home Equity Loan Asset-Backed Notes, Series 2004-2 and Lehman ABS Corporation Home Equity Loan Asset-Backed Notes, Series 2005-1 are wrapped by Ambac Assurance Corporation (Segregated Account - Unrated). For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. If expected losses on the each of the collateral pools were to increase by 10%, model implied results indicate that most of the deals' ratings would remain stable, with the exception of Class A from Lehman ABS Corporation Home Equity Loan Asset-Backed Notes, Series 2005-1, for which model implied results would be one notch lower (for example, Ba2 versus Ba1, or Ca versus Caa3). Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Lehman ABS Corporation Home Equity Loan Asset-Backed Notes, Series 2004-2 * Expected Losses (as a % of Original Balance): 3% -- Cl. A, Downgraded to Caa2 (sf); previously on March 18, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Lehman ABS Corporation Home Equity Loan Asset-Backed Notes, Series 2005-1 * Expected Losses (as a % of Original Balance): 7% -- Cl. A, Downgraded to Caa3 (sf); previously on March 18, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa3 (sf); previously on March 18, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) LEHMAN ABS: S&P Downgrades Ratings on Class A-3 Certificates ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on the class A-3 certificates issued by Lehman ABS Manufactured Housing Contract Trust 2001-B to 'B-', and affirmed its ratings on the class A-4, A-5, A-6, A-7, and M-1 certificates from the same transaction. S&P removed all of the ratings from CreditWatch, where they were placed with negative implications on July 15, 2010. The downgrade of the class A-3 certificates reflects S&P's view that the certificates are vulnerable to nonpayment of full principal due to investors by their stated final maturity date of May 15, 2014. S&P lowered the rating to 'B-' based on its view that if prepayments begin to increase and/or losses decrease, there is a possibility that the class A-3 certificates could be paid in full by their stated final distribution date. As such, S&P does not believe a rating in the 'CCC' category is warranted at this time. Due to cumulative net losses that are higher than S&P initially expected, the transaction is not generating enough collections each month to pay the class A certificates the complete amount of principal due according to the transaction documents. Because of this, the class A certificates have accumulated an unpaid principal shortfall amount. The transaction's payment waterfall specifies that any unpaid principal shortfall amount is to be paid pro rata among all of the outstanding class A certificates prior to the normal sequential principal payment distribution. Accordingly, the class A-3 certificates are receiving an amount that is equal to their pro rata share of available monthly collections. Principal payments to the class A-3 certificates have averaged approximately $600,000 per month over the past 12 months, and the class A-3 certificates had an outstanding principal balance of approximately $42.9 million as of the November 2010 distribution period. Based on the recent average principal paydown of the class A-3 certificates, S&P believes that the class A-3 certificates are vulnerable to nonpayment of full principal within the next three-and-a-half years, assuming that there are no large increases in voluntary or involuntary prepayments and that the senior tranches will likely continue to pay principal pro rata. The affirmations reflect S&P's view that the credit enhancement available to cover losses in relation to its revised expectations of remaining cumulative net losses is sufficient to maintain the ratings at their current levels. Lehman 2001-B's collateral performance has been worse than S&P initially expected because of high default frequencies and loss severities. As of the November 2010 distribution date, Lehman 2001-B had 109 months of performance with a 29.07% pool factor (the percent of the original balance that remains outstanding). Current cumulative net losses total 17.59%, with 1.16% of the current collateral balance in repossession and 1.51% of the current collateral balance in the 60-plus days delinquent category. Based on the performance of this transaction, S&P has revised its cumulative net loss expectation to 24.00%-26.00%. Although the higher-than-expected net losses have caused write-downs on the class M-2, B-1, and B-2 certificates, as well as the complete depletion of overcollateralization, S&P believes that enough enhancement remains in the form of subordination and excess spread to support the affirmed ratings. Table 1 Hard Credit Support (%)* (As of the November 2010 distribution date) Current Total hard total hard Pool credit support credit support Class factor at issuance (% of current) ----- ------ -------------- -------------- A 29.07 23.50 41.72 M-1 29.07 16.50 17.64 * Consisted of overcollateralization and subordination at issuance. Current hard credit support consists solely of subordination. Both percentages exclude excess spread. S&P's review of the transaction incorporated cash flow analysis, for which S&P used current and historical performance to estimate future performance. S&P's various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that S&P think are appropriate given the transaction's current performance. The results demonstrated that the class A-4, A-5, A-6, A-7, and M-1 certificates have adequate remaining loss coverage at their respective rating levels. In addition, the cash flow results indicated that the class A-3 certificates will likely not pay out principal in full to investors by their stated final distribution date. The class A-7 certificates benefit from a bond insurance policy issued by Ambac Assurance Corp. ('R'). Under S&P's criteria, the issue credit rating on a fully enhanced bond issue is the higher of (i) its rating on the credit enhancer; and (ii) the Standard & Poor's underlying rating on the class. Standard & Poor's will continue to monitor the performance of the transaction to consider whether the credit enhancement remains sufficient, in its view, to cover its revised cumulative net loss expectations under its stress scenarios for each rating. If the transaction performs in line with or better than expected, upgrades are possible for the class A-4 through M-1 certificates as the credit enhancement continues to grow as the pool amortizes and remaining losses decrease. In addition, if voluntary prepayments increase significantly over the next several months, the transaction would be able to pay down its unpaid principal shortfall more quickly; as such, the class A-3 certificates may be able to pay investors in full by their stated final maturity date. However, if cumulative net losses are higher than S&P's revised expectations due to lower recoveries and higher loss severities, write-downs to the M-1 certificates may occur and downgrades to the class A and M-1 certificates are possible. Rating Lowered And Removed From Creditwatch Negative Lehman ABS Manufactured Housing Contract Trust 2001-B Rating ------ Class To From ----- -- ---- A-3 B- (sf) BBB+ (sf)/Watch Neg Ratings Affirmed And Removed From Creditwatch Negative Lehman ABS Manufactured Housing Contract Trust 2001-B Rating ------ Class To From ----- -- ---- A-4 BBB+ (sf) BBB+ (sf)/Watch Neg A-5 BBB+ (sf) BBB+ (sf)/Watch Neg A-6 BBB+ (sf) BBB+ (sf)/Watch Neg A-7 BBB+ (sf) BBB+ (sf)/Watch Neg M-1 B- (sf) B- (sf)/Watch Neg LNR CDO: S&P Downgrades Ratings on 12 Classes of Notes ------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 12 classes on LNR CDO VI Ltd., a commercial real estate collateralized debt obligation transactions. The downgrades reflect S&P's analysis of the interest shortfalls affecting the transaction. S&P lowered the ratings on classes A-1 and A-2 to 'CCC- (sf)' from 'B+ (sf)' due to their susceptibility to interest shortfalls as class B and all of the classes subordinate to it did not receive full interest per the Nov. 19, 2010 remittance report. The interest shortfalls to the nondeferrable class B certificates prompted S&P's downgrade of that class to 'D (sf)' from 'CCC (sf)'. The interest shortfall to the nondeferrable class also triggered an event of default under the indenture based on a notice from the trustee, Bank of America N.A., provided on Dec. 2, 2010. The downgrades of the deferrable class C through L to 'CC (sf)' from 'CCC- (sf)' reflect S&P's determination that the interest due to these classes may be deferred for an extended period of time as a result of a hedge termination payment. Following the termination of an interest rate swap with National Australia Bank Ltd., a $99.1 million hedge termination payment is due by the trust. According to the transaction's payment waterfall, the hedge termination payment follows the payment of interest and principal to the holders of classes A-1, A-2, and B. The interest shortfalls primarily resulted from the failure of the underlying commercial mortgage-backed securities (CMBS) collateral for LNR CDO VI Ltd. to produce sufficient interest proceeds to pay the full interest amounts due to the classes. According to the trustee reports for LNR CDO VI Ltd., the amount of interest payments each month on the collateral has steadily declined in each of the past six months. The interest payment in November 2010 totaled $302,816, compared with $900,862 in June 2010. According to the November remittance report, the current asset pool included 128 CMBS tranches ($895.7 million, 100%) from 28 distinct transactions issued between 2006 and 2007. Standard & Poor's analyzed LNR CDO VI Ltd. according to its current criteria. S&P's analysis is consistent with the lowered ratings. Ratings Lowered LNR CDO VI Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- A-1 CCC- (sf) B+ (sf) A-2 CCC- (sf) B+ (sf) B D (sf) CCC (sf) C CC (sf) CCC- (sf) D CC (sf) CCC- (sf) E CC (sf) CCC- (sf) F CC (sf) CCC- (sf) G CC (sf) CCC- (sf) H CC (sf) CCC- (sf) J CC (sf) CCC- (sf) K CC (sf) CCC- (sf) L CC (sf) CCC- (sf) LOMBARD PUBLIC: S&P Puts 'B-' Rating on CreditWatch Positive ------------------------------------------------------------ Standard & Poor's Ratings Services said it placed the 'B-' rating on Lombard Public Facilities Corp., Ill.'s series 2005B conference center and hotel second-tier revenue bonds on CreditWatch with positive implications. "The placement is due to LPFC's proposed restructuring of its series 2005A and C bonds and amending of the indenture of trust," said Standard & Poor's credit analyst John Kenward. The proposed indenture of trust amendments limit the events of default that can lead to acceleration of the series 2005B bonds to payment default and certain other events not related to project performance. If the trust indenture is amended as contemplated by the corporation, the rating on the bonds will be adjusted to 'AA-' with a negative outlook, or one notch below the 'AA' issuer credit rating on Lombard village. LPFC issued the series 2005A, 2005B, and unrated series 2005C third-tier revenue bonds to finance the construction of a hotel and conference center that opened in 2007. All three series of bonds are secured by net revenues from the project. LONG BEACH: Moody's Downgrades Ratings on Three Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of three tranches from one RMBS transaction issued by Long Beach Mortgage Loan Trust 2006-A. The collateral backing this deal primarily consists of closed end second lien loans. Ratings Rationale The actions are a result of the continued performance deterioration in second lien pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on second lien pools. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. If expected losses on the each of the collateral pools were to increase by 10%, model implied results indicate that the ratings would remain stable. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Long Beach Mortgage Loan Trust 2006-A * Expected Losses (as a % of Original Balance): 77% -- Cl. A-1, Downgraded to C (sf); previously on March 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on March 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on March 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade MANCHESTER HOUSING: Moody's Junks Ratings on Revenue Bonds ---------------------------------------------------------- Moody's Investors Service has downgraded to Caa1 from Ba2 the Manchester Housing and Redevelopment Authority's (New Hampshire) Revenue Bonds Series A & B of 2000. Security for these bonds is solely derived from the City of Manchester's allocation of state meals and room's taxes received in excess of $454,927. Ratings Rationale The downgrade reflects Moody's expectation that pledged revenues will continue to fall short of annual debt service amounts resulting in the continued drawdown of the debt service reserve fund and an eventual payment default. The State of New Hampshire (GO rated Aa1 with a stable outlook) has taken actions to limit the City of Manchester's allocation of state meals and room's taxes at a level insufficient to cover debt service. The fiscal 2010 meals and rooms tax distribution to municipalities from the State was capped at the fiscal 2009 level of $58.8 million as part of the state's adopted biennial budget (fiscal 2010 and 2011). For the City of Manchester this action froze its total 2010 meals and rooms tax allocation at $4.85 million and the amount pledged to the bonds at $4.3 million (net of $454,927 retained by the city). While the January 2010 principal and interest payment ($3.7 million) was paid in full, a $24,017 shortfall occurred for the July 1, 2010 interest payment of $681,000, resulting in a draw on the DSRF. The January 1, 2011 debt service payment of $4.2 million is expected to be paid in full however excess funds will not be sufficient to replenish the draw on the DSRF, as the indenture requires that any excess first be set aside in the appropriate principal and interest accounts for the subsequent debt service payment. Assuming no change of meals and rooms tax funding levels, Moody's project that the DSRF would continue to be drawn down through January 2016 when a payment default would occur. The DSRF currently maintains a balance of $3.4 million or 66% of MADs. The City of Manchester (GO rated Aa1 with a stable outlook) is under no legal obligation to make up a debt service shortfall or replenish a draw on the debt service reserve fund. Moreover, management has indicated that they do not intend to support the bonds beyond the legally pledged revenues. The downgrade also reflects the likelihood of technical defaults under the indenture and possible remedies upon a default. A technical default is anticipated to occur on December 31, 2010 due to the inability of pledged revenue to replenish the draw of the DSRF within the required timeframe outlined in the financing agreement. Further, the lack of sufficient funding from the state in the form of meals and rooms tax revenues is an event of early termination of financing agreement. In order to terminate the agreement the city board would need to adopt a resolution deleting the unfunded appropriation from its budget. The city has never failed to appropriate pledged revenues and has indicated that it does not intend to terminate the financing agreement. Remedies in the event of default include the acceleration of principal and interest payments, with the consent of the insurer (ACA). The revenue bonds were originally issued in March of 2000 to fund the construction of the Verizon Wireless Arena (formerly the Manchester Civic Center). The 11,000 seat arena opened in November of 2001 and primarily hosts sporting events and concerts. However, neither the revenues from the arena nor the facility itself are pledged to bondholders. What Could Remove The Rating Up? * A change to the meals and rooms tax distribution resulting in sum sufficient coverage levels over the near term and satisfactory coverage in future periods * Contribution of additional ongoing funds by the City offsetting the anticipated meals and room's tax shortfall What Could Move The Rating Down? * Further declines in pledged revenues * Alteration of the state meals and rooms distribution formula that disadvantages Manchester * Termination of the financing agreement and the subsequent loss of the meals and rooms revenues * Acceleration of the bonds pursuant to the indenture upon a technical default The Manchester Housing and Redevelopment Authority rating was assigned by evaluating factors believed to be relevant to the credit profile for this series of bonds including i) the business risk and competitive position of the issuer versus others within its industry or sector, ii) the capital structure and financial risk of the issuer, iii) the projected performance of the issuer over the near to intermediate term, iv) the issuer's history of achieving consistent operating performance and meeting budget or financial plan goals, v) the nature of the dedicated revenue stream pledged to the bonds, vi) the debt service coverage provided by such revenue stream, vii) the legal structure that documents the revenue stream and the source of payment, and viii) and the issuer's management and governance structure related to payment. These attributes were compared against other issuers both within and outside of the issuers core peer group and the issuers rating is believed to be comparable to ratings assigned to other issuers of similar credit risk. MARATHON FINANCING: Moody's Upgrades Ratings on Various Notes ------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Marathon Financing I, B.V.: -- $245,000,000 Class A-1 First Senior Secured Floating Rate Notes due 2026 (current outstanding balance of $105,322,655.53), Upgraded to Aaa (sf); previously on July 30, 2009 Downgraded to Aa2(sf); -- EUR75,000,000 Class A-2 First Senior Secured Floating Rate Notes due 2026 (current outstanding balance of EUR32,241,576.98), Upgraded to Aaa (sf); previously on July 30, 2009 Downgraded to Aa2(sf); -- $80,000,000 Class A-3 First Senior Secured Floating Rate Notes due 2026 (current outstanding balance of $34,391,071.19), Upgraded to Aaa (sf); previously on July 30, 2009 Downgraded to Aa2(sf); -- Up to $250,000,000 drawable in U.S. Dollars, Pounds Sterling and Euro Senior Lender Indebtedness (current outstanding balance of $94,532,785.72 and Pounds Sterling 4,600,000), Upgraded to Aaa (sf); previously on July 30, 2009 Downgraded to Aa2(sf); -- $80,000,000 Class B-1 Second Senior Secured Floating Rate Notes due 2026, Upgraded to Aa3 (sf); previously on July 30, 2009 Downgraded to A3(sf); -- $20,000,000 Class C-1 Mezzanine Secured Deferrable Floating Rate Notes due 2026, Upgraded to Baa1 (sf); previously on July 30, 2009 Downgraded to Ba1(sf); -- $60,000,000 Mezzanine Lender Indebtedness, Upgraded to Baa1 (sf); previously on July 30, 2009 Downgraded to Ba1(sf); Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the delevering of the Class A-1 Notes, Class A-2 Notes, Class A-3 Notes and Senior Lender Indebtedness, which have been paid down by approximately 50% or $293 million in total since the last rating action in July 2009. As a result of the delevering, the overcollateralization ratios have increased since the last rating action in July 2009. As of the latest trustee report dated October 22, 2010, the Senior, Second Senior and Mezzanine overcollateralization ratios are reported at 224.9%, 175.8% and 144.3%, respectively, versus June 2009 levels of 145.9%, 129.6% and 116.6%, respectively. Moody's expects delevering to continue as a result of the end of the deal's reinvestment period. Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since the last rating action. Based on the October 2010 trustee report, the weighted average rating factor is 2982 compared to 3394 in June 2009. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to about $53 million from approximately $211 million in June 2009. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds of $701 million, defaulted par of $53 million, weighted average default probability of 31.33% (implying a WARF of 4765), a weighted average recovery rate upon default of 36.47%, and a diversity score of 27. 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. Marathon Financing I, B.V., issued in December 2006, is a multi- currency collateralized loan obligation backed primarily by a portfolio of senior secured loans denominated in U.S. dollars, euros, and pounds sterling. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the double binomial approch within the Binomial Expansion Technique framework, as described in Sections 2.3.2.1, 2.3.2.2 and 2.3.3.7 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. For securities whose default probabilities are assessed through credit estimates, Moody's applied additional default probability stresses by assuming an equivalent of Caa3 for CEs that were not updated within the last 15 months, which currently account for approximately 6.8% of the collateral balance. In addition, Moody's applied a 1.5 notch-equivalent assumed downgrade for CEs last updated between 12-15 months ago, and a 0.5 notch-equivalent assumed downgrade for CEs last updated between 6-12 months ago. For each CE where the related exposure constitutes more than 3% of the collateral pool, Moody's applied a 2-notch equivalent assumed downgrade (but only on the CEs representing in aggregate the largest 30% of the pool) in lieu of the aforementioned stresses. Notwithstanding the foregoing, in all cases the lowest assumed rating equivalent is Caa3. Moody's also performed a number of sensitivity analyses to test the impact on all rated notes, including these: 1. Various default probabilities to capture potential defaults in the underlying portfolio. 2. A range of recovery rate assumptions for all assets to capture variability in recovery rates. 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% (3812) -- Class A-1: 0 -- Class A-2: 0 -- Class A-3: 0 -- Class Senior Lender Indebtedness: 0 -- Class B-1: +2 -- Class C-1: +2 -- Class Mezzanine Lender Indebtedness: +2 Moody's Adjusted WARF + 20% (5718) -- Class A-1: 0 -- Class A-2: 0 -- Class A-3: 0 -- Class Senior Lender Indebtedness: 0 -- Class B-1: -2 -- Class C-1: -2 -- Class Mezzanine Lender Indebtedness: -2 A summary of the impact of different recovery rate 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 WARR + 2% (38.47%) -- Class A-1: 0 -- Class A-2: 0 -- Class A-3: 0 -- Class Senior Lender Indebtedness: 0 -- Class B-1: +1 -- Class C-1: +1 -- Class Mezzanine Lender Indebtedness: +1 Moody's Adjusted WARR - 2% (34.47%) -- Class A-1: 0 -- Class A-2: 0 -- Class A-3: 0 -- Class Senior Lender Indebtedness: 0 -- Class B-1: 0 -- Class C-1: 0 -- Class Mezzanine Lender Indebtedness: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the managers' investment strategies and behavior, 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus selling defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) The deal has significant exposure to non-US$denominated assets. Volatilities in foreign exchange rate will have a direct impact on interest and principal proceeds available to the transaction, which may affect the expected loss of rated tranches. MARATHON REAL: Moody's Downgrades Ratings on Seven Classes ---------------------------------------------------------- Moody's has affirmed four and downgraded seven classes of Notes issued by Marathon Real Estate CDO 2006-1, Ltd. due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor, the current level of Defaulted Securities, and the sensitivity of the transaction to recovery rates. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. A-1, Affirmed at Aaa (sf); previously on March 19, 2009 Confirmed at Aaa (sf) -- Cl. A-2, Affirmed at Aa2 (sf); previously on March 19, 2009 Downgraded to Aa2 (sf) -- Cl. B, Affirmed at A1 (sf); previously on March 19, 2009 Downgraded to A1 (sf) -- Cl. C, Affirmed at Baa1 (sf); previously on March 19, 2009 Downgraded to Baa1 (sf) -- Cl. D, Downgraded to Baa3 (sf); previously on March 19, 2009 Downgraded to Baa2 (sf) -- Cl. E, Downgraded to Ba1 (sf); previously on March 19, 2009 Downgraded to Baa3 (sf) -- Cl. F, Downgraded to Ba3 (sf); previously on March 19, 2009 Downgraded to Ba1 (sf) -- Cl. G, Downgraded to B2 (sf); previously on March 19, 2009 Downgraded to Ba1 (sf) -- Cl. H, Downgraded to Caa1 (sf); previously on March 19, 2009 Downgraded to Ba2 (sf) -- Cl. J, Downgraded to Caa2 (sf); previously on March 19, 2009 Downgraded to B1 (sf) -- Cl. K, Downgraded to Caa3 (sf); previously on March 19, 2009 Downgraded to B3 (sf) Ratings Rationale Marathon Real Estate CDO 2006-1, Ltd. is a revolving cash CRE CDO transaction backed by a portfolio of whole loans (40.0% of the pool balance), commercial mortgage backed securities (17.3%), CRE CDO debt (10.6%), B-note debt (20.1%), mezzanine debt (9.9%), asset-backed securities (1.3%), and Rake bonds (0.8%). As of the October 19, 2010 Trustee report, the aggregate Note balance of the transaction, including Preferred Shares, is $1 billion, the same as at issuance, while the transaction is passing all Par Value Tests and Interest Coverage Tests. There are four assets with par balance of $56.9 million (5.8% of the current pool balance) that are classified as Defaulted Securities as of the October 19, 2010 Trustee report. Moody's expects meaningful losses from those Defaulted Securities to occur once they are realized. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation . 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 have completed updated credit estimates for the non- Moody's rated collateral. For non-CUSIP collateral, Moody's is eliminating the additional default probability stress applied to corporate debt in CDOROM(R) v2.6 as Moody's expects the underlying non-CUSIP collateral to experience lower default rates and higher recovery compared to corporate debt due to the nature of the secured real estate collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 4,996 (including Defaulted Securities) compared to 2,902 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (9.9% compared to 0.0% at last review), A1-A3 (5.4% compared to 0.3% at last review), Baa1-Baa3 (11.3% compared to 6.5% at last review), Ba1- Ba3 (8.0% compared to 28.9% at last review), B1-B3 (6.9% compared to 58.6% at last review), and Caa1-C (58.5% compared to 5.7% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 4.8 years compared to 6.1 years at last review. Moody's are modeling the WAL, including remaining revolving period, in the current 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 34.0% (excluding Defaulted Securities) compared to 20.0% 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). For non-CUSIP collateral, Moody's is reducing the maximum over concentration stress applied to correlation factors due to the diversity of tenants, property types, and geographic locations inherent in the pooled transactions. Moody's modeled a MAC of 6.6% compared to 19.6% at last review. The lower MAC is due to the greater ratings dispersion of the collateral pool. 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 34.0% to 23.8% or up to 44.2% would result in average rating movement on the rated tranches of 0 to 5 notches downward or 0 to 6 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in a majority of property sectors. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expects overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. MERRILL LYNCH: Moody's Affirms Ratings on 13 2007-Canada 22 Certs. ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings of 13 classes and downgraded three classes of Merrill Lynch Financial Assets Inc., Commercial Mortgage Pass-Through Certificates, Series 2007-Canada 22: -- Cl. A-1, Affirmed at Aaa (sf); previously on June 20, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on June 20, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on June 20, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. XP-1, Affirmed at Aaa (sf); previously on June 20, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. XP-2, Affirmed at Aaa (sf); previously on June 20, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. XC, Affirmed at Aaa (sf); previously on June 20, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aa2 (sf); previously on June 20, 2007 Definitive Rating Assigned Aa2 (sf) -- Cl. C, Affirmed at A2 (sf); previously on June 20, 2007 Definitive Rating Assigned A2 (sf) -- Cl. D, Affirmed at Baa2 (sf); previously on June 20, 2007 Definitive Rating Assigned Baa2 (sf) -- Cl. E, Affirmed at Baa3 (sf); previously on June 20, 2007 Definitive Rating Assigned Baa3 (sf) -- Cl. F, Affirmed at Ba1 (sf); previously on June 20, 2007 Definitive Rating Assigned Ba1 (sf) -- Cl. G, Affirmed at Ba2 (sf); previously on June 20, 2007 Definitive Rating Assigned Ba2 (sf) -- Cl. H, Affirmed at B1 (sf); previously on Oct. 1, 2009 Downgraded to B1 (sf) -- Cl. J, Downgraded to B3 (sf); previously on Oct. 1, 2009 Downgraded to B2 (sf) -- Cl. K, Downgraded to Caa2 (sf); previously on Oct. 1, 2009 Downgraded to B3 (sf) -- Cl. L, Downgraded to Caa3 (sf); previously on Oct. 1, 2009 Downgraded to Caa1 (sf) Ratings Rationale The downgrades are due to realized losses from liquidated loans and increased credit quality dispersion for the pool. The pool has experienced a $2.5 million loss from the liquidation of one loan. Although the overall leverage of the pool has remained relatively stable, 57% of the pool has a loan to value ratio of greater than 100% compared to 42% at Moody's last review and 5.8% at securitization. The affirmations are due to key parameters, including Moody's LTV ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 1.8% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 13 compared to 14 at last review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds and sponsorship. These aggregated proceeds are then adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated October 1, 2009. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 12, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 8% to $401.7 million from $434.4 billion at securitization. The Certificates are collateralized by 63 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans representing 29% of the pool. One loan, representing 0.8% of the pool, has defeased and is collateralized by Canadian Government securities. Thirteen loans, representing 16.3% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated from the pool since securitization, resulting in an aggregate $2.5 million loss (44% loss severity on average). Currently, there are no loans in special servicing. Moody's was provided with full year 2009 operating results for 88% of the pool. Moody's weighted average LTV is 98% compared to 99% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 10% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Moody's actual and stressed DSCRs are 1.45X and 1.04X, respectively, compared to 1.44X and 1.03X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three loans represent 38% of the pool. The largest conduit loan is the Holiday Portfolio Loan ($85.6 million -- 21% of the pool), which is secured by a 50% pari passu interest in a $171.3 million mortgage. The loan is secured by ten independent living properties located throughout the provinces of Alberta, British Columbia, Ontario, Quebec and Saskatchewan. As of December 2009, the portfolio was 91% occupied compared to 98% at last review. Despite the decline in occupancy, net operating income in 2009 was 7% higher than at last review. Moody's LTV and stressed DSCR are 103% and 0.92X, respectively, compared to 110% and 0.86X at last review. The second largest loan is the In-Storage Self Storage Portfolio Loan ($45.7 million -- 12% of the pool) which is secured by seven self-storage properties located throughout the provinces of Alberta, Ontario, and Saskatchewan. As of December 2009, the portfolio was 79% occupied, essentially the same as at last review. Performance has declined due to a 16% drop in net operating income since last review. Moody's LTV and stressed DSCR are 116% and 0.84X, respectively, compared to 100% and 0.92X at last review. The third largest loan is the Evton Midtown Office Portfolio Loan ($24.1 million -- 5% of the pool), which is secured by three office buildings, totaling 181,000 square feet, located in Toronto, Ontario. As of December 2009, the buildings were 88% leased compared to a 97% at last review. The decline in occupancy is mostly attributed to In-Sync Consumer Insight, which previously occupied 6% of the net rentable area, vacating the premises when its lease expired in September 2009. Despite the increase in vacancy, the loan is benefiting from an additional 14% increase in amortization since last review. Moody's LTV and stressed DSCR are 90% and 1.14X, respectively, compared to 97% and 1.09X. MESA WEST: Moody's Downgrades Ratings on 10 Classes of Notes ------------------------------------------------------------ Moody's has affirmed one and downgraded ten classes of Notes issued by Mesa West Capital CDO, Ltd. 2007-1 due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor and the sensitivity of the transaction to recovery rates. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. A-1, Affirmed at Aaa (sf); previously on April 27, 2009 Confirmed at Aaa (sf) -- Cl. A-2, Downgraded to A3 (sf); previously on April 27, 2009 Downgraded to Aa3 (sf) -- Cl. B, Downgraded to Ba3 (sf); previously on April 27, 2009 Downgraded to Baa1 (sf) -- Cl. C, Downgraded to B3 (sf); previously on April 27, 2009 Downgraded to Ba1 (sf) -- Cl. D, Downgraded to Caa1 (sf); previously on April 27, 2009 Downgraded to Ba2 (sf) -- Cl. E, Downgraded to Caa2 (sf); previously on April 27, 2009 Downgraded to Ba3 (sf) -- Cl. F, Downgraded to Caa3 (sf); previously on April 27, 2009 Downgraded to B2 (sf) -- Cl. G, Downgraded to Caa3 (sf); previously on April 27, 2009 Downgraded to B3 (sf) -- Cl. H, Downgraded to Ca (sf); previously on April 27, 2009 Downgraded to Caa1 (sf) -- Cl. J, Downgraded to Ca (sf); previously on April 27, 2009 Downgraded to Caa2 (sf) -- Cl. K, Downgraded to Ca (sf); previously on April 27, 2009 Downgraded to Caa3 (sf) Ratings Rationale Mesa West Capital CDO, Ltd. 2007-1, is a revolving CRE CDO transaction backed by a portfolio of whole loans (95.1%) and B- Notes (4.9%). As of the October 25, 2010 Trustee report, the aggregate Note balance of the transaction is $600.0 million, the same as at issuance. There are no assets that are considered Defaulted Securities as of the October 25, 2010 Trustee report. Defaulted Assets that are not CMBS are defined as assets which are 30 or more days delinquent in their debt service payment. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation. These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. Per the legal documentation the transactions will end its reinvestment period in February 2012. