/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/110313.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, March 13, 2011, Vol. 15, No. 71 Headlines ABACUS 2006-10: Moody's Downgrades Ratings on 10 Classes of Notes ABACUS 2006-17: Moody's Takes Rating Actions on Various Classes ABSC NIMS: S&P Corrects Ratings on 21 Classes From 20 RMBS Deals ACCREDITED 2006-1: S&P Corrects Ratings on Class A-3 to 'B+' ACCREDITED MORTGAGE: S&P Junks Ratings on Class A-4 From 'B' ALLIANCE FUNDING: Moody's Downgrades Ratings on 25 Classes ALLY FINANCIAL: Fitch Assigns 'B+' Ratings to $2.67 Bil. Notes AMERICAN TOWER: S&P Raises Rating on Class F Notes From BB+ (sf) ARCAP 2005-RR5: S&P Downgrades Rating to Class A-3 to 'D' ARES IX: S&P Raises Ratings on Various Classes of Notes ARES XVI: S&P Assigns Ratings on $356 Mil. Floating-Rate Notes ARLO VII: S&P Downgrades Ratings on 2007-CSTON-7B-1 Notes ATRIUM IV: Moody's Upgrades Ratings on Various Classes of Bonds AVIATION CAPITAL: Moody's Downgrades Ratings on Various Notes BABSON CLO: S&P Raises Ratings on Various Classes of Notes BANC OF AMERICA: Fitch Takes Rating Actions on 2004-4 Certs. BEA CBO: Fitch Affirms & Withdraws 'Dsf' Rating on Class A-3 Notes BEAR STEARNS: Fitch Downgrades Ratings on 14 2007-TOP26 Certs. BEAR STEARNS: Moody's Affirms Ratings on 19 2004-PWR5 Certs. BEAR STEARNS: Moody's Reviews Ratings on Six Tranches BLUE HERON: Fitch Affirms Ratings on Seven Classes of Notes BRISTOL CDO: Moody's Upgrades Ratings on Two Classes of Notes C-BASS 2002-CB2: Moody's Downgrades Ratings on 119 Tranches C-BASS CBO: Fitch Affirms Ratings on Five Classes of Notes CALLIDUS DEBT: Moody's Upgrades Ratings on Various Classes CALLIDUS DEBT: S&P Raises Ratings on Two Classes of Notes CAPITALSOURCE COMMERCIAL: S&P Raises Ratings on Various Classes CDC COMMERCIAL: S&P Affirms Ratings on 15 2002-FX1 Certificates CENTERLINE 2007-1: S&P Downgrades Rating to Class N Certs. to 'D' CHASE COMMERCIAL: Fitch Upgrades Ratings on Two Classes of Notes CHASE FUNDING: Moody's Downgrades Ratings on 131 Tranches CHEVY CHASE: Moody's Downgrades Ratings on 51 Tranches CITIFINANCIAL MORTGAGE: Moody's Downgrades Ratings on 47 Tranches CITIGROUP HOME: Moody's Downgrades Ratings on 43 Tranches COMM 2003-LNB1: Moody's Downgrades Ratings on Six Classes COMM 2003-LNB1: S&P Downgrades Ratings on Four Classes of Notes COMM 2005-LP5: Moody's Downgrades Ratings on Five Classes COMM 2008-RS3: Moody's Downgrades Ratings on 10 Classes of Notes CONTIMORTGAGE HOME: Moody's Downgrades Ratings on 17 Tranches COUNTYWIDE HOME: Moody's Downgrades Ratings on 162 Tranches CREDIT SUISSE: Fitch Downgrades Ratings on Six 2002-CP3 Notes CREDIT SUISSE: Fitch Downgrades Ratings on 17 2007-C1 Certs. CREDIT SUISSE: Moody's Downgrades Ratings on Four 2003-CPN1 Certs. CREDIT SUISSE: Moody's Downgrades Ratings on Two 2004-C3 Certs. CREDIT SUISSE: Moody's Downgrades Ratings on Three 2007-C1 Certs. CREDIT SUISSE: S&P Downgrades Rating on Class M-8 Certs. to 'D' CREST 2003-1: Fitch Downgrades Ratings on Six Classes of Notes CRYSTAL RIVER: S&P Downgrades Ratings on Nine Classes of Notes DELTA FUNDING: Moody's Downgrades Ratings on 89 Tranches DEUTSCHE ALT-A: Moody's Downgrades Ratings on 67 Tranches DLJ ABS: Moody's Downgrades Ratings on 11 Tranches DLJ COMMERCIAL: Moody's Affirms Ratings on Three 1999-CG3 Certs. DRYDEN V-LEVERAGED: Moody's Upgrades Ratings on Various Classes EAST LANE: S&P Assigns 'BB+' Rating to Two Classes of Notes EL PASO: Moody's Affirms 'B3' Rating on $4.85 Mil. Mortgage Bonds EQUIFIRST MORTGAGE: Moody's Downgrades Ratings on 30 Tranches EQUITY ONE: Moody's Downgrades Ratings on 63 Tranches FALCON AUTO: Fitch Takes Rating Actions on Four Classes of Notes FIRST ALLIANCE: Moody's Downgrades Ratings on Two Tranches FIRST NATIONAL: Fitch Maintains Negative Watch on All Classes FIRST UNION: Moody's Affirms Ratings on 16 2001-C4 Certificates FOUR CORNERS: Moody's Upgrades Ratings on Various Classes FRASER SULLIVAN: S&P Assigns Ratings to $350.6 Mil. Floating Notes GATEWAY CLO: Moody's Upgrades Ratings on Class B to 'Caa2' GE CAPITAL: S&P Downgrades Ratings on Four Classes of Notes GE COMMERCIAL: S&P Downgrades Ratings on Three 2004-C3 Securities GMAC COMMERCIAL: Moody's Upgrades Rating on Two 1997-C2 Certs. GMAC COMMERCIAL: Moody's Reviews Ratings on Three 1999-C3 Certs. GMAC COMMERCIAL: S&P Downgrades Ratings on Five 2004-C3 Notes GMAC COMMERCIAL: S&P Downgrades Ratings on Six 2005-C1 Notes GOLDMAN SACHS: Moody's Downgrades Ratings on 2006-GG8 Certs. GRAND PACIFIC: Moody's Reviews Ratings on Two Tranches GREENWICH CAPITAL: Moody's Cuts Ratings on Two 2006-GG7 Certs. GREENWICH CAPITAL: Moody's Reviews Ratings on 18 2007-GG9 Certs. GREENWICH CAPITAL: S&P Downgrades Ratings on Seven 2003-C1 Notes GS MORTGAGE: Fitch Expects to Rate Various Classes of Notes GUGGENHEIM STRUCTURED: Fitch Upgrades Ratings on Various Notes GULF STREAM: Moody's Upgrades Ratings on Various Classes of Notes HALCYON STRUCTURED: S&P Raises Ratings on Various Classes of Notes HEWETT'S ISLAND: Moody's Ups Rating on Class D Notes to 'B1 (sf)' HEWETT'S ISLAND: Moody's Ups Rating on Class E Notes to Caa2 (sf) HIPOCAT 14: Moody's Downgrades Ratings on Three Classes of Notes HSBC BANK: S&P Affirms Rating on $10 Mil. Unfunded Credit Swap IMC HOME: Moody's Downgrades Ratings on 20 Tranches INDYMAC HOME: Moody's Downgrades Ratings on 40 Tranches INDYMAC RESIDENTIAL: S&P Corrects Ratings on Class A Notes to 'D' JP MORGAN: Fitch Downgrades Ratings on 2005-LDP4 Certificates JP MORGAN: Moody's Upgrades Ratings on Five 2006-FL1 Certs. JP MORGAN: Moody's Reviews Ratings on 2007-FL1 Certificates JPMORGAN CHASE: S&P Downgrades Ratings on Seven 2006-CIBC14 Notes JPMORGAN CHASE: S&P Downgrades Ratings on Nine 2006-LDP6 Notes KINGLY SQUARE: S&P Withdraws Ratings on Four CDO Transactions KKR FINANCIAL: Moody's Ups Rating on Class E Notes to 'B1 (sf)' KKR FINANCIAL: Moody's Ups Rating on Class F Notes to 'B1 (sf)' LB COMMERCIAL: Moody's Raises Ratings on 1996-C2 Certs. to 'Caa1' LB-UBS COMMERCIAL: Fitch Downgrades Ratings on 2007-C7 Certs. LB-UBS COMMERCIAL: Moody's Upgrades Ratings on 2001-C7 Notes LB-UBS COMMERCIAL: S&P Downgrades Ratings on Seven 2001-C7 Certs. LEHMAN ABS: Moody's Downgrades Ratings on Nine Tranches LEHMAN BROTHERS: Moody's Downgrades Ratings on 2006-LLF C5 Certs. LOCAL INSIGHT: Moody's Reviews Ratings on Two Classes of Notes LONG BEACH: Moody's Downgrades Ratings on 84 Tranches MACLAURIN SPC: Moody's Downgrades Ratings on Two Classes of Notes MAGNOLIA FINANCE: Moody's Affirms 'C' Ratings on Class D & E Notes MAGNOLIA FINANCE: Moody's Downgrades Ratings on Notes to 'C' MAGNOLIA FINANCE: Moody's Downgrades Ratings on Notes to 'C' MAGNOLIA FINANCE: Moody's Downgrades Ratings on Two Classes MAX CMBS: Moody's Downgrades Ratings on 13 Classes of Notes MERITAGE MORTGAGE: Moody's Downgrades Ratings on 10 Tranches MERRILL LYNCH: Moody's Upgrades Ratings on Two 2002-MW1 Certs. MERRILL LYNCH: Moody's Downgrades Ratings on 2006-WMC1 Notes MKP VELA: S&P Downgrades Ratings on Various Classes of Notes ML-CFC COMMERCIAL: Moody's Affirms Ratings on 26 Certificates MORGAN STANLEY: Fitch Downgrades Ratings on Five 2005-IQ9 Notes MORGAN STANLEY: Fitch Downgrades Ratings on 14 2007-TOP25 Certs. MORGAN STANLEY: Moody's Downgrades Ratings on 108 Tranches MORGAN STANLEY: Moody's Takes Rating Actions on Two Classes MORGAN STANLEY: S&P Assigns Ratings on $1.55 Bil. Certificates MORGAN STANLEY: S&P Junks Rating to Class A-8 Notes From 'B-' MORGAN STANLEY: S&P Raises Ratings on Class H Notes From 'BB+' N-STAR REAL: Fitch Affirms Ratings on Eight Classes of Notes NORTHWOODS CAPITAL: S&P Raises Ratings on Three Classes of Notes NOVASTAR MORTGAGE: Moody's Downgrades Ratings on 54 Tranches OHA INTREPID: S&P Assigns Ratings on $364 Mil. Floating Notes OMEGA CAPITAL: S&P Affirms 'CCC-' Rating on Class C-1E Notes PARK PLACE: Moody's Downgrades Rating to $306 Mil. Certs. PEACHTREE FRANCHISE: Moody's Confirms Ratings on Two Certificates PPLUS TRUST: Moody's Upgrades Ratings on Two Classes of Certs. PREFERREDPLUS TRUST: S&P Corrects Rating on $45 Mil. Certs. to B+ PUTNAM STRUCTURED: Moody's Affirms Ratings on 12 Classes of Notes PUTNAM STRUCTURED: Moody's Takes Rating Actions on Various Classes SALOMON BROTHERS: Moody's Downgrades Ratings on Eight Tranches SATURNS LIMITED: Moody's Raises Ratings on 2005-3 Certs. To 'Ba2' SAXON ASSET: Moody's Downgrades Ratings on 77 Tranches SCHOONER TRUST: Moody's Upgrades Ratings on Two Classes of Notes SEAWALL SPC: Moody's Junks Ratings on Series 2008-39 Notes SECURITIZED ASSET: Moody's Downgrades Ratings on 28 Tranches SIERRA KINGS: Moody's Upgrades Ratings on GO Bonds From 'Ba2' SOUTH COAST: Moody's Upgrades Ratings on Two Classes of Notes SPECIALTY UNDERWRITING: Moody's Downgrades Ratings on 29 Tranches ST JOSEPH: S&P Corrects Rating on Revenue Bonds to 'BB/B' STRONGTOWER FINANCIAL: Moody's Cuts Ratings on Class A to 'B1' STRUCTURED ADJUSTABLE: Moody's Cuts Ratings on 13 2004-19 Notes STRUCTURED ADJUSTABLE: Moody's Downgrades Ratings on 173 Tranches STRUCTURED ASSET: Moody's Downgrades Ratings on 25 Tranches STRUCTURED ASSET: Moody's Downgrades Ratings on 94 Tranches STRUCTURED ASSET: Moody's Downgrades Ratings on 108 Tranches STRUCTURED ASSET: Moody's Downgrades Ratings on 109 Tranches SVG DIAMOND: S&P Downgrades Ratings on Five Tranches TALCOTT NOTCH: Fitch Affirms 'Csf/RR2' Rating to Class B-2L Notes TERWIN MORTGAGE: Moody's Downgrades Ratings on 41 Tranches TIERS BRISBANE: Moody's Confirms 'Caa3' Rating to US$75 Mil. Notes TOYS R: Moody's Downgrades Ratings on Two Classes of Certs. TRIBUNE LTD: S&P Raises Rating on Palm2005SS Notes to 'BB' TRITON AVIATION: Moody's Downgrades Ratings on Class A-1 to 'Caa1' TY COBB: Fitch Affirms Ratings on Hospital Revenue Bonds at 'BB-' VERTICAL MILLBROOK: Moody's Affirms Ratings on Two Note Classes WACHOVIA BANK: Moody's Downgrades Ratings on Four 2004-C14 Certs. WACHOVIA BANK: S&P Downgrades Ratings on 2007-WHALE8 Certs. to 'D' WACHOVIA COMMERCIAL: Moody's Upgrades Ratings on Two 2002-C1 Notes WAMU MORTGAGE: Moody's Downgrades Ratings on 11 Tranches WARNER CHILCOTT: S&P Raises Rating on $1.25B Notes to 'BB' WASHINGTON MUTUAL: Moody's Affirms Ratings on 14 2007-SL2 Certs. WASHINGTON MUTUAL: Moody's Affirms Ratings on 14 2007-SL3 Certs. WAVE SPC: Moody's Affirms Ratings on 12 Classes of Notes WELLS FARGO: Fitch Assigns Ratings on Various 2011-C2 Certs. WMC MORTGAGE: Moody's Downgrades Ratings on 12 Tranches * Fitch Affirms 'BB+' Rating to California Municipal's Bonds * Fitch Downgrades Ratings on Four Tranches of European CDO Deals * Moody's Puts Ratings on Irvington Township's $5.564 Mil. Bonds * Moody's Withdraws Ratings on 52 Tranches From 11 RMBS Deals * S&P Affirms Ratings on 36 Tranches From Five Hybrid CDO Deals * S&P Downgrades Ratings on 109 Classes From 32 RMBS Transactions * S&P Withdraws Ratings on 46 Classes From 32 CMBS Transactions ********* ABACUS 2006-10: Moody's Downgrades Ratings on 10 Classes of Notes ----------------------------------------------------------------- Moody's has downgraded ten classes of Notes issued by Abacus 2006- 10, LTD., due to the deterioration in the credit quality of the underlying portfolio of reference obligations 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. Moody's rating action is: -- Cl. A, Downgraded to Caa2 (sf); previously on March 26, 2010 Downgraded to Ba2 (sf) -- Cl. B, Downgraded to Caa3 (sf); previously on March 26, 2010 Downgraded to B1 (sf) -- Cl. C, Downgraded to Ca (sf); previously on March 26, 2010 Downgraded to B2 (sf) -- Cl. D, Downgraded to Ca (sf); previously on March 26, 2010 Downgraded to B2 (sf) -- Cl. E, Downgraded to Ca (sf); previously on March 26, 2010 Downgraded to B3 (sf) -- Cl. F, Downgraded to Ca (sf); previously on March 26, 2010 Downgraded to B3 (sf) -- Cl. G, Downgraded to Ca (sf); previously on March 26, 2010 Downgraded to B3 (sf) -- Cl. J, Downgraded to C (sf); previously on March 26, 2010 Downgraded to Caa1 (sf) -- Cl. K, Downgraded to C (sf); previously on March 26, 2010 Downgraded to Caa1 (sf) -- Cl. L, Downgraded to C (sf); previously on March 26, 2010 Downgraded to Caa2 (sf) Ratings Rationale Abacus 2006-1, LTD., is a static synthetic CRE CDO transaction backed by a portfolio of credit linked notes referencing $3.7 billion notional amount of commercial mortgage backed securities. All of the CMBS reference obligations were securitized in 2004 (26.7%) and 2005 (73.3%). Currently, 74.1% of the reference obligations are currently rated by Moody's. 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 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 1,452 compared to 356 at last review. The distribution of current ratings is: Aaa-Aa3 (1.2% , same as last review), A1-A3 (21.5% compared to 45.6% at last review), Baa1-Baa3 (38.9% compared to 43.2% at last review), Ba1-Ba3 (14.2% compared to 7.6% at last review), B1-B3 (15.8% compared to 2.4% at last review), and Caa1-C (8.4% 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 4.4 years compared to 5.2 years at last review. WARR is the par-weighted average of the mean recovery values for the reference obligations in the pool. Moody's modeled a variable WARR with a mean of 9.8%, compared to 25.7% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the reference obligations pool (i.e. the measure of diversity). Moody's modeled a MAC of 22.8%, compared to 43.6% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated Notes are particularly sensitive to rating changes within the collateral pool. Holding all other key parameters static, stressing the non- Moody's rated reference obligations' credit estimates (nineteen reference obligations; 25.9% of notional amount) by one notch downward, the resulting impact negatively affects the model results between 0.0 to 0.18 notch downward on average. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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. ABACUS 2006-17: Moody's Takes Rating Actions on Various Classes --------------------------------------------------------------- Moody's has downgraded one and affirmed six classes of Notes issued by Abacus 2006-17, Ltd., due to the deterioration in the credit quality of the underlying portfolio of reference obligations 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. Moody's rating action is: -- Cl. A-1, Downgraded to C (sf); previously on March 26, 2010 Downgraded to Ca (sf) -- Cl. A-2, Affirmed at C (sf); previously on March 26, 2010 Downgraded to C (sf) -- Cl. B, Affirmed at C (sf); previously on March 26, 2010 Downgraded to C (sf) -- Cl. C, Affirmed at C (sf); previously on March 26, 2010 Downgraded to C (sf) -- Cl. E, Affirmed at C (sf); previously on March 26, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on March 26, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on March 26, 2010 Downgraded to C (sf) Ratings Rationale Abacus 2006-17, Ltd. is a static synthetic CRE CDO transaction backed by a portfolio of credit linked notes referencing $584.4 million notional amount of commercial mortgage backed securities (89.7% of notional amount) and CRE CDO debt (10.3%). All of the reference obligations were securitized in 2004 (1.7%), 2005 (44.4%), and 2006 (53.9%). Currently, 82.0% of the reference obligations are currently rated by Moody's. 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 reference obligations. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 8,837 compared to 4,788 at last review. The distribution of current ratings is: Baa1-Baa3 (0.0% compared to 5.8% at last review), Ba1-Ba3 (3.4% compared to 9.2% at last review), B1-B3 (3.4% compared to 39.2% at last review), and Caa1-C (93.2% compared to 45.8% 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 5.9 years compared to 6.8 years at last review. WARR is the par-weighted average of the mean recovery values for the reference obligations in the pool. Moody's modeled a variable WARR with a mean of 0.5%, compared to 4.0% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the reference obligations pool (i.e. the measure of diversity). Moody's modeled a MAC of 0.0%, compared to 28.7% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated Notes are particularly sensitive to rating changes within the collateral pool. Holding all other key parameters static, stressing the non- Moody's rated reference obligations' credit estimates (four reference obligations; 2.6% of notional amount) by one notch downward, the model results did not change. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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. ABSC NIMS: S&P Corrects Ratings on 21 Classes From 20 RMBS Deals ---------------------------------------------------------------- Standard & Poor's Ratings Services corrected its ratings on 21 classes from 20 U.S. residential mortgage-backed securities net interest margin securities transactions issued between 2005 and 2007 by lowering them to 'CC (sf)' from 'B+ (sf)'. Radian Insurance Inc. (Radian; not rated) insures all of the affected classes in this review. S&P is correcting its ratings on the Radian-insured NIMS classes following its withdrawal of S&P's financial strength rating of Radian at the company's request on Aug. 2, 2010. Due to an error, S&P did not lower its ratings on the NIMS classes at the time of the withdrawal. The corrected ratings reflect the higher of the rating on the insurer and Standard & Poor's underlying rating on the securities. Ratings Corrected ABSC NIMs Trust 2007-HE1 Series 2007-HE1 Rating ------ Class CUSIP To From ----- ----- -- ---- A 00082VAA0 CC (sf) B+ (sf) Countrywide Home Loan Trust 2006-21N Series 2006-21N Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 12667QAB7 CC (sf) B+ (sf) Countrywide Home Loan Trust 2006-22N Series 2006-22N Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 12667WAB4 CC (sf) B+ (sf) Countrywide Home Loan Trust 2006-23N Series 2006-23N Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 12667RAB5 CC (sf) B+ (sf) Countrywide Home Loan Trust 2006-26N Series 2006-26N Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 12667UAB8 CC (sf) B+ (sf) Countrywide Home Loan Trust 2007-1N Series 2007-1N Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 222393AB6 CC (sf) B+ (sf) Countrywide Home Loan Trust 2007-2N Series 2007-2N Rating ------ Class CUSIP To From ----- ----- -- ---- Note 222395AA3 CC (sf) B+ (sf) Fremont NIM Trust 2006-B Series 2006-B Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 357524AA5 CC (sf) B+ (sf) IndyMac NIM Trust INABS 2007-A Series 2007-A Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 45669CAA8 CC (sf) B+ (sf) Long Beach Asset Holdings Corp. CI 2006-WL2 Series 2006-WL2 Rating ------ Class CUSIP To From ----- ----- -- ---- N-2 54240KAB8 CC (sf) B+ (sf) MASTR Alternative Loan NIM 2007-HF1 Series 2007-HF1 Rating ------ Class CUSIP To From ----- ----- -- ---- A 55291LAA3 CC (sf) B+ (sf) MASTR CI-13 Series 2006-FRE1 Rating ------ Class CUSIP To From ----- ----- -- ---- N2 57644RAB8 CC (sf) B+ (sf) Park Place NIM 2005-WHQN2 Series 2005-WHQN2 Rating ------ Class CUSIP To From ----- ----- -- ---- B 70070AAB1 CC (sf) B+ (sf) SASCO NIMS Trust 2007-WF1 Series 2007-WF1 Rating ------ Class CUSIP To From ----- ----- -- ---- A 80385XAA2 CC (sf) B+ (sf) WM Asset Holdings Corp. CI 2006-10 Series 2006-10 Rating ------ Class CUSIP To From ----- ----- -- ---- N-2 Notes 929306AB4 CC (sf) B+ (sf) WM Asset Holdings Corp. CI 2006-11 Series 2006-11 Rating ------ Class CUSIP To From ----- ----- -- ---- N-2 Notes 92933KAB0 CC (sf) B+ (sf) WM Asset Holdings Corp. CI 2007-WM1 Series 2007-WM1 Rating ------ Class CUSIP To From ----- ----- -- ---- N-2 Notes 92933UAB8 CC (sf) B+ (sf) WM Asset Holdings Corp. CI 2007-WM2 Series 2007-WM2 Rating ------ Class CUSIP To From ----- ----- -- ---- N-1 Notes 92933VAA8 CC (sf) B+ (sf) N-3 Notes 92933VAC4 CC (sf) B+ (sf) WM Asset Holdings Trust 2007-WM3B Series 2007-WM3B Rating ------ Class CUSIP To From ----- ----- -- ---- N-1 Notes 92933XAA4 CC (sf) B+ (sf) WM Asset Holdings Trust 2007-WM4 Series 2007-WM4 Rating ------ Class CUSIP To From ----- ----- -- ---- N1 92934LAA9 CC (sf) B+ (sf) ACCREDITED 2006-1: S&P Corrects Ratings on Class A-3 to 'B+' ------------------------------------------------------------ Standard & Poor's Ratings Services corrected its ratings on class A-3 from Accredited Mortgage Loan Trust 2006-1 to 'B+ (sf)' from 'B (sf)' and on class A-3 from Accredited Mortgage Loan Trust 2006-2 (Accredited 2006-2) to 'BB (sf)' from 'B (sf)'. On Oct. 22, 2009, S&P incorrectly lowered its ratings on class A-3 from both Accredited 2006-1 and Accredited 2006-2 to 'B (sf)' from 'AAA (sf)' and removed both ratings from CreditWatch with negative implications, as part of a larger review of U.S. subprime residential mortgage-backed securities. The corrected ratings reflect S&P's assessment of the sequential principal payment priority applicable to the senior notes of each transaction, and S&P's view of the likelihood that these classes will receive interest based on a minimum amount of one-month LIBOR plus the applicable margin for the respective senior note balances. Principal Allocation The transaction documents for Accredited 2006-1 and Accredited 2006-2 provide that principal is allocated sequentially to the senior classes until each class' balance has been reduced to zero. In certain other series issued by Accredited (not series 2006-1 and 2006-2), the occurrence of a trigger event allows principal payments on the senior class A notes to be made pro rata, as opposed to sequentially, at the time the "adjusted principal balance" of all of the subordinate classes is reduced to zero (the principal of the subordinate classes can not be written down in the event of losses). The transaction documents for Accredited 2006-1 and Accredited 2006-2 also include a trigger for switching the payments of principal on the class A notes to pro rata from sequential. However, the trigger in these transactions provides that once the overcollateralization has been reduced to zero, and the "outstanding principal balance" of the class M notes has been reduced to zero, principal on the class A notes will be paid on a pro rata basis rather than sequential. Because the principal of the class M notes cannot be written down in the event of losses, and the trigger to pay pro rata is based on the 'outstanding principal balance' rather than the 'adjusted principal balance', S&P believes the change in the payment priority will likely never be triggered. Interest Rate The transaction documents for Accredited 2006-1 and Accredited 2006-2 provide that interest on Class A-3 from each of these classes is paid on the class's