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's have completed updated credit estimates for the non- Moody's rated reference obligations. For non-CUSIP collateral, Moody's is eliminating the additional default probability stress applied to corporate debt in CDOROM(R) v2.6 as Moody's expect the underlying non-CUSIP collateral to experience lower default rates and higher recovery compared to corporate debt due to the nature of the secured real estate collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 6,507 compared to 3,388 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (0.0% compared to 0.0% at last review), A1- A3 (0.0% compared to 0.0% at last review), Baa1-Baa3 (0.0% compared to 0.0% at last review), Ba1-Ba3 (10.0% compared to 2.4% at last review), B1-B3 (4.7% compared to 97.6% at last review), and Caa1-C (85.3% compared to 0.0% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 6.5 years compared to 8.0 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 55.0% compared to 55.5% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). For non-CUSIP collateral, Moody's is reducing the maximum over concentration stress applied to correlation factors due to the diversity of tenants, property types, and geographic locations inherent in pooled transactions. Moody's modeled a MAC of 99.9% compared to 26.4% at last review. The high MAC is due to a small number of high credit risk collateral. Moody's review incorporated CDOROM(R) v2.6, one of Moody's CDO rating models, which was released on May 27, 2010. The cash flow model, CDOEdge(R) v3.2, 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 key parameters may have have rating implications on certain classes of rated notes. However, in many instances, a change in assumptions of any one key parameter 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 55.0% to 45.0% or up to 65.0% would result in average rating movement on the rated tranches of 0 to 5 notches downward and 0 to 8 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in a majority of property sectors. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. ML-CFC COMMERCIAL: Moody's Downgrades Ratings 15 2006-3 Certs. -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 15 classes and affirmed seven classes of ML-CFC Commercial Mortgage Trust 2006-3, Commercial Mortgage Pass-Through Certificates, Series 2006-3: -- Cl. A-2, Affirmed at Aaa (sf); previously on Nov. 30, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Nov. 30, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-SB, Affirmed at Aaa (sf); previously on Nov. 30, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Nov. 30, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Nov. 30, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. XP, Affirmed at Aaa (sf); previously on Nov. 30, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. XC, Affirmed at Aaa (sf); previously on Nov. 30, 2006 Assigned Aaa (sf) -- Cl. AM, Downgraded to Aa3 (sf); previously on Sept. 29, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AJ, Downgraded to Baa3 (sf); previously on Sept. 29, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Ba2 (sf); previously on Sept. 29, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Caa1 (sf); previously on Sept. 29, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Caa3 (sf); previously on Sept. 29, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Ca (sf); previously on Sept. 29, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to C (sf); previously on Sept. 29, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to C (sf); previously on Sept. 29, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to C (sf); previously on Sept. 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to C (sf); previously on Sept. 29, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to C (sf); previously on Sept. 29, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to C (sf); previously on Sept. 29, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Sept. 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. N, Downgraded to C (sf); previously on Sept. 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. P, Downgraded to C (sf); previously on Sept. 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain the existing rating. On September 29, 2010, Moody's placed 15 classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 8.0% of the current balance. At last review, Moody's cumulative base expected loss was 4.7%. Moody's stressed scenario loss is 33.3% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's 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 transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated February 11, 2009. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the ratings. Deal Performance As of the November 12, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 6% to $2.289 billion from $2.425 billion at securitization. The Certificates are collateralized by 200 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 36% of the pool. At last review the Stonestown Mall Loan had an investment grade credit estimate. Due to a decline in performance and increased leverage, this loan is now analyzed as part of the conduit pool. No loans have defeased. Sixty four loans, representing 44% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twelve loans have been liquidated from the pool, resulting in an aggregate realized loss of $31.3 million (42% loss severity). The pool had experienced $9.9 million in realized losses at last review. Twenty two loans, representing 10% of the pool, are currently in special servicing. The servicer has recognized appraisal reductions totaling $92.6 million for 18 of the specially serviced loans. Moody's has recognized no losses for four of the specially serviced loans and has estimated an aggregate $112 million loss (56% expected loss on average) for the remaining specially serviced loans. Moody's has assumed a high default probability for 22 poorly performing loans representing 5.4% of the pool and has estimated a $31 million loss (25% expected loss based on a 50% probability default) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Moody's was provided with full year 2009 operating results for 80% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 112% compared to 106% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11.5% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.17X and 0.95X, respectively, compared to 0.97X and 0.89X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 33 compared to 42 at Moody's prior review. The top three performing conduit loans represent 20.0% of the pool balance. The largest conduit loan is The Atrium Hotel Portfolio Loan ($218.2 million -- 8.8% of the pool), which is secured by six full service hotels totaling 1,473 guestrooms. The portfolio consists of five hotels which operate under the Embassy Suites franchise and one independent hotel. Performance has improved since last review. Moody's LTV and stressed DSCR are 134% and 0.93X, respectively, compared to 163% and 0.67X at last review. The second largest conduit loan is the Stonestown Mall Loan ($152.1 million -- 6.1% of the pool), which is secured by the borrower's interest in an 860,500 square foot regional mall and adjacent 56,000 square foot medical office building located in San Francisco, California. The center is anchored by Macy's and Nordstrom, which are not part of the collateral. The property was 84% leased as of December 2009 compared to 92% at last review. The borrower is an affiliate of General Growth Properties Inc. (GGP) and the loan had been included in GGP's bankruptcy filing. Performance has been relatively stable since securitization but has not achieved Moody's original projections. Moody's LTV and stressed DSCR are 91% and 1.13X, respectively, compared to 65% and 1.65X at securitization. The third largest conduit loan is Wilton Portfolio Pool I Loan ($124.5 million -- 5.0% of the pool), which is secured by 45 commercial properties located in and around Richmond, Virginia. The portfolio totals 1.9 million square feet and consists of retail (77% of the allocated loan balance), industrial/flex (18%) and office (5%). Moody's LTV and stressed DSCR are 92% and 1.06X, respectively, compared to 112% and 0.87X at last review. MMA FINANCIAL: Moody's Takes Rating Actions on Housing Funds ------------------------------------------------------------ Moody's Investors Service has taken these rating actions on the MMA Financial Guaranteed Affordable Housing Funds: The underlying ratings of the MMA Financial Guaranteed Affordable Housing Fund 2004-1 LLC and the MMA Financial Guaranteed Affordable Housing Fund 2004-3, LLC, have been downgraded to Ba3 from Ba2. The downgrades are primarily based on the continued weakness of some individual properties within the funds, which are underperforming, primarily due to low debt service coverage and occupancy levels, exacerbated by the soft real estate in many markets. The continued challenges in the multi-family real estate market further strain the operating performance of the individual assets. To complete Moody's review, Moody's have requested additional information on the funds and the underlying assets from the issuer. The funds are being placed on watchlist for potential downgrade because the information has not been received to date. The underlying Ba2 rating of the MMA Financial Guaranteed Affordable Housing Fund 2004-4 LLC, the MMA Financial Guaranteed Affordable Housing Fund 2005-1 LLC, the MMA Financial Guaranteed Affordable Housing Fund 2005-2 LLC and the underlying Ba3 rating of the MMA Financial Guaranteed Affordable Housing Fund 2005-3 LLC have been placed on watchlist for potential downgrade. To complete Moody's review, Moody's have requested additional information on the funds and the underlying assets from the issuer. The funds are being placed on watchlist for potential downgrade because the information has not been received to date. What could make the rating go -- Up -- Significant improvements in debt service coverage and occupancy at individual properties -- Significant improvements in the multi-family housing sector What could make the rating go -- Down -- Lack of information to complete Moody's review on the funds -- Further deterioration in debt service coverage and occupancy at individual properties -- Potential non-compliance or loss of tax credits for the underlying assets The last rating action on the MMA Financial Guaranteed Affordable Housing Funds was on November 13, 2009. MONTPELIER CAPITAL: Fitch Affirms BB+ Rating on 8.55% Securities ---------------------------------------------------------------- Fitch Ratings has affirmed the 'A-' Insurer Financial Strength rating of Montpelier Reinsurance Ltd., the principal (re)insurance operating subsidiary of Montpelier Re Holdings Ltd. The Rating Outlook has been revised to Positive from Stable. The Outlook revision reflects Montpelier's solid operating performance and increasingly less volatile operating profile which Fitch believes resulted from several key initiatives implemented in the aftermath of 2005, when the company suffered significant hurricane losses that resulted in poor operating results and capital declines in excess of those reported by many of Montpelier's peers. In the aftermath of these events, Montpelier implemented a more rigorous enterprise-wide risk management process that Fitch believes resulted in a significantly lower risk appetite and reduced potential for future volatility. Additionally, Montpelier has established platforms in the Lloyd's U.S. surplus lines markets that have targeted business lines that are not correlated with the company's core catastrophe reinsurance lines. Montpelier's Lloyd's Syndicate 5151, in particular, has steadily grown as a percent of Montpelier's overall business, and has reported largely favorable underwriting results over its admittedly short operating history. Fitch believes that the net effect of the steps is likely to be less volatile results over time. Fitch notes favorably that diversifying businesses lines continue to grow as a percentage of Montpelier's overall underwriting portfolio and have become steady, meaningful contributors to Montpelier's earnings. Moreover, Fitch observes that the company's share of global catastrophe losses over the last several years has been manageable and consistent with levels that might be expected from a reinsurer of Montpelier's size and focus. This performance lends confidence in Montpelier's approach to risk management. If these favorable trends continue and further season, it could result in a ratings upgrade. This assumes that Montpelier's overall risk-adjusted capital strength as measured by the company's internal stochastic modeling results and traditional operating leverage ratios continues to approximate current levels. The ratings affirmations reflect Montpelier's recent solid operating performance and capital generation, as well as Fitch's belief that Montpelier's risk management capabilities will enable the company to maintain its solid and liquid balance sheet during periods of heightened catastrophe and capital market volatility. Fitch believes that Montpelier uses sound risk management processes to manage its exposure to potential catastrophe-related losses by geographic zone and relative to its capital base. Montpelier's ratings also reflect Fitch's belief that during periods of normal catastrophe activity, Montpelier Re's underwriting margins and profitability are expected to be somewhat lower than the company's historical peak performance, due to the company's reduced risk appetite and an increased focus on less volatile business lines. Fitch views Montpelier's investment portfolio, which is dominated by agency mortgage-backed securities and highly rated corporate bonds, as high-quality. Montpelier's investment portfolio and capitalization remain supportive of the company's current ratings under stress test scenarios where Fitch assumes credit related losses on the company's fixed income portfolio and asset valuation losses on the company's equity portfolio. Fitch has affirmed these: Montpelier Re Holdings Ltd -- Issuer Default Rating at 'BBB+'; -- $250,000,000 6.125% senior notes due Aug. 15, 2013 at 'BBB'. Montpelier Capital Trust III -- $100,000,000 8.55% trust preferred securities due March 30, 2036 at 'BB+.' MORGAN STANLEY: Fitch Downgrades Ratings on 14 2007-IQ13 Certs. --------------------------------------------------------------- Fitch Ratings downgrades 14 classes of Morgan Stanley Capital I Trust, series 2007-IQ13, commercial mortgage pass through certificates, primarily due to an increase in specially serviced loans. The downgrades reflect an increase in Fitch modeled losses across the pool, which includes assumed losses on loans in special servicing and on performing loans with declines in performance indicative of a higher probability of default. Fitch modeled losses of 12.3% (12.5% cumulative transaction losses which includes losses realized to date). Fitch expects classes J through P to be fully depleted by losses on specially serviced loans and class H to be significantly impacted. As of November 2010, there are cumulative interest shortfalls in the amount of $2.5 million currently affecting classes G through P. As of the November 2010 distribution date, the pool's aggregate principal balance has been paid down by 2.2% to $1.60 billion from $1.64 billion at issuance. There are no defeased loans. Fitch has identified 30 loans (35.3%) as Fitch Loans of Concern, which includes 14 specially serviced loans (17.8%). The largest contributor to losses is the 75-101 Federal Street loan (13.1%) which is collateralized by two inter-connected, class A office buildings comprising 811,687 square feet (sf) in Boston's financial district. The rent roll consists of 72 tenants, none of which represent more than 7% of the space. The 2009 year-end occupancy was reported at 75% and has since increased to 79% as of June 2010. The debt service coverage ratio has correspondingly increased from 0.85 times at year end 2009 to 0.87x as of June 2010. The loan sponsor is Aslan Realty Partners III, LLC, an investment vehicle of Transwestern Investment Company. Upon acquisition, the borrower contributed approximately $64 million in cash equity (23.4%). Fitch's expected losses remain consistent with the last review of the transaction. The second largest contributor to losses is the RREEF Portfolio loan (7.8%) which is collateralized by a portfolio of eight class A and B multifamily properties comprising a total of 2,580 units located in five metropolitan areas throughout the Northern Virginia and Maryland suburbs. The loan transferred to the special servicer on June 11, 2010 due to borrower's indication of imminent default. The special servicer is negotiating a resolution to the borrower's request to waive the prepayment penalty to sell the collateral or refinance with a new equity partner. The 2009 year-end occupancy was reported at 97% and has since increased to 98% as of May 2010. The debt service coverage ratio has correspondingly increased from 1.07x at year end 2009 to 1.15x as of May 2010. The loan sponsor, RREEF/Bainbridge Companies LLC, contributed approximately $134 million in cash equity at acquisition (25%). In addition to the two notes totaling $147 million in the subject trust, the portfolio also secures pari passu notes outside of the trust totaling $263 million. Fitch's expected losses remain consistent with the last review of the transaction. In total, there are currently 14 loans (17.8%) in special servicing which consist of one loan (0.94%) as a real estate owned (REO), one loan (0.72%) in foreclosure, eight loans (5%) that are 90 days delinquent, one loan (0.4%) that is 60 days delinquent and three loans (10.8%) that are current. At Fitch's last review there were seven loans (4.4%) in special servicing consisting of one loan (0.95%) in foreclosure, two loans (1.1%) that were 90 days delinquent and four loans (2.4%) that were current. Fitch downgrades and assigns Recovery Ratings and Outlooks to these classes as indicated: -- $163.9 million class A-M to 'AAsf/LS3' from 'AAA/LS3'; Outlook revised to Stable from Outlook Negative; -- $149.6.1 million class A-J to 'Bsf/LS4' from 'BB/LS4'; Outlook Negative; -- $32.8 million class B to 'CCCsf/RR1' from 'B-sf/LS5'; -- $16.4 million class C to 'CCCsf/RR1' from 'B-sf/LS5'; -- $16.4 million class D to 'CCCsf/RR1' from 'B-sf/LS5'; -- $14.3 million class E to 'CCCsf/RR1' from 'B-sf/LS5'; -- $18.4 million class F to 'CCCsf/RR1' from 'B-sf/LS5'; -- $14.3 million class G to 'CCCsf/RR1' from 'B-sf/LS5'; -- $18.4 million class H to 'CCCsf/RR2' from 'B-sf/LS5'; -- $8.2 million class J to 'CCsf/RR6' from 'B-sf/LS5'; -- $2 million class K to 'CCsf/RR6' from 'B-sf/LS5'; -- $4.1 million class L to 'CCsf/RR6' from 'B-sf/LS5'; -- $6.1 million class M to 'CCsf/RR6' from 'B-sf/LS5'; -- $2 million class N to 'CCsf/RR6' from 'B-sf/LS5'. Additionally, Fitch affirms these classes: -- $20.7 million class A-1 at 'AAAsf/LS2'; Outlook Stable; -- $466.7 million class A-1A at 'AAAsf/LS2'; Outlook Stable; -- $114.8 million class A-2 at 'AAAsf/LS2'; Outlook Stable; -- $64 million class A-3 at 'AAAsf/LS2'; Outlook Stable; -- $448.8 million class A-4 at 'AAAsf/LS2'; Outlook Stable. Fitch does not rate classes O and P. Fitch withdraws the ratings of the interest only classes X and X-Y. MORGAN STANLEY: Fitch Downgrades Ratings on 13 2007-TOP27 Notes --------------------------------------------------------------- Fitch Ratings has downgraded 13 classes of Morgan Stanley Capital I Trust, series 2007-TOP27 commercial mortgage pass-through certificates, due to further deterioration of loan performance, most of which involves increased losses on the specially serviced loans. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 4.3% for the remaining pool (expected losses of the original pool are at 4.2% including losses already incurred to date). Fitch has designated 31 loans (8.3%) as Fitch Loans of Concern, which includes 11 specially serviced loans (3.7%). Fitch expects classes H through P may be fully depleted from losses associated with the specially serviced loans. As of the November 2010 distribution date, the pool's aggregate principal balance has decreased by 1.4% to $2.68 billion from $2.72 billion at issuance. No loans are currently defeased. Cumulative interest shortfalls in the amount of $1.9 million are currently affecting classes H through P. The Fitch-stressed loan-to-value for the pool is 88%. The top 15 loans represent 36% of the pool. Two of the top 15 loans were assumed to default and incur a loss, with severities at 1% and 31%. The largest contributor to loss is a specially serviced loan (0.5% of pool balance) secured by three supermarket-anchored retail properties located in Aurora, Bridgeview, and Joliet, Illinois. The loan was transferred to special servicing in March 2009 for payment default. Deed-in-lieu documents were recently executed by the borrower and the guarantors have reportedly filed for Chapter 11 bankruptcy. An updated appraisal from May 2010 indicates a value significantly below the loan amount. The next largest contributor to expected losses is a specially serviced loan (0.5%) secured by 141,667 sf mixed use property located in Glen Burnie, Maryland. The loan was transferred to special servicing in May 2009 due to payment default. A receiver was appointed through a court hearing. Foreclosure has been filed, but has been placed on hold due to the bankruptcy filing of the borrower. An updated appraisal from August 2010 indicates a value significantly below the loan amount. The third largest contributor to expected loss is a specially serviced loan (0.4%) secured by a 124-room limited-service hotel located in Chesapeake, Virginia. The loan was transferred to special servicing in March 2010 due to the borrower's monetary default. The special servicer has procured a receiver and is currently tracking the loan for foreclosure. An updated appraisal from August 2010 indicates a value significantly below the loan amount. Fitch downgrades these classes and revises the Outlooks, LS ratings, and Recovery Ratings as indicated: -- $54.5 million class B to 'BBBsf/LS4' from 'Asf/LS4'; Outlook to Stable from Negative; -- $30.6 million class C to 'BBB-sf/LS5' from 'Asf/LS4'; Outlook Negative; -- $30.6 million class D to 'BBsf/LS5' from 'BBBsf/LS4'; Outlook Negative; -- $23.8 million class E to 'Bsf/LS5' from 'BBBsf/LS5'; Outlook Negative; -- $23.8 million class F to 'B-sf/LS5' from 'BBsf/LS5'; Outlook Negative; -- $30.6 million class G to 'CCCsf/RR1' from 'BBsf/LS5'; -- $23.8 million class H to 'CCsf/RR3' from 'Bsf/LS5'; -- $3.4 million class J to 'CCsf/RR6' from 'B-sf/LS5'; -- $3.4 million class K to 'CCsf/RR6' from 'B-sf/LS5'; -- $6.8 million class L to 'CCsf/RR6' from 'B-sf/LS5'; -- $6.8 million class M to 'CCsf/RR6' from 'B-sf/LS5'; -- $6.8 million class N to 'CCsf/RR6' from 'B-sf/LS5'; -- $3.4 million class O to 'Csf/RR6' from 'CCCsf/RR1'. Fitch also affirms these classes as indicated: -- $57.9 million class A-1 at 'AAAsf/LS1'; Outlook Stable; -- $287.4 million class A-1A at 'AAAsf/LS1'; Outlook Stable; -- $279.3 million class A-2 at 'AAAsf/LS1'; Outlook Stable; -- $137.4 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- $112.3 million class A-AB at 'AAAsf/LS1'; Outlook Stable; -- $1.1 billion class A-4 at 'AAAsf/LS1'; Outlook Stable; -- $172.3 million class A-M at 'AAAsf/LS3'; Outlook Stable; -- $100 million class A-MFL at 'AAAsf/LS3'; Outlook Stable; -- $190.6 million class AJ at 'AAsf/LS3'; Outlook Stable; -- 50.2 million class AW34 at 'AAAsf/LS1'; Outlook Stable. Fitch withdraws the rating on the interest-only class X. MORGAN STANLEY: Moody's Upgrades Ratings on 1999-WF1 Certs. ----------------------------------------------------------- Moody's Investors Service upgraded the ratings of three classes and affirmed five classes of Morgan Stanley Capital I Inc., Commercial Mortgage Pass-Through Certificates, Series 1999-WF1: -- X, Affirmed at Aaa (sf); previously on Feb. 24, 1999 Assigned Aaa (sf) -- G, Affirmed at Aaa (sf); previously on July 9, 2008 Upgraded to Aaa (sf) -- H, Upgraded to Aaa (sf); previously on July 9, 2008 Upgraded to Aa3 (sf) -- J, Upgraded to Aa3 (sf); previously on July 9, 2008 Upgraded to A3 (sf) -- K, Upgraded to A3 (sf); previously on July 9, 2008 Upgraded to Baa2 (sf) -- L, Affirmed at B2 (sf); previously on Feb. 24, 1999 Assigned B2 (sf) -- M, Affirmed at B3 (sf); previously on Feb. 24, 1999 Assigned B3 (sf) -- N, Affirmed at Caa2 (sf); previously on Feb. 24, 1999 Assigned Caa2 (sf) Ratings Rationale The upgrades are due to the significant increase in subordination due to loan payoffs and amortization and overall stable pool performance. The affirmations are due to key parameters, including Moody's loan to value ratio and Moody's stressed debt service coverage ratio remaining within acceptable ranges. The significant decline in diversity of loan size, as measured by the Herfindahl Index, has largely been offset by increased subordination. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 8.6% of the current balance. At last review, Moody's cumulative base expected loss was 1.7%. Moody's stressed scenario loss is 10.7% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 17 compared to 82 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated July 9, 2008. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $66.2 million from $968.5 million at securitization. The Certificates are collateralized by 37 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing 65% of the pool. Four loans, representing 4% of the pool, have defeased and are collateralized with U.S. Government securities. Eight loans, representing 22% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Five loans have been liquidated from the pool, resulting in an aggregate realized loss of $644,755 (8% loss severity overall). Two loans, representing 11% of the pool, are currently in special servicing. Moody's has estimated an aggregate $4.4 million loss (60% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for one poorly performing loan representing less than 1% of the pool and has estimated a $183,200 aggregate loss (37% expected loss based on a 75% probability default) from this troubled loan. Moody's was provided with full year 2009 operating results for 100% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 43% compared to 63% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.8%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.77X and 2.92X, respectively, compared to 1.73X and 1.91X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 27% of the pool balance. The largest loan is the Ward Office/Retail Portfolio Loan ($8.5 million -- 12.8%), which is secured by three office buildings (118,173 square feet) and two retail properties (33,471 square feet) located approximately 25 miles northeast of Baltimore in Bel Air, Maryland. The loan amortizes on a 20 year schedule and has amortized 18% since last review. Overall occupancy was 96% as of June 2010 compared to 94% at last review. Moody's LTV and stressed DSCR are 53% and 2.04X, respectively, compared to 56% and 1.92X at last review. The second largest loan is the Corporate Drive Sugarland TX Loan ($4.8 million -- 7.36%), which is secured by a 143,000 square foot industrial property located in Sugar Land, Texas. The property is 100% leased to CGI Deserts, Inc. through December 2013. The loan is amortizing on a 20 year schedule and has amortized 17% since last review. Moody's LTV and stressed DSCR are 50% and 2.09X, respectively, compared to 58% and 1.81X at last review. The third largest loan is the Silver Creek Shopping Center Loan ($4.7 million -- 7.2%), which is secured by 63,000 square feet retail property located in San Jose, California. The property was 92% occupied as of September 2010. Moody's LTV and stressed DSCR are 39% and 3.15X, respectively, compared to 46% and 2.78X at last review. MORGAN STANLEY: Moody's Downgrades Ratings on 16 2006-HQ8 Certs. ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 16 classes, confirmed one class and affirmed six classes of Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-HQ8: -- Cl. A-2, Affirmed at Aaa (sf); previously on March 28, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on March 28, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on March 28, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on March 28, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on March 28, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. X, Affirmed at Aaa (sf); previously on March 28, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-M, Confirmed at Aaa (sf); previously on Oct. 20, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Downgraded to A3 (sf); previously on Oct. 20, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Baa1 (sf); previously on Oct. 20, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Baa2 (sf); previously on Oct. 20, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Ba1 (sf); previously on Oct. 20, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Ba2 (sf); previously on Oct. 20, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to B3 (sf); previously on Oct. 20, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to Caa1 (sf); previously on Oct. 20, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to Caa2 (sf); previously on Oct. 20, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to Caa3 (sf); previously on Oct. 20, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to Ca (sf); previously on Oct. 20, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to Ca (sf); previously on Oct. 20, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Oct. 20, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. N, Downgraded to C (sf); previously on Oct. 20, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. O, Downgraded to C (sf); previously on Oct. 20, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. P, Downgraded to C (sf); previously on Oct. 20, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. Q, Downgraded to C (sf); previously on Oct. 20, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from anticipated losses from specially serviced and troubled loans. The confirmation and affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed DSCR and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. On October 20, 2010, Moody's placed 17 classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 7.5% of the current balance. At last full review, Moody's cumulative base expected loss was 2.0%. Moody's stressed scenario loss is 29.4% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 60 compared to 64 at Moody's prior full review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated April 17, 2008. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 8% to $2.50 billion from $2.73 billion at securitization. The Certificates are collateralized by 264 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 27% of the pool. Four loans, representing 0.4% of the pool, have defeased and are collateralized with U.S. Government securities. Ninety-three loans, representing 39% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has not experienced any losses to date. Currently 17 loans, representing 6% of the pool, are in special servicing. The master servicer has recognized an aggregate $71.6 million appraisal reduction for 14 of the specially serviced loans. Moody's has estimated an aggregate loss of $75.1 million (49% expected loss on average) for all of the specially serviced loans. Moody's has assumed a high default probability for 20 poorly performing loans representing 9% of the pool and has estimated a $51.2 million loss (22% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 92% and 77% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 109% compared to 105% at last full review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.28X and 0.98X, respectively, compared to 1.27X and 0.94X at last full review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 15% of the pool balance. The largest loan is the Ritz-Carlton Hotel Portfolio Loan ($180.7 million -- 7.2%), which is secured by four Ritz- Carlton hotel properties located in New York City (2) and Washington, DC (2). The portfolio originally included a Boston property which paid-off in January 2007 resulting in a pay down of 125% of its allocated loan amount. The loan represents an 87% participation interest in a $207.4 million loan. The loan is on the master servicer's watchlist due to low DSCR as the hotel portfolio has been impacted by the downturn in the tourism industry. As of the second quarter 2010, however, the portfolio performance has been improving. The loan amortizes on a 226-month schedule for its first seven years and then converts to a 331- month schedule thereafter and has amortized 10% since last full review. Moody's LTV and stressed DSCR are 97% and 1.06X, respectively, compared to 95% and 1.0X at last full review. The second largest loan is the COPT Office Portfolio Loan ($108.5 million -- 4.3%), which is secured by ten crossed suburban office properties, totaling 597,482 square feet, located in Columbia and Annapolis Junction, Maryland. The portfolio was 95% leased as of June 2010, similar to last full review and performance remains stable. The loan is interest only for its entire ten-year term and matures in January 2016. Moody's LTV and stressed DSCR are 120% and 0.85X, respectively, compared to 116% and 0.85X at last full review. The third largest loan is the Flournoy Portfolio Loan ($95.4 million -- 3.8%), which is secured by four multifamily properties with a total of 1,397 units located in Texas (2), Tennessee, and Kansas. Three of the loans are on the servicer's watchlist due to low DSCR. The loan had a 36-month interest-only period and is amortizing on a 360-month schedule maturing in January 2016. Moody's considers this loan to have a high probability of default and has identified it as a troubled loan. Moody's LTV and stressed DSCR are 149% and 0.64X, respectively, compared to 100% and 0.93X at last full review. MORGAN STANLEY: S&P Affirms Ratings on 16 2003-TOP9 Securities -------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on 16 classes of commercial mortgage-backed securities from Morgan Stanley Dean Witter Capital I Trust 2003-TOP9. The affirmations reflect S&P's analysis of the remaining collateral and transaction structure. S&P's analysis considered the volume of near-term maturing loans and the liquidity available to the securities. S&P affirmed its ratings on the IO interest- only certificates based on its current criteria. S&P's analysis included a review of the credit characteristics of all of the loans in the transaction. Using servicer-provided financial information, Standard & Poor's calculated an adjusted debt service coverage of 1.85x and a loan-to-value ratio of 67.6%. S&P further stressed the loans' cash flows under its 'AAA' stress scenario to yield a weighted average DSC of 1.54x and an LTV of 85.7%. The implied defaults and loss severity under the 'AAA' scenario were 18.4% and 22.3%, respectively. All of the adjusted DSC and LTV calculations exclude 21 defeased loans ($103.5 million, 13.5%). Transaction Summary As of the November 2010 remittance report, the aggregate pooled trust balance was $764.5 million, which represents 60.6% of the aggregate pooled trust balance at issuance. There are 121 loans in the pool, down from 137 at issuance. The master servicer for the transaction, Wells Fargo Bank N.A., provided financial information for 99.1% of the pool, and all of the servicer- provided information was full-year 2008, full-year 2009, or interim 2010 data. S&P calculated a weighted average DSC of 1.92x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.85x and 67.6%, respectively, which exclude 21 defeased loans ($103.4 million, 13.5%). Twenty-three loans ($94.6 million, 12.4%) are on the master servicer's watchlist. Ten loans ($53.3 million, 7.0%) have a reported DSC of less than 1.10x, and six of these loans ($36.9 million, 4.8%) have a reported DSC of less than 1.0x. To date, the transaction has realized four principal losses totaling $2.8 million. Credit Considerations As of the October 2010 remittance report, there are no loans with the special servicer, C-III Asset Management LLC. S&P's analysis considered nondefeased and nonspecially serviced near-term maturing loans with final maturities in 2012 ($456.1 million, 59.7%). Summary of Top 10 Loans The top 10 exposures secured by real estate have an aggregate outstanding pooled balance of $297.7 million (39.0%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 2.02x for the top 10 loans. S&P's adjusted DSC and LTV for the top 10 loans were 1.92x and 65.7%, respectively. Two of the top 10 loans appear on the master servicer's watchlist. Details regarding these loans are: The 70-00 Austin Street & 69-30 Austin Street loan ($15.8 million, 2.1%) is the seventh-largest loan in the pool secured by real estate and the largest loan on the watchlist. The loan is secured by a 78,938-sq.