outstanding principal balance and is equal to the outstanding principal balance multiplied by the lesser of a) one-month LIBOR plus the applicable margin or b) the available funds cap rate. The available funds cap rate is defined as the amount of interest received on the collateral in a given month divided by the outstanding principal balance of the notes, multiplied by 12. In the event of credit losses, which reduce the collateral amount, the interest received on the collateral will decrease, and therefore the available funds cap rate will decrease. Accordingly, as credit losses increase, it becomes more likely that the interest paid on these classes will be based on the available funds cap rate rather than one-month LIBOR plus the applicable margin. S&P also lowered its ratings on three classes and affirmed its ratings on seven other classes from these transactions. Ratings Corrected Accredited Mortgage Loan Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP Current Oct. 22, 2009 Pre-Oct. 22, 2009 ----- ----- ------- ------------- ----------------- A-3 004375EW7 B+ (sf) B (sf) AAA(sf)/Watch Neg Accredited Mortgage Loan Trust 2006-2 Series 2006-2 Rating ------ Class CUSIP Current Oct. 22, 2009 Pre-Oct. 22, 2009 ----- ----- ------- ------------- ----------------- A-3 00437NAC6 BB (sf) B (sf) AAA(sf)/Watch Neg ACCREDITED MORTGAGE: S&P Junks Ratings on Class A-4 From 'B' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on class A- 4 from Accredited Mortgage Loan Trust's series 2006-1 and 2006-2 (Accredited 2006-1 and Accredited 2006-2) to 'CCC (sf)' from 'B (sf)', and on class M-4 from Accredited 2006-2 to 'D (sf)' from 'CC (sf)'. S&P also affirmed its ratings on seven other classes from these transactions. The downgrades on class A-4 from each of Accredited 2006-1 and Accredited 2006-2 reflect S&P's opinion that its projected credit support for these classes is insufficient to maintain the previous ratings, given S&P's current projected losses, which are a function of its assessment of the performance of the pools. Under its prepayment speed and loss assumptions for different rating stresses, S&P believes these classes will likely not receive their full payment of principal and interest at the rate of one-month LIBOR plus the applicable margin under rating stresses higher than that of S&P's previously assigned ratings. As of the January 2011 distribution date, the Accredited 2006-1 transaction had incurred cumulative losses of $133,039,685 or 13.25% of the original pool balance, while the Accredited 2006-2 transaction had cumulative losses of $189,006,847 or 13.50% of the original pool balance. Total delinquencies for Accredited 2006-1 are currently $130,823,002 or 39.65% of the current outstanding principal balance, $113,051,435 (34.26%) of which are severely delinquent (90-plus-days delinquent), in foreclosure, or real estate owned. Total delinquencies for Accredited 2006-2 are currently $222,713,310 or 37.12% of the current pool balance, $190,256,766 (31.71%) of which are severely delinquent. S&P's lifetime expected loss projection for Accredited 2006-1 is 24.91% of the original pool balance, while its lifetime expected loss projection for Accredited 2006-2 is 29.98% of the original pool balance. S&P downgraded class M-4 from Accredited 2006-2 to 'D (sf)' from 'CC (sf)' due to a principal deficiency amount of $15,333,024 as of the Jan. 25, 2011 distribution date, which resulted in a failure of the class to receive scheduled interest on that amount. S&P's affirmation of class A-2 (the most senior outstanding class) from Accredited 2006-2 at 'AAA (sf)' reflects its belief that under its prepayment speed and loss assumptions under the 'AAA' stress scenario, the bonds will be paid in full within 12 months, prior to the occurrence of any potential credit losses from the pool that, in S&P's view, would be significant enough to impair bond principal or interest payments. As principal is allocated sequentially to the senior notes until each class' balance has been reduced to zero, class A-2 is currently receiving all principal payments. The remaining affirmations reflect S&P's view of the amount of credit enhancement that is available to these classes relative to its projected losses for these transactions. Generally, to maintain a 'AAA' rating, S&P considers whether a bond will likely be able to withstand approximately 150% of its remaining base-case loss assumptions, subject to individual caps and qualitative factors assumed on specific transactions. In contrast, for a class for which we've affirmed a 'B' rating, S&P considers whether a bond is likely able to withstand S&P's remaining base-case loss assumptions. Other rating categories are dispersed, approximately equally, between these two loss assumptions. Subordination, excess interest, and overcollateralization (prior to depletion) provide credit support for the Accredited 2006-1 and Accredited 2006-2 transactions. The underlying pools of loans backing these transactions originally consisted of fixed- and adjustable-rate U.S. subprime mortgage loans that are secured by first and second liens on one- to four-family residential properties. Allocation of Losses The transaction documents for all series of Accredited Mortgage Loan Trust transactions do not allow for the write-down of the principal amount of the subordinate classes of notes if a loss occurs. Rather, when a loss occurs, the most subordinate note is allocated a "principal deficiency amount" equal to the amount of such loss, and the "adjusted principal balance" of such class is its original principal balance minus any principal deficiency amounts allocated to such class. This process continues until the principal deficiency amount for each subordinate note equals its original principal balance. Interest on the subordinate classes is based on the class' adjusted principal balance. The senior notes are also not allowed to be written down if a loss occurs. However, unlike the subordinated classes, the senior notes are not allocated a principal deficiency amount. As losses occur and the collateral amount decreases, it becomes more likely (under certain rating stresses) that the senior classes will not receive their full payment of principal by the end of the transaction's life. Interest Rate Interest on the senior notes is paid pro rata on their full principal balances and is equal to the class' outstanding principal balance multiplied by the lesser of a) one-month LIBOR plus the applicable margin or b) the available funds cap rate. The available funds cap rate is defined as the amount of interest received on the collateral in a given month divided by the outstanding principal balance of the notes, multiplied by 12. In the event of credit losses which reduce the collateral amount, the interest received on the collateral will decrease, and therefore the available funds cap rate will decrease. Accordingly, as credit losses increase, it becomes more likely that the interest paid on these classes will be based on the available funds cap rate rather than one-month LIBOR plus the applicable margin. In a related release S&P corrected its ratings on class A-3 from Accredited 2006-1 to 'B+ (sf)' from 'B (sf)' and on class A-3 from Accredited 2006-2 to 'BB (sf)' from 'B (sf)' (see "S&P Corrects Ratings On Accredited Mortgage Loan Trust 2006-1 And 2006-2," published March 9, 2011). Rating Actions Accredited Mortgage Loan Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-4 004375FG1 CCC (sf) B (sf) Accredited Mortgage Loan Trust 2006-2 Series 2006-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-4 00437NAD4 CCC (sf) B (sf) M-4 00437NAH5 D (sf) CC (sf) Ratings Affirmed Accredited Mortgage Loan Trust 2006-1 Series 2006-1 Class CUSIP Rating ----- ----- ------ M-1 004375EX5 CCC (sf) M-2 004375EY3 CCC (sf) M-3 004375EZ0 CCC (sf) Accredited Mortgage Loan Trust 2006-2 Series 2006-2 Class CUSIP Rating ----- ----- ------ A-2 00437NAB8 AAA (sf) M-1 00437NAE2 CCC (sf) M-2 00437NAF9 CCC (sf) M-3 00437NAG7 CC (sf) ALLIANCE FUNDING: Moody's Downgrades Ratings on 25 Classes ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 25 tranches from 11 Subprime deals issued by Alliance Funding Company. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. 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. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: AFC Mortgage Loan Asset Backed Certificiates, Series 1997- 3 -- 1A-4, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: AFC Home Equity Loan Trust 1998-2 -- 1A, Downgraded to Caa1 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa1 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- 2A, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: AFC Mortgage Loan Asset Backed Certificates, Series 1998-1 -- 1A-1, Downgraded to Caa2 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- 1A-2, Downgraded to Caa2 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: AFC Mortgage Loan Asset Backed Certificates, Series 1998-3 -- 1A-1, Downgraded to Caa2 (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- 1A-2, Downgraded to Caa2 (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- 2A-1, Downgraded to Caa1 (sf); previously on June 16, 2008 Upgraded to Baa1 (sf) -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa1 (sf); previously on June 16, 2008 Assigned Baa1 (sf) -- 2A-2, Downgraded to Caa1 (sf); previously on June 16, 2008 Upgraded to Baa1 (sf) -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa1 (sf); previously on June 16, 2008 Assigned Baa1 (sf) Issuer: AFC Mortgage Loan Asset Backed Certificates, Series 1999-2 -- 1A, Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- 2A, Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: AFC Mortgage Loan Asset Backed Notes, Series 1999-3 -- Cl. 1A, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: AFC Mortgage Loan Asset Backed Notes, Series 1999-4 -- Cl. 1A, Downgraded to Ca (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Ca (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: AFC Mortgage Loan Asset Backed Notes, Series 2000-3 -- Cl. 1A, Current rating at B3 (sf); previously on Feb. 18, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Current rating at B3 (sf); previously on Feb. 18, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: AFC Mortgage loan Asset Backerd Certificates, 1998-4 -- 2A-2, Downgraded to B3 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to B3 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- 1A-1, Downgraded to Caa1 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa1 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- 1A-2, Downgraded to Caa1 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa1 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- 2A-1, Downgraded to B3 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to B3 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: AFC Mtg Ln AB Notes 2000-4 -- Cl. 1A, Current rating at B3 (sf); previously on Feb. 18, 2009 Downgraded to B3 (sf) -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Current rating at B3 (sf); previously on Feb. 18, 2009 Downgraded to B3 (sf) -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Ca (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: AFC Mtg Loan AB Certs 1997-04 -- 1A-1, Downgraded to Caa1 (sf); previously on June 16, 2008 Upgraded to Baa2 (sf) -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa1 (sf); previously on June 16, 2008 Assigned Baa2 (sf) -- 1A-2, Downgraded to Caa1 (sf); previously on June 16, 2008 Upgraded to Baa2 (sf) -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa1 (sf); previously on June 16, 2008 Assigned Baa2 (sf) Issuer: AFC Mtg Loan AB Certs 1999-1 -- 1A, Downgraded to Caa2 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- 2A, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: AFC Mtg Loan AB Notes 2000-1 -- Cl. 1A, Downgraded to Caa3 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Ca (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to Ca (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: AFC Mtg Loan AB Notes 2000-2 -- Cl. 1A, Current rating at B3 (sf); previously on Feb. 18, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to Ca (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Current rating at B3 (sf); previously on Feb. 18, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to Ca (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade ALLY FINANCIAL: Fitch Assigns 'B+' Ratings to $2.67 Bil. Notes -------------------------------------------------------------- Fitch Ratings has assigned a 'B+' rating to Ally Financial Inc.'s $2.67 billion trust preferred securities, series 2 issued out of GMAC Capital Trust I. The underlying junior subordinated securities are cumulative, contain a five-year optional deferral mechanism which is subject to the prior approval of the Federal Reserve, and rank senior to existing preferred equity and common equity securities. The trust preferred securities were originally issued by Ally Financial Inc. to the U.S. Treasury as a part of the capital purchase plan on Dec. 30, 2009. The proceeds from the series 2 issuance will be used solely to repay the U.S. Treasury. This rating action does not constitute a full review of Ally and its subsidiaries and therefore does not address every aspect of Fitch's rating criteria. Fitch assigns this rating: GMAC Capital Trust I -- Trust Preferred Securities, Series 2 'B+'. AMERICAN TOWER: S&P Raises Rating on Class F Notes From BB+ (sf) ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on five classes of commercial mortgage-backed securities from American Tower Trust I's series 2007-1. Concurrently, S&P affirmed its ratings on two other classes from the same transaction. The upgrades and affirmations reflect S&P's revaluation of the underlying collateral, which considered improved portfolio performance since issuance, the deal structure, and the liquidity available to the trust. S&P also considered the tenant concentration and the sponsor/operator's creditworthiness. Furthermore, Standard & Poor's considers wireless communication sites a relatively less stable property type due to the concentration of the tenant base in the telecommunications industry. The mortgage loan collateralizing the transaction has a whole-loan balance of $1.75 billion and is secured by 5,292 wireless communication sites that are owned (in fee or under long-term easements), ground leased, or owned by AT&T in 46 states and the District of Columbia. The loan bears a 5.608% interest rate based on the component rates of the underlying tranches and has an anticipated repayment date in April 2014. After that date, the loan will hyperamortize until the final maturity date in April 2037. The transaction's collateral portfolio of 5,292 wireless communication sites includes towers, rooftop sites, or other structures that are leased to wireless communications companies, broadcasters, and other users. The sites are classified under three categories: owned-land sites (295 sites, 7.6% of revenue run rate), ground-lease sites (4,772 sites, 87.9% of RRR), and AT&T- owned land sites (275 sites, 4.5% of RRR), for which the net monthly ground rent is $0. The tenant base is categorized by five major industry segments: telephony, broadcast, paging, data, and other miscellaneous applications. Overall, the five-largest tenants are AT&T ('A-', 35.1% of RRR), Sprint Nextel ('BB-', 24.4%), T-Mobile (not rated, 10.6%), Verizon Wireless ('A-', 8.1%), and Clearwire Corp. ('CCC+', 4.4%). While the tenants rated investment-grade ('BBB-' or higher) by Standard & Poor's generate approximately 44.7% of in-place revenues, compared to 83.5% at issuance, the overall revenue increased resulting in a 46% increased S&P value since issuance as noted below. S&P revalued the entire portfolio using these assumptions: * Gross income was based on the annualized RRR for leases in place as of Dec. 31, 2010, as well as credit for contractual rent steps through year-end 2011; * Operating expenses were based on historical averages; * The management fee was underwritten per the contractual amount of 7.5% of revenues; S&P estimated replacement reserves for capital expenditures based on historical data for the various tower types: cable-guyed at $1,200 per tower, lattice at $1,000, monopole at $500, and all others at $400. The weighted average per tower estimated replacement reserves were $805;Mortgage properties were valued by a direct capitalization of net cash flow using rates ranging from 8.75% to 12.00%, depending on the creditworthiness of the tenants. All other properties, including non-mortgaged and managed sites, were valued by a direct capitalization of NCF using a rate of 12.0%. This resulted in a weighted average cap rate of 10.78%. All sites with management contracts or ground leases that contain terms shorter than 10 years were valued by discounting the NCF until lease expiration. As of Sept. 30, 2010, Bank of New York, the master servicer, reported a trust and whole-loan debt service coverage of 3.20x based on NCF. Standard & Poor's adjusted valuation for the loan resulted in a 46% increase since issuance. S&P also considered the tenant concentration, with one tenant, AT&T ('A-'), representing 35.1% of the portfolio's RRR, and the top five tenants accounting for 82.5% of RRR. S&P's rating on the sponsor, American Tower Corp., is 'BB+' which has been maintained since issuance. Lastly, Standard & Poor's considered the volatility of the asset type through more conservative capitalization rates and capital structure assumptions. Ratings Raised American Tower Trust I Commercial mortgage pass-through certificates series 2007-1 Rating ------ Class To From ----- -- ---- B AAA (sf) AA (sf) C AA+ (sf) A (sf) D A+ (sf) BBB (sf) E A (sf) BBB- (sf) F BBB+ (sf) BB+ (sf) Ratings Affirmed American Tower Trust I Commercial mortgage pass-through certificates series 2007-1 Class Rating ----- ------ A-FX AAA (sf) A-FL AAA (sf) ARCAP 2005-RR5: S&P Downgrades Rating to Class A-3 to 'D' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'D (sf)' from 'CCC- (sf)' on the class A-3 certificates from ARCap 2005-RR5 Resecuritization Inc., a U.S. resecuritized real estate mortgage investment conduit. S&P also affirmed S&P's 'CCC- (sf)' ratings on two additional classes from the same transaction. The downgrade of class A-3 reflects a principal loss of $9.9 million the class incurred as detailed in the Feb. 24, 2011, remittance report. Following the principal loss, the class A-3 had principal balance of $16.3 million, down from $26.2 million at issuance. Class B, which S&P previously downgraded to 'D (sf)', lost 100% of its $21.9 million issuance principal balance according to the February 2011 remittance report. The affirmations of S&P's 'CCC- (sf)' ratings on classes A-1 and A-2 reflect its analysis of the transaction and its underlying collateral. According to the most recent trustee report, the principal loss was due to principal losses on the underlying commercial mortgage- backed securities and re-REMIC collateral. These CMBS and re- REMIC classes experienced principal losses totaling $10.2 million as noted in the trustee report: * ARCap 2004-RR3 Resecuritization Inc. (classes K and L; $8.4 million loss); and * DLJ Commercial Mortgage Corp. 1999-CG1 (class B8; $1.8 million loss). According to the remittance report, ARCap 2005-RR5 was collateralized by one re-REMIC and 12 CMBS certificates ($68.5 million, 100%) from 11 distinct transactions issued between 1999 and 2005. Standard & Poor's analyzed ARCap 2005-RR5 according to its current criteria. The analysis is consistent with the lowered and affirmed ratings. Rating Lowered ARCap 2005-RR5 Resecuritization Inc. Rating ------ Class To From ----- -- ---- A-3 D (sf) CCC- (sf) Ratings Affirmed ARCap 2005-RR5 Resecuritization Inc. Class Rating ----- ------ A-1 CCC- (sf) A-2 CCC- (sf) ARES IX: S&P Raises Ratings on Various Classes of Notes ------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1-A, A-1-C, A-2, B, C, D-1, and D-2 notes from Ares IX CLO Ltd., a collateralized loan obligation transaction managed by Ares Management LLC. At the same time, S&P removed its ratings on the class A-1-A, A-1-C, A-2, and B notes from CreditWatch, where S&P placed them with positive implications on Jan. 19, 2011. S&P also affirmed its 'AAA (sf)' rating on the class A-1-B notes. The upgrades reflect the improved credit quality S&P has observed in the deal's underlying asset portfolio as well as paydowns to the class A-1-A, A-1-B, and A-2 notes since S&P's March 26, 2010, rating actions. At that time S&P downgraded most of the rated notes following the application of its September 2009 corporate collateralized debt obligation criteria. As of the Feb. 3, 2011, trustee report, the transaction had $4.1 million in defaulted assets. This was down from $27.7 million noted in the Feb. 3, 2010, trustee report, which S&P referenced for its March 2010 rating actions. Additionally, assets from obligors rated in the 'CCC' category were reported at $10.8 million in February 2011, compared with $58.7 million in February 2010. Furthermore, the paydowns on the class A-1-A, A-1-B, and A-2 note balances totaled $125 million over the same period. Partially due to the factors above, the transaction has also benefited from an increase in overcollateralization available to support the rated notes. The February 2011 trustee report cited a class A/B O/C ratio of 128.83%, up from a reported ratio of 117.28% in February 2010. The affirmation of S&P's rating on the class A-1-B notes reflects the availability of credit support at the current rating level. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as S&P deem necessary. Rating And Creditwatch Actions Ares IX CLO Ltd. Rating ------ Class To From ----- -- ---- A-1-A AAA (sf) AA- (sf)/Watch Pos A-1-C AAA (sf) AA- (sf)/Watch Pos A-2 AAA (sf) AA- (sf)/Watch Pos B AA+ (sf) A- (sf)/Watch Pos C A+ (sf) BBB- (sf) D-1 BB+ (sf) CCC- (sf) D-2 BB+ (sf) CCC- (sf) Rating Affirmed Ares IX CLO Ltd. Class Rating ----- ------ A-1-B AAA (sf) Transaction Information ----------------------- Issuer: Ares IX CLO Ltd. Coissuer: Ares IX CLO Corp. Collateral manager: Ares Management LLC Underwriter: Lehman Brothers Inc. Trustee: Deutsche Bank Trust Co. Americas Transaction type: Cash flow CLO ARES XVI: S&P Assigns Ratings on $356 Mil. Floating-Rate Notes -------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Ares XVI CLO Ltd./Ares XVI CLO LLC's $356 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 assessment 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 (CDO) 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 broadly syndicated speculative-grade senior secured term loans. The asset manager's experienced management team. The timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest rate scenarios, including LIBOR ranging from 0.29%- 11.57%. The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. The transaction's interest reinvestment test, a failure of which during the reinvestment period will lead to the reclassification of excess interest proceeds that are available prior to paying uncapped trustee, collateral manager, and administrative expenses and fees; hedge payments; asset manager incentive fees; and subordinate note payments to principal proceeds for the purchase of collateral assets; or, at the asset manager's discretion, to reduce the balance of the rated notes outstanding sequentially. Ratings Assigned Ares XVI CLO Ltd./Ares XVI CLO LLC Class Rating Amount (mil. $) ----- ------ --------------- A AAA (sf) 260 B AA (sf) 21 C (deferrable) A (sf) 35 D (deferrable) BBB (sf) 22 E (deferrable) BB (sf) 18 Subordinated notes NR 54 NR -- Not rated. ARLO VII: S&P Downgrades Ratings on 2007-CSTON-7B-1 Notes --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the notes from ARLO VII Ltd.'s series 2007-CSTON-7B-1 and series 2007- CSTON-7C-1 and Morgan Stanley ACES SPC's series 2006-22 to 'D (sf)'. The lowered ratings follow a number of recent credit events within the transactions' underlying portfolios that caused the notes to incur full principal losses. Ratings Lowered ARLO VII Ltd. 2007-CSTON-7B-1 Rating ------ Class To From ----- -- ---- CSTON-7B1 D (sf) CCC- (sf) ARLO VII Ltd. 2007-CSTON-7C-1 Rating ------ Class To From ----- -- ---- CSTON-7C-1 D (sf) CCC- (sf) Morgan Stanley ACES SPC Series 2006-22 Rating ------ Class To From ----- -- ---- Class II D (sf) CC (sf) ATRIUM IV: Moody's Upgrades Ratings on Various Classes of Bonds --------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Atrium IV: -- US$387,000,000 Class A1-a Floating Rate Notes Due 2019 (current balance: $381,251,692.88), Upgraded to Aa3(sf); previously on August 5, 2009 Downgraded to A1(sf); -- US$7,000,000 Class A1-b Fixed Rate Notes Due 2019 (current balance: $6,896,025.45), Upgraded to Aa3(sf); previously on August 5, 2009 Downgraded to A1(sf); -- US$100,000,000 Class A2 Delayed Draw Floating Rate Notes Due 2019 (current balance: $98,514,649.32), Upgraded to Aa3(sf); previously on August 5, 2009 Downgraded to A1(sf); -- US$28,000,000 Class A3 Deferrable Floating Rate Notes Due 2019, Upgraded to A3(sf); previously on August 5, 2009 Downgraded to Baa2(sf); -- US$35,000,000 Class B Deferrable Floating Rate Notes Due 2019, Upgraded to Ba1(sf); previously on August 5, 2009 Downgraded to Ba2(sf); -- US$27,500,000 Class C Floating Rate Notes Due 2019, Upgraded to B3(sf); previously on August 5, 2009 Downgraded to Caa2(sf); -- US$8,000,000 Class D-1 Floating Rate Notes Due 2019, Upgraded to Caa3(sf); previously on November 23, 2010 Ca(sf) Placed Under Review for Possible Upgrade; -- US$3,500,000 Class D-2 Fixed Rate Notes Due 2019, Upgraded to Caa3(sf); previously on November 23, 2010 Ca(sf) 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 August 2009 rating action. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor). As of the trustee report dated January 25, 2011, the weighted average rating factor is currently 2766 compared to 2889 in the June 1, 2009 report. Additionally, defaulted securities total about $17.8million of the underlying portfolio compared to $68.7million in June 2009. The percentage of securities rated Caa and below also declined to 5.37 from 9.57. The overcollateralization ratios of the rated notes have also improved since the rating action. The Class A, B, C and D Par Value Tests are reported at 121.78%, 114.02%, 108.59% and 106.47%respectively, versus June 2009 levels of 115.06%, 107.78%, 102.68% and 100.69% respectively. All overcollateralization tests are currently in compliance. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par balance of $622.6million, defaulted par of $18.3 million, a weighted average default probability of 28% (implying a WARF of 3900), a weighted average recovery rate upon default of 41.83% and a diversity score of 75. 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. Atrium IV, issued in June 2005, 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 sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF - 20% (3120) -- Class A1-a: +2 -- Class A1-b: +2 -- Class A3: +2 -- Class B: +2 -- Class C: +3 -- Class D-1: +3 -- Class D-2: +3 Moody's Adjusted WARF +20% (4680) -- Class A1-a: -2 -- Class A1-b: -2 -- Class A3: -2 -- Class B: -2 -- Class C: -3 -- Class D-1: 0 -- Class D-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 manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. 3) Other collateral quality metrics: The deal is allowed to reinvest until June 2011 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 spread, weighted average coupon and diversity score. AVIATION CAPITAL: Moody's Downgrades Ratings on Various Notes ------------------------------------------------------------- Moody's Investors Service has downgraded the Class A-1 and B-1 of pooled aircraft lease-backed notes issued by Aviation Capital Group Trust, Series 2000-1. The sponsor is Aviation Capital Group. The complete rating action is: Issuer: Aviation Capital Group Trust, Series 2000-1 -- Class A-1, Downgraded to Caa2 (sf); previously on Dec. 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Class B-1, Downgraded to C (sf); previously on Dec. 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The Class A-1 Notes were downgraded because of note balances which appear to exceed aircraft value, and Moody's view that values are unlikely to rebound significantly because the aircraft are older and in less demand. At closing in 2000 the Notes were backed by a pool of 30 aircraft. As of January 2011, the pool had 24 aircraft with an average appraised base value of approximately $273 million, comprised mainly of old-vintage and old generation (i.e. "classic") aircraft which have experienced accelerated declines in demand and lease rates as a result of the global recession. Aircraft maintenance expenses have completely depleted the Investment Agreement Account from $30 million to zero as of early 2009. In assessing value, Moody's considered two sources, the most recent base appraised value, and indicative market value by type according to published aircraft values by other ISTAT certified independent appraiser. Base value is the underlying economic value of an aircraft in a stable market environment with a balanced supply and demand. Market value is the most likely trading price under the current market circumstances. Due to the sharply reduced demand in the old vintage aircrafts, the market value is significantly lower than the base value for this portfolio. The current Loan-to-Value ratio of Class A-1 Notes is approximately 95% using the base appraisal value, while the LTV calculated using the market value is significantly higher than 100% for the Class A-1; both indicate the distinct possibility that noteholders may suffer a loss. The Class B-1 Notes current LTV ratio is approximately 111% using the base value. The recovery rate is approximately 30% on the B-1 notes, indicates significant losses on the Notes. Moody's also considered the portfolio rental income and the reserve account. Both are insignificant when comparing to the outstanding note balance. In the last two quarters, the average monthly rental income is about $3 million, and also the principal payment is about $3 million each month. There is a $7 million reserve account for Class A. They are relatively small comparing to the $259 million Class A-1 outstanding balance. Moody's Investors Service received and took into account third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a negative impact on the rating. BABSON CLO: S&P Raises Ratings on Various Classes of Notes ---------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-3, B-1, B-2, C, D-1, and D-2 notes from Babson CLO Ltd. 2007-I, a collateralized loan obligation transaction managed by Babson Capital Management LLC. At the same time, S&P affirmed its ratings on the class A-1, A-2a, and A-2b notes. Concurrently, S&P removed its ratings on the class A-1, A-2b, A-3, B-1, and B-2 notes from CreditWatch, where S&P placed them with positive implications on Jan. 3, 2011. The upgrades mainly reflect an improvement in the performance of the transaction's underlying asset portfolio, since S&P's Nov. 9, 2009, rating action, when S&P downgraded some of the rated notes following the application of its September 2009 corporate CDO criteria. As of the February 2011 trustee report, the transaction had $8.01 million of defaulted assets. This was down from $33.74 million noted in the September 2009 trustee report, which S&P referenced for its November 2009 rating actions. Furthermore, assets from obligors rated in the 'CCC' category were reported at $52.32 million in February 2011, compared with $93.36 million in September 2009. The transaction has further benefited from an increase in the overcollateralization available to support the rated notes. The trustee reported these O/C ratios in the Feb. 8, 2011, monthly report: * The class A O/C ratio was 123.45%, compared with a reported ratio of 113.34% in September 2009; * The class B O/C ratio was 115.09%, compared with a reported ratio of 105.79% in September 2009; * The class C O/C ratio was 110.68%, compared with a reported ratio of 101.80% in September 2009; and * The class D O/C ratio was 106.59%, compared with a reported ratio of 98.02% in September 2009. The affirmations of S&P's ratings on the class A-1, A-2a, and A-2b notes reflect the availability of credit support at the current rating levels. 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 2007-I Rating ------ Class To From ----- -- ---- A-1 AA+ (sf) AA+ (sf)/Watch Pos A-2b AA+ (sf) AA+ (sf)/Watch Pos A-3 AA (sf) AA- (sf)/Watch Pos B-1 A+ (sf) A- (sf)/Watch Pos B-2 A+ (sf) A- (sf)/Watch Pos C BBB+ (sf) BBB (sf) D-1 BB+ (sf) BB (sf) D-2 BB+ (sf) BB (sf) Rating Affirmed Babson CLO Ltd 2007-I Class Rating ----- ------ A-2a AAA (sf) Transaction Information ----------------------- Issuer: Babson CLO Ltd. 2007-I Coissuer: Babson CLO Inc. 2007-I Collateral manager: Babson Capital Management LLC Underwriter: Citigroup Global Markets Inc Trustee: State Street Bank and Trust Co. Transaction type: Cash flow CLO BANC OF AMERICA: Fitch Takes Rating Actions on 2004-4 Certs. ------------------------------------------------------------ Fitch Ratings has downgraded one class, upgraded four classes, and affirmed 19 classes of Banc of America Commercial Mortgage Inc. 2004-4, commercial mortgage pass-through certificates, due to paydown since issuance and further deterioration of performance, most of which involves increased losses on the specially serviced loans. The upgrades are due to increased credit enhancement as a result of paydown. As of the February 2011 distribution date, the pool's aggregate principal balance has been paid down by 32.2% to $878.6 million from approximately $1.3 billion at issuance. Five loans (9.6%) have defeased since issuance. The downgrade of class J reflects an increase in Fitch expected losses on specially serviced loans. Fitch modeled losses of 5.1% of the remaining pool. Fitch has designated 15 loans (13.4%) as Fitch Loans of Concern, including eight specially serviced loans (8.9%). Fitch expects classes M through P may be fully depleted from losses associated with the specially serviced assets. Interest shortfalls currently affect classes J through P. The largest contributor to Fitch expected losses is secured by a 722,253 sf industrial/warehouse property in North Kingstown, RI. The loan (2.2% of outstanding pool) transferred to special servicing in October 2008. The property is real estate owned (REO), and the special servicer is working to retain existing tenants and lease vacant space. The next largest contributor to Fitch expected losses is a 159,327 sf retail property (1.3% of outstanding pool), located in Pottstown, PA. The largest tenant at the property, a 52,700 sf grocery store (35.9% of NRA), has gone dark, but the tenant is expected to continue paying rent through its lease expiration in 2014. The property is REO. Fitch upgrades these classes and assigns Rating Outlooks: -- $35.6 million class B to 'AAA/LS4' from 'A/LS4'; Outlook Stable; -- $11.3 million class C to 'AA/LS5' from 'A/LS5'; Outlook Stable; -- $21.1 million class D to 'BBB/LS5' from 'BB/LS5'; Outlook Stable; -- $9.7 million class E to ' BBB-/LS5' from 'BB/LS5'; Outlook to Stable from Negative. Fitch downgrades this class and assigns a Recovery Rating: -- $6.5 million class J to 'CCC/RR1' from ' B-/LS5'. Fitch also affirms these classes and revises Recovery Ratings and Outlooks as indicated: -- $213.4 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $107 million class A-5 at 'AAA/LS1'; Outlook Stable; -- $272.2 million class A-6 at 'AAA/LS1'; Outlook Stable; -- $117.5 million class A-1A at 'AAA/LS1'; Outlook Stable; -- $16.2 million class F at 'B/LS5'; Outlook to Negative from Stable; -- $11.3 million class G at 'B-/LS5'; Outlook to Negative from Stable; -- $16.2 million class H at 'B-/LS5'; Outlook to Negative from Stable; -- $6.5 million class K at 'CCC/RR1'; -- $6.5 million class L at 'CC/RR4'; -- $3.2 million class M at 'CC/RR6'; -- $3.2 million class N at 'CC/RR6'; -- $4.5 million class O at 'C/RR6'; -- $2 million class DM-A at 'A+/LS1'; Outlook Stable; -- $4.3 million class DM-B at 'A/LS1'; Outlook Stable; -- $3.4 million class DM-C at 'A-/LS1'; Outlook Stable; -- $3.7 million class DM-D at 'BBB+/LS1'; Outlook Stable; -- $3.9 million class DM-E at 'BBB/LS1'; Outlook Stable; -- $3.5 million class DM-F at 'BBB-/LS1'; Outlook Stable; -- $3.3 million class DM-G at 'BBB-/LS1'; Outlook Stable. Fitch does not rate the $16.2 million class P or the $103 million class BC. Classes A-1, A-2 and A-3 have paid in full. Fitch withdraws the rating on the interest-only classes X-C and X- P. BEA CBO: Fitch Affirms & Withdraws 'Dsf' Rating on Class A-3 Notes ------------------------------------------------------------------ Fitch Ratings has affirmed the rating on these remaining class of notes from BEA CBO 1998-2, LTD., and subsequently withdraws the rating since the notes have matured: -- $20,000,000 class A-3 notes 'Dsf'. At the stated maturity date on Dec. 15, 2010, the class A-3 notes received approximately $2.8 million of interest, and did not receive any principal payments. The 'Dsf' ratings on the class A- 3 notes reflect the issuer's failure to redeem all principal and interest due at the stated maturity date. BEA CBO 1998-2 was a collateralized bond obligation that closed Dec. 3, 1998, and was managed by Credit Suisse Asset Management. BEAR STEARNS: Fitch Downgrades Ratings on 14 2007-TOP26 Certs. -------------------------------------------------------------- Fitch Ratings has downgraded 14 classes of Bear Stearns Commercial Mortgage Securities Trust (BSCMS 2007-TOP26) commercial mortgage pass-through certificates. The downgrades are due to further deterioration of loan performance, a significant portion 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 6.4% for the remaining pool (expected losses of the original pool are at 6.2%). Fitch has designated 49 loans (19.9%) as Fitch Loans of Concern, which includes seven specially serviced loans (7%). At last review, there were only three loans in special servicing (3.7%). Fitch expects classes H through P may be fully depleted from losses associated with the specially serviced loans. As of the February 2011 distribution date, the pool's aggregate principal balance has decreased by 3.1% to $2.04 billion from $2.11 billion at issuance. Realized losses incurred to date total $14 million. No loans are currently defeased. Cumulative interest shortfalls in the amount of $2.4 million are currently affecting classes F through P. The largest contributor to Fitch modeled losses is a defaulted loan (3.2%) secured by a 475,000 square foot (sf) office property located in Phoenix, AZ. The loan was transferred to special servicing in February 2010 for imminent default after a major tenant rejected its lease in bankruptcy. Fitch expects a significant loss upon liquidation based on a May 2010 appraised value well below the outstanding loan balance. The next largest contributor to Fitch modeled losses is a loan (2.4%) secured by a 210,000 sf office property located in Tacoma, WA. The investment grade single tenant moved its headquarters to Seattle and vacated the property in 2010. The tenant is obligated to make rental payments through November 2013; however, efforts to sublease the property have not been successful to date. A cash flow sweep will be triggered in November 2011, which will collect up to $193,340/month to cover costs associated with re-leasing the property. The third largest contributor to Fitch modeled losses is secured by a full service hotel (1.1%) located in Santa Maria, CA. The loan was transferred to special servicing in March 2010 after payment default. The most recent appraisal obtained by the special servicer indicates a significant loss if the loan is liquidated. Fitch has downgraded these classes and revised Loss Severity and Recovery Ratings where applicable: -- $160.6 million class A-J to 'BBB-/LS3' from 'AAsf/LS3'; Outlook Stable; -- $42.1 million class B to 'Bsf/LS5' from 'Asf/LS4'; Outlook Negative; -- $18.4 million class C to 'B-sf/LS5' from 'Asf/LS5'; Outlook Negative; -- $29 million class D to 'CCCsf/RR1' from 'BBBsf/LS4'; -- $15.8 million class E to 'CCCsf/RR1' from 'BBB-sf/LS5'; -- $18.4 million class F to 'CCCsf/RR1' from 'BBsf/LS5'; -- $18.4 million class G 'to 'CCCsf/RR5' from 'Bsf/LS5'; -- $18.4 million class H to 'CCsf/RR6' from 'B-sf/LS5'; -- $2.6 million class J to 'CCsf/RR6' from 'B-sf'/LS5; -- $2.6 million class K to 'CCsf/RR6' from 'B-sf/LS5'; -- $5.3 million class L to 'Csf/RR6' from'CCCsf/RR6'; -- $2.6 million class M to 'Csf/RR6' from 'CCCsf/RR6'. -- $5.3 million class N to 'Csf/RR6' from 'CCCsf/RR6'. -- $2.6 million class O to 'Csf/RR6' from 'CCCsf/RR6'. Fitch has also affirmed these classes and revised LS ratings as indicated: -- $25.8 million class A-1 at 'AAAsf/LS1'; Outlook Stable; -- $177 million class A-2 at 'AAAsf/LS1'; Outlook Stable; -- $65.4 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- $78 million class A-AB at 'AAAsf/LS1'; Outlook Stable; -- $991.9 million class A-4 at 'AAAsf/LS1'; Outlook Stable; -- $147.3 million class A-1A at 'AAAsf/LS1'; Outlook Stable; -- $210.6 million class A-M at 'AAAsf/LS3' from 'AAAsf/LS2'; Outlook Stable. Fitch withdraws the ratings on the interest-only classes X-1 and X-2. BEAR STEARNS: Moody's Affirms Ratings on 19 2004-PWR5 Certs. ------------------------------------------------------------ Moody's Investors Service affirmed the ratings of 19 classes of Bear Stearns Commercial Mortgage Securities Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-PWR5: -- Cl. A-2, Affirmed at Aaa (sf); previously on Nov. 8, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Nov. 8, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Nov. 8, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-5, Affirmed at Aaa (sf); previously on Nov. 8, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aa2 (sf); previously on Nov. 8, 2004 Definitive Rating Assigned Aa2 (sf) -- Cl. C, Affirmed at Aa3 (sf); previously on Nov. 8, 2004 Definitive Rating Assigned Aa3 (sf) -- Cl. D, Affirmed at A2 (sf); previously on Nov. 8, 2004 Definitive Rating Assigned A2 (sf) -- Cl. E, Affirmed at A3 (sf); previously on Nov. 8, 2004 Definitive Rating Assigned A3 (sf) -- Cl. F, Affirmed at Baa3 (sf); previously on April 28, 2010 Downgraded to Baa3 (sf) -- Cl. G, Affirmed at Ba1 (sf); previously on April 28, 2010 Downgraded to Ba1 (sf) -- Cl. H, Affirmed at Ba3 (sf); previously on April 28, 2010 Downgraded to Ba3 (sf) -- Cl. J, Affirmed at B2 (sf); previously on April 28, 2010 Downgraded to B2 (sf) -- Cl. K, Affirmed at B3 (sf); previously on April 28, 2010 Downgraded to B3 (sf) -- Cl. L, Affirmed at Caa1 (sf); previously on April 28, 2010 Downgraded to Caa1 (sf) -- Cl. M, Affirmed at Caa2 (sf); previously on April 28, 2010 Downgraded to Caa2 (sf) -- Cl. N, Affirmed at Caa3 (sf); previously on April 28, 2010 Downgraded to Caa3 (sf) -- Cl. P, Affirmed at Ca (sf); previously on April 28, 2010 Downgraded to Ca (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Nov. 8, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X-2, Affirmed at Aaa (sf); previously on Nov. 8, 2004 Definitive Rating Assigned Aaa (sf) 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 2.5% of the current balance. At last review, Moody's cumulative base expected loss was 2.3%. Moody's stressed scenario loss is 7% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 28, 2010. Deal Performance As of the February 11, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 20% to $990.4 million from $1.2 billion at securitization. The Certificates are collateralized by 119 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 41% of the pool. The pool contains one loan with an investment grade credit estimate that represents 1% of the pool. At the last full review, the New Hampshire Tower Loan ($5.5 million -- 1% of the pool) had an investment grade credit estimate. Due to decline in performance the loan no longer has a credit estimate and is part of the conduit pool. Ten loans, representing 20% of the pool, have defeased and are collateralized with U.S. Government securities. Twenty-nine 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. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $2.3 million (51% loss severity overall). One loan, representing less than 1% of the pool, is currently in special servicing. The master servicer has recognized a $4.1 million appraisal reduction for the specially serviced loan. Moody's has estimated an aggregate $4.3 million loss (65% expected loss) for the specially serviced loan. Moody's has assumed a high default probability for seven poorly performing loans representing 2% of the pool and has estimated a $3.8 million aggregate loss (19% expected loss based on a 53% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 89% and 76% of the pool's loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 81% compared to 82% 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 9.2%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.54X and 1.34X, respectively, compared to 1.52X and 1.29X 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 35, the same level at Moody's prior review. The loan with a credit estimate is the New Castle Marketplace Loan ($10.8 million -- 1.1% of the pool), which is secured by a 300,000 square foot retail center located in New Castle, Delaware. The property was 100% leased as of October 2010, the same as at last review. The loan amortizes on a 15-year schedule and has amortized 32% since last review. Performance has been stable. Moody's current credit estimate and stressed DSCR are Aaa and 3.2X, respectively, compared to Aaa and 2.4X at last review. The top three performing conduit loans represent 17% of the pool balance. The largest loan is the 3941 Fairview Park Drive Loan ($69.0 million -- 7.0% of the pool), which is secured by a 353,000 SF Class A office building located in Falls Church, Virginia. The property was 99% leased as of September 2010, the same as at last review. The largest tenants are General Dynamics Corporation which leases 48% of the net rentable area through March 2019 and Howrey LLP, which leases 21% of the NRA through December 2016. Performance has improved since securitization due to increasing base rent. Moody's LTV and stressed DSCR are 77% and 1.19X, respectively, compared to 84% and 1.09X at last review. The second largest loan is The Summit Louisville Loan ($54.8 million -- 5.5% of the pool), which is secured by a 341,000 SF retail complex located in Louisville, Kentucky. The property was 98% leased as of September 2010, similar to last review. This loan is interest only for its entire seven year term. Moody's LTV and stressed DSCR are 89% and 1.09X, respectively, compared to 88% and 1.11X at last review. The third largest loan is the Reisterstown Plaza Loan ($45.8 million -- 4.6% of the pool), which is secured by a 792,000 SF office and retail center located in Baltimore, Maryland. The property was 82% leased as of September 2010, the same as at last review. Moody's LTV and stressed DSCR are 86% and 1.14X, respectively, compared to 96% and 1.01X at last review. BEAR STEARNS: Moody's Reviews Ratings on Six Tranches ----------------------------------------------------- Moody's Investors Service has placed on review for possible downgrade six tranches in the Bear Stearns Small Balance Commercial Mortgage Trust 2006-1 securitization. Wells Fargo Bank servicers the transaction. The loans are secured primarily by commercial real estate. The complete rating actions are as followed: Issuer: Bear Stearns Small Balance Commercial Mortgage Trust 2006- 1 -- Cl. A, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jan. 2, 2007 Assigned Aaa (sf) -- Cl. M-1, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Jan. 2, 2007 Assigned Aa2 (sf) -- Cl. M-2, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jan. 2, 2007 Assigned A2 (sf) -- Cl. M-3, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jan. 2, 2007 Assigned Baa2 (sf) -- Cl. M-4, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jan. 2, 2007 Assigned Baa3 (sf) -- Cl. B, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jan. 2, 2007 Assigned Ba2 (sf) Rating Rationale The rating actions are due to an increase in 90 days or more delinquencies, including amounts in foreclosure and REO, from 18% to 28% of the current pool balance over the past year. The methodology used in these rating actions included an analysis of the loan level collateral to estimate lifetime losses. The estimated losses were then evaluated against the available credit enhancement provided by overcollateralization and excess spread. Sufficiency of coverage was considered in light of the credit quality of the collateral pool, industry, geographical and loan concentrations, historical variability of losses experienced by the issuer, and servicer quality. During the review period, Moody's will project expected defaults and recoveries on the underlying pools of loans using a loan-by- loan analysis of business types, property locations, past payment histories, borrowers' creditworthiness, and most recent appraisals or estimates of market values of the properties. The Aaa volatility proxies will also be determined. Driving factors of the Aaa volatility proxy for each deal are the credit quality of the collateral pool, the historical variability in losses experienced by the issuer, the servicer quality as well as the industrial, geographical and obligor concentrations. Based on Moody's revised expected losses and Aaa volatility proxies, Moody's will evaluate whether the available credit enhancement adequately protects investors against future collateral losses for given rating assignments. Primary sources of assumption uncertainty are the general economic environment, commercial property values, and the ability of small businesses to recover from the recession. BLUE HERON: Fitch Affirms Ratings on Seven Classes of Notes ----------------------------------------------------------- Fitch Ratings has affirmed the ratings on seven classes of notes issued by Blue Heron Funding II, Ltd.: -- $405,449,622 class A notes at 'Csf'; -- $17,205,585 class B notes at 'Csf'; -- $34,409,633 class C notes at 'Csf'; -- $21,920,190 class D notes at 'Csf'; -- $17,302,125 class E notes at 'Csf'; -- $17,302,125 class E additional interest (interest only) at 'Csf'; -- $3,986,875 Certificates (principal only) at 'AAAsf'; Outlook Stable. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. The Structured Finance Portfolio Credit Model and Fitch's cash flow model were not used in this review because the transaction is undercollateralized and structural features were determined to have minimal impact in the context of the classes' ratings. Since Fitch's last rating action in March 2010, the portfolio balance has declined to $390.9 million from $534.2 million, a difference of $143.3 million, while the class A notes have only received $116.8 million of principal repayment. Approximately $23.3 million of writedowns in the portfolio have left the entire capital structure of Blue Heron II with negative credit enhancement levels. Principal proceeds have been needed intermittently to cover shortfalls in interest collections for accrued interest to the class A, class B and class C notes, which also contributed to the erosion of credit enhancement. The class A, class B and class C notes are rated to the timely receipt of interest and continue to receive accrued interest distributions, from a combination of interest and principal collections. The class D and class E notes, and class E additional interest are no longer receiving interest distributions due to failing class A/B/C coverage tests. Based on the current portfolio and the anticipated future loss of additional principal proceeds to cover interest shortfalls, Fitch believes default continues to appear inevitable for the classes A, B, C, D and E notes and the class E additional interest. The Certificates are rated to the ultimate receipt of principal, where coupon payments received in the interest waterfall are applied to reduce the outstanding rated balance. While these distributions are no longer being made due to failing coverage tests and are not expected to resume in the future, the principal of the Certificates is protected by a Certificate Protection Asset, which is a zero coupon bond with a face value of $6 million maturing in April 2030, that was issued by Resolution Funding Corporation, a U.S. government agency. As per the terms of the transaction, no party to the transaction other than the Certificate holders have claim against the Certificate Protection Asset. Therefore, the Certificates are affirmed at 'AAAsf' and retain their Stable Outlook. Because the ultimate receipt of the remaining rated balance is not linked to the performance of the transaction's underlying portfolio, Fitch is not assigning a Loss Severity Rating to the Certificates. Blue Heron II is a structured finance collateralized debt obligation that closed on Dec. 22, 2005, and is managed by Westdeutsche Landesbank Girozentrale, New York Branch. The portfolio is composed of commercial mortgage-backed securities (43.2%), residential mortgage-backed securities (38.3%), SF CDOs (11.7%), corporate CDOs (3.5%), corporate debt (2.1%), and commercial and consumer asset-backed securities (1.3%) from 1996 through 2007 vintage transactions. BRISTOL CDO: Moody's Upgrades Ratings on Two Classes of Notes ------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of two classes of notes issued by Bristol CDO I Ltd. The classes of notes affected by the rating action are: -- Class A-1 Floating Rt. Notes (current balance of $25,761,903), Upgraded to Baa1 (sf); previously on April 29, 2010 Downgraded to B3 (sf); -- Class A-2 Floating Rt. Notes (current balance of $2,362,948), Upgraded to Baa1 (sf); previously on April 29, 2010 Downgraded to B3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the continuing amortization of the Class A-1 and Class A-2 Notes, which have been paid off by 9.8 million since April 2010. The rating action also reflects an improvement in the credit quality of the transaction's underlying portfolio. Credit improvement is observed through an increase in the average credit rating (as measured by a decline in the weighted average rating factor (WARF)). According to the trustee, the WARF of the portfolio has decreased to 2020 from 3234 since the last review in April 2010. The deal also benefits from the diversion of excess interest to amortize the Class A Notes. Bristol CDO I Ltd. is a collateralized debt obligation backed primarily by a portfolio of CMBS, RMBS and ABS originated from 1999 to 2002. Moody's applied the Monte Carlo simulation framework within CDOROMv2.6 to model the loss distribution for SF CDOs. Within this framework, defaults are generated so that they occur with the frequency indicated by the adjusted default probability pool (the default probability associated with the current rating multiplied by the Resecuritization Stress) for each credit in the reference. Specifically, correlated defaults are simulated using a normal (or "Gaussian") copula model that applies the asset correlation framework. Recovery rates for defaulted credits are generated by applying within the simulation the distributional assumptions, including correlation between recovery values. Together, the simulated defaults and recoveries across each of the Monte Carlo scenarios define the loss distribution for the reference pool. Once the loss distribution for the collateral has been calculated, each collateral loss scenario derived through the CDOROM loss distribution is associated with the interest and principal received by the rated liability classes via the CDOEdge cash-flow model. The cash flow model takes into account these: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's 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. C-BASS 2002-CB2: Moody's Downgrades Ratings on 119 Tranches ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 119 tranches and confirmed the rating of 5 tranches from 23 Subprime deals issued by C-BASS. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. 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. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: C-BASS 2002-CB2 Trust -- Cl. A-1, Downgraded to Ba3 (sf); previously on May 31, 2002 Assigned Aaa (sf) -- Cl. A-2, Downgraded to B2 (sf); previously on May 31, 2002 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ca (sf); previously on May 31, 2002 Assigned Aa2 (sf) -- Cl. M-2, Downgraded to Ca (sf); previously on Nov. 19, 2007 Downgraded to Baa1 (sf) -- Cl. B-1, Downgraded to Ca (sf); previously on Nov. 19, 2007 Downgraded to Caa2 (sf) Issuer: C-BASS 2002-CB4 Trust -- Cl. AV-1, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba1 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS 2002-CB5 Trust -- Cl. AF-3, Downgraded to A3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B2 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS 2002-CB6 Trust -- Cl. M-2V, Downgraded to Caa2 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2F, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS 2003-CB2 Trust -- Cl. M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS 2003-CB3 Trust -- Cl. AF-1, Downgraded to A2 (sf); previously on Jul 31, 2003 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS 2003-CB4 Trust -- Cl. M-1, Downgraded to B3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS 2003-CB6 Trust -- Cl. AF-5, Downgraded to Aa2 (sf); previously on Jan. 27, 2004 Assigned Aaa (sf) -- Cl. AF-6, Downgraded to Aa2 (sf); previously on Jan. 27, 2004 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ba3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: C-Bass Mortgage Loan Asset Backed Notes, Series 2001-CB4 -- Cl. IA-1, Downgraded to B2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IM-1, Downgraded to C (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-2, Downgraded to C (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. IB-1, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: C-Bass Mortgage Loan Asset-Backed Certificates, Series 2001-CB3 -- Cl. M-2, Confirmed at Aa2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2002-CB1 -- Cl. B-1, Downgraded to Baa1 (sf); previously on July 1, 2009 Upgraded to A2 (sf) -- Cl. B-2, Confirmed at Ca (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB1 -- Cl. M-1, Downgraded to Baa2 (sf); previously on Nov. 9, 2007 Confirmed at Aa2 (sf) -- Cl. M-2, Downgraded to B1 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to Ca (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB2 -- M-1, Downgraded to Ba3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- M-3, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- B-1, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- B-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- B-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB4 -- Cl. A-5, Downgraded to Baa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Baa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa2 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB5 -- Cl. M-1, Downgraded to Ba1 (sf); previously on Aug 30, 2004 Assigned Aa2 (sf) -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6 -- Cl. AF-3, Downgraded to Aa1 (sf); previously on Dec. 14, 2007 Confirmed at Aaa (sf) -- Underlying Rating: Downgraded to Aa1 (sf); previously on Oct. 12, 2004 Assigned Aaa (sf) -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on Mar 9, 2009) -- Cl. AF-4, Downgraded to Aa1 (sf); previously on Oct. 12, 2004 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to Ca (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7 -- Cl. M-1, Downgraded to Baa2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8 -- Cl. M-1, Downgraded to B1 (sf); previously on Nov. 10, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Nov. 10, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Nov. 10, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on Nov. 10, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1 -- Cl. M-1, Downgraded to Ba1 (sf); previously on Jan. 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Jan. 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Jan. 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on Jan. 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on Jan. 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB2 -- Cl. M-1, Downgraded to Baa1 (sf); previously on Jan. 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa1 (sf); previously on Jan. 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Jan. 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Jan. 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on March 16, 2009 Downgraded to B2 (sf) -- Cl. B-3, Downgraded to C (sf); previously on Jan. 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3 -- Cl. AF-4, Confirmed at Aaa (sf); previously on Jan. 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Confirmed at Aa2 (sf); previously on Jan. 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba1 (sf); previously on Jan. 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3 (sf); previously on Jan. 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Jan. 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Jan. 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Jan. 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Citigroup Mortgage Loan Trust, Series 2003-CB5, C-Bass Mortgage Loan Asset-Backed Certificates -- Cl. M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to Ca (sf); previously on Nov. 19, 2007 Downgraded to B3 (sf) Issuer: Salomon Mortgage Loan Trust, Series 2003-CB1 -- Cl. AF, Downgraded to Ba1 (sf); previously on March 18, 2003 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Caa3 (sf); previously on March 18, 2003 Assigned Aa2 (sf) -- Cl. M-2, Downgraded to Ca (sf); previously on March 18, 2003 Assigned A2 (sf) -- Cl. B-1, Downgraded to Ca (sf); previously on March 18, 2003 Assigned Baa1 (sf) C-BASS CBO: Fitch Affirms Ratings on Five Classes of Notes ---------------------------------------------------------- Fitch Ratings has affirmed the ratings on five classes of notes and revised the Loss Severity rating on one class of notes issued by C-BASS CBO IX, Ltd./Corp. The rating actions are: -- $24,607,539 class A-1 notes at 'BBBsf', Outlook Negative; LS revised to 'LS5' from 'LS4'; -- $20,000,000 class A-2 notes at 'CCCsf'; -- $10,000,000 class B notes at 'CCsf'; -- $12,000,000 class C notes at 'Csf'; -- $7,227,634 class D notes at 'Csf'. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs', for the class A- 1 and class A-2 notes. Fitch also considered additional qualitative factors into its analysis, as described below, to conclude the rating affirmations for the rated notes. Since the last rating action in March 2010, the credit quality of the collateral has declined with approximately 14.9% of the portfolio downgraded a weighted average of 6.4 notches. Approximately 64.4% of the portfolio has a Fitch derived rating below investment grade and 52.8% has a rating in the 'CCC' rating category or lower, compared to 60% and 51% respectively, at last review. The affirmations on all the notes are due to principal repayment of the class A-1 notes offsetting the effects of deterioration in the portfolio. The class A-1 notes have de-levered from both principal receipts and excess spread, which has been diverted as a result of the class A/B coverage ratios failing their covenants. In total, approximately 46.1%, or $21 million, of the class A-1 balance has amortized in the past year, increasing credit enhancement levels for the class A-1, class A-2, class B and class C notes. Fitch's Outlook remains Negative on the class A-1 notes due to the potential for negative migration in the underlying portfolio, with 16.4% and 5.6% of the portfolio having a Negative Outlook and being on Rating Watch Negative, respectively. Fitch does not maintain Outlooks for tranches rated 'CCC' and below. 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. Breakeven levels for the class B, class C and class D notes were below SF PCM's 'CCC' default level, the lowest level of defaults projected by SF PCM. For these classes, Fitch compared the class's respective credit enhancement levels to expected losses from the distressed and defaulted assets in the portfolio (rated 'CCsf' or lower). This comparison indicates that default continues to appear probable for the class B notes and inevitable for the class C and D notes at or prior to maturity. The class B notes are rated to the timely receipt of interest and continue to receive their accrued interest each payment period. The class C and class D notes are rated to the ultimate receipt of interest, and are not expected to receive any interest or principal distributions going forward. C-BASS IX is a cash flow structured finance collateralized debt obligation that closed on March 23, 2004. The portfolio is currently monitored by NIC Management LLC, an affiliate of Newcastle Investment Corp., who became the substitute collateral manager for Credit-Based Asset Servicing & Securitization, LLC on Feb. 10, 2011. The portfolio is comprised of 84.9% residential mortgage-backed securities, 8.8% commercial and consumer asset- backed securities, and 6.3% SF CDOs from 2001 through 2004 vintage transactions. CALLIDUS DEBT: Moody's Upgrades Ratings on Various Classes ---------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Callidus Debt Partners CLO VI, Ltd.: -- US$25,000,000 Class A-1D Delayed Draw Senior Secured Floating Rate Notes Due 2021 (current balance of $23,819,109.56), Upgraded to Aa3 (sf); previously on September 30, 2010 Upgraded to A1 (sf); -- US$279,000,000 Class A-1T Senior Secured Floating Rate Notes Due 2021 (current balance of $265,821,262.68), Upgraded to Aa3 (sf); previously on September 30, 2010 Upgraded to A1 (sf); -- US$23,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2021, Upgraded to Baa1 (sf); previously on September 30, 2010 Upgraded to Baa2 (sf); -- US$17,500,000 Class B Senior Secured Deferrable Floating Rate Notes Due 2021, Upgraded to Ba1 (sf); previously on September 30, 2010 Upgraded to Ba2 (sf); -- US$20,500,000 Class C Senior Secured Deferrable Floating Rate Notes Due 2021, Upgraded to B1 (sf); previously on November 23, 2010 Caa2 (sf) Placed Under Review for Possible Upgrade; -- US$13,000,000 Class D Senior Secured Deferrable Floating Rate Notes Due 2021, Upgraded to Caa3 (sf); previously on November 23, 2010 Ca (sf) 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 transaction's overcollateralization ratios since the rating action in September 2010. Moody's adjusted WARF has declined since the rating action in September 2010 due to a decrease in the percentage of securities with ratings on "Review for Possible Downgrade" or with a "Negative Outlook." Based on the trustee report dated January 13, 2011, securities rated Caa1 and below make up approximately 6.55% of the underlying portfolio versus 7.30% in August 2010. The deal also experienced a decrease in defaults. In particular, as of the January 2011 trustee report, there are no reported defaulted assets versus $5.8 million in August 2010. The overcollateralization ratios of the rated notes have also improved since the rating action in September 2010. The Class A, Class B, Class C and Class D overcollateralization ratios are reported at 122%, 115.60%, 108.80% and 104.90%, respectively, versus August 2010 levels of 120.50%, 114.10%, 107.40 % and 103.60%, respectively. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $383 million, defaulted par of $0.6 million, a weighted average default probability of 30.57% (implying a WARF of 3872), a weighted average recovery rate upon default of 40.85%, 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. Callidus Debt Partners CLO Fund VI Ltd., issued in September 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (3098) -- Class A-1D: +2 -- Class A-1T: +2 -- Class A-2: +3 -- Class B: +2 -- Class C: +2 -- Class D: +3 Moody's Adjusted WARF + 20% (4646) -- Class A-1D: -2 -- Class A-1T: -2 -- Class A-2: -2 -- Class B: -1 -- Class C: -3 -- Class D: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behaviour and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) 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) 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. CALLIDUS DEBT: S&P Raises Ratings on Two Classes of Notes --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A and B notes from Callidus Debt Partners CLO Fund II Ltd., a collateralized loan obligation transaction managed by GSO/Blackstone Debt Funds Management. At the same time, S&P removed S&P's rating on the class A notes from CreditWatch, where S&P placed them with positive implications on Oct. 14, 2010. Concurrently, S&P affirmed its ratings on the class C-1 and C-2 notes. The upgrades reflect an improvement in the performance of the deal's underlying asset portfolio, as well as paydowns to the class A notes since S&P's March 31, 2010, rating actions when S&P downgraded the rated notes following the application of its September 2009 corporate CDO criteria. As of the Feb. 7, 2011, trustee report, the transaction had $0.28 million in defaulted assets. This was down from $7.4 million, as reported in the Feb. 4, 2010, trustee report, which S&P referenced for its March 2010 rating actions. Additionally, assets from obligors rated in the 'CCC' category were reported at $8 million in February 2011, compared with $21 million in February 2010. After taking into account the Feb. 15, 2011, distribution date, the class A notes have been paid down by a total of $88 million since S&P's March 2010 rating actions. This has left the class A notes with a remaining balance of 34.5% of their original amount. Subsequently, the transaction has benefited from an increase in the overcollateralization available to support the notes. The trustee reported a class A O/C ratio of 145.89% in the February 2011 monthly report, up from a reported ratio of 121.14% in February 2010. The affirmations of S&P's ratings on the class C-1 and C-2 notes reflect the availability of credit support at the current rating levels. 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 Callidus Debt Partners CLO Fund II Ltd. Rating ------ Class To From ----- -- ---- A AA+ (sf) A+ (sf)/Watch Pos B AA (sf) BBB+ (sf) Ratings Affirmed Callidus Debt Partners CLO Fund II Ltd. Class Rating ----- ------ C-1 CCC- (sf) C-2 CCC- (sf) Transaction Information ----------------------- Issuer: Callidus Debt Partners CLO Fund II Ltd. Coissuer: Callidus Debt Partners CLO Fund II Inc. Collateral manager: GSO/Blackstone Debt Funds Management Underwriter: Wachovia Securities Inc. Trustee: The Bank of New York Mellon Transaction type: Cash flow CLO CAPITALSOURCE COMMERCIAL: S&P Raises Ratings on Various Classes --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1PT, A-1B, B, C, and D notes from CapitalSource Commercial Loan Trust 2006-2, a collateralized loan obligation transaction managed by CapitalSource Finance LLC. At the same time, S&P removed its ratings on the class A-PT notes from CreditWatch, where S&P placed them with positive implications on Oct. 14, 2010. The upgrades reflect a significant paydown to the senior classes in the deal since S&P lowered its ratings on the class A-PT, A-1B, C, D, and E notes on March 30, 2010, following the application of its September 2009 corporate collateralized debt obligation criteria. As of the Feb. 16, 2011, trustee report, the class A-PT notes were paid down to $15.81 million, from a balance of $165.61 million as reported in the Jan. 14, 2010, trustee report, that S&P referenced in S&P's March 2010 rating actions. In addition, the class A-1A notes were paid down in full on the Sept. 20, 2010, payment date (at which time S&P withdrew its rating) from a balance of $237.55 million in January 2010, and the class A-1B notes have been paying down since September 2010 to a current balance of $36.76 million after the February 2011 distribution date from their original issuance of $147.5 million. The affirmations of the class E notes reflect S&P's opinion of the availability of sufficient credit support at the current rating level. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as S&P deem necessary. Rating And Creditwatch Actions CapitalSource Commercial Loan Trust 2006-2 Rating ------ Class To From ----- -- ---- A-PT AAA (sf) AA+ (sf)/Watch Pos A-1B AAA (sf) AA+ (sf) B AAA (sf) AA (sf) C A+ (sf) BBB+ (sf) D B+ (sf) CCC- (sf) Rating Affirmed CapitalSource Commercial Loan Trust 2006-2 Class Rating ----- ------ E CCC- (sf) CDC COMMERCIAL: S&P Affirms Ratings on 15 2002-FX1 Certificates --------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on 15 classes of commercial mortgage pass-through certificates from CDC Commercial Mortgage Trust 2002-FX1, a U.S. commercial mortgage- backed securities transaction. The affirmations reflect S&P's analysis of the remaining collateral in the transaction, the deal structure, and liquidity available to the trust. S&P's analysis included a review of the credit characteristics of all the remaining assets in the transaction. Using servicer- provided financial information, S&P calculated an adjusted debt service coverage of 0.97x and a loan-to-value ratio of 123.0%. The DSC and LTV calculations exclude one ($1.3 million, 0.4%) specially serviced asset, one ($3.7 million, 1.2%) loan that S&P determined to be credit-impaired, and eight ($199.8 million, 62.1%) defeased loans. S&P separately estimated losses for the specially serviced and credit-impaired assets. S&P affirmed its rating on the class X-CL interest-only certificate based on its current criteria. Transaction Summary As of the Feb. 17, 2011 trustee remittance report, the collateral principal balance was $321.5 million, which is 50.4% of the balance at issuance. The pool includes 16 loans, down from 56 at issuance. Eight ($199.8 million, 62.1%) loans are defeased. The master servicer, Berkadia Commercial Mortgage LLC, provided financial information for 100% of the nondefeased loans in the pool. Of that information, 54.3% was full-year 2009 data, with the balance reflecting interim 2010 reporting. S&P calculated a weighted average DSC of 1.17x for the remaining loans based on the servicer-reported figures. S&P's adjusted DSC and LTV ratio were 0.97x and 123.0%, respectively. S&P's adjusted figures exclude the one ($1.3 million, 0.4%) specially serviced asset, one ($3.7 million, 1.2%) loan that S&P determined to be credit- impaired, and the eight defeased loans ($199.8 million, 62.1%). Four ($47.7 million, 14.8%) loans are on the master servicer's watchlist. Four ($45.4 million, 14.1%) loans have a reported DSC below 1.00x. The transaction has experienced a $756,881 principal loss to date. Credit Considerations As of the Feb. 17, 2011 trustee remittance report, one loan, the Bedford Manor loan, was with the special servicer, also Berkadia. The reported payment status for the loan is 90-plus-days delinquent. The Bedford Manor loan ($1.3 million, 0.4%) is the smallest real estate loan in the transaction. The loan is secured by a 94-unit multifamily property in Forrest City, Ariz., and was transferred to the special servicer on Oct. 18, 2010, due to payment default. Reported DSC was 0.96x as of December 2010, and reported property occupancy was 90.4% as of July 2010. Berkadia indicated that it is pursuing foreclosure. Standard & Poor's anticipates a moderate loss upon the ultimate resolution of the loan. In addition to the specially serviced asset, S&P determined the Carr-Gottstein Foods Building loan ($3.7 million, 1.2%) to be credit-impaired. The sixth-largest nondefeased loan, secured by a 47,706-sq.-ft. office property in Anchorage, Alaska, appears on the master servicer's watchlist due to a decline in occupancy. According to Berkadia, the two tenants that occupied 100% of the office space vacated by their Dec. 31, 2010 lease expiration dates. Berkadia stated that the borrower is actively marketing the vacant space. As a result, S&P views this loan to be at an increased risk of default and loss. Details on the remaining three loans on the master servicer's watchlist are: The Marriot Islandia loan, the second-largest nondefeased loan ($23.6 million, 7.3%) in the transaction, appears on the master servicer's watchlist due to a low reported DSC of 0.42x for the 12 months ended June 30, 2010. The loan is secured by a 278-unit hotel in Islandia, N.Y., and the reported occupancy at the property was 59.2% as of June 2010. The Richmond Avenue loan, the third-largest nondefeased loan ($18.4 million, 5.7%) in the trust, is on the master servicer's watchlist due to a low reported DSC and occupancy for the nine months ended Oct. 31, 2010, of 0.58x and 54.0%, respectively. The loan is secured by a 75,165-sq.-ft. retail property in Staten Island, N.Y. The low occupancy is due to the vacancy of a bankrupt tenant occupying 44.0% of the gross leasable space. The loan has an optional prepayment date on April 11, 2011, and according to Berkadia, the borrower has indicated its intention to repay the loan on or before that date. The Berkshire Pointe loan, the seventh-largest nondefeased loan ($2.0 million, 0.6%) in the trust, is on the master servicer's watchlist due to a low reported DSC of 0.86x for the nine months ended Sept. 30, 2010. The loan is secured by a 21,832-sq.-ft. retail center in Reading, Pa., and the reported occupancy was 92.0% as of Sept. 30, 2010. Standard & Poor's stressed the assets in the pool according to its criteria and the analysis is consistent with S&P's affirmed ratings. Ratings Affirmed CDC Commercial Mortgage Trust 2002-FX1 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-2 AAA (sf) 47.84 B AAA (sf) 39.91 C AAA (sf) 36.94 D AAA (sf) 30.49 E AAA (sf) 28.02 F AA+ (sf) 25.54 G AA (sf) 21.57 H AA- (sf) 18.60 J A- (sf) 14.14 K BBB (sf) 10.17 L BB+ (sf) 8.19 M BB (sf) 6.70 N BB- (sf) 5.46 P B+ (sf) 4.47 X-CL AAA (sf) N/A N/A - Not applicable. CENTERLINE 2007-1: S&P Downgrades Rating to Class N Certs. to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'D (sf)' from 'CC (sf)' on the class N certificates from Centerline 2007-1 Resecuritization Trust, a commercial real estate collateralized debt obligation transaction. At the same time, S&P affirmed 11 'CC (sf)' ratings from the same transaction. The downgrade reflects a principal loss of $23.3 million to class N as detailed in the Feb. 23, 2011, remittance report. As a result of the principal loss, the class' principal balance was $26.0 million, down from $49.3 million at issuance. The class O and P certificates, which S&P previously downgraded to 'D (sf)', lost 100% of their issuance balances according to the February remittance report. The affirmed 'CC (sf)' ratings on classes B through M reflect S&P's expectations that the interest payments on these classes will be deferred for an extended period of time due to a termination payment owed to the hedge counterparty. According to the most recent trustee report, the principal loss was due to losses on the underlying commercial mortgage-backed securities collateral. Ten distinct transactions experienced aggregate principal losses in the amount of $34.8 million. These CMBS classes experienced principal losses in the current trustee report: * Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24 (classes M through P; $15.7 million loss); * J.P. Morgan Chase Commercial Mortgage Securities Trust 2007- CIBC18 (class P; $8.3 million loss); * Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12 (class P; $3.4 million loss); and * Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 (class P; $3.1 million loss). Per the February remittance report, Centerline 2007-1 was collateralized by 103 CMBS and three resecuritized real estate mortgage investment conduit certificates ($749.4 million, 100%) from 18 distinct transactions issued between 2000 and 2007. Standard & Poor's analyzed Centerline 2007-1 according to its current criteria. The analysis is consistent with the lowered and affirmed ratings. Rating Lowered Centerline 2007-1 Resecuritization Trust Rating ------ Class To From ----- -- ---- N D (sf) CC (sf) Ratings Affirmed Centerline 2007-1 Resecuritization Trust Class Rating ----- ------ B CC (sf) C CC (sf) D CC (sf) E CC (sf) F CC (sf) G CC (sf) H CC (sf) J CC (sf) K CC (sf) L CC (sf) M CC (sf) CHASE COMMERCIAL: Fitch Upgrades Ratings on Two Classes of Notes ---------------------------------------------------------------- Fitch Ratings has upgraded two classes, and affirmed three classes of Chase Commercial Mortgage Securities Corporation Series 1999-2, commercial mortgage pass-through certificates. The upgrades are due to increased credit enhancement and defeasance in the pool. As of the February 2011 distribution date, the pool's aggregate principal balance has been paid down by 94.6% to $42.5 million from approximately $782.7 million at issuance. The remaining class affirmations are increasing loan concentrations and Fitch expected losses following Fitch's prospective review of potential stresses to the transaction. There are nine of the original 92 loans remaining in the transaction, two of which have defeased (22.9%). Two loans are specially serviced (30.5%), of which both are real estate owned (REO) assets. Fitch expects losses from loans currently in special servicing to be absorbed by the unrated class M. The largest specially serviced asset (24.6%) is an industrial warehouse facility located in Kirkland, WA. The loan transferred to special servicing in July 2009 for monetary default and foreclosure was completed in August 2010. As of December 2010, the property was 66% occupied. The second specially serviced asset (5.9%) is an industrial warehouse property located in Henderson, NV. The loan transferred to special servicing in January 2010 for maturity default. Fitch upgrades, assigns and revises Rating Outlooks on this class as indicated: -- $6.4 million class H to 'AAA/LS-4' from 'A-/LS4; Outlook Stable; -- $6.8 million class I to 'A/LS-4' from 'BBB+/LS-4'; Outlook to Stable from Negative. Fitch also affirms these classes and revises Outlooks as indicated: -- $8.8 million class J at 'BB/LS-4'; Outlook to Positive from Negative; -- $6.8 million class K at 'B/LS-4'; Outlook to Stable from Negative; -- $5.9 million class L at 'B-/LS-4'; Outlook Negative. Fitch does not rate the $7.7 million class M. Classes A-1, A-2, B, C, D, E, F and G have been paid in full. Fitch withdraws the rating on the interest-only class X. CHASE FUNDING: Moody's Downgrades Ratings on 131 Tranches --------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 131 tranches and confirmed the rating of five tranches from 16 Subprime deals issued by Chase. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Chase Funding Loan Acquisition Trust 2003-C1 -- Cl. IA-4, Downgraded to Baa1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to A3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IM-1, Downgraded to Ba3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-2, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. IB, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Funding Loan Acquisition Trust 2003-C2 -- Cl. IA, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IIA, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IA-P, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IIA-P, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Baa1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ba3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Funding Loan Acquisition Trust 2004-AQ1 -- Cl. A-2, Downgraded to Aa1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba1 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Funding Loan Acquisition Trust 2004-OPT1 -- Cl. M-2, Downgraded to Ba1 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Funding Trust, Series 2002-2 -- Cl. IA-5, Downgraded to B2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to B1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-1, Downgraded to Caa1 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-2, Downgraded to C (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. IB, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to A1 (sf); previously on July 24, 2002 Assigned Aaa (sf) -- Cl. IIM-1, Downgraded to Caa1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IIM-2, Downgraded to C (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. IIB, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Funding Trust, Series 2002-3 -- Cl. IA-5, Confirmed at Aa2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IA-6, Confirmed at Aa2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to A1 (sf); previously on Sept. 23, 2002 Assigned Aaa (sf) -- Cl. IIM-1, Downgraded to B3 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. IIM-2, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-1, Confirmed at A3 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-2, Confirmed at Ba2 (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. IB, Confirmed at Ba3 (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Funding Trust, Series 2002-4 -- Cl. IA-5, Downgraded to Ba2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to Ba1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IM-1, Downgraded to Caa1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-2, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. IB, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IIA-1, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IIM-1, Downgraded to Baa3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IIM-2, Downgraded to B1 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Funding Trust, Series 2003-1 -- Cl. IA-5, Downgraded to Ba2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-1, Downgraded to Caa3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-2, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. IB, Downgraded to C (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. IIA-2, Downgraded to Aa2 (sf); previously on Feb. 4, 2003 Assigned Aaa (sf) -- Cl. IIM-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. IIM-2, Downgraded to Ba3 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Funding Trust, Series 2003-2 -- Ser. 2003-2 Cl. IA-5, Downgraded to A3 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Ser. 2003-2 Cl. IA-6, Downgraded to A2 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Ser. 2003-2 Cl. IM-1, Downgraded to Baa3 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Ser. 2003-2 Cl. IM-2, Downgraded to Caa1 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Ser. 2003-2 Cl. IB, Downgraded to C (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Ser. 2003-2 Cl. IIA-2, Downgraded to Aa1 (sf); previously on May 9, 2003 Assigned Aaa (sf) -- Ser. 2003-2 Cl. IIM-1, Downgraded to B2 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Ser. 2003-2 Cl. IIM-2, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Funding Trust, Series 2003-3 -- Cl. IA-5, Downgraded to A2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to A1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-1, Downgraded to Baa2 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-2, Downgraded to Caa1 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. IB, Downgraded to C (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IIA-2, Downgraded to Aa3 (sf); previously on June 16, 2003 Assigned Aaa (sf) -- Cl. IIM-1, Downgraded to B1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IIM-2, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IIB, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Funding Trust, Series 2003-4 -- Cl. IA-5, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to Baa3 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-1, Downgraded to Caa1 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-2, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IB, Downgraded to C (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. IIA-2, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IIM-1, Downgraded to B2 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. IIB, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Funding Trust, Series 2003-5 -- Cl. IA-4, Downgraded to Baa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to Baa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to Baa1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IM-1, Downgraded to B1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-2, Downgraded to Caa3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. IB, Downgraded to C (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. IIA-2, Downgraded to Aa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IIM-1, Downgraded to Ba2 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. IIM-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. IIB, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Funding Trust, Series 2003-6 -- Cl. IA-4, Downgraded to Baa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to Baa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to Baa1 (sf); previously on Jan. 23, 2004 Assigned Aaa (sf) -- Cl. IA-7, Downgraded to Baa2 (sf); previously on Jan. 23, 2004 Assigned Aaa (sf) -- Cl. IM-1, Downgraded to B1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-2, Downgraded to Caa3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. IB, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. IIA-2, Downgraded to Aa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IIM-1, Downgraded to Baa2 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. IIM-2, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IIB, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Funding Trust, Series 2004-1 -- Cl. IA-4, Downgraded to Ba2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to Ba2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IA-7, Downgraded to Ba2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-1, Downgraded to Caa3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IB, Downgraded to Ca (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. IIA-2, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IIM-1, Downgraded to B3 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. IIM-2, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IIB, Downgraded to C (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Funding Trust, Series 2004-2 -- Cl. IA-4, Downgraded to Ba2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IA-5, Downgraded to Ba2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IA-6, Downgraded to Ba1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IM-1, Downgraded to Caa1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IM-2, Downgraded to Caa3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. IB, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IIA-2, Downgraded to Baa2 (sf); previously on Aug 27, 2004 Assigned Aaa (sf) -- Cl. IIM-1, Downgraded to Caa2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IIM-2, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. IIB, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IIL, Downgraded to Baa2 (sf); previously on Aug 27, 2004 Assigned Aaa (sf) Issuer: CHEC Loan Trust 2004-2 -- Cl. A-3, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B2 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade CHEVY CHASE: Moody's Downgrades Ratings on 51 Tranches ------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 51 tranches from seven Option ARM deals issued by Chevy Chase Funding LLC from 2003 to 2004. The collateral backing these deals primarily consists of first-lien, adjustable rate negative amortization residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Option ARM pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Option ARM pools issued from prior to 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. 