-ft. retail property in Forest Hills, New York. The loan appears on the master servicer's watchlist due to low occupancy. The reported occupancy as of June 30, 2010, was 75.9%. The reported DSC as of Dec. 31, 2009, was 1.47x. A lease is being negotiated for approximately 20% of the properties gross leasable area. The Riverway Plaza loan ($13.4 million, 1.75%) is the ninth- largest loan in the pool secured by real estate and the second- largest loan on the watchlist. The loan is secured by a 245,793- sq.-ft. retail property in Weymouth, Ma. The loan appears on the master servicer's watchlist due to a low reported DSC of 0.63x as of Dec. 31, 2009. The property is 86% occupied as of June 30, 2010. A lease is being negotiated for approximately 14% of the GLA. According to the master servicer, if the lease is signed, DSC would increase to 1.06x. Standard & Poor's stressed the loans in the pool according to its U.S. conduit/fusion criteria. The resultant credit enhancement levels support the affirmed ratings. Ratings Affirmed Morgan Stanley Dean Witter Capital I Trust 2003-TOP9 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA (sf) 19.01 A-2 AAA (sf) 19.01 B AA+ (sf) 14.78 C AA- (sf) 10.20 D A (sf) 8.62 E BBB+(sf) 6.68 F BBB (sf) 5.80 G BBB-(sf) 5.09 H BB+ (sf) 3.68 J BB (sf) 3.15 K BB- (sf) 2.45 L B+ (sf) 1.74 M B (sf) 1.39 N B- (sf) 1.04 X-1 AAA (sf) N/A X-2 AAA (sf) N/A N/A - Not applicable. MOUNT SAINT: Moody's Downgrades Ratings on Revenue Bonds to 'Ba1' ----------------------------------------------------------------- Moody's Investors Service has downgraded its rating to Ba1 from Baa3 on Mount Saint Mary's University's outstanding revenue bonds issued through Frederick County, MD. The downgrade reflects a highly leveraged balance sheet that continues to weaken due to increases of debt coupled with tepid investment returns, increased endowment draws, and drawing down of the endowment to fund capital projects, as well as weakening operating performance, and a challenged student market position. The University's outlook is stable at the lower rating level. Rating Rationale: The Ba1 rating with a stable outlook reflects the University's significant balance sheet leverage, thin liquidity, and constrained operating performance, as well as a competitive student market position. Legal Security: The outstanding revenue bonds, Series 2006 and Series 2007 are secured by payments under the Loan Agreement, which are a general obligation of the University, further secured by a lien on Gross Revenues. The University's outstanding Series 2006 bonds are secured by a first mortgage lien on the project site and the project pursuant to a Deed of Trust. The 2006 bonds have a debt service reserve fund. The Series 2007 bonds do not have a debt service reserve fund. The 2006 and 2007 bonds have a covenant for Net Revenues Available for Debt Service to be equal to 1.0 times Maximum Annual Debt Service (MADS) at the end of each fiscal year in the loan agreements. In FY 2009 MADS coverage was 1.6 times and management estimates that the coverage was 2.0 times for FY 2010. A covenant breach is not an Event of Default as long as the University is making principal and interest payments when due. Debt Structure And Debt Related Derivatives: In December 2007 and 2008, the University borrowed two 30-year $10 million loans (Series 2007A and 2008 Educational Facilities Revenue Bonds) through a variable-rate bank qualified tax-exempt loan issued through the Town of Emmitsburg to finance capital projects on campus and purchased by PNC Bank. The loans are a general obligation of the University with a security interest in Gross Revenues, which is on parity with the interest in Gross Revenues securing the outstanding fixed rate Series 2006 and 2007 bonds rated by Moody's. The loans are further secured by a Project Equity Fund, in which the University is required to deposit all Restricted Gifts and Collected Pledges. As of June 30, 2010, the balance of this Fund was zero because the University spends all restricted gifts before drawing on the loans. Once the projects are completed, the balance of the Fund is expected to grow as gifts are received. The bank is expected to apply the gifts toward repayment of the loans. The Series 2006 and 2007 bonds rated by Moody's are not secured by the Project Equity Fund. The interest rate on the Series 2007A Bonds is based on 67% of LIBOR plus 80 basis points (subject to adjustment), with principal payment postponed until FY 2012. The interest rate on the Series 2008 Bonds is based on 65% of LIBOR plus 375 basis points through 2013 and 65% of LIBOR plus 500 basis points thereafter, with principal payment postponed until FY 2013. The Series 2007A and 2008 bonds have a debt service coverage covenant requirement of 1.1 times at the end of each fiscal year. A covenant breach for more than 30 days is considered an event of default under the Loan and Financing Agreement and its occurrence would allow, but not require, the bank (PNC Bank, NA. rated A2/P- 1) to accelerate the bonds. Management estimates that the covenant calculation was 2.0 times with respect to this covenant at FYE 2010. The University also has entered into a total of three interest rate swap agreements with PNC Bank, N.A. to hedge variable rate exposure. Under the first swap agreement, related to the Series 2007A Bonds, the University pays a fixed rate of 2.5% and receives 67% of LIBOR from the counterparty. In February of 2010, the University entered into two new swap agreements associated with Series 2007A Bonds and Series 2008 Bonds. The floating-to-fixed rate swap agreement associated with the Series 2008 Bonds has a notional amount of $6.0 million with a termination date of August 23, 2031 with the University paying a fixed rate of 2.65% and receiving 65% of LIBOR from the counterparty. Under the third swap agreement, a floating-to-fixed forward starting swap agreement with an initial notional amount of $6.8 million that is effective on the termination date of the first swap agreement, November 21, 2023, and terminates December 21, 2037, the University pays a fixed rate of 3.88% and receives 67% of LIBOR. Additional termination events include the maturity, expiration, termination, or cancellation of the Loan Agreement on the associated bonds (Series 2007A and Series 2008). There is no rating trigger or collateral posting requirement as part of the swap agreements. As of June 30, 2010, the mark-to-market valuation of the swaps was a negative $1.2 million. Challenges * Two successive years of enrollment declines in fall 2008 and 2009 with a modest increase in fall 2010, but the University has not regained enrollment to fall 2006 levels. The Mount is a small private Catholic university located in rural Emmitsburg, Maryland that enrolled 1,916 total full-time equivalent students in fall 2010. The University offers both undergraduate and graduate studies including a Seminary with over 80% of its student population enrolled in its undergraduate programs. The University operates in a competitive student market environment and is significantly dependent on tuition and fees (76% based on unaudited FY 2010 financials) as a percent of operating revenue. The highly competitive student market is reflective of the high number of students it admits to the University relative to application volume (80.4% in fall 2010) and deteriorating trend of its matriculation rate to a low 15.2% in fall 2010. The University faces competition from both other private universities as well as strong public colleges and universities in Maryland. In FY 2009 Management hired a retention specialist to improve student retention (78% freshmen to sophomore retention in fall 2010). * Thin balance sheet position reflected by expendable financial resources of $5.6 million based on unaudited FY 2010 financials, covering FY 2010 pro-forma debt and operations a very thin 0.04 times and 0.05 times, respectively. For two consecutive years, the University's unrestricted financial resources, which excludes plant equity, has been negative (-$4.7 million in FY 2009 and -$5.6 million in FY 2010). Moody's notes, however, that the University's financial resource base is pressured by an accrued postretirement health benefit liability of a high $7.7 million (unaudited FY 2010 financials), which reduces net assets. Moody's has included the full amount of the Series 2008 Bonds in its pro-forma debt calculation. * Significant increases in debt of almost 60% over five years (FY 2006-FY2010) to finance capital projects partly due to inadequate fundraising to support capital projects, which has elevated debt to operating revenue to a high 1.1 times. The University has additional risks associated with variable rate debt exposure, which comprises 28% of the University's current debt structure with the issuance of the Series 2007A and 2008 bonds. To complete the renovation of the Terrace Housing project, the University drew from its endowment approximately $2.3 million to supplement pledge payments for the project. In FY 2011, the University plans to draw down the remaining $2.3 million on the Series 2008 Bonds to support other capital projects. Management anticipates an approximately $5 million borrowing in about four years to pay for various infrastructure projects. * Limited liquidity based upon Moody's calculation of monthly liquidity, in FY 2009 the University had $12.8 million in liquid unrestricted cash and investments (funds available within 30 days) that translates into a low 94.6 monthly days cash on hand. Moody's expects the cash position of the Mount to remain constrained and covers demand debt 1.1 times. * High allocation to alternative investments relative to the size of the University's $38 million endowment with approximately 31% of its investment portfolio (as of June 30, 2010) invested in one fund of hedge funds. As of June 30, 2010, the University's investment portfolio produced a 7.4% return and was allocated 40% in public equity, 31% in hedge funds, 16% in international equity, 10% in traditional fixed income, 3% in private equity. * Weak operating performance with a Moody's calculated three-year average operating margin (FY 2008- FY2010) of negative 6.0% based on unaudited FY 2010 financials. Moody's anticipates that it will continue to calculate deficits for the University given an increased endowment spend rate of 6% (compared to Moody's standard 5%), which it plans to reduce back to 5% in FY 2012, as well as continued expense growth and growing depreciation expense. Moody's notes that the University is paying interest only on its Series 2007A and 2008 variable rate bonds through 2012 and 2013, respectively, which has understated annual debt service. Despite operating deficits, the Mount has generated adequate debt service coverage from operating cash flow over the past three years, with three-year average debt service coverage, by Moody's calculation, of 1.9 times from FY 2007-2010 (unaudited FY 2010 financials). Strengths * Continued growth in net tuition revenue, which is a key credit factor for the University as it is highly dependent on student charges (77.5% of Moody's adjusted operating revenues in FY 2010 based on unaudited financials). Net tuition revenue has grown 33% over five years, but the rate of growth has declined in recent years. Based on unaudited financials, FY 2010 net tuition revenue is $29.4 million. The University projects net tuition revenue growth in FY 2011 to be $30.8 million, approximately 5% growth based on fall 2010 enrollment. * Significant increase in the number of applications of 17% for freshman students and a 67% increase in transfer student applications for fall 2010. The University attributes the increase in application volume to focused outreach and marketing initiatives, as well as enhancements made to its curriculum to better attract transfer students. After a significant enrollment decline in fall 2008 due to a small incoming freshman class, the Mount enrolled its largest freshman class of 465 students in five years that surpassed its budgeted goal by 15 students. Although the fall 2010 freshman class of 432 students is slightly under budget, the number of matriculated freshman students has somewhat stabilized from the 3% decline in fall 2008. * Relatively favorable gift revenue, as the three-year average gift revenue from FY 2007-2010 is $6.9 million. In FY 2010, total gift revenue was $4.2 million, which is lower than the $8.7 million the University received in FY 2009. The University is nearing the end of its fundraising campaign and is on target to achieve its $60 million goal in FY 2011, although it has had difficulty raising funds for specific capital projects (as noted in the CHALLENGES). As the University is nearing the end of its campaign, Moody's anticipates that future gift revenue received could be more aligned with the amount raised in FY 2010. * Improved budgeting practices over the past few years, demonstrated by the preparation of projected draft financial statements for FY 2010 and a comprehensive budget for FY 2011 inclusive of contingency funds for enrollment declines and other initiatives. The University budgets for breakeven results excluding depreciation. Outlook The stable outlook at the lower rating level reflects Moody's opinion that the University's enrollment will stabilize, net tuition per student will continue to grow, and operating cash flow will adequately cover debt service. What could What could change the rating -- Up Growth in liquid financial resources coupled with no additional borrowing, improvement in operating performance and continued net tuition revenue growth What could change the rating -- Down Additional borrowing or further erosion of balance sheet liquidity; failure to receive gifts as planned to reimburse the endowment; further draws on financial resources; sustained pressure on student market reflected in enrollment or net tuition revenue declines Key Indicators (FY 2009 financial data and fall 2009 enrollment data; draft FY 2010 financial data and fall 2010 enrollment data are in parenthetical): * Total Full-Time Equivalent Enrollment: 1,886 students (1,916 students) * Freshmen Applicant Acceptance Rate: 84.3% (80.4%) * Freshmen Matriculation Rate (accepted students enrolled): 18.6% (15.2%) * Net Tuition per Student: $14,952 ($15,604) * Total Direct Debt: $56.6 million (Pro-forma Direct Debt $63.8 million) * Expendable Financial Resources: $4.7 million ($2.7 million) * Total Financial Resources: $27.1 million ($26.3 million) * Expendable Resources to Direct Debt: 0.08 times (0.04 times) * Expendable Resources to Operations: 0.08 times (0.05 times) * Monthly Liquidity: $12.8 million * Monthly Days Cash on Hand (unrestricted funds available within 1 month divided by operating expenses excluding depreciation, divided by 365 days): 94.6 days * Three-year Average Operating Margin: -3.9% (-6.0%) * Total Operating Revenue: $51.8 million ($56.1 million) * Operating Cash Flow Margin: 9.2% (10.2%) * Three-Year Average Debt Service Coverage: 2.3 times (1.9 times) * Reliance on Student Charges (% of Operating Revenues): 81.7% (77.5%) Rated Debt * Revenue Bonds, Series 2006 and Series 2007: Ba1 The last rating action with respect to Mount Saint Mary's University was on July 8, 2009, when a municipal finance scale rating of Baa3 with a negative outlook was assigned. That rating was subsequently recalibrated to Baa3 on May 7, 2010. MUIR GROVE: S&P Raises Ratings on Various Classes of Notes ---------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A, B, C, and D notes from Muir Grove CLO Ltd., a collateralized loan obligation transaction managed by Tall Tree Investment Management. In addition, S&P removed its rating on the class A notes from CreditWatch with positive implications and affirmed its rating on the class E notes from the same transaction. The upgrades reflect the improved performance S&P has observed in the underlying portfolio since December 2009. At that time, S&P lowered the ratings on all the rated notes following a review of the transaction under its updated criteria for rating corporate collateralized debt obligations, which S&P published in September 2009. At the time of S&P's last review, based on the trustee report dated Nov. 20, 2009, the transaction was holding approximately $11 million in defaulted obligations and $63 million in underlying obligors with a rating in the 'CCC' range, either by Standard & Poor's or another rating agency. As a result, Muir Grove CLO Ltd. was failing its class E overcollateralization test, and was using interest to redeem the class E notes to return this O/C test into compliance. Since that time, the transaction has sold a number of its credit-impaired loans ('CCC' range or lower) for higher than the expected recovery value provided by the transaction documents. These sales, in combination with a reduction in the 'CCC' range assets, benefited all O/C ratios in the transaction. As of Oct. 13, 2010, Muir Grove CLO Ltd. was holding $6 million in defaulted obligations and $46 million in underlying obligors with ratings in the 'CCC' range. Also, the transaction was passing all class O/C tests. The transaction has paid down the class E notes to approximately 77% of their original outstanding balance. S&P 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 S&P deem necessary. Rating And Creditwatch Actions Muir Grove CLO Ltd. Rating ------ Class To From ----- -- ---- A AA (sf) A+ (sf)/Watch Pos B A (sf) A- (sf) C BBB (sf) BBB- (sf) D BB+ (sf) BB (sf) Rating Affirmed Muir Grove CLO Ltd. Class Rating ----- ------ E B (sf) N-STAR IX: Fitch Affirms Ratings on Seven Classes of Notes ---------------------------------------------------------- Fitch Ratings has affirmed seven and downgraded five classes issued by N-Star IX Ltd./Corp. as a result of increased interest shortfalls and continued negative credit migration of the underlying collateral. Since Fitch's last rating action in February 2010, approximately 40.7% of the portfolio has been downgraded, and 8.3% is currently on Rating Watch Negative. Approximately 85% has a Fitch derived rating below investment grade and 47.1% has a rating in the 'CCC' rating category or lower, compared to 75.8% and 30.8%, respectively, at last review. As of the Nov. 2, 2010 trustee report, 9.6% of the portfolio is experiencing interest shortfalls, compared to 2.3% at last review. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in Corporate CDOs'. Based on this analysis, the class A-1 and A-2 notes' breakeven rates are generally consistent with the ratings assigned below. For the class A-3 through K notes, Fitch analyzed each class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class A-3 notes have been affirmed at 'CCCsf'. Additionally, the class B through J notes have been downgraded and affirmed at 'CCsf' and the class K notes have been affirmed at 'Csf'. All overcollateralization and interest coverage tests are passing their respective covenants. The Negative Rating Outlook on the class A-1 notes reflects Fitch's expectation that underlying CMBS loans will continue to face refinance risk. The Loss Severity rating indicates a tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the probability of default for tranches. Fitch does not assign LS ratings or Outlooks to classes rated 'CCC' and below. N-Star IX is a revolving collateralized debt obligation which closed Feb. 28, 2007. The portfolio is composed of 65.4% commercial mortgage-backed securities; 13.5% of commercial real estate loans, 18.2% of SF CDOs; and 2.9% real estate investment trust securities. The transaction has a five-year reinvestment period, during which the collateral manager has the ability to sell any asset, as long as the aggregate amount of assets sold during a given year does not exceed 10% of the collateral balance at the beginning of that year. Principal proceeds not reinvested will be used to pay down the notes pro rata, provided the current portfolio balance remains at least 50% of the original portfolio balance, no OC test is failing as of that payment date and, if an OC test has previously failed for two or more dates, the OC ratio is at least equal to or greater than the ratio on the effective date. Fitch has downgraded these classes: -- $37,280,000 Class B to 'CCsf' from 'CCCsf'; -- $12,800,000 Class C to 'CCsf from "CCCsf''; -- $23,200,000 Class D to 'CCsf' from 'CCCsf'; -- $4,800,000 Class E to 'CCsf' from 'CCCsf'; -- $3,600,000 Class F to 'CCsf' from 'CCCsf'. Fitch has affirmed these classes and revised one LS rating: -- $512,000,000 Class A-1 at 'Bsf', to 'LS4' from 'LS3', Outlook Negative; -- $96,000,000 Class A-2 at 'CCCsf'; -- $48,000,000 Class A-3 at 'CCCsf'; -- $14,080,000 Class G at 'CCsf'; -- $7,200,000 Class H at 'CCsf'; -- $7,040,000 Class J at 'CCsf'; -- $6,000,000 Class K at 'Csf'. N-STAR REAL: Fitch Downgrades Ratings on Five Classes of Notes -------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed four classes issued by N-Star Real Estate CDO III Ltd. as a result of continued negative credit migration of the underlying collateral Since Fitch's last rating action in July 2010, approximately 19% of the portfolio has been downgraded, and 5.3% is currently on Rating Watch Negative. Approximately 65.4% has a Fitch derived rating below investment grade and 30.7% has a rating in the 'CCC' rating category or lower, compared to 63% and 16.8%, respectively, at last review. As of the Oct. 21, 2010 trustee report, 4.7% of the portfolio is experiencing interest shortfalls. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in Corporate CDOs'. Based on this analysis, the class A-1 through C-2 notes' breakeven rates are generally consistent with the ratings assigned below. For the class D notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class D notes have been affirmed at 'CCCsf'. All overcollateralization and interest coverage tests are passing their respective covenants. The Negative Rating Outlook on the class A-1 through C-1 notes reflects Fitch's expectation that underlying CMBS loans will continue to face refinance risk. The Loss Severity rating indicates a tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the probability of default for tranches. Fitch does not assign LS ratings or Outlooks to classes rated 'CCC' and below. N-Star III is a collateralized debt obligation that closed on March 10, 2005. The transaction's revolving period ended in March 2010. The current portfolio consists of 73.9% commercial mortgage backed securities from the 1998 through 2009 vintages, 14.2% are commercial real estate loans, 9.5% are structured finance CDOs, and 2.4% are real estate investment trust debt securities. Fitch has downgraded these classes: -- $14,872,148 Class A-2A to 'Bsf/LS5' from 'BBsf/LS5'; Outlook Negative; -- $4,957,383 Class A-2B to 'Bsf/LS5' from 'BBsf/LS5'; Outlook Negative; -- $16,855,101 Class B to 'Bsf/LS5' from 'BBsf/LS5', Outlook Negative; -- $11,897,718 Class C-2A to 'CCCsf' from 'Bsf/LS5'; -- $1,982,953 Class C-2B to 'CCCsf' from 'Bsf/LS5'. Fitch has affirmed these classes and revised one LS rating as indicated: -- $279,080,547 Class A-1 at 'BBsf'; revised to LS-3 from LS-2, Outlook Negative; -- $4,957,383 Class C-1A at 'Bsf/LS5'; Outlook Negative; -- $5,948,859 Class C-1B at 'Bsf/LS5'; Outlook Negative; -- $15,863,624 Class D at 'CCCsf'. NATIONAL COLLEGIATE: Moody's Corrects Rating on Class A-3-AR-2 -------------------------------------------------------------- Moody's Investors Service is correcting the rating of the Class A-3-AR-2 notes issued by National Collegiate Student Loan Trust 2007-3 from Ba1 to B1 under review for possible downgrade. The rating was correctly reported in a press release dated 30 September 2010, but, due to an administrative error, the underlying rating was incorrectly recorded in the database, which resulted in an upgrade of the notes to Ba1 in the November 23, 2010 action. The current rating reflects the underlying rating in absent consideration of the guaranty on the security provided by Ambac as the security is placed in Ambac's segregated account. Moody's rates wrapped structured finance securities allocated to the segregated account at the published or unpublished underlying rating. NUCO2 FUNDING: Fitch Affirms 'BB' Ratings on Class B-1 Notes ------------------------------------------------------------ Fitch Ratings affirms NuCO2 Funding LLC, series 2008-1 notes: -- $75,000,000 class B-1 at 'BB'; Outlook Stable. The notes are backed by cash flows generated by substantially all of NuCO2, Inc.'s business activities, which are primarily the leasing of bulk carbon dioxide systems and the distribution of carbon dioxide to quick service restaurants and other retailers of fountain beverages in the United States. In September 2010, Fitch issued a ratings confirmation in connection with NUCO2's execution of a $40 million add-on securitization to fund future acquisitions, pay securitization expenses and for other general corporate purposes. The new 2010-1 securitization was issued out of the original securitization trust and ranks pari-passu with the original senior notes (series 2008-1 class A notes). Fitch's affirmation reflects trust performance within initial rating expectations. Since issuance, NuCO has strengthened its industry position and improved trust interest coverage and leverage. The rating affirmation also reflects the trust's ability to withstand various stress scenarios that test customer location, attrition and growth rate assumptions. As of March 31, 2010, customer locations have increased by 17.5% to 132,000 and trailing 12-month revenues have increased 22.5% to $165.1 million when compared to Dec. 31, 2007. As of the August servicing report dated Sept. 27, 2010, NuCO's three-month and 12- month interest coverage ratios on the senior debt were 2.86 times and 3.13x, respectively. These coverage ratios compare favorably to the original three-month interest coverage ratio of 2.59x when first reported in June 2008. Fitch expects trust performance to remain stable as additional revenues attributable to NuCO's ongoing acquisition strategy will be available to maintain coverage and leverage metrics. Fitch's Stable Outlook reflects the trust's expected continued performance despite the challenging economic and restaurant environment, due to the unique nature of its product and business model. Over the remaining term of the securitization, Fitch will continually monitor NuCO's performance. Any material change in Fitch's assessment or assumptions could affect the ratings of the trust. NYLIM FLATIRON: S&P Raises Ratings on Various Classes of Notes -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, B, and C notes from NYLIM Flatiron CLO 2003-1 Ltd., a collateralized loan obligation transaction managed by New York Life Investment Management LLC. Simultaneously, S&P removed the ratings on these classes from CreditWatch positive and affirmed its ratings on the class D-1 and D-2 notes. The upgrades reflect the improved performance S&P has observed in the deal since January 2010. At that time, S&P lowered the ratings on five of the six classes of notes following a review of the transaction under its updated criteria for rating corporate collateralized debt obligations. The affirmed ratings on the class D-1 and D-2 notes reflect the availability of the credit support at the class' current rating level. At the time of S&P's last rating action, based on the Nov. 30, 2009, trustee report, the transaction was holding approximately $16 million in defaulted obligations and more than $25 million in underlying obligors with a 'CCC' range rating, either by Standard & Poor's or another rating agency. Since that time, a number of defaulted obligors held in the deal emerged from bankruptcy, and some received proceeds that were higher than their carrying value in the transaction's overcollateralization ratio test calculations. This, in combination with a reduction in the 'CCC' range rated assets and a $102.9 million principal reduction on the class A notes, benefited all O/C ratio tests in the transaction. The class A/B par value O/C test increased to 135.60% by Oct. 8, 2010, from 123.30% as of Nov. 30, 2009, while the class D par value O/C test increased to 109.34% from 106.03% in the same period. To date, the transaction has paid down the class A notes to approximately 50% of their original outstanding balance. 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 S&P deem necessary. Rating And Creditwatch Actions NYLIM Flatiron CLO 2003-1 Ltd. Rating ------ Class To From ----- -- ---- A-1 AAA (sf) AA+ (sf)/ Watch Pos A-2 AAA (sf) AA+ (sf)/ Watch Pos B AAA (sf) AA (sf)/ Watch Pos C AA (sf) BBB+ (sf)/ Watch Pos Ratings Affirmed NYLIM Flatiron CLO 2003-1 Ltd. Class Rating ----- ------ D-1 BB+ (sf) D-2 BB+ (sf) OWNIT MORTGAGE: Moody's Downgrades Ratings on Tranches ------------------------------------------------------ Moody's Investors Service has downgraded the ratings of one tranche from one RMBS transaction issued by Ownit Mortgage Trust. The collateral backing this deal primarily consists of closed end second lien loans. Ratings Rationale The actions are a result of the continued performance deterioration in second lien pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on second lien pools. Tranche Cl. A-1 issued by Ownit Mortgage Trust 2006-OT1 is wrapped by Ambac Assurance Corporation (Segregated Account - Unrated). For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. If expected losses on the each of the collateral pools were to increase by 10%, model implied results indicate that the deals ratings would remain stable. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Ownit Mortgage Trust 2006-OT1 * Expected Losses (as a % of Original Balance): 83% -- Cl. A-1, Downgraded to C (sf); previously on Apr 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to C (sf); previously on Mar 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) PHOENIX CLO: S&P Raises Ratings on Various Classes of Notes ----------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A, B, C-1, and C-2 notes from Phoenix CLO II Ltd., a collateralized loan obligation transaction managed by ING Alternative Asset Management LLC. At the same time, S&P removed the ratings on the class A and B notes from CreditWatch with positive implications. S&P also affirmed its ratings on the class X, D-1, and D-2 notes. The upgrades reflect the improved performance S&P has observed in the transaction since its last rating action in December 2009. At the time of S&P's last rating action, based on the trustee report dated Nov. 16, 2009, the transaction was holding approximately $69 million in defaulted obligations and more than $29 million in underlying obligors with a rating in the 'CCC' range. Since that time, a number of defaulted obligors held in the deal emerged from the bankruptcy process, with some receiving proceeds that were higher than their carrying value in the overcollateralization ratio test calculations. In addition, the class A notes were paid down by $5 million since S&P's last rating action. This, in combination with a reduction in the 'CCC' range rated assets, benefited all O/C ratio tests in the transaction. The class A overcollateralization test improved to 126.22% in October 2010 from 121.51% as of November 2009. In addition, the class C-1 and C-2 ratings were capped by the application of the largest obligor default supplemental test at the time of S&P's last rating action. As of October 2010, class C-1 and C-2 had sufficient credit enhancement to withstand the combinations of underlying assets defaults specified by the largest obligor default supplemental test. 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 S&P deem necessary. Rating And Creditwatch Actions Phoenix CLO II Ltd. Rating ------ Class To From ----- -- ---- A AA+ (sf) A+ (sf)/Watch Pos B BBB+ (sf) BB+ (sf)/Watch Pos C-1 BB+ (sf) CCC- (sf) C-2 BB+ (sf) CCC- (sf) Ratings Affirmed Phoenix CLO II Ltd. Class Rating ----- ------ X AAA (sf) D-1 CCC- (sf) D-2 CCC- (sf) PPLUS TRUST: Moody's Reviews 'Ba3' Rating on Certificates --------------------------------------------------------- Moody's Investors Service announced that it has placed on review for downgrade these certificates issued by PPLUS Trust Series SPR- 1: -- US$42,515,000 PPLUS Trust Series SPR-1 7.00% Trust Certificates; Ba3, Placed on review for downgrade; Previously on December 10, 2009 Downgraded to Ba3 The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of $43,297,000 6.875% Notes due 2028 issued by Sprint Capital Corporation which were placed on review for downgrade by Moody's on November 15, 2010. PRIMA CAPITAL: Moody's Affirms Ratings on All Classes of Notes -------------------------------------------------------------- Moody's has affirmed all classes of Notes of Prima Capital CRE Securitization 2006-1 Ltd. due to a higher expected recovery rate and related current collateral pool loss distribution which is offsetting the increase in the weighted average default profile of the collateral pool. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. A-1, Affirmed at Aaa (sf); previously on March 19, 2009 Confirmed at Aaa (sf) -- Cl. A-2, Affirmed at Baa1 (sf); previously on March 19, 2009 Downgraded to Baa1 (sf) -- Cl. B, Affirmed at Ba1 (sf); previously on March 19, 2009 Downgraded to Ba1 (sf) -- Cl. C, Affirmed at Ba2 (sf); previously on March 19, 2009 Downgraded to Ba2 (sf) -- Cl. D, Affirmed at B1 (sf); previously on March 19, 2009 Downgraded to B1 (sf) -- Cl. E, Affirmed at B3 (sf); previously on March 19, 2009 Downgraded to B3 (sf) -- Cl. F, Affirmed at Caa1 (sf); previously on March 19, 2009 Downgraded to Caa1 (sf) -- Cl. G, Affirmed at Caa2 (sf); previously on March 19, 2009 Downgraded to Caa2 (sf) -- Cl. H, Affirmed at Caa3 (sf); previously on March 19, 2009 Downgraded to Caa3 (sf) -- Cl. J, Affirmed at Caa3 (sf); previously on March 19, 2009 Downgraded to Caa3 (sf) -- Cl. K, Affirmed at Caa3 (sf); previously on March 19, 2009 Downgraded to Caa3 (sf) Ratings Rationale Prima Capital CRE Securitization 2006-1 Ltd. is a CRE CDO transaction backed by a portfolio of B-Notes (29.7% of the pool balance), mezzanine loans (19.8%), whole loans (14.3%), real estate investment trust bonds (13.6%), CRE CDOs (12.0%) and commercial mortgage backed securities (10.6%). As of the October 25, 2010 Trustee report, the aggregate Note balance of the transaction has decreased to $450.9 million from $556.1 million at issuance, with the paydown directed to the Class A-1 Notes. There are eight assets with par balance of $136.0 million (30.0% of the current pool balance) that are considered Imparired Collateral Interests as of the October 25, 2010 Trustee report. Impaired Interests that are securities that have been downgraded or on watch for downgrade at least three rating subcategories. Impaired Interests that are not CMBS are defined as assets where there has been a default in payment. Moody's does not necessarily expect significant losses from all Impaired Interests, as some assets have cured their defaults. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life , weighted average recovery rate , and Moody's asset correlation . 