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. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2003-4 -- Cl. A-1, Downgraded to Baa1 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Baa1 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade* -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-2, Downgraded to Baa1 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-NA, Downgraded to Baa1 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Baa1 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade* -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-IO, Downgraded to Baa1 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Caa1 (sf); previously on April 12, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 12, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on April 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2004-1 -- Cl. A-1, Downgraded to A3 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to A3 (sf); previously on Apr 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-NA, Downgraded to A3 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to A3 (sf); previously on Apr 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-IO, Downgraded to A3 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A3 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to B2 (sf); previously on April 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 12, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 12, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on April 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2004-2 -- Cl. A-1, Downgraded to A3 (sf); previously on April 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to A3 (sf); previously on April 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-NA, Downgraded to A3 (sf); previously on April 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to A3 (sf); previously on April 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-IO, Downgraded to A3 (sf); previously on April 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A3 (sf); previously on April 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to B3 (sf); previously on April 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 12, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 12, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2004-3 -- Cl. A-1, Downgraded to Baa3 (sf); previously on April 12, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Baa3 (sf); previously on April 12, 2010 A3 (sf) Placed Under Review for Possible Downgrade* -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-NA, Downgraded to Baa3 (sf); previously on April 12, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Baa3 (sf); previously on April 12, 2010 A3 (sf) Placed Under Review for Possible Downgrade* -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-IO, Downgraded to Baa3 (sf); previously on April 12, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa3 (sf); previously on April 12, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 12, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 12, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2004-4 -- Cl. A-1, Downgraded to Ba1 (sf); previously on April 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ba1 (sf); previously on April 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade* -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-NA, Downgraded to Ba1 (sf); previously on April 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ba1 (sf); previously on April 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade* -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. IO, Downgraded to Ba1 (sf); previously on April 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba1 (sf); previously on April 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 12, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 12, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 12, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2004-A -- Cl. A-1, Downgraded to Ba1 (sf); previously on April 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-NA, Downgraded to Ba1 (sf); previously on April 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IO, Downgraded to Ba1 (sf); previously on April 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 12, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2004-B -- Cl. A-1, Downgraded to A1 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to A1 (sf); previously on Apr 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-NA, Downgraded to A1 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-1I, Downgraded to A1 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IO, Downgraded to A1 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to B2 (sf); previously on April 12, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 12, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on April 12, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-5, Downgraded to C (sf); previously on April 12, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade CITIFINANCIAL MORTGAGE: Moody's Downgrades Ratings on 47 Tranches ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 47 tranches from five Subprime deals issued by Citifinancial. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization,excess spread, time tranching, and other structural features within the senior note waterfalls. The approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: CitiFinancial Mortgage Securities Inc. 2003-1 -- Cl. AF-4, Downgraded to A1 (sf); previously on Mar 21, 2003 Assigned Aaa (sf) -- Cl. AF-5, Downgraded to Aa3 (sf); previously on Mar 21, 2003 Assigned Aaa (sf) -- Cl. AF-PT, Downgraded to A1 (sf); previously on Mar 21, 2003 Assigned Aaa (sf) -- Cl. MF-1, Downgraded to Ba2 (sf); previously on Nov 16, 2006 Upgraded to Aaa (sf) -- Cl. MF-2, Downgraded to Ca (sf); previously on Nov 16, 2006 Upgraded to Aa2 (sf) -- Cl. MF-3, Downgraded to C (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-4, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-3, Downgraded to Caa3 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: CitiFinancial Mortgage Securities Inc. 2003-2 -- Cl. MF-1, Downgraded to A3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to Ba3 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-3, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to Caa2 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to Aa1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to Aa1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CitiFinancial Mortgage Securities Inc. 2003-3 -- Cl. AF-4, Downgraded to Aa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to Aa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to Baa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to Caa1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-3, Downgraded to C (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-3, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: CitiFinancial Mortgage Securities Inc. 2003-4 -- Cl. AF-4, Downgraded to A2 (sf); previously on Jan 5, 2004 Assigned Aaa (sf) -- Cl. AF-5, Downgraded to A2 (sf); previously on Jan 5, 2004 Assigned Aaa (sf) -- Cl. AF-6, Downgraded to A1 (sf); previously on Jan 5, 2004 Assigned Aaa (sf) -- Cl. MF-1, Downgraded to Baa1 (sf); previously on Jun 12, 2007 Upgraded to Aaa (sf) -- Cl. MF-2, Downgraded to Ba1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. MF-3, Downgraded to Ba2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. MF-4, Downgraded to B2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-5, Downgraded to Caa1 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-6, Downgraded to Caa3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-7, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-8, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-4, Downgraded to Ba1 (sf); previously on Jan 5, 2004 Assigned A2 (sf) -- Cl. MV-5, Downgraded to Caa2 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-6, Downgraded to Caa2 (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: CitiFinancial Mortgage Securities Inc. 2004-1 -- Cl. AF-3, Downgraded to A2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to A2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to Baa1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to Baa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. MF-3, Downgraded to Ba2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. MF-4, Downgraded to B2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-5, Downgraded to Caa1 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-6, Downgraded to Caa3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-7, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-8, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-6, Downgraded to Caa2 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-7, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade CITIGROUP HOME: Moody's Downgrades Ratings on 43 Tranches --------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 43 tranches from six Subprime deals issued by Citigroup. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization,excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. 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 levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Citigroup Home Equity Loan Trust, Series 2003-HE1 -- Cl. M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE2 -- Cl. M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B3 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE3 -- Cl. A, Downgraded to A1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to A1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade* -- Cl. M-1, Downgraded to Baa1 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba1 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Citigroup Mortgage Loan Trust, Series 2004-CB3, C-Bass Mortgage Loan Asset-Backed Certificates -- Cl. M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Citigroup Mortgage Loan Trust, Series 2004-OPT1 -- Cl. A-1B, Downgraded to Aa1 (sf); previously on Sept. 21, 2004 Assigned Aaa (sf) -- Cl. A-2, Downgraded to Aa2 (sf); previously on Sept. 21, 2004 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Aa3 (sf); previously on Sept. 21, 2004 Assigned Aa1 (sf) -- Cl. M-2, Downgraded to A2 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-10, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Citigroup Mortgage Loan Trust, Series 2004-RES1 -- Cl. M-1, Downgraded to Ba2 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade COMM 2003-LNB1: Moody's Downgrades Ratings on Six Classes --------------------------------------------------------- Moody's Investors Service downgraded the ratings of six classes, confirmed one class and affirmed ten classes of COMM 2003-LNB1, Commercial Mortgage Pass-Through Certificates: -- Cl. A-1, Affirmed at Aaa (sf); previously on July 3, 2003 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on July 3, 2003 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on July 3, 2003 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on July 3, 2003 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Feb. 2, 2007 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on Feb. 2, 2007 Upgraded to Aaa (sf) -- Cl. D, Confirmed at Aa3 (sf); previously on Dec. 10, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Baa1 (sf); previously on Dec. 10, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to Ba1 (sf); previously on Dec. 10, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to B2 (sf); previously on Dec. 10, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to Caa1 (sf); previously on Dec. 10, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to Ca (sf); previously on Dec. 10, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to C (sf); previously on Dec. 10, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Affirmed at C (sf); previously on Oct. 7, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Oct. 7, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Oct. 7, 2010 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on Oct. 7, 2010 Downgraded to C (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on July 3, 2003 Definitive Rating Assigned Aaa (sf) Ratings Rationale The downgrades are due to the increase of interest shortfalls from specially serviced 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 affirmed classes are sufficient to maintain the current ratings. On December 10, 2010, Moody's placed seven classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 5.9% of the current balance. At last review, Moody's cumulative base expected loss was 5.8%. Moody's stressed scenario loss is 8.7% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 October 7, 2010. 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 February 10, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 20% to $678.2 million from $846.0 million at securitization. The Certificates are collateralized by 77 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 51% of the pool. The pool includes four loans, representing 34% 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. Fourteen 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. Five loans have been liquidated from the pool since securitization, resulting in an aggregate $6.3 million loss (42% loss severity on average). Five loans, representing 4% of the pool, are currently in special servicing. The largest specially serviced loan is the Quality Inn & Howard Johnson Plaza Loan ($11.4 million -- 1.7% of the pool), which is secured by two limited service hotels, totaling 451 rooms, located in Hampton, Virginia. The loan was transferred to special servicing in May 2007 due to imminent default and is currently in the process of foreclosure. Before both hotels were rebranded in 2010, this loan was identified as the Hampton Inn & Holiday Inn. On September 23, 2010, the master servicer declared the loan non-recoverable and stoped advancing. The remaining four specially serviced loans are secured by a mix of property types. The master servicer has recognized a $5.0 million appraisal reduction for one of the remaining specially serviced loans. Moody's has estimated an aggregate $22.7 million loss (83% expected loss on average) for all of the specially serviced loans. Moody's has assumed a high default probability for four poorly performing loans representing 7% of the pool. Moody's has estimated a $10.8 million loss (24% expected loss based on a 50% probability default) from the troubled loans. Based on the most recent remittance statement, Classes G through P have experienced cumulative interest shortfalls totaling $1.9 million. Interest shortfalls previously reached Class F in the January remittance statement. The dramatic increase in interest shortfalls is largely due to the master servicer declaring the Quality Inn & Howard Johnson Plaza loan non- recoverable. The servicer is no longer advancing on this loan and is also recouping advances previously made. Moody's anticipates that the pool will continue to experience interest shortfalls because of this loan and other specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, ASERs, loan modifications 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 is 85%, the same as 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 9.3%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.38X and 1.22X, respectively, compared to 1.49X and 1.22X 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 25 compared to 24 at Moody's prior review. The largest loan with a credit estimate is the 75 Rockefeller Plaza Loan ($65.0 million -- 9.6% of the pool), which is secured by a 578,2000 square foot (SF) office building that is part of the Rockefeller Center complex in New York City. The property is 100% leased to Time Warner Companies Inc. (Moody's senior unsecured rating Baa2; stable outlook) under a 21-year triple net lease that is coterminous with the loan's maturity (August 2014). The loan is interest only for its entire term. Moody's credit estimate and stressed DSCR are A3 and 1.58X, respectively, the same as at last review. The second loan with a credit estimate is the Westfield Shoppingtown Portfolio Loan ($52.9 million -- 7.8% of the pool), which represents a 34% pari passu interest in a first mortgage loan. The loan is secured by the borrower's interest in two regional malls located in California. The loan sponsor is Westfield America, Inc., a publicly traded REIT. Westfield Shoppingtown Galleria at Roseville Mall is a 1.0 million SF center anchored by Macy's, Nordstrom, J.C. Penney and Sears. Westfield Shoppingtown Main Place Mall is a 1.1 million SF center that is anchored by Macy's, Nordstrom and J.C. Penney. This loan is currently on the master servicer's watchlist due to fire damage at the Westfield Shoppingtown Galleria at Roseville Mall. Moody's credit estimate and stressed DSCR are Aa1 and 2.26X, respectively, the same as at last review. The third loan with a credit estimate is the Chandler Fashion Center Loan ($46.8 million -- 6.9% of the pool), which represents a 49% pari passu interest in a first mortgage loan. The loan is secured by the borrower's interest in a 1.3 million SF super- regional mall located approximately 18 miles southeast of downtown Phoenix in Chandler, Arizona. The center is anchored by Dillard's, Macy's, Nordstrom and Sears. The center was 99% leased as of July 2010, the same as at last review. The loan sponsor is the Macerich Company, a publicly traded REIT. Moody's credit estimate and stressed DSCR are Aa1 and 2.48X, respectively, the same as at last review. The fourth loan with a credit estimate is the 1669 Collins Avenue Loan ($23.8 million -- 3.5% of the pool), which is secured by the leased fee interest in the land under the Ritz-Carlton Hotel in South Beach, Florida. Moody's credit estimate and stressed DSCR are Aa1 and 0.91X, respectively, the same as at last review. The top three performing conduit loans represent 15% of the pool. The largest conduit loan is the Gateway Center BJ's Loan ($40.0 million -- 5.9% of the pool), which is secured by a 152,500 SF portion of a 640,000 SF community center located in Brooklyn, New York. The collateral is 100% leased to BJ's Wholesale Club (85% of the gross leasable area; lease expiration 2027) and several restaurant tenants. The property is shadow anchored by Home Depot, Target, Bed Bath & Beyond and Marshall's. Moody's LTV and stressed DSCR are 80% and 1.25X, respectively, compared to 81% and 1.23X at last review. The second largest loan is the Palladium at Birmingham Loan ($34.5 million -- 5.1% of the pool), which is secured by two retail properties located in Birmingham, Michigan. The properties total 150,000 SF. Palladium Retail is a 124,500 SF entertainment/retail center. Willits Retail consists of three ground-floor condominium units that total 25,400 SF. The properties were 78% leased as of September 2010. Performance has declined since last review due to decreased occupancy. This loan is currently on the master servicer's watchlist for low DSCR. Moody's LTV and stressed DSCR 133% and 0.75X, respectively, compared to 131% and 0.76Xat last review. The third largest loan is the Redland Center Loan ($24.8 million - - 3.7% of the pool), which is secured by a 134,000 SF office condominium located in Rockville, Maryland. The property is 100% leased to the General Services Administration (Department of Health and Human Services) through March 2013. Moody's LTV and stressed DSCR 97% and 1.03X, respectively, compared to 98% and 1.02X at last review. COMM 2003-LNB1: S&P Downgrades Ratings on Four Classes of Notes --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four classes of commercial mortgage-backed securities from COMM 2003- LNB1 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on eight other classes from the same transaction and removed two of them from CreditWatch negative. S&P also affirmed its ratings on six classes from COMM 2002-WFA, also a CMBS transaction. The COMM 2003-LNB1 downgrades and rating affirmations follow S&P's analysis of the remaining collateral in the pool, the deal structure, the liquidity available to the trust, and the potential for future interest shortfalls associated with several assets with the special servicer. The downgrades of the class F, G, H, and J certificates primarily reflect S&P's analysis of the liquidity available to the trust, interest shortfalls that have affected the trust, and the susceptibility of these classes to future interest shortfalls. S&P lowered its rating on the class J certificate to 'D (sf)' due to recurring interest shortfalls that S&P anticipate will continue for the foreseeable future. As of the February 2011 remittance report, the trust experienced a monthly interest shortfall totaling $139,539, primarily relating to two specially serviced assets. S&P's analysis of COMM 2003-LNB1 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 