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 have completed updated credit estimates for the non- Moody's rated collateral. For non-CUSIP collateral, Moody's is eliminating the additional default probability stress applied to corporate debt in CDOROM(R) v2.6 as Moody's expects the underlying non-CUSIP collateral to experience lower default rates and higher recovery compared to corporate debt due to the nature of the secured real estate collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 3,016 compared to 1,838 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (10.4% compared to 5.9% at last review), A1- A3 (4.3% compared to 5.2% at least review), Baa1-Baa3 (12.7% compared to 32.3% at last review), Ba1-Ba3 (18.1% compared to 17.8% at last review), B1-B3 (7.0% compared to 27.8% at last review), and Caa1-C (47.5% compared to 6.1% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 4.3 years compared to 4.1 years at last review. The increase in WAL is due to the amortization of some shorter average life collateral interests since 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 32.2% compared to 27.0% 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). For non-CUSIP collateral, Moody's is reducing the maximum over concentration stress applied to correlation factors due to the diversity of tenants, property types, and geographic locations inherent in the pooled transactions. Moody's modeled a MAC of 22.6% compared to 22.1% at last review. 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 32% to 22% or up to 42% would result in average rating movement on the rated tranches of 1 to 3 notches downward and 1 to 3 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in a majority of property sectors. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expects overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. PSB LENDING: Moody's Confirms Ratings on Two Classes of Notes ------------------------------------------------------------- Moody's Investors Service has confirmed the ratings of two tranches issued by PSB Lending Home Loan Owner Trust 1997-4. The collateral backing these deals primarily consists of closed end second lien loans. Ratings Rationale The actions reflect Moody's updated loss expectations on the second lien pool and the tranche paydowns. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. If expected losses on the each of the collateral pools were to increase by 10%, model implied results indicate that all of the deals' ratings would remain stable. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: PSB Lending Home Loan Owner Trust 1997-4 -- B-1, Confirmed at Baa1 (sf); previously on March 18, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- B-2, Confirmed at Ba1 (sf); previously on March 18, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade PUTNAM STRUCTURED: Moody's Affirms Ratings on Four Classes ---------------------------------------------------------- Moody's has affirmed four and downgraded one class of Notes issued by Putnam Structured Product Funding 2003-1 Ltd/Putnam Structured Product Funding 2003-1 LLC due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor and an increase in Defaulted Securities. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- A-1LT-a, Affirmed at B2 (sf); previously on March 20, 2009 Downgraded to B2 (sf) -- A-1LT-b, Affirmed at B2 (sf); previously on April 16, 2010 Assigned B2 (sf) -- A-1LT-c, Affirmed at B2 (sf); previously on April 16, 2010 Assigned B2 (sf) -- A-2, Downgraded to Caa3 (sf); previously on Aug. 21, 2009 Downgraded to Caa2 (sf) -- B, Affirmed at Ca (sf); previously on March 20, 2009 Downgraded to Ca (sf) Ratings Rationale Putnam Structured Product Funding 2003-1 Ltd. is a CRE CDO transaction backed by a portfolio of asset backed securities (44.3% of the pool balance), commercial mortgage backed securities (35.7%), CDOs (12.7%) and real estate investment trust bonds (7.3%). The collateral pool includes both cash collateral and synthetic reference obligations. As of the November 12, 2010 Trustee report, the aggregate Note balance of the transaction has decreased to $448.0 million from $561.5 million at issuance, with the paydown directed to the Class A-1LT Notes, as a result of failing the Class A/B Overcollateralization test. There are thirty-eight assets with par balance of $50.5 million (10.8% of the current pool balance) that are considered Defaulted Obligations or Deferred Interest PIK Bond as of the November 12, 2010 Trustee report. Thirty-one of these assets (51.1% of the defaulted balance) are asset backed securities (primarily subprime residential mortgage-backed securities), four assets are CMBS (26.1%), and four assets are CDOs (23.7%). Defaulted Obligations that are not CMBS are defined as assets that have defaulted with respect to interest or principal payments. While there have been limited realized losses to date, Moody's does expect significant losses to occur once they are realized. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation. 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 have completed updated credit estimates for the non- Moody's rated collateral and 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 3,915 compared to 1,678 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (11.4% compared to 12.9% at last review), A1-A3 (10.9% compared to 13.1% at last review), Baa1-Baa3 (18.9% compared to 27.3% at last review), Ba1-Ba3 (11.0% compared to 20.9% at last review), B1-B3 (8.8% compared to 13.3% at last review), and Caa1-C (39.0% compared to 12.6% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 2.9 years compared to 3.8 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 24.1% compared to 29.3% 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 8.3% compared to 8.3% at last review. 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 24% to 10% or up to 34% would result in average rating movement on the rated tranches of 0 to 1 notches downward and 0 to 1 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in a majority of property sectors. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. RACE POINT: S&P Withdraws Ratings on Various Classes of Notes ------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on the class A-2, B-1, B-2, C, D-1, D-2, and D-3 notes from Race Point CLO Ltd., a collateralized loan obligation transaction managed by Sankaty Advisors LLC. The rating actions follow the optional redemption of the rated notes, pursuant to section 9.1(a) of the indenture, on the Nov. 16, 2010, payment date. Ratings Withdrawn Race Point CLO Ltd. Rating ------ Class To From ----- -- ---- A-2 NR AAA (sf) B-1 NR AA+ (sf) B-2 NR AA+ (sf) C NR BBB+ (sf) D-1 NR B (sf) D-2 NR B (sf) D-3 NR B (sf) NR - Not rated. RASC SERIES: Moody's Reviews Ratings on Series 2002-KS4 Notes ------------------------------------------------------------- Moody's Investors Service has placed subprime RMBS tranches with an outstanding balance of $89 million from RASC Series 2002-KS4 Trust on review for possible downgrade. This deal was not included in the analysis for Moody's review action announcement released on April 8 for pre-05 RMBS. Actions were prompted by continued performance deterioration in these vintages. Review Action To determine which tranches to place on review, Moody's compared the tranches' credit enhancement from subordination plus one and a half years of excess spread to a loss proxy that was based on a multiple of two times the lifetime pipeline losses expected from the related pools. The lifetime pipeline loss was derived based on lifetime roll rates to default of 85% for 60-day delinquencies, 95% for 90+day delinquencies, 100% for loans in foreclosure, and 100% for real estate owned, each applied with a severity assumption of 70%. Tranches without enough credit enhancement to sustain current ratings based on this calculation have been placed on review for possible downgrade. Revision of Loss Methodology for Seasoned RMBS In the coming months, Moody's will update its loss projection methodology for seasoned RMBS, and will release a report detailing the updated methodology. Complete rating actions are: Issuer: RASC Series 2002-KS4 Trust -- Cl. A-I-5, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on July 29, 2009 Downgraded to Caa1 (sf) -- Cl. A-I-6, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on July 29, 2009 Downgraded to Caa1 (sf) -- Cl. A-IIA, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on July 29, 2009 Downgraded to Caa1 (sf) -- Cl. A-IIB, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on July 29, 2009 Downgraded to Caa1 (sf) RESIDENTIAL FUNDING: Moody's Downgrades Ratings on 91 Tranches -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 91 tranches and confirmed the ratings on 8 tranches from 18 RMBS transactions, backed by option arm loans, issued by Residential Funding Corporation. Ratings Rationale The collateral backing these transactions consists primarily of first-lien, adjustable-rate, negative amortization, Alt-A residential mortgage loans. The actions are a result of the rapidly deteriorating performance of option arm pools in conjunction with macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on option arm pools issued from 2005 to 2007. In addition, the previous rating action on tranche I-A4AU from RALI Series 2006-QO9 contained a transcription error. The underlying tranche (I-A4AU) and the Grantor Trust tranches (I-A4A) should have had the same rating. The updated rating action corrects this oversight. To assess the rating implications of the updated loss levels on option arm RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: RALI Series 2005-QO1 Trust -- Cl. A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2005-QO2 Trust -- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2005-QO3 Trust -- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2005-QO4 Trust -- Cl. I-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-IO, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. X-PO, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2005-QO5 Trust -- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2006-QO1 Trust -- Cl. 1-A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2006-QO10 Trust -- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2006-QO2 Trust -- Cl. A-1, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2006-QO3 Trust -- Cl. A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2006-QO5 Trust -- Cl. I-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. XC, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. XN, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-4, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-5, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-2, Confirmed at Caa3 (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2006-QO6 Trust -- Cl. A-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2006-QO7 Trust -- Cl. I-A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-2, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-4, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. X2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. X3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2006-QO9 Trust -- Cl. I-A1A, Confirmed at Caa1 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-A1BU, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-A2A, Confirmed at Caa3 (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A2AU, Confirmed at Caa3 (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A3A, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A3AU, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A3B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-A3BU, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-A4A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A4AU, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. AXP, Confirmed at Caa1 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2007-QO1 Trust -- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2007-QO2 Trust -- Cl. A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2007-QO3 Trust -- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2007-QO4 Trust -- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1-a, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2007-QO5 Trust -- Cl. A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade RESIDENTIAL FUNDING: Moody's Downgrades Ratings on 27 Tranches -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 27 tranches from 8 RMBS transactions, backed by option arm loans, issued by Residential Funding Corporation. Ratings Rationale The collateral backing these transactions consists primarily of first-lien, adjustable-rate, negative amortization, Alt-A residential mortgage loans. The actions are a result of the rapidly deteriorating performance of option arm pools in conjunction with macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on option arm pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on option arm RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. Tranche Cl. A-3 issued by RALI Series 2006-QH1 is wrapped by Ambac Assurance Corporation (Segregated Account - Unrated). For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: RALI Series 2006-QH1 Trust -- Cl. A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on April 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to C (sf); previously on Mar 30, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RALI Series 2007-QH1 Trust -- Cl. A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2007-QH2 -- Cl. A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2007-QH3 Trust -- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2007-QH4 Trust -- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2007-QH5 Trust -- Cl. A-I-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-II, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2007-QH6 Trust -- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2007-QH7 Trust -- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade RESIDENTIAL REINSURANCE: S&P Assigns 'BB' Rating on 2010-II Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services said that it assigned its 'BB(sf)' rating to the Class 1, Series 2010-II notes issued by Residential Reinsurance 2010 Ltd. The original principal amount is $210 million, and the interest to scheduled maturity date is U.S. money market fund yield plus 6.25%. The term is two and one half years, the scheduled maturity date is June 6, 2013, and legal final maturity date is Dec. 6, 2014. The rating is the same as the rating on the Class 1 Series 2010-I notes because both have the same risk profile. Ratings List New Rating Residential Reinsurance 2010 Ltd. Class 1, Series 2010-II notes BB(sf) SANTANDER CONSUMER: Moody's Reviews Ratings on Three Tranches ------------------------------------------------------------- Moody's has placed on review for possible upgrade, three tranches from three auto loan securitizations serviced by Santander Consumer USA. Triad Financial Corporation was acquired by Santander Consumer USA in October 2009. Ratings Issuer: Triad Automobile Receivables Trust 2006-B -- Cl. A-4, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Municipal Corp. (Aa3; previously on Nov. 23, 2008 Downgraded to Aa3 from Aaa) Issuer: Triad Automobile Receivables Trust 2006-C -- Cl. A-4, Baa3 (sf) Placed Under Review for Possible Upgrade; previously on April 13, 2009 Downgraded to Baa3 (sf) -- Financial Guarantor: Ambac Assurance Corporation Caa2; previously on March 26, 2010 Placed on review for possible upgrade Issuer: Triad Automobile Receivables Trust 2007-A -- Cl. A-4, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Municipal Corp. (Aa3; previously on Nov. 23, 2008 Downgraded to Aa3 from Aaa) Ratings Rationale The actions are a result of lower lifetime cumulative net loss expectations and build-up in credit enhancement relative to remaining losses due to the sequential payment structures and non- declining nature of reserve accounts in the transactions. All of the affected transactions also benefit from monoline financial support. Moody's current lifetime CNL expectations (expressed as a percentage of the original pool balances) for the Triad 2006-B transaction ranges between 17.50% and 18.50%. For Triad 2006-C, the current expectation ranges between 17.75% and 18.75%. The pool factors are approximately 10% and 15% of the original pool balance for the 2006-B and 2006-C transactions respectively. Hard credit enhancement that does not include excess spread of approximately 9% per annum for both transactions, for the Cl. A notes as a percentage of the remaining collateral balance, is approximately 37% and 33% respectively. For the 2007-A transaction, Moody's current lifetime CNL expectation is 15.50% to 17.00%. The pool factor for this transaction is approximately 22% of the original pool balance. Hard credit enhancement, that does not include excess spread of approximately 8% per annum, for the Cl. A notes as a percentage of the remaining collateral balance, is approximately 22%. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current macroeconomic environment, in which unemployment continues to remain at elevated levels, and strength in the used vehicle market. Moody's currently views the used vehicle market as much stronger now than it was at the end of 2008 when the uncertainty relating to the economy as well as the future of the U.S auto manufacturers was significantly greater. Overall, Moody's expect a sluggish recovery in the U.S. economy, with elevated fiscal deficits and persistent, high unemployment levels. The underlying ratings reflect the intrinsic credit quality of the securities in the absence of the transactions' guarantees from monoline bond insurers. The current ratings on the securities are consistent with Moody's practice of rating insured securities at the higher of the guarantor's insurance financial strength rating and any underlying rating. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past 6 months. SEQUOIA HELOC: Moody's Confirms Ratings on 2004-1 Tranche --------------------------------------------------------- Moody's Investors Service has confirmed the ratings of one tranche from one RMBS transaction issued by Sequoia HELOC Trust 2004-1. The collateral backing these deals primarily consists of home equity lines of credit. Ratings Rationale The actions are a result of the continued performance deterioration in second lien pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on second lien pools. Tranche Cl. Notes issued by Sequoia HELOC Trust 2004-1 is wrapped by Ambac Assurance Corporation (Segregated Account - Unrated). For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. If expected losses on the each of the collateral pools were to increase by 10%, model implied results indicate that the deals ratings would remain stable. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Sequoia HELOC Trust 2004-1 * Expected Losses (as a % of Original Balance): 1% -- Cl. Notes, Confirmed at B3 (sf); previously on March 18, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) SOUTH COAST: S&P Downgrades Ratings on Three Notes to 'D' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on three classes of notes from South Coast Funding VI Ltd. to 'D (sf)' and withdrew its rating on the class A-1 notes. The transaction is a U.S. cash flow collateralized debt obligation. The rating actions reflect the implementation of S&P's criteria for ratings on CDO transactions that have triggered an event of default and may be subject to acceleration or liquidation. S&P withdrew its rating on class A-1 following the complete paydown of the notes after the liquidation of the portfolio assets. S&P lowered its ratings on the remaining three classes to 'D (sf)' after receiving notice from the trustee stating that after the liquidation of the portfolio assets, the available proceeds were insufficient to pay the noteholders in full. Rating Actions South Coast Funding VI Ltd. Rating ------- Class To From ----- -- ---- A-1 NR CCC- (sf) A-2 D (sf) CC (sf) B D (sf) CC (sf) C D (sf) CC (sf) NR - Not rated. ST CLOUD: S&P Downgrades Ratings on Multifamily Bonds to 'B' ------------------------------------------------------------ Standard & Poor's Ratings Services has lowered its rating on St. Cloud Housing and Redevelopment Authority (Germain Tower Project), Minn.'s multifamily housing revenue bonds series 1993 to 'B' from 'BB'. "The downgrade reflects S&P's view of the project's further decline in debt service coverage to 0.75x maximum annual debt service," said Standard & Poor's credit analyst Michael Stock. It also reflects S&P's view of the project's: Decline in revenues and increase in expenses leading to deterioration in the expense ratio; The lack of rental increase since 1997; and Debt service reserve fund funded at less than maximum annual debt service. However, in S&P's opinion, the above weaknesses are mitigated by full occupancy at the project with a lengthy, in its view, waiting list of 305 families. The stable outlook reflects S&P's opinion of the project's ability to continue performing at the current operating level consistent with this rating. Declining coverage levels, increasing expenses, and no rental increments have strained the credit quality of the issue. Nonetheless, if the property is able to sustain the demand levels, contain its expenses, and improve its coverage levels, it may positively affect the performance and hence the rating. STEERS MORNINGSIDE: Moody's Upgrades Ratings on Notes to 'Ba2' -------------------------------------------------------------- Moody's Investors Service announced this rating action on Steers Morningside Heights CDO Trust Series 2005-4, a collateralized debt obligation transaction. The CSO, issued in 2005, references four tranches, each one exposed to a portfolio of corporate and sovereign synthetic bonds. -- US$25,000,000 Trust Certificates Notes, Upgraded to Ba2 (sf); previously on September 29, 2009 Downgraded to B3 (sf) Ratings Rationale Moody's rating action is the result of the shortened time to maturity of the CSO, the improving credit quality in the reference portfolios, and no tranche loss in the inner CSOs. Offsetting these positive factors is the relatively low recoveries for credit events in three out of the four reference portfolios. The 10-year weighted average rating factors of the four reference portfolios ranged from 1,223 to 1,460 at the last rating review in September 2009, excluding settled credit events. The WARFs have now improved to a range between 976 to 1,349, also excluding settled credit events. In aggregate across the four portfolios, 16.2 percent of reference entities have a negative outlook compared to 9 percent with a positive outlook, and 2.1 percent are on watch for downgrade, compared to 0.3 percent on watch for upgrade. While the outlook from these forward-looking measures is skewed towards the negative, there are only 1.3 years remaining until maturity and a substantial amount of credit enhancement remains for all four inner CSOs. There are 16 credit events distributed across the four reference portfolios, ranging from a minimum of 2 to a maximum of 7 for each portfolio. In addition, the reference portfolios are exposed to USF Corporation, Harrah's Operating Company, Inc., Clear Channel Communications, Inc., and iStar Financial Inc., none of which have had credit events, but nonetheless are modeled as Ca or C. 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. The result of this run is two notches higher than in the base case. * Market Implied Ratings 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 comparable to that of the base case. * Moody's performs a stress analysis consisting of defaulting all entities rated Caa3 and below. The result of this run is comparable to that of the base case. * Moody's performs a stress analysis consisting of defaulting all entities rated Caa1 and below. The result of this run is two notches lower than that of the base case. * Moody's conducts a sensitivity analysis consisting of notching down by one the ratings of reference entities in the Banking, Finance, and Real Estate sectors. The result from this run is comparable to the one modeled under the base case. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, 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. 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 towards a more severe scenario, such as a double dip recession, the CSO rating will likely be downgraded to an extent that depends on the expected severity of the worsening conditions. STRATS TRUST: S&P Withdraws 'D' Rating on Class A Certificates -------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its 'D' rating on STRATS Trust For Ambac Financial Group Inc. Securities Series 2007-1's $34.287 million callable class A certificates. S&P's rating on the class A certificates was dependent on the rating on the underlying security, Ambac Financial Group Inc.'s directly issued capital securities due Feb. 7, 2087 ('NR'). The rating action follows the Nov. 30, 2010, withdrawal of its rating on the underlying security. STRUCTURED ADJUSTABLE: Moody's Downgrades Ratings on 17 Tranches ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 17 tranches from RMBS transactions issued by Structured Adjustable Rate Mortgage Loan Trust. The collateral backing these transactions consists primarily of first-lien, adjustable-rate, Alt-A and Option Arm residential mortgage loans. Ratings Rationale The actions are a result of the rapidly deteriorating performance of Alt --A and Option Arm pools in conjunction with macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A and option arm pools issued in 2005 and 2007. To assess the rating implications of the updated loss levels on Alt -- A and Option Arm RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-14 -- Cl. A1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to C (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. A3, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-AX, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-AX, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-9 -- Cl. 1-A, Downgraded to Ca (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. AX, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2007-6 -- Cl. 1-A1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade STRUCTURED REPACKAGED: Moody's Reviews 'Ba3' Rating on Certs. ------------------------------------------------------------- Moody's Investors Service announced that it has placed on review for downgrade these certificates issued by Structured Repackaged Asset-Backed Trust Securities Trust for Sprint Capital Corporation Securities, Series 2004-2: -- $38,000,000 6.500% STRATS, Series 2004-2, Class A-1 Certificates; Ba3, Placed on review for downgrade; Previously on December 10, 2009 Downgraded to Ba3 The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of $38,000,000 6.875% Notes due 2028 issued by Sprint Capital Corporation which were placed on review for downgrade by Moody's on November 15, 2010. SVG DIAMOND: S&P Downgrades Ratings on Seven Tranches ----------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven tranches from SVG Diamond Private Equity II PLC and kept them on CreditWatch with negative implications. In addition, S&P's ratings on five tranches from SVG Diamond Private Equity PLC remain on CreditWatch negative. Both transactions are private equity collateralized fund obligations backed by a diversified pool of limited partnership interests in private equity funds. The downgrades of the seven classes from SVG Diamond Private Equity II PLC reflect the failure of key performance tests, such as the gearing test (the ratio of [assets minus liabilities] over the total commitments) and subordination test, which points to deterioration in the quality of the underlying assets that support the transaction. In addition, the available liquidity facilities and existing cash assets of the transaction were inadequate to meet the transaction's unfunded commitments as of the end of October 2010. Standard & Poor's notes that the net asset value of the preferred equity that the trustee reported at the end of October 2010 was approximately 40% of its par value. S&P is maintaining its CreditWatch negative placements on five SVG Diamond Private Equity I PLC ratings. Although the transaction's portfolio has stabilized over the past year and its existing cash resources and liquidity facilities were adequate to cover its unfunded commitments as of the end of October 2010, the CreditWatch placements reflect S&P's view of uncertainties surrounding the expected timing and size of the cash flows generated by the underlying private equity funds that support the transaction. Standard & Poor's notes that the NAV the trustee reported for the preferred equity has been above par for the past six months. S&P will continue to review these CFO transactions and will update and resolve the CreditWatch placements as their performance evolves. Ratings Lowered And Remaining On Creditwatch Negative SVG Diamond Private Equity II PLC Rating ------ Class To From ----- -- ---- A-1 A (sf)/Watch Neg AA (sf)/Watch Neg A-2 A (sf)/Watch Neg AA (sf)/Watch Neg B-1 BBB (sf)/Watch Neg A (sf)/Watch Neg B-2 BBB (sf)/Watch Neg A (sf)/Watch Neg C BB (sf)/Watch Neg BBB (sf)/Watch Neg M-1 B (sf)/Watch Neg BB (sf)/Watch Neg M-2 B (sf)/Watch Neg BB(sf)/Watch Neg Ratings Remaining On Creditwatch Negative SVG Diamond Private Equity PLC Class Rating ----- ------ A-1 AA (sf)/Watch Neg A-2 AA (sf)/Watch Neg B-1 AA (sf)/Watch Neg B-2 AA (sf)/Watch Neg C A (sf)/Watch Neg TABERNA PREFERRED: Moody's Junks Ratings on 2 Classes of Notes -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded these notes issued by Taberna Preferred Funding V, Ltd. -- US$100,000,000 Class A-1LA Floating Rate Notes Due August 2036, Downgraded to Caa2 (sf); previously on April 9, 2009 Downgraded to B2 (sf); -- US$250,000,000 Class A-1LAD Delayed Draw Floating Rate Notes Due August 2036, Downgraded to Caa2 (sf); previously on April 9, 2009 Downgraded to B2 (sf); -- US$60,000,000 Class A-1LB Floating Rate Notes Due August 2036, Downgraded to C (sf); previously on April 9, 2009 Downgraded to Ca (sf); -- US$90,000,000 Class A-2L Deferrable Floating Rate Notes Due August 2036, Downgraded to C (sf); previously on April 9, 2009 Downgraded to Ca (sf). Ratings Rationale Taberna Preferred Funding V, Ltd., issued on March 29, 2006, is a collateral debt obligation backed by a portfolio of CMBS securities, CRE CDOs, and REIT trust preferred securities. On April 9, 2009, the last rating action date, Moody's downgraded four classes of notes as a result of the application of revised and updated key modeling assumptions, as well as the deterioration in the credit quality of the transaction's underlying portfolio. Moody's indicated that the downgrades on the notes are primarily the result of increase of the assumed defaulted amount and Weighted Average Rating Factor of the pool. Since the last rating action, the assumed defaulted amount has increased by 19.9%. Cumulative assumed defaulted amounts now total $248 million (40.5% of the portfolio). All the assumed defaulted assets are carried at zero recovery in Moody's analysis. The remaining assets in the portfolio have also suffered credit deterioration, as indicated by the WARF which increased to 3758. This current WARF accounts for a credit estimate stress, described in Moody's Rating Methodology "Updated Approach to the Usage of Credit Estimates in rated Transactions", October 2009. WARF assumptions for the last rating action were 3088 for First Scenario and 2726 for Second Scenario, details of which are explained in the last rating actions' press release. The par loss due to the increase in the assumed defaulted amount has resulted in loss of overcollateralization and interest coverage for the affected tranches. This has led to an increase of their expected losses since the last rating action. The overcollateralization tests continue to breach their triggers which have resulted in a diversion of excess spreads to pay down senior notes. As of the latest trustee report dated November 1, 2010, the Class A-1L Overcollateralization Test is reported at 126.78% and the Class A-2L Overcollateralization Test at 100.34%, versus trustee reported levels used in the last rating from the report dated February 28, 2009 of 146.53% and 118.85. Additionally, interest coverage tests are weak, with the Class A- 1L Interest Coverage Test at 51.04% and the Class A-2L Interest Coverage Test at 36.73%, versus trustee reported levels of 318.71% and 247.03%, respectively, in February 2009. In Moody's opinion, most U.S. REITs and REOCs have begun to show signs of recovery and the credit fundamentals are stabilizing in this sector. Moody's also expect relative rating stability for U.S. CMBS in 2011 as property markets begin to recover. On November 5, 2010, the transaction experienced an event of default as a result of a missed interest payment on the Class A- 1LA, Class A-1LAD, and Class A-1LB notes. That Event of Default is continuing. In Moody's analysis, Moody's assume no prepayments. The WAL of the portfolio is approximately 25.75 years. The portfolio of this CDO is composed of CMBS securities and trust preferred securities issued by REITs that are generally not publicly rated by Moody's. To evaluate their credit quality, Moody's derives credit scores for these non-publicly rated assets and evaluates the sensitivity of the rated transactions to their volatility, as described in Moody's Rating Methodology "Updated Approach to the Usage of Credit Estimates in Rated Transactions", October 2009. The effect of the stress testing of these credit scores varies between one and three notches, depending on the total amount and relative size of these securities in the collateral pool. 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 increases and decreases to the WARF (representing a slight improvement and a slight deterioration of the credit quality of the collateral pool) was examined. If WARF is increased by 652 points from the base case of 3758, the model results in an expected loss that is one notch worse than the result of the base case for Class A-1LA and Class A-1LAD notes. If the WARF is decreased by 328 points, expected losses are one notch better than the base case results. Additionally, the effects of the actual amortization profiles were tested resulting in an expected loss that did not create any rating movement for the Class A-1LA and Class A-1LAD notes. 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 this transaction, 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. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past 6 months. TABERNA PREFERRED: Moody's Junks Ratings on 3 Classes of Notes -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings on these notes issued by Taberna Preferred Funding II, Ltd. -- US$400,000,000 Class A-1-A First Priority Delayed Draw Senior Secured Floating Rate Notes Due 2035, (current balance of $341,327,752), Downgraded to Caa1 (sf); previously on April 9, 2009 Downgraded to B2 (sf); -- US$106,500,000 Class A-1-B First Priority Senior Secured Floating Rate Notes Due 2035 (current balance of $90,878,512), Downgraded to Caa1 (sf); previously on April 9, 2009 Downgraded to B2 (sf); -- US$10,000,000 Class A-1-C First Priority Senior Secured Fixed/Floating Rate Notes Due 2035 (current balance of $8,533,194), Downgraded to Caa1 (sf); previously on April 9, 2009 Downgraded to B2 (sf); -- US$120,500,000 Class B Third Priority Secured Floating Rate Notes Due 2035, Downgraded to C (sf); previously on April 9, 2009 Downgraded to Ca (sf). Ratings Rationale Taberna Preferred Funding II, Ltd., issued on June 28, 2005, is a collateral debt obligation backed by a portfolio of CMBS, CRE CDOs and REIT trust preferred securities. On April 9, 2009, the last rating action date, Moody's downgraded four classes of notes, which were the result of the application of revised and updated key modeling assumptions, as well as the deterioration in the credit quality of the transaction's underlying portfolio. Moody's indicated that the downgrade action on the notes are primarily the result of increase of the assumed defaulted amount and Weighted Average Rating Factor of the pool. The assumed defaulted amount now totals $319 million (37% of the portfolio). All the assumed defaulted assets are carried at zero recovery in Moody's analysis. The remaining assets in the portfolio have also suffered credit deterioration, as indicated by the WARF which increased to 3555 from 2679 as of the last rating action. The current model WARF accounts for a credit estimate stress, described in Moody's Rating Methodology "Updated Approach to the Usage of Credit Estimates in rated Transactions", October 2009. The par loss due to the increase in the assumed defaulted amount has resulted in loss of overcollateralization and interest coverage for the affected tranches. This has led to an increase in the expected losses since the last rating action. As of the latest trustee report dated October 31, 2010, the Class A/B Overcollateralization Test is reported at 98.78% and the Class A/B Interest Coverage Test at 70.48%, versus trustee reported levels used in the last rating action of 105.66% and 118.90%, respectively, from the report dated as of February 28, 2009. The rating action also takes into consideration that the transaction triggered an Event of Default on November 12, 2009, arising from a default in the payment of interest due on the Class A-1 Notes, Class A-2 Notes and Class B Notes. The trustee also issued a notice, dated as of December 7, 2009, that a majority of the Controlling Class directed the Trustee to declare the principal of all of the Notes to be immediately due and payable. The Event of Default is continuing. In Moody's opinion, most U.S. REITs and REOCs have begun to show signs of recovery and the credit fundamentals are stabilizing in the sector. Moody's also expects relative rating stability for U.S. CMBS in 2011 as property markets begin to recover. In Moody's analysis, Moody's assume that the WAL of the portfolio is approximately 17.4 years. The portfolio of this CDO is composed of CMBS securities and trust preferred securities issued by REITs that are generally not publicly rated by Moody's. To evaluate their credit quality, Moody's derives credit scores for these non-publicly rated assets and evaluates the sensitivity of the rated transactions to their volatility, as described in Moody's Rating Methodology "Updated Approach to the Usage of Credit Estimates in Rated Transactions", October 2009. The effect of the stress testing of these credit scores varies between one and three notches, depending on the total amount and relative size of these securities in the collateral pool. 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 increases and decreases in the WARF (representing a slight improvement and a slight deterioration of the credit quality of the collateral pool) was examined. If WARF is increased by 170 points from the base case of 3555, the model results in an expected loss that is one notch worse than the result of the base case for Class A-1 Notes. If the WARF is decreased by 780 points, expected losses are one notch better than the base case results. Additionally, the effect of using loss distribution generated from CDOROM was also tested resulting in an expected loss that did not create any rating movement for the rated notes. 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 this transaction, 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. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. TABERNA PREFERRED: S&P Downgrades Ratings on Three Classes ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on three classes of notes and affirmed its 'CC (sf)' ratings on seven classes of notes from Taberna Preferred Funding V Ltd., a U.S. cash flow trust preferred collateralized debt obligation transaction. The rating actions reflect the implementation of S&P's criteria for ratings on CDO transactions that have triggered an event of default and may be subject to acceleration or liquidation. The downgrades resulted from an EOD on Nov. 15, 2010, following a default in the payment of interest due on the non-payment-in-kind class A-1LA, A-1LAD, and A-1LB notes. Ratings Lowered Taberna Preferred Funding V Ltd. Rating ------ Class To From ----- -- ---- A-1LA D (sf) CCC- (sf) A-1LAD D (sf) CCC- (sf) A-1LB D (sf) CCC- (sf) Ratings Affirmed Taberna Preferred Funding V Ltd. Class Rating ----- ------ A-2L CC (sf) A-3L CC (sf) A-3FV CC (sf) A-3FX CC (sf) B-1L CC (sf) B-2L CC (sf) B-2FX CC (sf) TAXABLE WORLD: Moody's Affirms 'Ba1' Rating on Series 1995 Bonds ---------------------------------------------------------------- Moody's Investors Service affirmed the rating of Taxable World Headquarters Revenue Bonds, Series 1995: -- Bonds, Affirmed at Ba1; previously on Feb. 28, 2008 Downgraded to Ba1 Ratings Rationale The rating was affirmed at Ba1 based on the support of the long term triple net lease guaranteed by Owens Corning (senior unsecured rating Ba1, stable outlook). The rating of Taxable World Headquarters Revenue Bonds, Series 1995 was assigned by evaluating factors determined to be applicable to the credit profile of the notes, such as: i) the nature, sufficiency and quality of historical performance information regarding the asset class as well as for the transaction sponsor; ii) an analysis of the collateral being securitized; iii) an analysis of the policies, procedures and alignment of interests of the key parties to the transaction, most notably the originator and the servicer; iv) an analysis of the transaction's governance and legal structure; and vi) a comparison of these attributes against those of other similar transactions. In rating this transaction, Moody's used its credit-tenant lease financing rating methodology. Under Moody's CTL approach, the rating of a transaction's certificates is primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenant, usually an investment grade rated company, leasing the real estate collateral supporting the bonds. This tenant's credit rating is the key factor in determining the probability of default on the underlying lease. The lease generally is "bondable", which means it is an absolute net lease, yielding fixed rent paid to the trust through a lock-box, sufficient under all circumstances to pay in full all interest and principal of the loan. The leased property should be owned by a bankruptcy-remote, special purpose borrower, which grants a first lien mortgage and assignment of rents to the securitization trust. The dark value of the collateral, which assumes the property is vacant or "dark", is then examined; the dark value must be sufficient, assuming a bankruptcy of the tenant and rejection of the lease, to support the expected loss consistent with the certificates' rating. The certificates' rating may change as the senior unsecured debt rating (or the corporate family rating) of the tenant changes. Moody's also considers the overall structure and legal integrity of the transaction. In addition, the rating of the CTL may is some cases exceed the rating of the underlying tenant if the value of the underlying asset on a dark basis provides a loan to value ratio and potential debt service coverage ratio that supports a higher rating. There were no models used in the review of this transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's prior full reviw is summarized in a press release dated February 28, 2008. See the ratings tab on the issuer /entity page on moodys.com for the last rating action and the ratings history. Deal Performance This CTL transaction is secured by a mortgage on a three story, 400,000 square foot corporate campus in Toledo, Ohio. The lease expires on March 31, 2015. The lease payments are sufficient to fully amortize the loan during the lease term. As of October 8, 2010 the aggregate certificate balance has decreased by almost 81% to $16.3 million from $85 million at securitization. TIERS BEACH: Moody's Takes Rating Actions on Various Classes ------------------------------------------------------------ Moody's Investors Service announced these rating actions on TIERS Beach Street 6 Synthetic CLO, a collateralized debt obligation transaction. The CSO, issued in 2007, references a portfolio of corporate synthetic senior secured loans. -- US$27,600,000 TIERS Beach Street 6 Synthetic CLO Floating Rate Credit Linked Trust, Series 2007-33A Notes, Upgraded to Aaa (sf); previously on March 25, 2009 Downgraded to Aa1 (sf) -- US$34,776,000 TIERS Beach Street 6 Synthetic CLO Floating Rate Credit Linked Trust, Series 2007-33B Notes, Upgraded to Aa3 (sf); previously on March 25, 2009 Downgraded to A3 (sf) -- US$12,696,000 TIERS Beach Street 6 Synthetic CLO Floating Rate Credit Linked Trust, Series 2007-33C Notes, Upgraded to A3 (sf); previously on March 25, 2009 Downgraded to Ba1 (sf) -- US$24,840,000 TIERS Beach Street 6 Synthetic CLO Floating Rate Credit Linked Trust, Series 2007-D Notes, Upgraded to Baa3 (sf); previously on March 25, 2009 Downgraded to B3 (sf) -- US$17,388,000 TIERS Beach Street 6 Synthetic CLO Floating Rate Credit Linked Trust, Series 2007-33E Notes, Upgraded to B1 (sf); previously on March 25, 2009 Downgraded to Caa3 (sf) Ratings Rationale Moody's rating actions are the result of the shortened time to maturity of the CSO and the level of credit enhancement remaining in the transaction. The CSO has a remaining life of one year. Since the last rating review in March 2009, the 10-year weighted average rating factor of the portfolio rose from 1730, equivalent to Ba3, to 2136, equivalent to B1, excluding settled credit events. The portfolio has experienced four credit events, three of which have occurred since the last rating action, equivalent to 5.2 percent of the portfolio based on the portfolio notional value at closing. Losses from these credit events total 3.2 percent. Remaining credit enhancement for Class E, the most junior rated tranche, is approximately 5.0 percent. 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 6 months, keeping all other things equal. The result of this run is zero (Class A), two (Class B, Class D, Class E), or three (Class C) notches higher than the base case. * Market Implied Ratings 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 comparable to that of the base case for all but Class E, which was one notch lower. * Moody's performs a stress analysis consisting of defaulting all entities rated Caa1 and below. The result of this run is zero (Class A), one (Class B, Class C), two (Class D), or four (Class E) notches lower than in the base case. * Moody's conducts a sensitivity analysis consisting of notching down by one the ratings of reference entities in the Healthcare & Pharmaceuticals sectors. The result from this run is zero (Class C, Class D) or one (Class A, Class B, Class E) notch below the one modeled under the base case. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, 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. 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 macroeconomic conditions evolve towards a more severe scenario, such as a double dip recession, the CSO rating will likely be downgraded to an extent that depends on the expected severity of the worsening conditions. TRALEE CDO: Moody's Upgrades Ratings on Various Classes of Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Tralee CDO I Ltd.: -- US$273,200,000 Class A-1 Senior Secured Floating Rate Notes due 2022 (current outstanding balance of $269,923,016), Upgraded to Aa1 (sf); previously on June 30, 2009 Downgraded to Aa2 (sf); -- US$17,900,000 Class A-2a Senior Secured Floating Rate Notes due 2022, Upgraded to A1 (sf); previously on June 30, 2009 Aa2 (sf) Downgraded to A3 (sf); -- US$3,500,000 Class A-2b Senior Secured Fixed Rate Notes due 2022, Upgraded to A1 (sf); previously on June 30, 2009 Downgraded to A3 (sf); -- US$18,800,000 Class B Senior Secured Deferrable Floating Rate Notes due 2022, Upgraded to Baa2 (sf); previously on June 30, 2009 Downgraded to Ba1 (sf); -- US$19,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2022, Upgraded to Ba3 (sf); previously on June 30, 2009 Downgraded to B1 (sf); -- US$13,400,000 Class D Secured Deferrable Floating Rate Notes due 2022, Upgraded to Caa2 (sf); previously on November 23, 2010 Ca (sf) Placed Under Review for Possible Upgrade; -- US$5,500,000 Type I Composite Notes due 2022 (current rated balance of $4,090,387), Upgraded to A1 (sf); previously on June 30, 2009 Downgraded to A3 (sf); -- US$8,500,000 Type II Composite Notes due 2022 (current rated balance of $7,041,059), Upgraded to A1 (sf); previously on June 30, 2009 Downgraded to A3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from improvement in credit quality of the underlying portfolio and an increase in the overcollateralization of the notes since the rating actions in June 2009. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor). In particular, as of the latest trustee report dated November 6, 2010, the weighted average rating factor was 2370 as compared to 2699 in May 2009. The dollar amount of defaulted securities has decreased to about $12.4 million from approximately $23.5 million in May 2009. Based on the same report, securities rated Caa1 or lower make up approximately 1.6% of the underlying portfolio versus 7.8% in May 2009. Additionally, the overcollateralization ratios have increased significantly since the rating actions in June 2009 and are currently all in compliance. The Class A, Class B, Class C, and Class D Overcollateralization Tests are reported at 123.5%, 115.8%, 108.9%, and 104.5%, respectively versus May 2009 levels of 115.3%, 108.4%, 102.1%, and 98.1%. In addition, the Class D Notes are no longer deferring interest and all previously deferred interest has been paid in full. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds of $346.3 million, defaulted par of $12.4 million, weighted average default probability of 26.80% (implying a WARF of 3432), a weighted average recovery rate upon default of 44.02%, and a diversity score of 57. 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. Tralee CDO I Ltd., issued in March 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. In addition to the base case analysis described above, Moody's also performed a number of sensitivity analyses to test the impact on all rated notes, including these: 1. Various default probabilities to capture potential defaults in the underlying portfolio. 2. A range of recovery rate assumptions for all assets to capture variability in recovery rates. 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% (2746) -- Class A-1: +1 -- Class A-2a: +2 -- Class A-2b: +2 -- Class B: +2 -- Class C: +2 -- Class D: +3 -- Type I Composite Notes: +2 -- Type II Composite Notes: +2 Moody's Adjusted WARF + 20% (4118) -- Class A-1: -2 -- Class A-2a: -2 -- Class A-2b: -2 -- Class B: -2 -- Class C: -1 -- Class D: -3 -- Type I Composite Notes: -1 -- Type II Composite Notes: -2 A summary of the impact of different recovery rate 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 WARR + 2% (46.02%) -- Class A-1: 0 -- Class A-2a: 0 -- Class A-2b: 0 -- Class B: 0 -- Class C: +1 -- Class D: +1 -- Type I Composite Notes: +1 -- Type II Composite Notes: +1 Moody's Adjusted WARR - 2% (42.02%) -- Class A-1: 0 -- Class A-2a: -1 -- Class A-2b: -1 -- Class B: -1 -- Class C: 0 -- Class D: -1 -- Type I Composite Notes: 0 -- Type II Composite Notes: +2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the managers' investment strategies and behaviour and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee 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. 2) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 3) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. However, in light of the large positive difference between the reported and covenant levels for weighted average spread, Moody's base case analysis incorporates the impact of assuming the midpoint of the reported and covenanted weighted average spread. TRICADIA CDO: S&P Downgrades Ratings on Class A-1L Notes -------------------------------------------------------- Standard & Poor's Rating Services lowered its rating on the class A-1L notes from Tricadia CDO 2005-3 Ltd., a cash flow collateralized debt obligation transaction backed mainly by asset backed securities, including CDOs. Concurrently, S&P affirmed its ratings on the class A-2L, A-3L, and B-1L notes. The downgrade of the class A-1L note follows the receipt of the notice of liquidation and suspension of payments dated Nov. 9, 2010. According to its criteria, S&P lowered its rating on the class A-1L notes to 'CC (sf)' from 'CCC+ (sf)'. S&P may take further rating action if S&P receive notice that an interest payment is not made on the class and or the collateral has been liquidated. Rating Lowered Tricadia CDO 2005-3 Ltd. Rating ------ Class To From ----- -- ---- A-1L CC (sf) CCC+ (sf) Ratings Affirmed Tricadia CDO 2005-3 Ltd. Class Rating ----- ------ A-2L D (sf) A-3L CC (sf) B-1L CC (sf) UBS COMMERCIAL: Moody's Downgrades Ratings on 15 2007-FL1 Certs. ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 15 classes and affirmed two classes of UBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-FL1. Moody's rating action is: -- Cl. A-1, Affirmed at Aaa (sf); previously on Jan. 15, 2008 Definitive Rating Assigned Aaa (sf) -- Cl. X, Affirmed at Aaa (sf); previously on Jan. 15, 2008 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Downgraded to Baa2 (sf); previously on March 5, 2009 Downgraded to Aa1 (sf) -- Cl. B, Downgraded to Ba1 (sf); previously on March 5, 2009 Downgraded to A1 (sf) -- Cl. C, Downgraded to Ba3 (sf); previously on March 5, 2009 Downgraded to A3 (sf) -- Cl. D, Downgraded to B1 (sf); previously on March 5, 2009 Downgraded to Baa1 (sf) -- Cl. E, Downgraded to B2 (sf); previously on Dec. 10, 2009 Downgraded to Baa3 (sf) -- Cl. F, Downgraded to B3 (sf); previously on Dec. 10, 2009 Downgraded to Ba1 (sf) -- Cl. G, Downgraded to Caa1 (sf); previously on Sept. 3, 2009 Downgraded to Ba2 (sf) -- Cl. H, Downgraded to Caa2 (sf); previously on Sept. 3, 2009 Downgraded to B1 (sf) -- Cl. J, Downgraded to Caa3 (sf); previously on Sept. 3, 2009 Downgraded to B3 (sf) -- Cl. K, Downgraded to Ca (sf); previously on Sept. 3, 2009 Downgraded to Caa1 (sf) -- Cl. O-HW, Downgraded to Caa2 (sf); previously on Sept. 3, 2009 Downgraded to B1 (sf) -- Cl. O-MD, Downgraded to B1 (sf); previously on Sept. 3, 2009 Downgraded to Ba3 (sf) -- Cl. O-WC, Downgraded to Caa2 (sf); previously on Sept. 3, 2009 Downgraded to B2 (sf) -- Cl. O-SA, Downgraded to Caa3 (sf); previously on Sept. 3, 2009 Downgraded to B3 (sf) -- Cl. O-HA, Downgraded to Ca (sf); previously on Sept. 3, 2009 Downgraded to Caa1 (sf) Ratings Rationale The downgrade is due to higher expected losses for the trust resulting from anticipated losses from specially serviced and troubled loans and interest shortfalls. The affirmations are due to key parameters, including Moody's loan to value ratio and Moody's stressed debt service coverage ratio remaining within acceptable ranges. The pool has paid down by 10% since Moody's last review, benefiting the most senior Class A-1 and notional balance only Class X. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the previous review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "Hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based Large Loan Model v 8.0. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated December 10, 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased to $1.41 billion from $1.56 billion at last review. The Certificates are collateralized by 25 floating rate whole loans and senior interests in whole loans. The loans range in size from 1% to 13% of the pooled balance, with the top three loans representing 32% of the pool. Except for the Maui Prince Hotel & Resort Loan (now called Makena Beach & Golf Resort), which was modified, all other loans have additional debt in the form of a non-pooled or rake bond within the trust or a B note or mezzanine debt outside of the trust. The current low interest rate environment coupled with low loan spreads have helped the loans stay current through the last two years, but high leverage continues to be a cause for concern. Moody's weighted average trust loan to value ratio is 97% and Moody's weighted average stressed debt service coverage ratio for trust debt is 0.80X. Moody's weighted average first mortgage LTV is 138% and Moody's LTV including mezzanine debt is 181%. The largest loan in the pool is secured by a fee interest in Jumeirah Essex House ($186 million -13% of the pooled balance) located in Midtown Manhattan on Central Park South. The sponsor for the 515-room full-service hotel and 26 condominium units is Dubai Investment Group Limited and Dubai Holdings LLC. This is a flag ship property for the Jumeirah brand in the US. The final maturity date, including extension options, is September 9, 2012. There is an additional debt in the form of non-trust junior component and mezzanine debt outside the trust. Hotels located in New York City have suffered significant declines in operating performance much like the rest of the US during the last two years. However hotels located in gateway cities such as New York City, Boston and Miami have achieved double digit Revenue per Available Room (RevPAR) growth in the first 10 months of 2010 over the same period in 2009. According to Smith Travel Research, New York City RevPAR in the year-to-date through October 2010 period was $181.40, up 13.6% from the same period in 2009. Luxury and urban properties are showing particularly strong improvement compared to other segments. For the nine months ending September 2010, the Jumeirah Essex House achieved 76.7% occupancy at $356.30 Average Daily Rate (ADR) for a RevPAR of $273.14. During the same nine month period in 2009, occupancy was at 72.6% with an ADR of $321.01 resulting in a RevPAR of $232.89. Net Operating Income (NOI) for the first nine months of 2010 was $1.3 million. Although the in-place cash flow is not enough to support required debt service, the inherent value in the property, its flag ship status in the chain, as well as significant replacement cost supports Moody's value of $179 million. The current credit estimate for this loan is B3. Maui Prince Resort Loan ($150 million -11% of pooled balance plus $30 million in three rake bonds) is currently in special servicing, and waiting to be returned to master servicer post modification. The loan is secured by fee simple interest in Maui Prince Resort (310 guestrooms), two18-hole golf course and 1,300 acres of undeveloped land located in Makena (Maui), Hawaii. The loan was transferred to special servicing in June 2009. The rake investor assumed the A note and converted their interest in the rake bonds to equity as part of the assumption. The A note received a principal pay-down of $12.5 million, and the loan maturity has been extended by three years with two one-year extension options. The new sponsors for this loan are AREA Property Partners (formerly known as Apollo Real Estate Advisors), Trinity Investments, LLC, and Stanford Carr Development, LLC, a Honolulu based residential development firm. Moody's does not rate the three rake bonds associated with this loan (Classes M-MP, N-MP and O-MP). Total interest shortfalls to these three rake classes total $334,849 as of the November distribution date. In August 2010, the property ranked 15th in Travel + Leisure magazine's Top 25 Hotels in Hawaii. In August 2010, the property ranked 15th in Travel + Leisure magazine's Top 25 Hotels in Hawaii. Moody's value for the hotel is $150 million, and current credit estimate for this loan is B3. The Magazine Multifamily Portfolio ($110 million -8% of the pooled balance) is secured by fee interest in a seven multifamily property portfolio located in Florida. The portfolio totals 2,120 units and the properties were built between 1987 and 1992. The properties are located in Palm Beach Gardens, Orlando, Sarasota and Bradenton. The sponsors are Morgan Stanley Real Estate Fund V U.S., LP and Onex Real Estate Partners LP. There is a $10 million junior component and a $60 million mezzanine loan outside of the trust. The final maturity date including extension options is July 9, 2012. The portfolio's NOI for 2009 was $9.5 million, and NOI for the first nine months of 2010 was $7.5 million. Moody's value is $117 million, and the current credit estimate is B3. There are currently six loans totaling 21% of pooled balance in special servicing. However, Maui Prince Resort and 281 & 321 Summer Street loans (totaling 12% of pooled balance) have been modified and pending return to master servicer. Cumulated bond loss totals $30 million (Classes M-MP, N-MP and O-MP) plus $83 to Class L. Interest shortfalls totals $685,927 affecting pooled Class L, and rake classes M-MP, N-MP, O-MP, O-HW, O-BH, O-SA and O-HA. UNION BANK: Moody's Downgrades Rating on Housing Fund to 'Ba1' -------------------------------------------------------------- Moody's Investors Service has taken these rating actions on the Union Bank of California Affordable Housing Funds: Moody's has downgraded the underlying rating of the Union Bank of California Affordable Housing Fund 2001-I to Ba1 from Baa3 and affirmed the stable outlook at this rating level. This rating action is primarily based on the deteriorating operating performance at two out of the three projects in the Fund. The underlying Baa2 ratings of the Union Bank of California Affordable Housing Fund 2005-I and Union Bank of California Affordable Housing Fund 2006-II have been affirmed, while the rating outlook has been revised to negative from stable. The rating affirmations are primarily based on the continued adequate performance of the underlying properties at the current rating level. The negative outlook reflects Moody's view that some properties within the funds are underperforming, and any further deterioration in their operating performance is likely to result in a rating downgrade. Concurrently, the underlying Baa2 ratings of the Union Bank of California Affordable Housing Fund 2004-I and Union Bank of California Affordable Housing Fund 2007-I have been affirmed with a stable outlook. The underlying Baa3 ratings of the Union Bank of California Affordable Housing Fund 2005-II and Union Bank of California Affordable Housing Fund 2006-I has been affirmed with a stable outlook. The rating affirmations are based on the adequate performance of the individual properties, despite the continued weakness in the multi-family real estate market. What could make the rating go -- Up -- Significant improvements in debt service coverage and occupancy at individual properties -- Significant improvements in the multi-family housing sector What could make the rating go -- Down -- Further deterioration in debt service coverage and occupancy at individual properties -- Potential non-compliance or loss of tax credits for the underlying assets The last rating action on the Union Bank of California Affordable Housing Funds was on November 25, 2009. UNION SQUARE: S&P Raises Ratings on Various Classes of Notes ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, and B notes from Union Square CDO Ltd., a collateralized loan obligation transaction managed by Blackstone Debt Advisors L.P. At the same time, S&P removed the ratings on the class A-1 and A-2 notes from CreditWatch positive, and S&P affirmed its rating on the class C notes. The upgrades reflect the improved performance S&P has observed in the deal since December 2009, when S&P lowered the rating on all of the classes of notes following a review of the transaction under its updated criteria for rating corporate collateralized debt obligations that S&P published in September 2009. The affirmation on the class C notes reflect the availability of the credit support at the current rating level. At the time of its last rating action, based on the Nov. 7, 2009, trustee report, the transaction was holding approximately $13 million in defaulted obligations and more than $21 million in underlying obligors with a rating in the 'CCC' range. Since that time, a number of defaulted obligors held in the deal emerged from the bankruptcy process, with some receiving proceeds that were higher than their carrying value in the overcollateralization ratio test calculations. This, in combination with a reduction in the 'CCC' range rated assets and a $128.2 million dollar principal paydown to the class A-1 noteholders, benefited all O/C ratio tests. The class A O/C ratio increased to 125.89% by Nov. 7, 2010, from 114.94% as of Nov. 7, 2009, while the class C O/C test went up to 104.531% from 102.947% in the same period. To date, the transaction has paid down the class A-1 notes to approximately $135 million, or 46% of their original outstanding balance. As of November 2010, the deal is holding an additional $12 million in principal cash, which may be used to pay down principal on the class A-1 notes on the upcoming January 2011 payment date. 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 S&P deem necessary. Rating And Creditwatch Actions Union Square CDO Ltd. Rating ------ Class To From ----- -- ---- A-1 notes AAA (sf) AA+ (sf)/ Watch Pos A-2 notes AA+ (sf) A+ (sf)/ Watch Pos B notes BBB+ (sf) BBB(sf) Rating Affirmed Union Square CDO Ltd. Class Rating ----- ------ C notes B+ (sf) UNITED COMMERCIAL: S&P Downgrades Rating on Class M to 'B+' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class M certificates from United Commercial Mortgage Securities Trust 2007-1 to 'B+ (sf)' from 'BB- (sf)' and removed it from CreditWatch with negative implications. At the same time, S&P affirmed its 'AA+ (sf)' rating on the class A certificates from the same transaction. The downgrade follows S&P's analysis of the transaction, including the credit deterioration of the underlying collateral pool and the transaction's structure. S&P's analysis considered its expected losses upon the ultimate resolution of the 14 assets ($20.9 million, 8.5%) with the special servicer, Wells Fargo Bank N.A. The analysis also considered the transaction's actual loan default rate and loss severities as well as potential future loan defaults and loss severities. The affirmation reflects the insurance policy provided by Assured Guaranty Corp. guaranteeing the scheduled payment of principal and interest for the class A certificates. S&P lowered the rating on the class A certificates on Oct. 27, 2010, to 'AA+' following the downgrade of AGC. Credit Considerations As of the Nov. 29, 2010, remittance report, there are 14 assets ($20.9 million, 8.5%) with the special servicer. The payment status of the special serviced assets include four real estate owned assets ($5.7 million, 2.3%), three loans ($4.6 million, 1.9%) over 90 days delinquent, one loan ($2.1 million, 0.9%) 60 to 90 days delinquent, one loan ($355,958, 0.1%) 30 to 60 days delinquent, two loans ($1.9 million, 0.8%) less than 30 days delinquent, one matured balloon loan ($3.1 million, 1.3%), and two current loans ($3.1 million, 1.3%). Appraisal reduction amounts totaling $1.1 million are in effect against four of the specially serviced assets. The largest asset ($3.1 million, 1.3%) with the special servicer is secured by a 41,890-sq-ft retail property in Ontario, Calif. It was classified as a matured balloon loan after the borrower did not repay the loan at the original maturity date in May 2010. Subsequently, the maturity date was extended one year with two six-month options available. Per the special servicer, the borrower is making debt service payments while exploring refinancing options. S&P expects a minimal loss, if any, upon the ultimate resolution of the loan. The second-largest asset ($2.5 million, 1.0%) with the special servicer is secured by a 10,075-sq-ft retail property in Half Moon Bay, California. The loan payment status is over 90 days delinquent, and the borrower has filed for bankruptcy, according to the special servicer. An ARA of $489,570 is in effect against loan. S&P expects a moderate loss upon the ultimate resolution of the loan. Each of the remaining 12 assets with the special servicer makes up less than 1.0% of the collateral pool. S&P estimated losses for all of these assets based primarily on recent appraisals and listed sales prices for the underlying properties. S&P's estimated loss severities on these assets ranged from 10.0% to 79.3%, with a weighted average loss severity of 30.6%. Transaction Summary As of the remittance report dated Nov. 29, 2010, the collateral pool consisted of 198 loans and four REO assets with an aggregate principal balance of $246.7 million, compared with 307 loans with a balance of $402.5 million at issuance. The loans range in size from $6 million to $54,508, with an average balance of $1.2 million. All of the underlying properties securing the remaining assets are located in California. As the borrowers are not required to submit operating statements or rent rolls, the master servicer, also Wells Fargo Bank N.A., did not provide any recent financial information on the assets or a watchlist for the transaction. The lack of information was considered in S&P's analysis of the transaction. To date, the trust has experienced 14 losses totaling $3.4 million with an average loss severity of 13.7%. S&P's analysis considered the transaction's actual loan default rate and loss severities as well as S&P's estimate losses on assets with the special servicer as detailed above to estimate potential future loan defaults and loss severities. This serves as S&P's base scenario. S&P also considered numerous scenarios that estimate future loan defaults and loss severities on the performing loans in the pool based on the transaction's performance to date. The scenarios generally supported lowering the class M rating to a lower speculative-grade level. S&P's analysis of potential future loan defaults and loss severities also considered the transaction's structure and payment waterfall. Based on the transaction documents, it is S&P's understanding that the excess interest remaining after paying interest to classes A and M further reduces the outstanding principal balance of class A. This principal reduction of the class A certificates is above and beyond any reduction in the outstanding principal balance of the class due to principal proceeds distributed from the underlying collateral assets. Once the class A certificates are repaid in full, it is S&P's understanding that any excess interest would be available to reduce the outstanding principal balance of class M. Additionally, it is S&P's understanding of the transaction documents that the outstanding principal balance of the unrated class C certificates is the sum of the aggregate underlying asset principal balances less the sum of the outstanding principal balances of the class A and M. After considering the $3.4 million in realized losses noted above, these transaction features have resulted in increased credit enhancement levels for classes A and M as well as increased transaction overcollateralization of $5.0 million since issuance. Despite the increased overcollateralization, the projected losses from S&P's scenarios indicate credit support erosion. Rating Affirmed United Commercial Mortgage Securities Trust 2007-1 Class Rating ----- ------ A AA+ (sf) Rating Lowered And Removed From Creditwatch Negative United Commercial Mortgage Securities Trust 2007-1 Rating ------ Class To From ----- -- ---- M B+ (sf) BB- (sf)/Watch Neg WACHOVIA BANK: Moody's Upgrades Ratings on Two 2003-C6 Certs. ------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes, downgraded two classes and affirmed 12 classes of Wachovia Bank Commercial Mortgage Pass-Through Certificates, Series 2003-C6: -- Cl. A-3, Affirmed at Aaa (sf); previously on Sept. 17, 2003 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Sept. 17, 2003 Definitive Rating Assigned Aaa (sf) -- Cl. IO, Affirmed at Aaa (sf); previously on Sept. 17, 2003 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Aug. 7, 2006 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on July 9, 2007 Upgraded to Aaa (sf) -- Cl. D, Affirmed at Aaa (sf); previously on Aug. 9, 2007 Upgraded to Aaa (sf) -- Cl. E, Affirmed at Aa1 (sf); previously on Aug. 9, 2007 Upgraded to Aa1 (sf) -- Cl. F, Upgraded to Aa3 (sf); previously on Aug. 9, 2007 Upgraded to A1(sf) -- Cl. G, Upgraded to A2 (sf); previously on Aug. 9, 2007 Upgraded to A3 (sf) -- Cl. H, Affirmed at Baa2 (sf); previously on Aug. 9, 2007 Upgraded to Baa2 (sf) -- Cl. J, Affirmed at Ba1 (sf); previously on Sept. 17, 2003 Definitive Rating Assigned Ba1 (sf) -- Cl. K, Affirmed at Ba2 (sf); previously on Sept. 17, 2003 Definitive Rating Assigned Ba2 (sf) -- Cl. L, Affirmed at Ba3 (sf); previously on Sept. 17, 2003 Definitive Rating Assigned Ba3 (sf) -- Cl. M, Affirmed at B1 (sf); previously on Sept. 17, 2003 Definitive Rating Assigned B1 (sf) -- Cl. N, Downgraded to Caa1 (sf); previously on Sept. 17, 2003 Definitive Rating Assigned B2 (sf) -- Cl. O, Downgraded to Caa3 (sf); previously on Sept. 17, 2003 Definitive Rating Assigned B3 (sf) Ratings Rationale The upgrades are due to an increase in subordination. The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 2.4% of the current balance. At last review, Moody's cumulative base expected loss was 1.0%. Moody's stressed scenario loss is 10.9% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's 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 transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated August 9, 2009. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the ratings. Deal Performance As of the November 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 35% to $617.6 million from $952.8 million at securitization. The Certificates are collateralized by 81 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing 50% of the pool. The pool contains two loans, representing 13% of the pool, with investment grade credit estimates. Eleven loans representing 15% of the pool have defeased and are collateralized with U.S. Government securities. Defeasance at last review represented 27% of the pool. Fourteen loans, representing 25% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $1.7 million (11% loss severity). Three loans, representing 1.8% of the pool, are currently in special servicing. Moody's has estimated an aggregate $4.6 million loss (42% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for two poorly performing loans representing 1% of the pool and has estimated a $1.4 million loss (20% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 operating results for 84% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 85% compared to 83% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 7.6% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.56X and 1.22X, respectively, compared to 1.56X and 1.23X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 20 compared to 51 at Moody's prior review. The largest loan with a credit estimate is the Lloyd Center Loan ($61.9 million -- 10% of the pool), which is secured by a 1.3 million square foot retail property located in Portland, Oregon. This loan represents a pari-passu interest in a $124 million first mortgage loan. The property was 97% leased as of May 2010 compared to 95% at last review. Performance has been stable and the loan benefits from amortization. The loan has amortized 6% since last review. Moody's current credit estimate and stressed DSCR are Baa2 and 1.39X, respectively, compared to Baa3 and 1.35X at last review. The second loan with a credit estimate is the Port Authority Building Loan ($17.2 million -- 2.8% of the pool), which is secured by a 304,000 square foot office property located in Jersey City, New Jersey. The property is fully leased to The Port Authority of New York and New Jersey through February 2020. Moody's current credit estimate and stressed DSCR are Aa2 and 1.43X, respectively, compared to Aa2 and 1.35X at last review. The top three performing conduit loans represent 19.5% of the pool balance. The largest conduit loan is the 50 Central Park South Loan ($80.5 million -- 13.0% of the pool), which is secured by the leased fee interest in the Ritz Carlton Central Park South hotel condominium located in New York City. The loan had an anticipated repayment date (ARD) of October 11, 2010. Performance has improved since last review as a result of a rent step that went into effect in November 2010. Moody's LTV and stressed DSCR are 97% and 1.0X, respectively, compared to 181% and 0.54X at last review. The second largest conduit loan is the Coral Sky Plaza Loan ($22.1 million -- 3.6% of the pool), which is secured by a 233,000 square foot retail center located in Royal Palm Beach, Florida. As of March 2010 the property was 96% leased compared to 100% at last review. Moody's LTV and stressed DSCR are 101% and 0.94X, respectively, compared to 93% and 1.01X at last review. The third largest conduit loan is The Shoppes at Union Hill Loan ($17.8 million -- 2.9% of the pool), which is secured by a 88,000 square foot retail center located in Denville, New Jersey The three largest tenants are Gap Inc, Pier 1 Imports and Talbots. As of August 2010 the property was 100% leased, the same as last review. Moody's LTV and stressed DSCR are 74% and 1.32X, respectively, compared to 80% and 1.25X at last review. WACHOVIA BANK: Moody's Upgrades Ratings on 2004-C10 Certs. ---------------------------------------------------------- Moody's Investors Service upgraded the rating of one pooled class and one non-pool, or rake, class, downgraded six classes and affirmed 11 classes of Wachovia Bank Commercial Mortgage Securities Trust Commercial Mortgage Pass-Through Certificates, Series 2004-C10: -- Cl. A-3, Affirmed at Aaa (sf); previously on Sept. 28, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Sept. 28, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Sept. 28, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X-C, Affirmed at Aaa (sf); previously on Sept. 28, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X-P, Affirmed at Aaa (sf); previously on Sept. 28, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Nov. 21, 2006 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on Jan. 10, 2008 Upgraded to Aaa (sf) -- Cl. D, Upgraded to Aa2 (sf); previously on Jan. 10, 2008 Upgraded to Aa3 (sf) -- Cl. E, Affirmed at A1 (sf); previously on Jan. 10, 2008 Upgraded to A1 (sf) -- Cl. F, Affirmed at A3 (sf); previously on Jan. 10, 2008 Upgraded to A3 (sf) -- Cl. G, Affirmed at Baa2 (sf); previously on Sept. 28, 2004 Definitive Rating Assigned Baa2 (sf) -- Cl. H, Affirmed at Baa3 (sf); previously on Sept. 28, 2004 Definitive Rating Assigned Baa3 (sf) -- Cl. J, Downgraded to Ba2 (sf); previously on Sept. 28, 2004 Definitive Rating Assigned Ba1 (sf) -- Cl. K, Downgraded to B2 (sf); previously on Sept. 28, 2004 Definitive Rating Assigned Ba2 (sf) -- Cl. L, Downgraded to Caa1 (sf); previously on Sept. 28, 2004 Definitive Rating Assigned Ba3 (sf) -- Cl. M, Downgraded to Caa3 (sf); previously on Sept. 28, 2004 Definitive Rating Assigned B1 (sf) -- Cl. N, Downgraded to Ca (sf); previously on Sept. 28, 2004 Definitive Rating Assigned B2 (sf) -- Cl. O, Downgraded to C (sf); previously on Sept. 28, 2004 Definitive Rating Assigned B3 (sf) -- Cl. SL, Upgraded to A1 (sf); previously on Jan. 10, 2008 Upgraded to A2 (sf) Ratings Rationale The upgrade of the pooled Class D is due to increased credit subordination since last review. The upgrade of the non-pooled Class SL is due to the improved performance of the Starrett Leigh Building Loan. The downgrades are due to higher expected losses for the pool resulting from anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 1.8% of the current balance. At last review, Moody's cumulative base expected loss was 0.9%. Moody's stressed scenario loss is 6.7% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 15 compared to 27 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated January 10, 2008. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the ratings. Deal Performance As of the November 18, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 24% to $995.1 million from $1.3 billion at securitization. The Certificates are collateralized by 69 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 46% of the pool. Ten loans have defeased, representing 30% of the pool, and are collateralized by U.S. Government securities. The pool contains three loans, representing 24% of the pool, with investment grade credit estimates. Eight loans, representing 4% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. No loans have been liquidated from the pool. Two loans, representing 0.8% of the pool, are currently in special servicing. The specially serviced loans are represented by an office building and an apartment complex. Moody's has estimated an aggregate $2.1 million loss (27% expected loss on average) for these two specially serviced loans. Moody's has assumed a high default probability for four poorly performing loans representing 3% of the pool and has estimated a $5 million loss (17% expected loss based on a 50% probability of default) from these troubled loans. Moody's was provided with 2009 operating results for 82% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 95% compared to 88% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11.2% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.45X and 1.07X, respectively, compared to 1.48X and 1.14X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the Starrett-Lehigh Building Loan ($113.3 million -- 11.4% of the pool), which is secured by a 2.3 million square foot office building located in New York, New York. This loan represents a pari-passu interest in a $168 million first mortgage loan. There is also a $21.9 million subordinate B Note included within the trust that secures Class SL. Financial performance has improved since last review due to higher rental revenue from long-term leases. The property was 93% leased as of June 2010 compared to 94% leased at last review. The loan has amortized 6% since last review. Major tenants include U.S. Customs, Tommy Hilfiger USA, Martha Stewart Omnimedia and the F.B.I. Moody's current credit estimate and stressed DSCR are Aa1 and 2.33X, respectively, compared to Aa2 and 2.03X at last review. The second largest loan with a credit estimate is the IBM Center Loan ($73.4 million -- 7.4% of the pool), which is secured by a 785,000 square foot office building located in Atlanta, Georgia. The property's financial performance has been stable. The property is 100% leased to IBM through September 30, 2014. The loan has amortized 5% since last review. Moody's current credit estimate and stressed DSCR are Baa2 and 1.43X, respectively, compared to Baa2 and 1.40X at last review. The third largest loan with a credit estimate is 520 Eighth Avenue Loan ($49.0 million -- 4.9% of the pool) which is secured by three contiguous Class B office buildings totaling 740,000 square feet located in New York, New York. The property's financial performance has been stable. The property was 99% leased as of June 2010; the same as at last review. Moody's current credit estimate and stressed DSCR are Aa1 and 2.17X, respectively, compared to Aa3 and 1.88X at last review. The final loan with a credit estimate is the Studio Village Shopping Center Loan ($9.0 million -- 0.9% of the pool), which is secured by a 203,000 square foot retail center located in Culver City, California. Moody's current credit estimate and stressed DSCR are Aaa and 3.08X, respectively, compared to Aaa and 2.48X at last review. The top three performing conduit loans represent 25% of the pool balance. The largest conduit loan is The North Riverside Park Mall Loan ($80 million -- 8.0% of the pool), which is secured by a 440,421 square foot portion of a 1.0 million square foot regional mall located in North Riverside, Illinois, 11 miles west of the Chicago CBD. The mall is anchored by a J.C. Penney, Carson Pirie Scott & Co and Sears. The property was 92% leased as of June 2010 compared to 93% leased at last review. The center's financial performance has declined since last review due to lower rental revenues. Moody's LTV and stressed DSCR are 121% and 0.80X, respectively, compared to 90% and 1.08X at last review. The second largest loan is the Villa del Sol Apartments Loan ($42.0 million -- 4.2% of the pool), which is secured by a 562- unit apartment complex located in Santa Ana, California. The property's financial performance has improved since last review. The property was 97% leased as of June 2010; the same as at last review. Moody's LTV and stressed DSCR are 83% and 1.11X, respectively, compared to 89% and 1.03X at last review. The third largest loan is the Pine Trail Square Loan ($27.4 million -- 2.8% of the pool), which is secured by a 269,600 square foot retail center located in West Palm Beach, Florida. The property's financial performance has declined since last review due to lower occupancy. The property was 94% leased as of March 2010 compared to 100% at last review. Moody's LTV and stressed DSCR are 76% and 1.28X, respectively, compared to 73% and 1.33X at last review. WACHOVIA BANK: Moody's Downgrades Ratings on 16 2006-C27 Certs. --------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 16 classes and affirmed six classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-C27: -- Cl. A-2, Affirmed at Aaa (sf); previously on Aug. 14, 2006 Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Aug. 14, 2006 Assigned Aaa (sf) -- Cl. A-PB, Affirmed at Aaa (sf); previously on Aug. 14, 2006 Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Aug. 14, 2006 Assigned Aaa (sf) -- Cl. X-P, Affirmed at Aaa (sf); previously on Aug. 14, 2006 Assigned Aaa (sf) -- Cl. X-C, Affirmed at Aaa (sf); previously on Aug. 14, 2006 Assigned Aaa (sf) -- Cl. A-M, Downgraded to Aa2 (sf); previously on Oct. 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Downgraded to Baa2 (sf); previously on Oct. 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Ba1 (sf); previously on Oct. 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Ba3 (sf); previously on Oct. 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to B1 (sf); previously on Oct. 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to B3 (sf); previously on Oct. 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to Caa1 (sf); previously on Oct. 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to Caa3 (sf); previously on Oct. 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to Ca (sf); previously on Oct. 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to C (sf); previously on Oct. 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to C (sf); previously on Oct. 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to C (sf); previously on Oct. 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Oct. 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. N, Downgraded to C (sf); previously on Oct. 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. O, Downgraded to C (sf); previously on Oct. 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. P, Downgraded to C (sf); previously on Oct. 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. On October 13, 2010, Moody's placed 16 classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 7.6% of the current balance. At last review, Moody's cumulative base expected loss was 5.4%. Moody's stressed scenario loss is 21.9% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior review was part of Moody's first quarter 2009 ratings sweep of 2006-2008 vintage conduit / fusion transactions and is summarized in a press release dated February 6, 2009. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 18, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 9% to $2.82 billion from $3.08 billion at securitization. The Certificates are collateralized by 152 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans representing 42% of the pool. The pool does not contain any defeased loans or loans with credit estimates. Forty-one loans, representing 21% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eight loans have been liquidated from the pool, resulting in an aggregate realized loss of $62.6 million (38% loss severity on average). These losses have resulted in a 100% principal loss to classes P and Q and a 75% loss to class O. Twelve loans, representing 6% of the pool, are currently in special servicing. The master servicer has recognized appraisal reductions totaling $49.0 million for eight of the specially serviced loans. Moody's has estimated an aggregate $81.2 million loss (50% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 13 poorly performing loans representing 10% of the pool and has estimated a $68.1 million loss (25% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 95% and 80% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 107% compared to 106% at securitization. The pool is characterized by significant LTV dispersion. Approximately 60% of the pool has a LTV over 100% and 35% of the pool has a LTV over 120%. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 8.9%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.25X and 0.93X, respectively, compared to 1.26X and 1.07X at securitization. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 41 compared to 46 at securitization. The top three loans represent 16% of the pool balance. The largest loan is the One Financial Place Loan ($163.6 million - 5.8%), which is secured by a 1.1 million square foot office building located in downtown Chicago, Illinois. The property is 93% leased compared to 88% at securitization. The largest tenants include The Goldman Sachs Group, Inc., Bank of America and the Chicago Stock Exchange. Performance has improved since securitization but is has not achieved the level anticipated by Moody's at securitization. Moody's LTV and stressed DSCR are 84% and 1.09X, respectively, compared to 79% and 1.17X at securitization. The second largest loan is the One Illinois Center Loan ($148.5 million -- 5.3%), which is secured by a 1.0 million square foot office building located in downtown Chicago, Illinois. The property is 95% leased compared to 85% at securitization. Major tenants include Health Care Service Corp. and Federal Home Loan Bank. Performance has improved since securitization due to higher revenues. Net Operating Income has increased by 18% since securitization. Moody's LTV and stressed DSCR are 99% and 0.95X, respectively, compared to 110% and 0.86X at securitization. The third largest loan is the Prime Outlets Pool Loan ($145.2 million -- 5.2%), which represents a 50% pari passu interest in a first mortgage loan. The loan is secured by three factory outlet centers totaling 1.5 million square feet. The centers are located in Williamsburg, Virginia, Hagerstown, Maryland and Birch Run, Michigan. The portfolio is 93% leased compared to 92% at securitization. Performance has improved since securitization due to higher revenues and stable expenses. NOI has increased by 16% since securitization. Moody's LTV and stressed DSCR are 99% and 1.04X, respectively, compared to 112% and 0.87X at securitization. WACHOVIA BANK: Moody's Downgrades Ratings on Ten 2007-C30 Certs. ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of ten classes and affirmed 18 classes Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C30: -- Cl. A-1, Affirmed at Aaa (sf); previously on July 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on July 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on July 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on July 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-PB, Affirmed at Aaa (sf); previously on July 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. X-P, Affirmed at Aaa (sf); previously on July 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. X-C, Affirmed at Aaa (sf); previously on July 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. X-W, Affirmed at Aaa (sf); previously on July 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-5, Downgraded to Aa3 (sf); previously on Oct. 7, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1A, Downgraded to Aa3 (sf); previously on Oct. 7, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-M, Downgraded to Baa1 (sf); previously on Oct. 7, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-MFL, Downgraded to Baa1 (sf); previously on Oct. 7, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Downgraded to B3 (sf); previously on Oct. 7, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Caa3 (sf); previously on Oct. 7, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Ca (sf); previously on Oct. 7, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to C (sf); previously on Oct. 7, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to C (sf); previously on Oct. 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to C (sf); previously on Oct. 7, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. G, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. H, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. P, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. Q, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans and interest shortfalls. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. On October 7, 2010, Moody's placed ten classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 13.5% of the current balance. Moody's stressed scenario loss is 33.8% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated December 3, 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 18, 2010 distribution date, the transaction's aggregate certificate balance has decreased by less than 1% to $7.8 billion from $7.9 billion at securitization. The Certificates are collateralized by 262 mortgage loans ranging in size from less than 1% to 19% of the pool, with the top ten loans representing 52% of the pool. The pool includes two loans with investment grade credit estimates, representing 2% off the pool. Seventy-six loans, representing 33% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Four loans have been liquidated from the pool since securitization, resulting in an aggregate $23.4 million loss (77% loss severity on average). There were no realized losses at last review. Twenty loans, representing 24% of the pool, are currently in special servicing. The largest specially serviced loan is the Peter Cooper Village and Stuyvesant Loan ($1.5 billion -- 19.1% of the pool), which represents a pari passu interest in a $3.0 billion first mortgage loan spread among five CMBS deals. The A note had $1.4 billion in mezzanine debt behind it at securitization. The loan is secured by two adjacent multifamily apartment complexes with 11,230 units located on the east side of Manhattan. A September 2010 appraisal valued the property at $2.8 billion, leading the master servicer to recognize a $308.0 million appraisal reduction in November 2010. Moody's values the PCV/ST complex at $1.8 billion, which reflects a 38% loss severity for the first mortgage. Moody's valuation was heavily weighted towards an income approach based on 2008 actual income inflated to the present (80%), with additional consideration given to an income approach based on rolling back converted apartment rents to stabilized levels with rent concessions expected to continue on market rate units (10%). Finally, a conversion of one-third of the complex to for sale co- operative housing at a net per unit sale price of $515,000, which would result in no loss to the first mortgage, was also considered at a 10% probability of occurrence. The remaining 19 specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $95.9 million appraisal reduction for 16 of the remaining specially serviced loans. Moody's has estimated an aggregate $778.8 million loss (41% expected loss on average) for all of the specially serviced loans. Moody's has assumed a high default probability for 32 poorly performing loans representing 5.6% of the pool and has estimated an aggregate $88.6 million loss (20% expected loss based on a 50% probability of default) from these troubled loans. Based on the most recent remittance statement, Class G through S have experienced cumulative interest shortfalls totaling $12.4 million. Interest shortfalls increased from Class L to Class G in November due to the servicer recognizing appraisal entitlement reductions on several loans, including the PCV/ST Loan, based on recent appraisal reductions. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, ASERs and extraordinary trust expenses. Moody's was provided with full year 2009 operating results for 78% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV for the conduit component is 125% compared to 123% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 8.4% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 8.9%. Moody's actual and stressed DSCRs for the performing conduit loans are 1.18X and 0.78X, respectively, compared to 1.19X and 0.80X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 19, the same as at Moody's prior review. The largest loan with an investment grade credit estimate is the 9 West 57th Street Loan ($100.0 million -- 1.3%), which is secured by the fee interest in a 1.4 acre land parcel located in Midtown Manhattan. The land is leased to Solow Building Company LLC pursuant to a 130-year ground lease that expires in May 2098. The collateral is improved with a 1.4 million square foot (SF) Class A office building. The ground lease payments are $12 million per year and remain flat for the entire lease term. Moody's credit estimate is Aaa, the same as at the prior review. The second loan with a credit estimate is the Concord Square Shopping Center Loan ($34.6 million -- 0.4%), which is secured by a 237,000 SF retail center located in Wilmington, Delaware. The anchor tenants include Giant Food, Borders and Marshall's. Performance has declined due to a rise in vacancy and decline in base rent. Moody's credit estimate and stressed DSCR are Baa3 and 1.32X, respectively, compared to A3 and 1.42X at the prior review. The three largest performing conduit loans represent 17% of the pool balance. The largest loan is the Five Times Square Loan ($536.0 million -- 6.8% of the pool), which represents a 50% pari passu interest in a $1.07 billion first mortgage loan. The A note had $184.0 million in mezzanine debt and a $67.0 million B note behind it at securitization. The loan is secured by secured a 550,000 SF office building located in Midtown Manhattan, New York. The property has maintained 100% occupancy since securitization. The office component, which represents 97% of the total building's net rentable area (NRA), is leased to Ernst and Young through May 2022 and serves as their U.S. World Headquarters. Performance has been stable. The loan is on the servicer's watchlist due to low debt service coverage. The loan is interest only for the full ten-year term. Moody's LTV and stressed DSCR are 135% and 0.54X, respectively, compared to 136% and 0.53X at last review. The second largest loan is the 350 Park Avenue Loan ($430.0 million -- 5.5% of the pool), which is secured by a 538,000 SF office building located in Midtown Manhattan, New York. The property was 88% leased as of June 2010, compared to 96% leased at last review. The largest tenant is Ziff Brothers Investments, which leases 36% of the property through April 2021. The loan is on the servicer's watchlist due to low debt service coverage. The loan is interest only for its entire five-year term. Moody's LTV and stressed DSCR are 164% and 0.56X, respectively, the same as at last review. The third largest loan is the State Street Financial Center Loan ($387.5 million -- 4.9% of the pool), which represents a 50% pari passu interest in a $775.0 million first mortgage loan. The loan is secured by a 1.0 million SF office building located in downtown Boston, Massachusetts. The property is 100% leased to State Street Corporation (Moody's senior unsecured rating A1, negative outlook) through September 2023 and serves as its headquarters. The loan is interest only for its entire ten-year term. Moody's LTV and stressed DSCR are 135% and 0.70X, respectively, compared to 140% and 0.68X at last review. WACHOVIA BANK: Moody's Downgrades Ratings on 12 2007-C31 Certs. --------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 12 classes and affirmed 16 classes Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C31: -- Cl. A-1, Affirmed at Aaa (sf); previously on May 29, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on May 29, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on May 29, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-PB, Affirmed at Aaa (sf); previously on May 29, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. IO, Affirmed at Aaa (sf); previously on May 29, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Downgraded to Aa2 (sf); previously on Oct. 7, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Aa2 (sf); previously on Oct. 7, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5FL, Downgraded to Aa2 (sf); previously on Oct. 7, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-1A, Downgraded to Aa2 (sf); previously on Oct. 7, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-M, Downgraded to Baa2 (sf); previously on Oct. 7, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Downgraded to B2 (sf); previously on Oct. 7, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Caa1 (sf); previously on Oct. 7, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Caa3 (sf); previously on Oct. 7, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Ca (sf); previously on Oct. 7, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to C (sf); previously on Oct. 7, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to C (sf); previously on Oct. 7, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to C (sf); previously on Oct. 7, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. H, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. P, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. Q, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. S, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) -- Cl. T, Affirmed at C (sf); previously on Dec. 3, 2009 Downgraded to C (sf) Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from anticipated losses from specially serviced and troubled loans and interest shortfalls. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. On October 7, 2010, Moody's placed 12 classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 12.3% of the current balance. Moody's stressed scenario loss is 32.3% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated December 3, 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the November 18, 2010 distribution date, the transaction's aggregate certificate balance has decreased by less than 1% to $5.80 billion from $5.85 billion at securitization. The Certificates are collateralized by 193 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 40% of the pool. The pool includes one loan with an investment grade credit estimate, representing 3% off the pool. Fifty-three loans, representing 36% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated from the pool since securitization, resulting in a $1.7 million loss (32% loss severity on average). There were no realized losses at last review. Twenty-seven loans, representing 27% of the pool, are currently in special servicing. The largest specially serviced loan is the Beacon Seattle & DC Portfolio Loan ($414.0 million -- 7.1% of the pool), which represents a 15% pari passu interest in a $2.7 billion first mortgage loan. The portfolio is also encumbered by a $205 million mezzanine loan. The loan is secured by 20 office properties located in Washington, Virginia and Washington, DC. The buildings range from 103,000 to 1.1 million square feet and total 9.8 million SF. The loan was transferred to special servicing in April 2010 for imminent default. The portfolio was 88% leased as of March 2010. The loan is current and the borrower is seeking a loan modification. The second largest specially serviced loan is the is the 666 Fifth Avenue Loan ($395.0 million -- 6.8% of the pool), which represents a 33% pari passu interest in a $1.2 billion first mortgage loan. The property is also encumbered by a $200 million mezzanine loan. The loan collateral is a 39-story Class A office building with 1,454,110 SF of net rentable area which occupies the full block between 52nd and 53rd Streets on Fifth Avenue in Midtown Manhattan. The borrower purchased the property for $1.8 billion in 2007 and planned to maximize its value by increasing rents as tenant leases came up for renewal. Due to a softening of the office market, current market rents are lower and market vacancy is higher than at securitization and the borrower has not been able to achieve the increased cash flow originally anticipated. As of December 31, 2009, the property was 86% leased. The loan was transferred to special servicing in March 2010 for imminent default but the loan has remained current. The third largest specially serviced loan is the Peter Cooper Village and Stuyvesant Loan ($247.7 million -- 4.3% of the pool), which represents a pari passu interest in a $3.0 billion first mortgage loan spread among five CMBS deals. The A note had $1.4 billion in mezzanine debt behind it at securitization. The loan is secured by two adjacent multifamily apartment complexes with 11,230 units located on the east side of Manhattan. A September 2010 appraisal valued the property at $2.8 billion, leading the master servicer to recognize a $50.9 million appraisal reduction in November 2010. Moody's values the PCV/ST complex at $1.8 billion, which reflects a 38% loss severity for the first mortgage. Moody's valuation was heavily weighted towards an income approach based on 2008 actual income inflated to the present (80%), with additional consideration given to an income approach based on rolling back converted apartment rents to stabilized levels with rent concessions expected to continue on market rate units (10%). Finally, a conversion of one-third of the complex to for sale co-operative housing at a net per unit sale price of $515,000, which would result in no loss to the first mortgage, was also considered at a 10% probability of occurrence. The remaining 24 specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $58.8 million appraisal reduction for 12 of the remaining specially serviced loans. Moody's has estimated an aggregate $530.9 million loss (34% expected loss on average) for all of the specially serviced loans. Moody's has assumed a high default probability for 15 poorly performing loans representing 6.4% of the pool and has estimated an aggregate $80.5 million loss (22% expected loss based on a 50% probability of default) from these troubled loans. Based on the most recent remittance statement, Class H through U have experienced cumulative interest shortfalls totaling $10.4 million. Interest shortfalls increased from Class K to Class H in November due to the servicer recognizing appraisal entitlement reductions on several loans, including the PCV/ST Loan, based on recent appraisal reductions. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, ASERs and extraordinary trust expenses. Moody's was provided with full year 2009 operating results for 94% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV for the conduit component is 138% compared to 127% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11.3% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs for the performing conduit loans are 1.15X and 0.75X, respectively, compared to 1.16X and 0.83X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 34, the same as at Moody's prior review. The loan with an investment grade credit estimate is the Hyatt Regency Grand Cypress Loan ($179.6 million -- 3.1%), which is secured by a 750 room resort hotel property located in Orlando, Florida. The property is 100% leased to a subsidiary of Hyatt Hotels Corporation (Hyatt; senior unsecured rating Baa2,stable outlook) under a 30-year triple-net lease. Moody's credit estimate is Baa2, the same as at the prior review. The top three performing conduit loans represent 17% of the pool balance. The largest loan is the Five Times Square Loan ($536.0 million -- 6.8% of the pool), which represents a 50% pari passu interest in a $1.07 billion first mortgage loan. The A note had $184.0 million in mezzanine debt and a $67.0 million B note behind it at securitization. The loan is secured by a 550,000 SF office building located in Midtown Manhattan, New York. The property has maintained 100% occupancy since securitization. The office component, which represents 97% of the total building's net rentable area, is leased to Ernst and Young through May 2022 and serves as their U.S. World Headquarters. Performance has been stable. The loan is on the servicer's watchlist due to low debt service coverage. The loan is interest only for the full ten-year term. Moody's LTV and stressed DSCR are 135% and 0.54X, respectively, compared to 136% and 0.53X at last review. The second largest loan is the Mall at Rockingham Park Loan ($260.0 million -- 4.5% of the pool), which is secured by a 382,012 SF anchored retail center located in Salem, New Hampshire. The property was 96% leased as of June 2010, compared to 99% at last review. Anchor tenants include Sears, Macy's and J.C. Penney. The loan is interest only for its entire ten-year term. Moody's LTV and stressed DSCR are 112% and 0.75X, respectively, the same as at last review. The third largest loan is the Boston Marriot Long Wharf Loan ($176.0 million -- 3.0% of the pool), which is secured by a 402 room full-service hotel located in downtown Boston, Massachusetts. Occupancy and RevPAR for the trailing twelve month period ending June 2010 were 82% and $148, respectively, which exceeds the competitive set. The loan is on the servicer's watchlist due to low debt service coverage. The loan is interest only for its entire ten-year term. Moody's LTV and stressed DSCR are 174% and 0.64X, respectively, the same as at last review. WAMU MORTGAGE: Moody's Downgrades Ratings on 64 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 64 tranches from seven RMBS transactions issued by WMALT. The collateral backing these transactions primarily consists of first- lien, adjustable-rate, negative amortization residential mortgages. Ratings Rationale The actions are a result of the rapidly deteriorating performance of option arm pools in conjunction with macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on option arm pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on option arm RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2005-AR1 Trust -- Cl. A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-3, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-4, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR1 Trust -- Cl. A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR2 Trust -- Cl. A-1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR3 Trust -- Cl. A-1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-3, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR4 Trust -- Cl. 1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. X-3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. X-4, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. DA-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. DA, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR5 Trust -- Cl. 1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 5A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 5A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B Group 1 Component, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B Group 2 Component, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B Group 3 Component, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 5X-PPP, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. DX-PPP Group 1 Component, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. DX-PPP Group 2 PO Component, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. DX-PPP Group 3 PO Component, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. DX-PPP Group 4 PO Component, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR6 Trust -- Cl. 1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1X, Downgraded to Ca (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2X-PPP, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR7 Trust -- Cl. A-1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-2-PPP, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-4, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR8 -- Cl. 1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3A-1A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 3A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 3X-1, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 3X-2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CX-1, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CX-2-PPP, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CX-3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR9 Trust -- Cl. 1-A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CX-1, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CX-2-PPP, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade WAMU MORTGAGE: S&P Downgrades Ratings on Six 2002-AR13 Certs. ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes from WAMU Mortgage Pass-Through Certificates Series 2002- AR13 Trust, a U.S. prime jumbo residential mortgage-backed securities transaction. S&P lowered its ratings to 'D (sf)' on classes B-1, B-2, and B-3. The 'D (sf)' ratings reflect realized losses on those classes during the October 2010 remittance period. Losses were passed through after the liquidation of one loan in the transaction, which experienced a 58% loss severity. The downgrades of classes A-1, A-2, and M-1 reflects S&P's belief that credit enhancement for the affected class will be insufficient to cover projected losses under its stress scenarios. Subordination is the sole form of credit support for this transaction. Ratings Lowered WAMU Mortgage Pass-Through Certificates Series 2002-AR13 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 929227UB0 BB (sf) AAA (sf) A-2 929227UC8 BB (sf) AAA (sf) M-1 929227UD6 B (sf) AAA (sf) B-1 929227UE4 D (sf) AAA (sf) B-2 929227UF1 D (sf) A (sf) B-3 929227UG9 D (sf) B (sf) WASHINGTON MUTUAL: Moody's Downgrades Ratings on 175 Tranches ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 175 tranches, upgraded the ratings of two tranches, and confirmed the ratings of seven tranches from 23 RMBS transactions issued by Washington Mutual. The collateral backing these transactions primarily consists of first-lien, adjustable-rate, negative amortization residential mortgages. Ratings Rationale The actions are a result of the rapidly deteriorating performance of option arm pools in conjunction with macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on option arm pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on option arm RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. The above mentioned approach "Option ARM RMBS Loss Projection Update: April 2010" is adjusted slightly when estimating losses on pools left with a small number of loans. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 19% and 21% for the 2005, 2006 and 2007 vintage respectively). This baseline rate is higher than the average rate of new delinquencies for the vintage to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility and hence the stress applied. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2005 vintage, the adjusted rate of new delinquency would be 10.10%. 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 0.2 to 1.8 for current delinquencies ranging from less than 2.5% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust -- Cl. 1-A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-1B, Downgraded to Ca (sf); previously on Jan. 27, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1A, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1B2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1B3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1C, Downgraded to Ca (sf); previously on Jan. 27, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR11 -- Cl. A-1A, Downgraded to B2 (sf); previously on Jan. 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C4, Downgraded to Ca (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-5, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR13 -- Cl. A-1A1, Downgraded to B2 (sf); previously on Jan. 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1A2, Downgraded to B2 (sf); previously on Jan. 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1A3, Downgraded to B2 (sf); previously on Jan. 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B3, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C4, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR15 -- Cl. A-1A1, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1A2, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B1, Upgraded to Aaa (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B4, Downgraded to Ca (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C2, Upgraded to Aaa (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C3, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C4, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR17 -- Cl. A-1A1, Downgraded to B2 (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1A2, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B3, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C3, Downgraded to C (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C4, Downgraded to C (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR19 -- Cl. A-1A1, Downgraded to B2 (sf); previously on Jan. 27, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1A2, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B3, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C4, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR2 -- Cl. 1-A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-1B, Downgraded to Ca (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1A, Downgraded to B3 (sf); previously on Jan. 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1B, Downgraded to Ca (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2A1, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2A3, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2B, Downgraded to Ca (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR8 -- Cl. 1-A-1A, Downgraded to B1 (sf); previously on Jan. 27, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1A, Downgraded to B1 (sf); previously on Jan. 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1B2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1B3, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1C2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1C3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR9 -- Cl. A-1A, Downgraded to Ba1 (sf); previously on Jan. 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C3, Downgraded to Ca (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR1 -- Cl. 1A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1A, Downgraded to B2 (sf); previously on Jan. 27, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1C, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR11 -- Cl. 1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 3A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B2, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B4, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1X-PPP, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2X-PPP, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3X-PPP, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR13 -- Cl. 1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to Ca (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1D, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1X-PPP, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2X-PPP, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR15 -- Cl. 1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Caa1 (sf); previously on Jan. 27, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1X-PPP, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2X-PPP, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR17 -- Cl. 1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1X-PPP, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2X-PPP, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR3 -- Cl. A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to Ca (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to C (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR7 -- Cl. 1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3A, Downgraded to B2 (sf); previously on Jan. 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3A-1B, Downgraded to Ca (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B4, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CX-PPP, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3X-PPP, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR9 -- Cl. 1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-1B2, Downgraded to C (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-1B3, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-B4, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1X-PPP, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2X-PPP, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2007-OA1 -- Cl. A-1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-1-PPP, Confirmed at Ca (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2007-OA2 -- Cl. 1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1X-PPP, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2X-PPP, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1X-2, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2007-OA3 -- Cl. 1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1A, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1B, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2X-1, Downgraded to Caa2 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. CX-PPP, Confirmed at Caa2 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2007-OA4 -- Cl. 1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1X-PPP, Confirmed at Caa3 (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2X-PPP, Downgraded to Ca (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2007-OA5 Trust -- Cl. 1-A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1X-PPP, Confirmed at Caa3 (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2X-PPP, Confirmed at Caa3 (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2007-OA6 -- Cl. 1A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Caa3 (sf); previously on Jan. 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1B, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CA-1C, Downgraded to C (sf); previously on Jan. 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 1X-PPP, Confirmed at Caa3 (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2X-PPP, Confirmed at Caa3 (sf); previously on Jan. 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade WILSON COUNTY: S&P Gives Stable Outlook; Affirms 'B-' Rating ------------------------------------------------------------ Standard & Poor's Ratings Services revised the rating outlook to stable from negative and affirmed its 'B-' underlying rating on Wilson County Memorial Hospital, Texas' series 2003 general obligation bonds. "The outlook revision reflects S&P's view of the district's positive, though modest, bottom-line margins for unaudited fiscal 2010 ended September 30 after sizable losses in fiscal 2009, budgeted bottom-line profitability for fiscal 2011, and improved, though still weak, balance sheet metrics," said Standard & Poor's credit analyst Kenneth Gacka. After a very challenging fiscal 2009, the district's financial performance improved notably in fiscal 2010. Fiscal 2010's excess income was a modest $158,000 (0.6% excess margin), though markedly better than fiscal 2009's excess loss of $1.4 million (negative 5.8% excess margin). These bottom-line figures include $3.2 million and $2.9 million of tax support, respectively. The district attributes the improved results to cost containment initiatives, particularly related to staffing; revenue cycle efforts including price increases; and better surgical volumes due largely to the May 2010 replacement of a general surgeon position that had been vacated in fiscal 2008. In addition, management stated that the fiscal 2010 results include a one-time expense of about $270,000, which diluted some of the improvements seen in fiscal 2010. According to management, the fiscal 2009 losses were due to increases in both bad debt and charity care expenses associated with the economic downturn and lower-than-expected volumes, in part driven by the absence of the previously mentioned surgeon on the medical staff. Despite the improved profitability, the district's coverage of maximum annual debt service is still low, at only 1.7x (including operating and capital leases), though this is improved from a very weak level in fiscal 2009 of less than 1.0x. The district has a very weak liquidity position, with unrestricted cash and investments of $1.2 million equaling approximately 19 days' cash on hand and about 10% of outstanding long-term debt based on fiscal 2010 financials (unaudited year ended Sept. 30, 2010). While S&P views these levels as very low, they are improved from an anemic 9 days and 4.3% cash to debt as of the fiscal 2009 audit. * Fitch Withdraws Ratings on Nine Interest & Prepayment Notes ------------------------------------------------------------- Fitch Ratings has withdrawn ratings on nine interest-only and prepayment penalty classes. A full rating list is shown below. These rating actions are based on Fitch's policy for IO and prepayment classes announced on June 23, 2010. As a result of the new policy, ratings for the IOs that reference any of these assets were withdrawn: (1) a non-rated class, (2) multiple classes with different ratings or (3) a mortgage pool. The new policy is described in detail in Fitch's June 23 press release, 'Fitch Revises Practice for Rating IO & Prepayment Related Structured Finance Securities', available at 'www.fitchratings.com'. Fitch has withdrawn these ratings: Credit Suisse First Boston Mortgage Securities Corp. 2002-5 -- 'AAsf/LS1' for class PP-1; -- 'AAsf/LS2' for class PP-2. Credit Suisse First Boston Mortgage Securities Corp. 2005-3 -- 'AAAsf', Outlook Stable for class C-X. DLJ Mortgage Acceptance Corp. 1994-3 -- 'AAAsf' for class S. DLJ ABS Trust 2000-5 -- 'BBsf' for class A-IO. Financial Asset Securitization, Inc. 1997-NAMC 1 -- 'AAAsf' for class FXS. GSR Mortgage Loan Trust 2004-2F -- 'AAAsf', Outlook Stable for class A-X (30 year component). Mellon Residential Funding Corp. 1998-2 -- 'AAAsf' for class X-1; -- 'AAAsf' for class X-2. * S&P Downgrades Ratings on 10 Classes From CDO Transactions ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 10 classes of notes from one cash flow and two hybrid collateralized debt obligation transactions to 'D (sf)'. At the same time, S&P withdrew its 'AAA (sf)' rating on the combo notes from Pascal CDO Ltd. and 'CCC-srp (sf)' rating on the TRS tranche from Los Robles CDO Ltd. Additionally, S&P affirmed its 'CC (sf)' ratings on six classes issued by Gemstone CDO VII Ltd. and its 'D (sf)' rating on the class B notes issued by Pascal CDO Ltd. The rating actions reflect the implementation of S&P's criteria for ratings on CDO transactions that have triggered an event of default and may be subject to acceleration or liquidation. The downgrade of class B from Gemstone CDO VII Ltd. was the result of an EOD on Sept. 23, 2010, following a default in the payment of interest due on the non-payment-in-kind class B notes. S&P withdrew its rating on the TRS tranche from Los Robles CDO Ltd., a hybrid CDO transaction, following the complete paydown of the notes after the liquidation of the portfolio assets. S&P lowered its ratings on the remaining seven classes because the transaction did not have proceeds to pay back full par payments to the noteholders after making the termination payments on the credit default swap contracts. S&P received notice from the trustee of Pascal CDO Ltd., a cash flow CDO transaction, stating that after the liquidation of the portfolio assets, the available proceeds were insufficient to pay the noteholders in full. S&P received confirmation that the underlying treasury strip for the combo notes was delivered to the noteholders in exchange for the respective notes. Ratings Lowered Rating ------ Transaction Class To From ----------- ----- -- ---- Gemstone CDO VII Ltd. B D (sf) CC (sf) Los Robles CDO Ltd. A-1a D (sf) CCC- (sf) Los Robles CDO Ltd. A-1b D (sf) CC (sf) Los Robles CDO Ltd. A-2 D (sf) CC (sf) Los Robles CDO Ltd. A-3 D (sf) CC (sf) Los Robles CDO Ltd. B D (sf) CC (sf) Los Robles CDO Ltd. C D (sf) CC (sf) Los Robles CDO Ltd. D D (sf) CC (sf) Pascal CDO Ltd. A D (sf) CC (sf) Pascal CDO Ltd. C D (sf) CC (sf) Ratings Withdrawn Rating ------ Transaction Class To From ----------- ----- -- ---- Pascal CDO Ltd. Combo nts NR AAA (sf) Los Robles CDO Ltd. TRS NR CCC-srp (sf) Ratings Affirmed Transaction Class Rating ----------- ----- ------ Gemstone CDO VII Ltd. A-1a CC (sf) Gemstone CDO VII Ltd. A-1b CC (sf) Gemstone CDO VII Ltd. A-2 CC (sf) Gemstone CDO VII Ltd. C CC (sf) Gemstone CDO VII Ltd. D CC (sf) Gemstone CDO VII Ltd. E CC (sf) Pascal CDO Ltd. B D (sf) NR -- Not rated. * S&P Downgrades Ratings on 21 Certs. From 21 CMBS Transactions --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 21 classes of certificates from five U.S. commercial mortgage-backed securities transactions due to interest shortfalls. S&P lowered its ratings on 12 of these classes to 'D (sf)' because S&P expects these interest shortfalls to continue. Nine of the 12 classes that S&P downgraded to 'D (sf)' have had accumulated interest shortfalls outstanding for four or more months. The recurring interest shortfalls for the respective certificates are primarily due to one or more of these factors: * Appraisal subordinate entitlement reductions in effect for specially serviced loans; * Lack of servicer advancing for loans where the servicer has made nonrecoverable advance declarations; and * Special servicing fees. Standard & Poor's analysis primarily considered the ASERs based on appraisal reduction amounts calculated using recent Member of the Appraisal Institute appraisals. S&P also considered servicer nonrecoverable advance declarations and special servicing fees that are likely, in S&P's view, to cause recurring interest shortfalls. ARAs and resulting ASERs are implemented 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. S&P primarily considered ASERs based on ARAs calculated from MAI appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)' because ARAs based on a principal balance haircut are highly subject to change, or even reversal, once the special servicer obtains the MAI appraisals. Servicer nonrecoverable advance declarations can prompt shortfalls due to a lack of debt service advancing, the recovery of previously made advances deemed nonrecoverable, or the failure to advance trust expenses when nonrecoverable declarations have been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. S&P detail the 21 downgraded classes from the five CMBS transactions below. Greenwich Capital Commercial Funding Corp. Series 2005-GG3 S&P lowered its ratings on the class J, K, L, M, and N certificates from Greenwich Capital Commercial Funding Corp.'s series 2005-GG3 due to interest shortfalls resulting from ASERs related to seven of the 12 loans that are currently with the special servicer, CWCapital Asset Management LLC, as well as special servicing fees and interest not advanced. As of the Nov. 15, 2010, remittance report, ARAs totaling $46.2 million were in effect for nine loans. The total reported ASER amount was $149,880 and the reported cumulative ASER amount was $2.1 million. Standard & Poor's considered the seven ASERs, all of which were based on MAI appraisals, as well as current special servicing fees and interest not advanced ($150,292) in determining its rating actions. The reported monthly interest shortfalls totaled $372,320 and the accumulated interest shortfalls outstanding have affected all of the classes subordinate to and including class J. Classes L, M, and N have had accumulated interest shortfalls outstanding for seven months, and S&P expects these shortfalls to remain outstanding for the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for the GCCFC 2005-GG3 transaction consists of 123 loans with an aggregate trust balance of $2.84 billion. As of the Nov. 15, 2010, remittance report, 12 loans ($370.3 million; 13.0%) in the pool were with the special servicer. The payment status of these loans is: three ($13.1 million, 0.5%) are real estate owned, two ($21.9 million, 0.8%) are in foreclosure, four ($61.1 million, 2.2%) are 90-plus days delinquent, one ($19.1 million, 0.7%) is 60-days delinquent, one ($43.6 million, 1.5%) is less than 30-days delinquent, and one ($211.5 million, 7.4%) is current. GE Capital Commercial Mortgage Corp. Series 2001-3 S&P lowered its ratings on the class H, I, J, and K certificates from GE Capital Commercial Mortgage Corp.'s series 2001-3 due to interest shortfalls resulting from ASERs related to two of seven loans that are currently with the special servicer, LNR Partners Inc., as well as special servicing fees and interest not advanced. As of the Nov. 10, 2010, remittance report, ARAs totaling $24.4 million were in effect for five loans. The total reported ASER amount was $45,494 and the reported cumulative ASER amount was $1.0 million. Standard & Poor's considered the two ASERs, both of which were based on MAI appraisals, as well as current special servicing fees and interest not advanced ($130,232) in determining its rating actions. The reported monthly interest shortfalls totaled $294,733 and the accumulated interest shortfalls outstanding have affected all of the classes subordinate to and including class H. Classes J and K have had accumulated interest shortfalls outstanding for four and nine months, respectively, and S&P expects these shortfalls to remain outstanding for the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for the GECCM 2001-3 transaction consists of 113 loans with an aggregate trust balance of $703.5 million. As of the Nov. 10, 2010, remittance report, seven loans ($51.7 million; 7.4%) in the pool were with the special servicer. The payment status of these loans is: three ($33.4 million, 4.7%) are REO, one ($3.7 million, 0.5%) is in foreclosure, one ($3.7 million, 0.5%) is 90-plus days delinquent, one ($5.5 million, 0.8%) is 60-days delinquent, and one ($5.5 million, 0.8%) is in its grace period. GMAC Commercial Mortgage Securities Inc. Series 2003-C3 S&P lowered its ratings on the class K, L, M, N, and O certificates from GMAC Commercial Mortgage Securities Inc.'s series 2003-C3 due to interest shortfalls resulting from ASERs related to two of the four loans that are currently with the special servicer, CWCapital, as well as special servicing fees. As of the Nov. 10, 2010, remittance report, ARAs totaling $21.7 million were in effect for two loans. The total reported ASER amount was $108,808 and the reported cumulative ASER amount was $625,202 million. Standard & Poor's considered the two ASERs, both of which were based on MAI appraisals, as well as current special servicing fees in determining its rating actions. The reported monthly interest shortfalls excluding prepayment interest shortfalls totaled $179,544 and the accumulated interest shortfalls outstanding have affected all of the classes subordinate to and including class J. Class M has had accumulated interest shortfalls outstanding for five of the past seven months, and classes N and O have had accumulated interest shortfalls outstanding for six of the past eight months. S&P expects these shortfalls to remain outstanding for the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for the GMAC 2003-C3 transaction consists of 57 loans with an aggregate trust balance of $784.6 million. As of the Nov. 15, 2010, remittance report, four loans ($59.8 million; 7.6%) in the pool were with the special servicer. The payment status of these loans is: two ($35.2 million, 4.4%) are REO, one ($10.1 million, 1.3%) is 90-plus days delinquent, and one ($14.6 million, 1.9%) is in its grace period. GMAC Bank Commercial Mortgage Trust 2004-C3 S&P lowered its ratings on the class E, F, G, and H certificates from GMAC Bank Commercial Mortgage Trust 2004-C3 due to interest shortfalls resulting from ASERs related to six of the 11 loans that are currently with the special servicer, CWCapital, as well as special servicing fees and interest not advanced. As of the Nov. 10, 2010, remittance report, ARAs totaling $40.6 million were in effect for nine loans. The total reported ASER amount was $77,640 and the reported cumulative ASER amount was $1.4 million. Standard & Poor's considered the six ASERs, all of which were based on MAI appraisals, as well as current special servicing fees and interest not advanced ($18,000) on one loan, in determining its rating actions. The reported monthly interest shortfalls totaled $228,432 and the accumulated interest shortfalls outstanding have affected all of the classes subordinate to and including class E. Classes G and H have had accumulated interest shortfalls outstanding for four months, and S&P expects these shortfalls to remain outstanding for the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for the GMAC 2004-C3 transaction consists of 77 loans with an aggregate trust balance of $976.0 million. As of the Nov. 10, 2010, remittance report, 11 loans ($170.1 million; 17.4%) in the pool were with the special servicer. The payment status of these loans is: three ($68.6 million, 7.0%) are REO, three ($62.6 million, 6.4%) are in foreclosure, three ($24.9 million, 2.6%) are 90-plus days delinquent, and two $14.0 million, 1.4%) are in their grace periods. Wachovia Bank Commercial Mortgage Trust Series 2003-C9 S&P lowered its ratings on the class N and O certificates from Wachovia Bank Commercial Mortgage Trust's series 2003-C9 as a result of interest shortfalls due to interest rate modifications on three loans, as well as special servicing fees from the three loans with the special servicer, CWCapital. S&P lowered its rating on the class M certificates because S&P believes the class is susceptible to future interest shortfalls. As of the Nov. 18, 2010, remittance report, ARAs totaling $12.4 million were in effect for two loans. The reported cumulative ASER amount was $106,528. There were no reported ASERs reported in the November remittance report. Standard & Poor's considered the interest shortfalls resulting from the rate modifications on three loans ($41,080), as well as current special servicing fees in determining its rating actions. The reported monthly interest shortfall was negative due to recovered ASERs ($105,493) on two loans. Excluding the recovered ASERs, S&P estimated that interest shortfalls would have totaled $44,813 and affected classes N and O. Classes N and O have had accumulated interest shortfalls outstanding for seven and eight months, respectively, and S&P expects these shortfalls to remain outstanding for the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for the WBCMT 2003-C9 transaction consists of 88 loans with an aggregate trust balance of $805.5 million. As of the Nov. 18, 2010 remittance report, three loans ($10.8 million; 1.3%) in the pool were with the special servicer. The payment status of these loans is: one ($4.6 million, 0.6%) is REO, one ($4.0 million, 0.5%) is in foreclosure, and one ($2.2 million, 0.2%) is a matured balloon loan. Ratings Lowered Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2005-GG3 Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ---------------------- ------- ----------- J CCC+ (sf) BB (sf) 3.20 13,952 13,952 K CCC (sf) B+ (sf) 2.72 52,589 52,589 L D (sf) B (sf) 2.09 70,119 224,732 M D (sf) CCC (sf) 1.61 52,585 336,652 N D (sf) CCC- (sf) 1.30 35,059 245,416 GE Capital Commercial Mortgage Corp. Commercial mortgage pass-through certificates series 2001-3 Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ---------------------- ------- ----------- H B- (sf) BB (sf) 5.94 86,838 100,889 I CCC- (sf) B (sf) 4.74 41,041 164,162 J D (sf) CCC (sf) 3.72 36,145 144,580 K D (sf) CCC- (sf) 2.00 60,240 444,758 GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2003-C3 Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ---------------------- ------- ----------- K B (sf) BB- (sf) 3.56 36,819 36,819 L CCC- (sf) B- (sf) 2.71 29,452 29,452 M D (sf) CCC+ (sf) 1.43 44,178 44,178 N D (sf) CCC (sf) 0.79 22,089 22,089 O D (sf) CCC- (sf) 0.16 22,093 22,093 GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2004-C3 Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ---------------------- ------- ----------- E B+ (sf) BB+ (sf) 5.94 (26,050) 27,559 F CCC- (sf) B+ (sf) 4.34 68,812 221,854 G D (sf) CCC- (sf) 3.22 48,167 192,667 H D (sf) CCC- (sf) 1.13 94,175 373,825 Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2003-C9 Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ---------------------- ------- ----------- M CCC+ (sf) B (sf) 1.56 (51,396) 0 N D (sf) CCC (sf) 0.85 (49,540) 87,326 O D (sf) CCC- (sf) 0.49 12,756 93,813 * S&P Downgrades Ratings on 32 Certs. From Seven CMBS Deals ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 32 classes of certificates from seven U.S. commercial mortgage-backed securities transactions due to interest shortfalls. S&P lowered its ratings on 26 of these classes to 'D (sf)' because S&P expects these interest shortfalls to continue. 