DSC of 2.37x and a loan-to-value ratio of 70.0%. S&P further stressed the loans' cash flows under its 'AAA (sf)' scenario to yield a weighted average DSC of 1.61x and an LTV ratio of 83.6%. The implied defaults and loss severity under the 'AAA (sf)' scenario were 27.8% and 31.8%, respectively. The DSC and LTV calculations S&P noted above exclude five ($27.3 million; 4.0%) specially serviced assets and 11 defeased loans ($98.6 million; 14.5%). S&P separately estimated losses for the specially serviced assets, and included them in its 'AAA' scenario implied default and loss severity figures. The DSC and LTV calculations also include cash flow adjustments made in S&P's analysis of the 75 Rockefeller Plaza loan ($65.0 million, 9.6%), which is entirely leased to Time Warner Inc. ('BBB') at a rate that is substantially below market rates. If S&P remove the effect of these adjustments, its adjusted DSC and LTV would be 1.75x and 77.6%, respectively. S&P affirmed its rating on the class X-1 interest-only certificate from COMM 2003-LNB1 based on S&P's current criteria. The affirmed ratings on the COMM 2002-WFA certificates follow S&P's analysis of the Westfield Shoppingtown Portfolio loan. The certificates derive 100% of their cash flows from a $49.4 million portion of the whole loan, which consists of a $17.6 million senior portion and a $31.8 million B note. The whole loan ($187.7 million) is secured by two regional malls comprising 1.3 million sq. ft. in Santa Ana, Calif., and Roseville, Calif. For the year ended Dec. 31, 2009, the reported whole-loan DSC was 2.43x. As of Dec. 31, 2010, the collateral was 97.0% occupied. Credit Considerations As of the February 2011 remittance report, five assets ($27.3 million, 4.0%) were with the special servicer, CWCapital Asset Management LLC. The payment status of the specially serviced assets is as follows: two ($3.5 million, 0.5%) are real estate owned by the trust; one ($6.4 million, 0.9%) is in foreclosure; and two ($17.5 million, 2.6%) are more than 90 days delinquent. Details on the three largest assets with the special servicer are as follows: The Hampton Inn & Holiday Inn loan is the largest asset with the special servicer and has a total exposure of $14.7 million, which consists of $11.4 million of outstanding principal balance (1.7%) and $3.3 million of advancing and interest thereon. The loan is secured by two lodging properties comprising 449 rooms in Hampton City, Va. The loan was transferred to the special servicer in May 2007 for imminent monetary default, and the payment status is more than 90 days delinquent. According to the special servicer, the properties have been listed for sale. An appraisal reduction amount (ARA) of $9.6 million is in effect against this loan and a nonrecoverable advance determination has been made in respect of the loan. S&P anticipates a significant loss upon the eventual resolution of this asset. The Waters Inlet Apartments loan has a total exposure of $7.3 million, which consists of $6.4 million of outstanding principal balance (0.9%) and $0.9 million of advancing and interest thereon. The loan is secured by a 205-unit multifamily complex in Jacksonville, Fla. The loan was transferred to the special servicer on Oct. 5, 2009, due to monetary default and is in foreclosure. Renovations are being performed on the property, after which it will be marketed for sale, according to the special servicer. An ARA of $5.0 million is in effect against this loan and a nonrecoverable advance determination has been made in respect of this loan. S&P anticipates a significant loss upon the eventual resolution of this asset. The Biltmore Station loan has a total exposure of $6.3 million, which consists of $6.1 million of outstanding principal balance (0.9%) and $0.2 million of advancing and interest thereon. The loan is secured by a 102,277-sq.-ft. mixed-use building in Asheville, N.C. The loan was transferred to the special servicer on April 9, 2010, due to imminent monetary default and its payment status is more than 90 days delinquent. A modification had been approved in July; however, a tenant vacated the premises shortly thereafter, and a revised modification is currently under negotiation. The remaining two specially serviced assets ($3.4 million, 0.5%), individually, represent less than 0.4% of the pool balance. S&P estimated losses for each of these assets, resulting in a weighted average loss severity of 14.2%. Transaction Summary As of the February 2011 trustee remittance report, the COMM 2003-LNB1 collateral pool had an aggregate trust balance of $678.2 million (76 loans and one REO asset), compared with $846.0 million (92 loans) at issuance. The master servicer, Berkadia Commercial Mortgage LLC, provided financial information for 95.1% of the nondefeased trust balance, 100% of which was full-year 2009 data, partial-year 2010, or full-year 2010 data. S&P calculated a weighted average DSC of 1.90x for the nondefeased loans in the pool based on the reported figures. S&P's adjusted DSC and LTV were 2.37x and 70.0%, respectively, and exclude the five specially serviced assets and 11 defeased loans. S&P separately estimated losses for the specially serviced assets and included them in its 'AAA' scenario implied default and loss severity figures. The figures also include the effects of cash flow adjustments made to the 75 Rockefeller Plaza loan. If S&P excludes the effect of these adjustments, its adjusted DSC and LTV would be 1.75x and 77.6%, respectively. Thirteen loans ($88.5 million, 13.0%) are on the master servicer's watchlist. Eleven ($76.7 million, 11.3%) loans have a reported DSC below 1.10x, and seven ($28.3 million, 4.2%) of these loans have a reported DSC below 1.00x. Two ARAs totaling $14.6 million are in effect. To date, the pool has experienced principal losses totaling $6.3 million in connection with five loans. Summary of Top 10 Real Estate Loans The top 10 loans secured by real estate have an aggregate outstanding balance of $344.5 million (50.8%). Using servicer- reported information, S&P calculated a weighted average DSC of 2.16x for the top 10 real estate loans. S&P's adjusted DSC and LTV figures for the top 10 loans were 2.95x and 64.0%, respectively. Excluding the effect of S&P's adjustments to the 75 Rockefeller Plaza loan, its adjusted DSC and LTV would have been 1.96x and 76.2%, respectively. One of the top 10 real estate loans is on the master servicer's watchlist, as discussed below. The Palladium at Birmingham loan ($34.5 million, 5.1%) is the fifth-largest real estate loan in the pool and is secured by a 148,873-sq.-ft. anchored retail center in Birmingham, Mich. The loan is on the master servicer's watchlist due to low DSC. As of the nine months ended Sept. 30, 2010, the reported DSC was 0.86x, and as of Dec. 31, 2010, it was 77.8% occupied. Standard & Poor's stressed the loans according to its criteria and the resultant credit enhancement levels are consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative COMM 2003-LNB1 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- F BB- (sf) BB+ (sf)/Watch Neg 9.67 G B- (sf) B+ (sf)/Watch Neg 8.42 H CCC- (sf) B- (sf)/Watch Neg 6.55 J D (sf) CCC- (sf)/Watch Neg 4.06 Ratings Affirmed And Removed From Creditwatch Negative COMM 2003-LNB1 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- D A (sf) A (sf)/Watch Neg 12.79 E BBB- (sf) BBB- (sf)/Watch Neg 11.23 Ratings Affirmed COMM 2003-LNB1 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA (sf) 21.68 A-1A AAA (sf) 21.68 A-2 AAA (sf) 21.68 B AA+ (sf) 17.47 C AA (sf) 15.60 X-1 AAA (sf) N/A COMM 2002-WFA Commercial mortgage pass-through certificates Class Rating ----- ------ A-3A AAA (sf) A-3B AAA (sf) B-1 AAA (sf) B-2 AAA (sf) B-3 AAA (sf) B-4 AA+ (sf) N/A -- Not applicable. COMM 2005-LP5: Moody's Downgrades Ratings on Five Classes --------------------------------------------------------- Moody's Investors Service downgraded the ratings of five classes, confirmed seven classes and affirmed eight classes of COMM 2005- LP5, Commercial Mortgage Pass-Through Certificates, Series 2005- LP5: -- Cl. A-2, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-SB, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-J, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. X-C, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. X-P, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. B, Confirmed at Aa2 (sf); previously on Feb. 16, 2011 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Confirmed at Aa3 (sf); previously on Feb. 16, 2011 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Confirmed at A2 (sf); previously on Feb. 16, 2011 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Confirmed at A3 (sf); previously on Feb. 16, 2011 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Confirmed at Baa2 (sf); previously on Feb. 16, 2011 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Confirmed at Baa3 (sf); previously on Feb. 16, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Confirmed at Ba3 (sf); previously on Feb. 16, 2011 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to B3 (sf); previously on Feb. 16, 2011 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to Caa2 (sf); previously on Feb. 16, 2011 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to Caa3 (sf); previously on Feb. 16, 2011 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to Ca (sf); previously on Feb. 16, 2011 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. O, Downgraded to C (sf); previously on Feb. 16, 2011 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 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 February 16, 2011, 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 4.3% of the current balance. At last review, Moody's cumulative base expected loss was 3.3%. Moody's stressed scenario loss is 14.2% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 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 February 10, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 36% to $1.1 billion from $1.7 billion at securitization. The Certificates are collateralized by 127 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 38% of the pool. The pool contains one loan with an investment grade credit estimate that represents 1% of the pool. Four loans, representing 5% of the pool, have defeased and are collateralized with U.S. Government securities. 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. Five loans have been liquidated from the pool, resulting in an aggregate realized loss of $3.7 million (3% loss severity overall). Eight loans, representing 8% of the pool, are currently in special servicing. Moody's has estimated an aggregate $22.7 million loss (27% expected loss on average) for 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 $4.1 million aggregate loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 91% and 55% of the pool's loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 94% compared to 98% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.50X and 1.16X, respectively, compared to 1.50X and 1.10X 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 32 at Moody's prior review. The loan with a credit estimate is the Chatham Ridge Shopping Center Loan ($15 million -- 1.4%), which is secured by a 175,774 square foot shopping center located in Chicago, Illinois. The loan is interest only for its entire seven year term. Performance has been stable. Moody's current credit estimate and stressed DSCR are A3 and 1.66X, respectively, compared to A3 and 1.62X at last review. The top three performing conduit loans represent 21% of the pool balance. The largest loan is the Bank of America Tower at Las Olas City Centre Loan ($90 million -- 8.3%), which is secured by a 409,075 square foot Class A office and retail building located in Fort Lauderdale, Florida. The property was 85% leased as of September 2010 compared to 97% at last review. Moody's LTV and stressed DSCR are 101% and 0.99X, respectively, essentially the same as at last review. The second largest loan is the Lakeside Mall Loan ($86.6 million - 8%), which is secured by a 643,375 square foot regional mall located in Sterling Heights, Michigan. The property was 90% leased as of September 2010 compared to 92% at last review. The in-line stores were 73% leased compared to 81% at last review. Performance has declined due to a decline in rental revenues. The loan sponsor is General Growth Properties (GGP). Moody's LTV and stressed DSCR are 109% and 0.89X, respectively, compared to 90% and 1.08X at last review. The third largest loan is the Continental Park Plaza Loan ($53.7 million -- 4.9%), which is secured by three attached six- story Class A office buildings totaling 476,852 square feet located in El Segundo, California. The property was 88% leased as of September 2010 compared to 92% at last review. Despite the decline in occupancy, performance has improved since Moody's prior review. Moody's LTV and stressed DSCR are 64% and 1.66X, respectively, compared to 80% and 1.31X at last review. COMM 2008-RS3: Moody's Downgrades Ratings on 10 Classes of Notes ---------------------------------------------------------------- Moody's has downgraded ten classes and affirmed one class of Notes issued by COMM 2008-RS3 Commercial Mortgage Related Securities, Series 2008-RS3 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-2A, Downgraded to Caa1 (sf); previously on March 26, 2010 Downgraded to Ba2 (sf) -- Cl. A-2B, Downgraded to Caa1 (sf); previously on March 26, 2010 Downgraded to Ba2 (sf) -- Cl. B, Downgraded to Caa2 (sf); previously on March 26, 2010 Downgraded to B2 (sf) -- Cl. C, Downgraded to Caa3 (sf); previously on March 26, 2010 Downgraded to B3 (sf) -- Cl. D, Downgraded to Caa3 (sf); previously on March 26, 2010 Downgraded to Caa1 (sf) -- Cl. E, Downgraded to Caa3 (sf); previously on March 26, 2010 Downgraded to Caa2 (sf) -- Cl. F, Downgraded to Caa3 (sf); previously on March 26, 2010 Downgraded to Caa2 (sf) -- Cl. G, Affirmed at Caa3 (sf); previously on March 26, 2010 Downgraded to Caa3 (sf) -- Cl. H, Downgraded to Ca (sf); previously on March 26, 2010 Downgraded to Caa3 (sf) -- Cl. X-B, Downgraded to Caa1 (sf); previously on March 26, 2010 Downgraded to Ba2 (sf) -- Cl. X-W, Downgraded to Caa1 (sf); previously on March 26, 2010 Downgraded to Ba2 (sf) Ratings Rationale COMM 2008-RS3 is a direct pass-through of Class A-2A, Class A-2B, Class X-W, Class X-B, Class C, Class E, Class F, Class G, Class H, Class J and Class K (together the Underlying Classes) of the Max CMBS I Ltd., Series 2008-1 transaction (Max Series 2008-1). As of the February 17, 2011 Trustee Report issued for Max Series 2008-1, the aggregate balance of the Underlying Classes was $379 million, the same as that at securitization. This rating action is a result of the downgrade of the Underlying Classes on March 2, 2011. There is one asset with a par balance of $20 million (0.3% of the current pool balance) that is considered a Defaulted Securtiy as of the February 17, 2011 Trustee report, comparied to none at last review. Also, there are 5 assets with a balance of $152.1 million (1.9% of the current pool balance) that have experienced interest shortfalls comparied to no assets with interest shortfalls at last review. 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 607 compared to 178 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (41.9% compared to 56.8% at last review), A1-A3 (14.5% compared to 25.0% at last review), Baa1-Baa3 (23.4% compared to 12.3% at last review), Ba1-Ba3 (8.1% compared to 4.9% at last review) , B1-B3 (11.2% compared to 1.0% at last review) , Caa1-C (0.9% compared to 0.0% at last review). WAL acts to adjust the probability of default of the collateral assets in the pool for time. Moody's modeled to a WAL of 5.9 years compared to 6.9 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 47.6% compared to 56.1% 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 26.4% compared to 34.3% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 47.6% to 37.6% or up to 57.6% would result in average rating movement on the rated tranches of 0 to 1 notches downward or 0 to 1 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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. CONTIMORTGAGE HOME: Moody's Downgrades Ratings on 17 Tranches ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 17 tranches and confirmed the ratings of 8 tranches from 14 Subprime deals issued by ContiMortgage Home Equity Loan Trust. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain securities are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are as follows: Issuer: ContiMortgage Home Equity Loan Trust 1997-5 -- B, Confirmed at Ca (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan Trust 1998-1 -- B, Confirmed at Caa3 (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan Trust 1994-05 -- A-4, Current rating at B3 (sf); previously on July 2, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan Trust 1995-01 -- A-5, Downgraded to Caa3 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- A-6IO, Downgraded to Caa3 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- A-7IO, Downgraded to Caa3 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan Trust 1995-02 -- A-5, Downgraded to Caa3 (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan Trust 1995-03 -- A-5, Downgraded to A3 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to A3 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan Trust 1995-04 -- A-9, Downgraded to Caa2 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- A-13IO, Downgraded to Caa2 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan Trust 1996-01 -- A-7, Downgraded to Caa2 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- A-9IO, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn March 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan Trust 1996-2 -- A-8, Current rating at B3 (sf); previously on July 2, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- A-10IO, Current rating at B3 (sf); previously on July 2, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan Trust 1996-3 -- A-7, Current rating at B3 (sf); previously on July 2, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- A-9IO, Current rating at B3 (sf); previously on July 2, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan Trust 1996-4 -- A-8, Current rating at B3 (sf); previously on July 2, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- A-9, Current rating at B3 (sf); previously on July 2, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- A-11IO, Current rating at B3 (sf); previously on July 2, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan Trust 1997-1 -- A-8, Downgraded to Ba2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-9, Downgraded to Ba2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-10IO, Downgraded to Ba2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1, Downgraded to B3 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan Trust 1997-2 -- A-8, Downgraded to A2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-9, Downgraded to A2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-11IO, Downgraded to A2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1A, Downgraded to Aa1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1F, Confirmed at A3 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan Trust 1997-4 -- B, Confirmed at Caa3 (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan trust 1998-4 -- B, Confirmed at Ca (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan Trust 1999-1 -- B, Confirmed at Ca (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan Trust 1999-2 -- B, Confirmed at Caa3 (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: ContiMortgage Home Equity Loan Trust 1999-3 -- B, Confirmed at Ca (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade COUNTYWIDE HOME: Moody's Downgrades Ratings on 162 Tranches ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 162 tranches from 14 Alt-A deals issued by Countywide Home Loans Inc. The collateral backing these deals primarily consists of first- lien, adjustable rate Alt-A residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: CHL Mortgage Pass-Through Trust 2003-52 -- Cl. A-1, Downgraded to Ba3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to Ca (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-53 -- Cl. A-1, Downgraded to B3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2004-12 -- Cl. 1-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on April 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A-2, Downgraded to C (sf); previously on April 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 8-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 8-A-2, Downgraded to C (sf); previously on April 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 9-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 9-A-2, Downgraded to C (sf); previously on April 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 10-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 11-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 11-A-2, Downgraded to Caa1 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 11-A-3, Downgraded to C (sf); previously on April 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 12-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 13-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 14-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 14-A-3, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 15-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 16-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 16-A-2, Downgraded to C (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-M, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-1, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-X, Downgraded to Ca (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-M, Downgraded to C (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-B-1, Downgraded to C (sf); previously on April 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2004-15 -- Cl. 1-A, Downgraded to Caa1 (sf); previously on April 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Caa1 (sf); previously on April 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Caa1 (sf); previously on April 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Caa1 (sf); previously on April 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Caa1 (sf); previously on April 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on April 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2004-16 -- Cl. 