20 of the 26 classes that S&P downgraded to 'D (sf)' have had accumulated interest outstanding shortfalls for five or more months. The recurring interest shortfalls for the respective certificates are primarily due to one or more of these factors: * Appraisal subordinate entitlement reductions (in effect for specially serviced loans; * Lack of servicer advancing for loans where nonrecoverable advance declarations have been made; and * Special servicing fees. Standard & Poor's analysis primarily considered the ASERs based on appraisal reduction amounts calculated using recent Member of the Appraisal Institute appraisals. S&P also considered servicer nonrecoverable advance declarations and special servicing fees that are likely, in its view, to cause recurring interest shortfalls. ARAs and resulting ASERs are implemented 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. S&P primarily considered ASERs based on ARAs calculated from MAI appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)' because ARAs based on a principal balance haircut are highly subject to change, or even reversal, once the special servicer obtains the MAI appraisals. Servicer nonrecoverable advance declarations can prompt shortfalls due to a lack of debt service advancing, the recovery of previously made advances deemed nonrecoverable, or the failure to advance trust expenses when nonrecoverable declarations have been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. S&P details the 32 downgraded classes from seven CMBS transactions. Banc of America Commercial Mortgage Inc.'s series 2005-1 S&P lowered its ratings on the class H, J, K, L, M, N, and O certificates from Banc of America Commercial Mortgage Inc.'s series 2005-1 due to interest shortfalls resulting from ASERs related to six of the 11 loans that are currently with the special servicer, J.E. Robert Co. Inc., as well as deferred interest on the Ashford Perimeter loan and special servicing fees. S&P lowered its rating on the class G certificates because S&P believes this class is susceptible to future interest shortfalls. As of the Nov. 10, 2010, remittance report, ARAs totaling $29.5 million were in effect for seven loans. The total reported ASER amount was $146,558, which excludes an ASER recovery resulting from the liquidation of one loan and the reported cumulative ASER amount was $507,622. Standard & Poor's considered three ASERs (totaling $95,154), all of which were based on MAI appraisals, as well as deferred interest on the Ashford Perimeter loan ($70,761) and current special servicing fees in determining its rating actions. The deferred interest is due to a modification of the Ashford Perimeter loan, and S&P expects the resulting interest shortfalls to continue. The reported monthly interest shortfalls totaled $187,030, and accumulated interest shortfalls are outstanding on all classes subordinate to and including class H. Classes J, K, L, M, N, and O have had accumulated interest shortfalls outstanding for eight months (classes J-N) and 10 months (class O), and S&P expects these shortfalls to remain outstanding for the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for the BACM 2005-1 transaction consists of 121 loans with an aggregate trust balance of $1.69 billion. As of the Nov. 10, 2010, remittance report, 11 loans ($233.8 million; 14.1%) in the pool were with the special servicer. The payment status of these loans is: Four ($116.1 million, 7.0%) are nonperforming matured balloon loans, three ($48.5 million, 2.9%) are 90 or more days delinquent, one ($40 million, 2.4%) is current, one ($21.7 million, 1.3%) is in its grace period, one ($4.4 million, 0.3%) is real estate owned, and one ($3.1 million, 0.2%) is in foreclosure. Banc of America Commercial Mortgage Inc.'s series 2005-5 S&P lowered its ratings on the class L, M, N, and O certificates from Banc of America Commercial Mortgage Inc.'s series 2005-5 due to interest shortfalls primarily resulting from ASERs related to six of the seven loans that are currently with the special servicer, Midland Loan Services Inc., as well as interest shortfalls due to a loan modification and special servicing fees. As of the Nov. 10, 2010, remittance report, ARAs totaling $38.5 million were in effect for six loans. The total reported net ASER amount was $159,721, and the reported cumulative ASER amount was $1.7 million. Standard & Poor's considered three ASERs (totaling $47,076), all of which were based on MAI appraisals, as well as interest shortfalls due to a loan modification ($12,180) and current special servicing fees in determining its rating actions. The loan modification included an interest rate reduction on the Americinn Hotel & Suites loan. The reported monthly interest shortfalls totaled $197,187, and accumulated interest shortfalls are outstanding on all classes subordinate to and including class K. Classes L, M, N and O have had accumulated interest shortfalls outstanding for 11 months, and S&P expects these shortfalls to remain outstanding for the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for the BACM 2005-C5 transaction consists of 93 loans with an aggregate trust balance of $1.66 billion. As of the Nov. 10, 2010, remittance report, seven loans ($114.2 million; 6.9%) in the pool were with the special servicer. The payment status of these loans is: Two ($61 million, 3.7%) are 90 or more days delinquent, three ($34.8 million, 2.1%) are nonperforming matured balloon loans, one ($10.8 million, 0.7%) is in foreclosure, and one ($7.6 million, 0.5%) is in its grace period. Greenwich Capital Commercial Funding Corp.'s series 2005-GG5 S&P lowered its ratings on the class F, G, H, J, K, L, M, N, and O certificates from Greenwich Capital Commercial Funding Corp.'s series 2005-GG5 due to interest shortfalls resulting from ASERs related to 14 of the 28 loans that are currently with the special servicer, LNR Partners Inc., as well as special servicing fees. S&P lowered its rating on the class E certificates because S&P believes this class is susceptible to future interest shortfalls. As of the Nov. 15, 2010, remittance report, ARAs totaling $163.8 million were in effect for 20 loans. The total reported ASER amount was $874,051, and the reported cumulative ASER amount was $6.7 million. Standard & Poor's considered the 11 ASERs (totaling $666,025), all of which were based on MAI appraisals, as well as current special servicing fees in determining its rating actions. The reported monthly interest shortfalls totaled $1.14 million, and accumulated interest shortfalls are outstanding on all classes subordinate to and including class F. Classes G, H, J, K, L, M, N and O have had accumulated interest shortfalls outstanding for four months (class G), eight months (classes H-K), and 12 months (classes L-O), and S&P expects these shortfalls to remain outstanding for the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for the GCCF 2005-GG5 transaction consists of 160 loans with an aggregate trust balance of $3.97 billion. As of the Nov. 15, 2010, remittance report, 28 loans ($745 million; 18.8%) in the pool were with the special servicer. The payment status of these loans is: Eight ($373 million, 9.4%) are nonperforming matured balloon, six ($152.9 million, 3.8%) are in foreclosure, six ($89.9 million, 2.3%) are 90 or more days delinquent, three ($65.5 million, 1.7%) are REO, three ($52.7 million, 1.3%) are less than 30 days delinquent, and two ($10.9 million) are 30 days delinquent. Banc of America Commercial Mortgage Inc.'s series 2002-PB2 S&P lowered its ratings on the class N, O, and P certificates from Banc of America Commercial Mortgage Inc.'s series 2002-PB2 due to interest shortfalls resulting from ASERs related to five of the 11 loans that are currently with the special servicer, LNR, as well as special servicing fees. As of the Nov. 12, 2010, remittance report, ARAs totaling $13.9 million were in effect for five loans. The total reported ASER amount was $84,207 and the reported cumulative ASER amount was $560,251. Standard & Poor's considered three ASERs (totaling $69,672), all of which were based on MAI appraisals, as well as current special servicing fees in determining its rating actions. The reported monthly interest shortfalls totaled $108,403, and accumulated interest shortfalls are outstanding on all classes subordinate to and including class N. Classes N, O and P have had accumulated interest shortfalls outstanding for three months (classes N and O) and 10 months (class P), and S&P expects these shortfalls to remain outstanding for the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for the BACM 2002-PB2 transaction consists of 91 loans with an aggregate trust balance of $751.78 million. As of the Nov. 12, 2010, remittance report, 11 loans ($179.7 million; 23.9%) in the pool were with the special servicer. The payment status of these loans is: Two ($98 million, 13.0%) are less than 30 days delinquent, four ($32.6 million, 4.3%) are 90 or more days delinquent, one ($27.9 million, 3.7%) is current, three ($17.1 million, 2.3%) are in their grace period, and one ($4.1 million, 0.5%) is in foreclosure. Morgan Stanley Capital I Trust 2006-TOP23 S&P lowered its ratings on the class L, M, N, and O certificates from Morgan Stanley Capital I Trust 2006-TOP23 due to interest shortfalls resulting from ASERs related to four of the six loans that are currently with the special servicer, C-III Asset Management LLC, as well as special servicing fees. As of the Nov. 12, 2010, remittance report, ARAs totaling $16.2 million were in effect for four loans. The total reported ASER amount was $81,246 and the reported cumulative ASER amount was $642,206. Standard & Poor's considered four ASERs (totaling $81,246), all of which were based on MAI appraisals, as well as current special servicing fees in determining its rating actions. The reported monthly interest shortfalls totaled $91,833, and accumulated interest shortfalls are outstanding on all classes subordinate to and including class L. Classes M, N, and O have had accumulated interest shortfalls outstanding for four months (classes M and N) and 10 months (class O), and S&P expects these shortfalls to remain outstanding for the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for the MSC 2006-TOP23 transaction consists of 162 loans with an aggregate trust balance of $1.53 billion. As of the Nov. 12, 2010, remittance report, six loans ($49.1 million; 3.2%) in the pool were with the special servicer. The payment status of these loans is: Five ($39 million, 2.5%) are 90 or more days delinquent, and one ($10.2 million, 0.7%) is in its grace period. Morgan Stanley Dean Witter Capital I Trust 2000-LIFE1 S&P lowered out ratings on the class J and K certificates from Morgan Stanley Dean Witter Capital I Trust 2000-LIFE1 because S&P believes these classes are susceptible to future interest shortfalls resulting from ASERs related to two of the four loans that are currently with the special servicer, C-III Asset Management LLC, as well as special servicing fees. As of the Nov. 15, 2010, remittance report ARAs totaling $10.6 million were in effect for two loans. The total reported ASER was negative and the accumulated interest shortfalls of the class J and K certificates were repaid in full due to the liquidation of the Highland Glen Apartments REO asset. A principal loss of $4.4 million was applied to the class L certificates. Prior to the REO liquidation, as of the Oct. 15, 2010, remittance report, classes J and K had accumulated interest shortfalls outstanding for three and 12 months, respectively. The total reported ASER amount for the loans currently in special servicing was $84,577, and the reported cumulative ASER amount was $872,915. Standard & Poor's considered two ASERs, both of which were based on MAI appraisals, as well as current special servicing fees in determining its rating actions. S&P expects the class J and K certificates to experience ongoing interest shortfalls in the future. It is also its opinion that class K is highly susceptible to principal loss upon the liquidation of the Highland Chase Apartments and Highland Court Apartments REO assets. The collateral pool for the MSDW 2000-LIFE1 transaction consists of 10 loans with an aggregate trust balance of $59.68 million. As of the Nov. 15, 2010, remittance report, four loans ($38.9 million, 65%) in the pool were with the special servicer. The payment status of these loans is: Two ($25.5 million, 43%) are nonperforming matured balloon loans, and two ($13.4 million, 22%) are REO. JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2001-A S&P lowered its rating on the class G certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2001-A due to interest shortfalls resulting from a loan modification as well as special servicing fees. As of the Nov. 15, 2010, remittance report, ARAs totaling $9.7 million were in effect for two loans. The total reported ASER amount was negative $127,020, and the reported cumulative ASER amount was $125,609. Standard & Poor's considered the interest shortfalls due to a loan modification and current special servicing fees in determining its rating actions. The loan modification included a modification of the interest payment terms on the Country Fair Mall loan. Although the transaction reported a recovery of interest shortfalls totaling $98,052, class G has had accumulated interest shortfalls outstanding for six months totaling $138,480. S&P expects these shortfalls to remain outstanding for the foreseeable future. Consequently, S&P downgraded this class to 'D (sf)'. The collateral pool for the JPMC 2001-A transaction consists of two loans with an aggregate trust balance of $30.22 million. As of the Nov. 15, 2010, remittance report, both loans in the pool were with the special servicer. The payment status of these loans is: One ($20.8 million, 68.9%) is in foreclosure, and one ($23.2 million, 31.1%) is a performing matured balloon loan. Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2005-1 Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ---------------------- ------- ----------- G BB- (sf) BB+ (sf) 5.11 0 0 H CCC- (sf) BB- (sf) 3.00 (31,002) 465,946 J D (sf) B+ (sf) 2.65 24,188 193,500 K D (sf) B+ (sf) 2.12 36,283 290,267 L D (sf) B+ (sf) 1.60 36,283 290,267 M D (sf) B (sf) 1.42 12,092 96,733 N D (sf) B- (sf) 1.07 24,188 193,500 O D (sf) CCC+ (sf) 0.37 48,379 402,771 Banc of America Funding 2005-5 Trust Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ---------------------- ------- ----------- L D (sf) CCC- (sf) 2.08 19,436 29,825 M D (sf) CCC- (sf) 1.93 9,720 06,920 N D (sf) CCC- (sf) 1.78 9,720 06,920 O D (sf) CCC- (sf) 1.34 29,160 20,760 Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2005-GG5 Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ---------------------- ------- ----------- E B- (sf) BB- (sf) 7.28 0 0 F CCC- (sf) B+ (sf) 5.93 126,315 346,735 G D (sf) B+ (sf) 4.85 198,142 499,662 H D (sf) B (sf) 3.63 222,914 1,185,918 J D (sf) B (sf) 3.09 88,571 708,565 K D (sf) B (sf) 2.55 88,566 708,532 L D (sf) B- (sf) 2.01 88,571 804,690 M D (sf) B- (sf) 1.87 22,143 221,427 N D (sf) CCC+ (sf) 1.47 66,428 664,280 O D (sf) CCC (sf) 1.20 44,285 466,367 Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2002-PB2 Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ---------------------- ------- ----------- N D (sf) CCC- (sf) 2.14 23,878 54,773 O D (sf) CCC- (sf) 1.18 37,923 113,769 P D (sf) CCC- (sf) 0.54 25,282 147,179 Morgan Stanley Capital I Trust 2006-TOP23 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ---------------------- ------- ----------- L CCC- (sf) CCC+ (sf) 1.12 6,494 12,576 M D (sf) CCC (sf) 0.86 20,111 58,069 N D (sf) CCC (sf) 0.72 10,053 39,923 O D (sf) CCC- (sf) 0.46 20,111 142,279 Morgan Stanley Dean Witter Capital I Trust 2000-LIFE1 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ---------------------- ------- ----------- J CCC- (sf) CCC+ (sf) 22.34 (68,877) 0 K D (sf) CCC- (sf) 13.67 (107,558) 0 JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2001-A Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ---------------------- ------- ----------- G D (sf) CCC- (sf) 9.27 (57,095) 138,480 * S&P Downgrades Ratings on 42 Certs. From Five CMBS Deals ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 42 classes of certificates from five U.S. commercial mortgage-backed securities transactions due to interest shortfalls. S&P lowered its ratings on 27 of these classes to 'D (sf)' because S&P expects these interest shortfalls to continue. Twenty-three of the 27 classes that S&P downgraded to 'D (sf)' have had accumulated interest shortfalls outstanding for six or more months. The recurring interest shortfalls for the respective certificates are primarily due to two or more of these factors: Appraisal subordinate entitlement reductions in effect for specially serviced loans; Lack of master servicer advancing for loans where it makes nonrecoverable advance declarations; and Special servicing fees. ARAs and resulting ASERs are implemented according to each respective transaction's terms. Typically, when a loan is 60 days past due and an appraisal or other valuation is not available within a specified timeframe, these terms call for the automatic implementation of an ARA equal to 25% of the loan's stated principal balance. S&P primarily considered ASERs based on appraisal reduction amounts calculated from Member of the Appraisal Institute appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)'. S&P used this approach because ARAs based on a principal balance haircut are highly subject to change, or even reversal, once the special servicer obtains the MAI appraisals. Servicer nonrecoverable advance declarations can prompt shortfalls due to a lack of debt service advancing, the recovery of previously made advances deemed nonrecoverable, or the failure to advance trust expenses when nonrecoverable declarations have been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. S&P details the 42 downgraded classes from five CMBS transactions. Banc of America Commercial Mortgage Inc. Series 2006-2 S&P lowered its ratings on the class H, J, K, L, M, N, and O certificates from Banc of America Commercial Mortgage Inc.'s series 2006-2 due to interest shortfalls primarily resulting from ASERs related to 16 of the 23 loans that are currently with the special servicer, Helios AMC LLC, as well as special servicing fees. S&P downgraded the class G certificates because S&P believes the class is susceptible to future interest shortfalls. As of the Nov. 10, 2010, remittance report, ARAs totaling $62.2 million were in effect for 18 loans. The total reported ASER amount was $299,243 and the reported cumulative ASER amount was $2.3 million. In determining its rating actions, Standard & Poor's considered 13 ASERs (totaling $203,462), all of which were based on MAI appraisals, as well as current special servicing fees. The reported interest shortfalls totaled $392,421 and have affected all of the classes subordinate to and including class H. Classes K, L, M, N, and O have had accumulated interest shortfalls outstanding for six (class K), eight (classes L and M), and nine (classes N and O) months, and S&P expects these shortfalls to remain outstanding for the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for BACM 2006-2 consists of 157 loans with an aggregate trust balance of $2.60 billion. As of the Nov. 10, 2010, remittance report, 23 loans ($319.9 million; 12.3%) in the pool were with the special servicer. The payment status of these loans is: one ($2.4 million; 0.1%) is real estate owned, seven ($93.0 million, 3.6%) are in foreclosure, nine ($88.1 million; 3.4%) are more than 90 days delinquent, two ($25.7 million; 1.0%) are 60 days delinquent, one ($3.4 million; 0.1%) is 30 days delinquent, two ($15.5 million; 0.6%) are late but within their grace periods, and one ($91.8 million, 3.5%) is current. Banc of America Commercial Mortgage Trust 2006-4 S&P lowered its ratings on the class J, K, L, M, N, and O certificates from Banc of America Commercial Mortgage Trust 2006-4 due to interest shortfalls primarily resulting from ASERs related to 15 of the 20 loans that are currently with the special servicer, LNR Partners Inc., as well as special servicing fees. S&P lowered its ratings on the class G and H certificates because S&P believes these classes are susceptible to future interest shortfalls. As of the Nov. 10, 2010, remittance report, ARAs totaling $96.5 million were in effect for 15 loans. The total reported ASER amount was $510,647, and the reported cumulative ASER amount was $4.4 million. In determining its rating actions, Standard & Poor's considered 12 ASERs (totaling $430,477), all of which were based on MAI appraisals, as well as current special servicing fees. The reported interest shortfalls totaled $674,912 and have affected all of the classes subordinate to and including class J. Classes K, L, M, N, and O have had accumulated interest shortfalls outstanding for eight (class K) and nine (classes L-O) months, and S&P expects these shortfalls to remain outstanding for the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for BACM 2006-4 consists of 161 loans with an aggregate trust balance of $2.6 billion. As of the Nov. 10, 2010, remittance report, 20 loans ($327.0 million; 12.4%) in the pool were with the special servicer. The payment status of the delinquent loans is: six ($83.7 million, 3.2%) are REO, two ($74.5 million, 2.8%) are in foreclosure, nine ($97.8 million, 3.7%) are more than 90 days delinquent, two ($58.5 million, 2.2%) are 60 days delinquent, and one ($12.5 million; 0.5%) is 30 days delinquent. Banc of America Commercial Mortgage Trust 2006-5 S&P lowered its ratings on the class F, G, H, J, and K certificates from Banc of America Commercial Mortgage Trust 2006-5 due to interest shortfalls primarily resulting from ASERs related to 10 of the 21 loans that are currently with the special servicer, Midland Loan Services Inc., as well as special servicing fees. S&P lowered its rating on the class E certificates because S&P believes the class is susceptible to future interest shortfalls. As of the Nov. 10, 2010 remittance report, ARAs totaling $81.9 million were in effect for 12 loans. The total reported ASER amount was $392,801, and the reported cumulative ASER amount was $3.6 million. In determining its rating actions, Standard & Poor's considered four ASERs (totaling $87,310), all of which were based on MAI appraisals, as well as current special servicing fees. The reported interest shortfalls totaled $550,305 and have affected all of the classes subordinate to and including class F. Classes H, J, and K have had accumulated interest shortfalls outstanding for eight months, and S&P expects these shortfalls to remain outstanding for the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for the BACM 2006-5 transaction consists of 180 loans with an aggregate trust balance of $2.18 billion. As of the Nov. 10, 2010, remittance report, 20 loans ($452.3 million; 20.8%) in the pool were with the special servicer. An additional loan was transferred to the special servicer ($21.7 million; 1.0%) after the remittance date. The payment status of the delinquent loans is: one ($18.0 million, 0.8%) is REO, one ($16.1 million, 0.7%) is in foreclosure, 13 ($321.6 million, 14.9%) are more than 90 days delinquent, one ($3.0 million; 0.1%) is 60 days delinquent, one ($3.1 million; 0.1%) is 30 days delinquent, one ($62.8 million; 2.9%) is less than 30 days delinquent, one ($25.5 million; 1.2%) is late but within its grace period, and two ($23.9 million, 1.1%) are current. Banc of America Commercial Mortgage Trust 2007-2 S&P lowered its ratings on the class H, J, K, L, M, N, O and P certificates from Banc of America Commercial Mortgage Trust 2007-2 due to interest shortfalls resulting from ASERs related to 14 of the 24 loans that are currently with the special servicer, Helios AMC LLC, as well as special servicing fees. S&P lowered its rating on the class E, F, and G certificates because S&P believes these classes are susceptible to future interest shortfalls. As of the Nov. 10, 2010, remittance report, ARAs totaling $134.8 million were in effect for 15 loans. The total reported ASER amount was $629,651, and the reported cumulative ASER amount was $5.3 million. In determining its rating actions, Standard & Poor's considered nine ASERs (totaling $412,817), all of which were based on MAI appraisals, as well as current special servicing fees and servicer nonrecoverable advance declarations. The reported interest shortfalls totaled $814,789 and have affected all of the classes subordinate to and including class H. Classes H, J, K, L, M, N, O, and P have had accumulated interest shortfalls outstanding for six (classes H-K) and eight (classes L- P) months, and S&P expects these shortfalls to remain outstanding for the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for BACM 2007-2 consists of 178 loans with an aggregate trust balance of $3.1 billion. As of the Nov. 10, 2010, remittance report, 24 loans ($1.05 billion; 33.6%) in the pool were with the special servicer. The payment status of these loans is: four (47.9 million, 1.5%) are REO, four ($24.6 million; 0.8%) are in foreclosure, nine ($213.8 million, 6.8%) are more than 90 days delinquent, one ($5.0 million, 0.2%) is 30 days delinquent, four ($359.2 million, 11.5%) are in their grace periods, and two ($400.1 million, 12.8%) are current. Banc of America Commercial Mortgage Loan Trust 2008-LS1 S&P lowered its ratings on the class J, K, L, M, N, O, P, and Q certificates from Banc of America Commercial Mortgage Loan Trust 2008-LS1 due to interest shortfalls resulting from ASERs related to 21 of the 25 loans that are currently with the special servicer, LNR Partners Inc., as well as special servicing fees. S&P lowered its rating on the class H certificates because S&P believes this class is susceptible to future interest shortfalls. As of the Nov. 10, 2010, remittance report, ARAs totaling $116.3 million were in effect for 22 loans. The total reported ASER amount was $555,460, and the reported cumulative ASER amount was $3.1 million. In determining its rating actions, Standard & Poor's considered 13 ASERs, all of which were based on MAI appraisals, as well as current special servicing fees and servicer nonrecoverable advance declarations. The reported interest shortfalls totaled $683,218 and have affected all of the classes subordinate to and including class J. Classes L, M, N, O, P, and Q have had accumulated interest shortfalls outstanding for three (classes L-0), eight (class P), and nine (class Q) months, and S&P expects these shortfalls to remain outstanding for the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for the BACM 2008-LS1 transaction consists of 229 loans with an aggregate trust balance of $2.27 billion. As of the Nov. 10, 2010 remittance report, 25 loans ($295.9 million; 13.0%) in the pool were with the special servicer. The payment status of these loans is: two ($47.1 million; 2.1%) are REO, two ($30.4 million, 1.3%) are in foreclosure, 15 ($151.9 million, 6.6%) are more than 90 days delinquent, four ($49.5 million, 2.2%) are 30 days delinquent, one ($13.0 million, 0.6%) is in its grace period, and one ($4.0 million, 0.2%) is current. Ratings Lowered Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2006-2 Reported Rating interest shortfalls ------ ------------------- Class To From Credit enhancement Current Accumulated ----- -- ---- ------------------ ------- ----------- G CCC+ (sf) B+ (sf) 4.34% 0 0 H CCC- (sf) B (sf) 3.04% 31,629 31,629 J CCC- (sf) B (sf) 2.65% 46,245 55,725 K D (sf) B- (sf) 2.13% 61,665 208,317 L D (sf) B- (sf) 1.74% 46,245 337,242 M D (sf) B- (sf) 1.61% 15,416 123,331 N D (sf) CCC+ (sf) 1.35% 30,833 254,386 O D (sf) CCC (sf) 1.09% 30,833 277,495 Banc of America Commercial Mortgage Trust 2006-4 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ------ ------------------- Class To From Credit enhancement Current Accumulated ----- -- ---- ------------------ ------- ----------- G B- (sf) B+ (sf) 6.97% 0 0 H CCC (sf) B+ (sf) 5.68% 0 0 J CCC- (sf) B (sf) 4.64% 98,103 255,372 K D (sf) B- (sf) 3.23% 196,831 1,158,275 L D (sf) CCC+ (sf) 2.84% 45,574 390,567 M D (sf) CCC (sf) 2.58% 30,384 273,459 N D (sf) CCC-(sf) 2.19% 45,574 410,168 O D (sf) CCC-(sf) 1.81% 4 5,574 410,168 Banc of America Commercial Mortgage Trust 2006-5 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ------ ------------------- Class To From Credit enhancement Current Accumulated ----- -- ---- ------------------ ------- ----------- E CCC+ (sf) BB- (sf) 5.99% 0 0 F CCC- (sf) B+ (sf) 4.70% 64,872 64,872 G CCC- (sf) B (sf) 3.80% 99,572 420,069 H D (sf) B- (sf) 2.25%% 176,216 1,195,173 J D (sf) B- (sf) 2.00% 23,946 191,569 K D (sf) B- (sf) 1.61% 35,919 287,354 Banc of America Commercial Mortgage Trust 2007-2 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ------ ------------------- Class To From Credit enhancement Current Accumulated ----- -- ---- ------------------ ------- ----------- E B- (sf) B+ (sf) 8.46% 0 0 F CCC (sf) B+ (sf) 7.57% 0 0 G CCC- (sf) B+ (sf 6.68% (58,214) 0 H D (sf) B (sf) 5.29% 102,624 1,157,924 J D (sf) B (sf) 4.15% 174,812 1,038,254 K D (sf) B- (sf) 3.01% 174,812 1,038,254 L D (sf) B- (sf) 2.50% 70,974 524,359 M D (sf) CCC+ (sf) 2.25% 35,489 283,913 N D (sf) CCC (sf) 1.74% 70,974 567,790 O D (sf) CCC- (sf) 1.61% 17,745 141,956 P D (sf) CCC- (sf) 1.49% 17,745 141,956 Banc of America Commercial Mortgage Loan Trust 2008-LS1 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ------ ------------------- Class To From Credit enhancement Current Accumulated ----- -- ---- ------------------ ------- ----------- H CCC+ (sf) B (sf) 6.68% 0 0 J CCC (sf) B (sf) 5.39% 144,313 144,313 K CCC- (sf) B (sf) 4.10% 151,793 388,527 L D (sf) B-(sf) 3.71% 36,638 109,913 M D (sf) B-(sf) 3.32% 36,638 109,913 N D (sf) B-(sf) 2.93% 36,638 109,913 O D (sf) B-(sf) 2.67% 24,425 73,275 P D (sf) B-(sf) 2.29% 36,638 213,615 Q D (sf) CCC+(sf) 1.77% 48,854 421,653 * S&P Withdraws Ratings on 49 Classes From 37 North American CMBS ----------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on 49 classes from 37 North American commercial mortgage-backed securities and commercial real estate collateralized debt obligation transactions. S&P withdrew its ratings on 39 classes from 30 CMBS and CRE CDO transactions following the repayment of each class' principal balance, as noted in each transaction's November 2010 remittance report. S&P withdrew its ratings on five interest-only classes from five transactions following the reductions of each class' notional balances as noted in each transaction's November 2010 remittance report. S&P also withdrew its ratings on five additional IO classes from five CMBS transactions. S&P withdrew these IO ratings following the repayment of all principal and interest paying classes rated 'AA-' or higher from the respective CMBS transactions, in accordance with its criteria for rating IO securities. Ratings Withdrawn Following Repayment Or Reduction Of Notional Balance Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2000-2 Rating ------ Class To From ----- -- ---- C NR AAA (sf) Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2003-2 Rating ------ Class To From ----- -- ---- XP NR AAA (sf) Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2004-4 Rating ------ Class To From ----- -- ---- A-3 NR AAA (sf) Banc of America Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-3 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) Banc of America Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-4 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) Banc of America Structured Securities Trust Commercial mortgage pass-through certificates series 2002-X1 Rating ------ Class To From ----- -- ---- F NR A- (sf) G NR BBB (sf) H NR BB+ (sf) J NR B+ (sf) Battery Park City Auth Senior revenue bonds series 2003-A Rating ------ Cusip To From ----- -- ---- 07133ACZ3 NR AAA (sf) 07133ACX8 NR AAA (sf) 07133ACY6 NR AAA (sf) COMM 2000-C1 Mortgage Trust Commercial mortgage pass-through certificates Rating ------ Class To From ----- -- ---- D NR AA+ (sf) Comm 2001-J2 Commercial mortgage pass-through certificates series 2001-J2 Rating ------ Class To From ----- -- ---- XP NR AAA (sf) Credit Suisse Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-C5 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) Credit Suisse Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2007-C4 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-C4 Rating ------ Class To From ----- -- ---- A-2 NR AAA (sf) GMAC Commercial Mortgage Securities, Inc. Commercial mortgage pass-through certificates 2002-C2 Rating ------ Class To From ----- -- ---- D NR AAA (sf) Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2004-FL2 Rating ------ Class To From ----- -- ---- B NR AAA (sf) Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2006-FL4 Rating ------ Class To From ----- -- ---- A-1 NR AA (sf) JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2001- CIBC3 Rating ------ Class To From ----- -- ---- A-2 NR AAA (sf) JPMorgan Chase Commercial Mortgage Securities Trust Commercial mortgage pass-through certificates series 2006-CIBC16 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) LB-UBS Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2000-C4 Rating ------ Class To From ----- -- ---- C NR AAA (sf) LB-UBS Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2003-C8 Rating ------ Class To From ----- -- ---- X-CP NR AAA (sf) LB-UBS Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2004-C6 Rating ------ Class To From ----- -- ---- A-2 NR AAA (sf) Merrill Lynch Financial Assets Inc. Commercial mortgage pass-through certificates, series 2000CAN4 Rating ------ Class To From ----- -- ---- B NR AAA (sf) C NR AA+ (sf) Merrill Lynch Mortgage Trust Commercial mortgage pass-through certificates series 2003-KEY1 Rating ------ Class To From ----- -- ---- XP NR AAA (sf) Merrill Lynch Mortgage Trust Commercial mortgage pass-through certificates series 2006-C1 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) ML-CFC Commercial Mortgage Trust Commercial mortgage pass-through certificates, series 2006-2 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) ML-CFC Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-4 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) ML-CFC Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2007-9 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) Morgan Stanley Capital I Trust Commercial mortgage pass-through certificates series 2005- TOP19 Rating ------ Class To From ----- -- ---- A-2 NR AAA (sf) Morgan Stanley Capital I Trust Commercial mortgage pass-through certificates series 2006-IQ11 Rating ------ Class To From ----- -- ---- A-2 NR AAA (sf) Morgan Stanley Capital I Trust Commercial mortgage pass-through certificates series 2006-IQ12 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) Morgan Stanley Dean Witter Capital I Trust Commercial mortgage pass-through certificates series 2000- LIFE1 Rating ------ Class To From ----- -- ---- D NR AA (sf) Nomura Asset Securities Corp. Comm mtg pass-thru certs ser 1995-MDIII Rating ------ Class To From ----- -- ---- B-2 NR AAA (sf) Salomon Brothers Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2000-C3 Rating ------ Class To From ----- -- ---- A-2 NR AAA (sf) B NR AAA (sf) STRIPs CDO Ltd. Notes 2002-2 Rating ------ Class To From ----- -- ---- L NR BB+ (sf) STRIPs III LTD Series 2004-1 Rating ------ Class To From ----- -- ---- N NR BB+ (sf) Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2003-C8 Rating ------ Class To From ----- -- ---- X-P NR AAA (sf) Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2005-C19 Rating ------ Class To From ----- -- ---- A-2 NR AAA (sf) Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-C26 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) Ratings Withdrawn Following Application Of Criteria For Io Securities COMM 2000-C1 Mortgage Trust Commercial mortgage pass-through certificates Rating ------ Class To From ----- -- ---- X NR AAA (sf) Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2006-FL4 Rating ------ Class To From ----- -- ---- X-2 NR AA (sf) GMAC Commercial Mortgage Securities, Inc. Commercial mortgage pass-through certificates series 2000-C2 Rating ------ Class To From ----- -- ---- X NR AAA (sf) Merrill Lynch Financial Assets Inc. Commercial mortgage pass-through certificates, series 2000CAN4 Rating ------ Class To From ----- -- ---- X NR AAA (sf) Morgan Stanley Dean Witter Capital I Trust Commercial mortgage pass-through certificates series 2000-LIFE1 Rating ------ Class To From ----- -- ---- X NR AAA (sf) ********* 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. Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Denise Marie Varquez, Philline Reluya, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2010. 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 ***