1-A-1, Downgraded to Caa2 (sf); previously on April 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2 (sf); previously on April 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa2 (sf); previously on April 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3a, Downgraded to Caa1 (sf); previously on April 12, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3b, Downgraded to C (sf); previously on April 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4a, Downgraded to B3 (sf); previously on April 12, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4b, Downgraded to Ca (sf); previously on April 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Ca (sf); previously on April 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on April 12, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2004-20 -- Cl. 1-A-1, Downgraded to Caa2 (sf); previously on April 12, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2 (sf); previously on April 12, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2 (sf); previously on April 12, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa2 (sf); previously on April 12, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Ca (sf); previously on April 12, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on April 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2004-23 -- Cl. A, Downgraded to Caa2 (sf); previously on April 12, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Ca (sf); previously on April 12, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on April 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2004-25 -- Cl. 1-A-1, Downgraded to B2 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Ca (sf); previously on April 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to B2 (sf); previously on April 12, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to C (sf); previously on April 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Ca (sf); previously on April 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to C (sf); previously on April 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Ca (sf); previously on April 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B3 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ca (sf); previously on April 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa2 (sf); previously on April 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa2 (sf); previously on April 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa2 (sf); previously on April 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to Ca (sf); previously on April 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-X, Downgraded to C (sf); previously on April 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C (sf); previously on April 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2004-29 -- Cl. 1-A-1, Downgraded to A1 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to A2 (sf); previously on April 12, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to A1 (sf); previously on April 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B3 (sf); previously on April 12, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ca (sf); previously on April 12, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to B3 (sf); previously on April 12, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-PO, Downgraded to Ca (sf); previously on April 12, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa2 (sf); previously on April 12, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to Caa2 (sf); previously on April 12, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-PO, Downgraded to Ca (sf); previously on April 12, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-M-1, Downgraded to B2 (sf); previously on April 12, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-M-1, Downgraded to C (sf); previously on April 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-1, Downgraded to C (sf); previously on April 12, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-2, Downgraded to C (sf); previously on April 12, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2004-7 -- Cl. 1-A-1, Downgraded to B3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to B3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to Ca (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to B3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-X, Downgraded to Ca (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-3, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-M, Downgraded to C (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-1, Downgraded to C (sf); previously on April 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-2, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-3, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-M, Downgraded to C (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-M, Downgraded to C (sf); previously on April 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-B-1, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2004-HYB5 -- Cl. 1-A-1, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to C (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-2, Downgraded to C (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-2, Downgraded to C (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 8-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 8-X, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-1, Downgraded to Caa3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-2, Downgraded to C (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-3, Downgraded to C (sf); previously on April 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-4, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-5, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-B-1, Downgraded to C (sf); previously on April 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-B-2, Downgraded to C (sf); previously on April 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-B-3, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2004-HYB6 -- Cl. A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa1 (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to C (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on April 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2004-HYB8 -- Cl. 1-A-1, Downgraded to B2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to B2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to B2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to B2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A-1, Downgraded to B2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 8-A-1, Downgraded to B3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 9-A-1, Downgraded to B3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-M-1, Downgraded to C (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-M-2, Downgraded to C (sf); previously on April 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-1, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-X, Downgraded to B2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-M, Downgraded to C (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-B-1, Downgraded to C (sf); previously on April 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-B-2, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-X, Downgraded to B3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2004-HYB9 -- Cl. 1-A-1, Downgraded to Caa1 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-B-1, Downgraded to C (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-B-2, Downgraded to C (sf); previously on April 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-B-3, Downgraded to C (sf); previously on April 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on April 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-M, Downgraded to C (sf); previously on April 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-B-1, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-B-2, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade CREDIT SUISSE: Fitch Downgrades Ratings on Six 2002-CP3 Notes ------------------------------------------------------------- Fitch Ratings has downgraded six classes, upgraded one class, and affirmed seven classes of Credit Suisse First Boston Mortgage Securities Corp. 2002-CP3. The downgrades reflect an increase in Fitch expected losses across the pool. Expected losses of the original pool are at 3.78%, including losses already incurred to date. Fitch has designated 30 loans (28%) as Fitch Loans of Concern, which includes five specially serviced loans (6.31%). Fitch expects classes N and O may be fully depleted from losses associated with the specially serviced assets. The upgrade of class F is the result of additional paydown resulting in increased credit enhancement to the class. As of February 2011, the pool's aggregate principal balance has been paid down by approximately 18.86% to $726.8 million from $895.7 million at issuance. Twenty-five loans (32.9%) are defeased. Interest shortfalls are affecting classes M through O. The largest contributor to the loss is a 91,917 square foot office property in Troy, MI. The loan (1.6% of pool balance) transferred to special servicing in March 2010 due to monetary default. The special servicer is currently pursuing foreclosure. The most recent valuation of the property by the special servicer indicates significant losses upon liquidation of the property. The second largest contributor to the loss is a 390 unit multifamily property located in Houston, TX. The loan (2.72% of pool balance) transferred to special servicing in December 2010 and is currently 90 days delinquent. The special servicer has been in contact with the borrower and is working to cure the default. The third largest contributor to the loss is a 257 unit multifamily property also located in Houston, TX. The loan (0.82% of pool balance) transferred to special servicing in February 2009 and is currently greater than 90 days delinquent. A receiver has been appointed by the special servicer to manage and market the property for sale. Fitch downgrades these classes and revises the Outlooks, Loss Severity ratings, and Recovery Ratings as indicated: -- $11.2 million class H to 'BBBsf/LS5' from 'A-sf/LS5'; Outlook Stable; -- $17.9 million class J to 'BBsf/LS5' from 'BBBsf/LS5'; Outlook Stable; -- $6.7 million class K to 'Bsf/LS5' from 'BBB-sf/LS5'; Outlook Stable; -- $4.5 million class L to 'B-sf/LS5' from 'BBsf/LS5'; to Outlook Negative from Outlook Stable; -- $11.2 million class M to 'CCCsf/RR4' from 'B+sf/LS5'; -- $4.5 million class N to 'CCsf/RR6' from 'B-sf/LS5'. Fitch also upgrades this class and revises the LS rating as indicated: -- $14.6 million class F to 'AAAsf/LS5' from 'AA+sf/LS4'; Outlook Stable. Fitch also affirms these classes and revises the LS ratings as indicated: -- $11.1 million class A-2 at 'AAAsf/LS1'; Outlook Stable; -- $521.9 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- $34.7 million class B at 'AAAsf/LS4'; Outlook Stable; -- $40.3 million class C at 'AAAsf/LS4'; Outlook Stable; -- $9 million class D at 'AAAsf/LS5'; Outlook Stable; -- $10.1 million class E at 'AAAsf/LS5'; Outlook Stable; -- $15.7 million class G at 'Asf/LS5'; Outlook Stable. Fitch withdraws the rating on the interest-only class A-X. Fitch does not rate class O. Classes A-1 and A-SP have paid in full. CREDIT SUISSE: Fitch Downgrades Ratings on 17 2007-C1 Certs. ------------------------------------------------------------ Fitch Ratings has downgraded 17 classes of Credit Suisse Commercial Mortgage Trust, series 2007-C1 commercial mortgage pass-through certificates due to further deterioration of performance relative to the previous full transaction review, most of which involves increased projected losses on the specially serviced loans. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 17.2% for the remaining pool; expected losses as a percentage of the original pool balance are at 18%, including losses already incurred to date. Fitch has designated 101 loans (63.4%) as Fitch Loans of Concern, which includes 40 specially serviced loans (37%). (Note: Fitch considers as one loan a multifamily portfolio concentration consisting of three secured and three unsecured notes.) Fitch expects classes C through S may be fully depleted from losses associated with the specially serviced assets. As of the February 2011 distribution date, the pool's aggregate principal balance has been reduced by approximately 3.2% to $3.26 billion from $3.37 billion at issuance, due to a combination of paydown (1.7%) and realized losses (1.5%). Interest shortfalls totaling $18.7 million are affecting classes A-J through T. The largest contributor to modeled losses (6.5% of the pool) is secured by a multifamily complex consisting of 1,802 units, located in the Harlem neighborhood of New York, NY. As of the June 2010 rent roll, 67% of the units at the property were rent- stabilized, while approximately 30% of the units were market units (or units that are technically stabilized but produce market-level rents) and the remaining 3% of the units were vacant. The loan transferred to special servicing on July 2, 2010 after the borrower submitted a hardship letter to the master servicer. The property's operating cash flows have proven insufficient to service the debt since issuance. The year-end 2009 servicer- reported debt service coverage ratio was 0.47 times (x) on a net operating income basis, down from 0.57x as of YE 2008. The borrower has requested a loan modification. Through the most recent full year of financial reporting -- 2009 -- units were converted at a pace such that the property continued to generate revenues roughly on schedule with those expected by Fitch at issuance; however, expenses remained significantly higher than projected (114%) as of YE 2009. As a result, the reported YE 2009 DSCR of 0.47x fell well shy of Fitch's 1.07x estimated coverage for 2009. The loan remained current as of the February 2011 remittance date. The second-largest contributor to modeled losses (5.5%) transferred to the special servicer on April 17, 2009, due to default on three related mezzanine loans totaling $68.2 million. At the time of transfer, occupancy across the portfolio was 88% and cash flows generated by the property serviced the debt for several months on an approximately breakeven basis. According to the special servicer, portfolio occupancy was 94.6% as of YE 2010 and coverage had declined somewhat as of mid-year. The loan remained greater than 90 days delinquent with no reserves remaining as of the February 2011 remittance. Fitch was unable to obtain an update as to the status of the mezzanine debt. The loan is collateralized by 20 multifamily properties comprising 2,990 units, which are located across seven metropolitan areas, including: Atlanta, GA (1); Austin, TX (3); Charleston, SC (2); Denver, CO (2); Orlando, FL (1); Sacramento, CA (2); and Virginia Beach, VA (9). Collateral for the third-largest contributor to modeled losses (4.8%) consists of four multifamily properties located in Austin, TX (two properties) and Round Rock, TX (two) with a total of 1,417 units. The loans transferred to the special servicer on March 6, 2009, following the borrower's request for transfer due to increased competition in the submarkets. The portfolio-wide occupancy dropped to 64.6% (from 95% at issuance) and the reported DSCR was 0.57x as of the time of the transfer. The borrower filed for bankruptcy protection on April 23, 2009. A plan of reorganization was confirmed on June 25, 2010, and the loans were modified. Pursuant to their modification agreements, two of the original four individual loans were consolidated into one loan (as the two properties were phases of the same apartment complex). Additionally, the three remaining loans were divided into secured and unsecured components, totaling in the aggregate $140 million and $20 million, respectively. The borrower paid down $4 million on the secured notes, bringing the current balances to $136 million in total (as of the February 2011 remittance). The loans will remain interest-only for the remainder of the loan term and the maturity dates remain unchanged. Fitch has downgraded and assigned Recovery Ratings to these classes as indicated: -- $125 million class A-MFL to 'BBsf/LS4' from 'Asf/LS4'; Outlook to Stable from Negative; -- $212.1 million class A-M to 'BBsf/LS4' from 'Asf/LS4'; Outlook to Stable from Negative; -- $286.6 million class A-J to 'CCCsf/RR1' from 'B-sf/LS4'; -- $25.3 million class B to 'CCsf/RR6' from 'B-sf/LS5'; -- $37.9 million class C to 'Csf/RR6' from 'B-sf/LS5'; -- $33.7 million class D to 'Csf/RR6' from 'B-sf/LS5'; -- $21.1 million class E to 'Csf/RR6' from 'B-sf/LS5'; -- $29.5 million class F to 'Csf/RR6' from 'B-sf/LS5'; -- $33.7 million class G to 'Csf/RR6' from 'B-sf/LS5'; -- $37.9 million class H to 'Csf/RR6' from 'CCCsf/RR6'; -- $33.7 million class J to 'Csf/RR6' from 'CCCsf/RR6'; -- $37.9 million class K to 'Csf/RR6' from 'CCCsf/RR6'; -- $8.4 million class L to 'Csf/RR6' from 'CCCsf/RR6'; -- $12.6 million class M to 'Csf/RR6' from 'CCCsf/RR6'; -- $8.4 million class N to 'Csf/RR6' from 'CCCsf/RR6'; -- $8.4 million class O to 'Csf/RR6' from 'CCCsf/RR6'; -- $8.4 million class P to 'Csf/RR6' from 'CCsf/RR6'. Additionally, Fitch has affirmed these classes: -- $134.2 million class A-2 at 'AAAsf/LS2'; Outlook Stable; -- $98.3 million class A-AB at 'AAAsf/LS2'; Outlook Stable; -- $758 million class A-3 at 'AAAsf/LS2'; Outlook Stable; -- $1.312 billion class A-1A at 'AAAsf/LS2'; Outlook Stable; -- $130,909 class Q at 'D/RR6'. Class S, which remains at 'Dsf/RR6', and the unrated class T were reduced to zero due to realized losses. Class A-1 has repaid in full. Fitch has withdrawn the rating on the interest-only classes A-SP and A-X. CREDIT SUISSE: Moody's Downgrades Ratings on Four 2003-CPN1 Certs. ------------------------------------------------------------------ Moody's Investors Service downgraded the ratings of four classes and affirmed fourteen classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2003-CPN1: -- Cl. A-1, Affirmed at Aaa (sf); previously on March 13, 2003 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on March 13, 2003 Definitive Rating Assigned Aaa (sf) -- Cl. A-X, Affirmed at Aaa (sf); previously on March 13, 2003 Definitive Rating Assigned Aaa (sf) -- Cl. A-Y, Affirmed at Aaa (sf); previously on March 13, 2003 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Dec. 8, 2006 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on April 15, 2010 Confirmed at Aaa (sf) -- Cl. D, Affirmed at Aa2 (sf); previously on April 15, 2010 Downgraded to Aa2 (sf) -- Cl. E, Affirmed at A1 (sf); previously on April 15, 2010 Downgraded to A1 (sf) -- Cl. F, Downgraded to Baa2 (sf); previously on April 15, 2010 Downgraded to A3 (sf) -- Cl. G, Downgraded to B2 (sf); previously on April 15, 2010 Downgraded to Ba2 (sf) -- Cl. H, Downgraded to Caa3 (sf); previously on April 15, 2010 Downgraded to B3 (sf) -- Cl. J, Downgraded to C (sf); previously on April 15, 2010 Downgraded to Ca (sf) -- Cl. K, Affirmed at C (sf); previously on April 15, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on April 15, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on April 15, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on April 15, 2010 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on April 15, 2010 Downgraded to C (sf) -- Cl. P, Affirmed at C (sf); previously on April 15, 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 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 cumulative base expected and stressed scenario loss estimates of 9.9% and 13.3% of the current pooled balance, respectively. At last review, Moody's cumulative base expected loss estimate was 8.2%. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 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 23, the same as last review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities 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 15, 2010. 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 February 12, 2011 distribution date, the transaction's aggregate certificate balance decreased by 24% to $763.9 million from $1.0 billion at securitization. The Certificates are collateralized by 158 mortgage loans ranging in size from less than 1% to 9.6% of the pool, with the top ten loans representing 33% of the pool. The pool contains 68 loans, representing 12% of the pool, that are secured by residential cooperative properties primarily located in New York City. These loans have a Aaa credit estimate, the same as last review. Twenty-three loans, representing 23% of the pool, have defeased and are collateralized by U.S. Government securities. Nineteen loans, representing 8% 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 a $14.5 million aggregate loss (60% severity on average). There has also been $3 million of principal forgiveness for one loan, which brings the pool's cumulative realized losses to $17.4 million. The pool had realized $12.6 million of losses at last review. Eight loans, representing 17% of the pool, are in special servicing. The largest specially serviced loan is the Northgate Mall Loan ($73 million -- 9.6% of the pool), which is secured by the borrower's interest in a 1.1 million square foot (SF) regional mall located in northwest Cincinnati, Ohio. The property is not the dominant mall in its trade area. Property occupancy and performance have deteriorated with the loss of several major tenants including JC Penney, Dillard's and Northgate Cinema. Additionally, the property's Borders store will be closing as part of Border's recent Chapter 11 filing. The servicer has recognized a $31 million appraisal reduction for the Northgate Mall Loan, which is currently 90+ days past due. The second largest specially serviced loan is the Michigan Equities C Portfolio ($27 million -- 3.5% of the pool), which is secured by 16 properties located throughout Michigan and totaling 369,000 SF. Most of the properties are office buildings and individual properties range in size from 2,100 to 42,000 SF. The property's occupancy has declined from 90% at securitization to 60% as of June 2010. The loan is currently 90+ days past due. The remaining six specially serviced loans are secured by a mix of retail, office and multifamily properties. Moody's estimates an aggregate $67 million loss (based on a 95% probability of default and 54% loss given default on average) from the eight loans in special servicing. Moody's has assumed a high default probability for two of the loans on the watchlist. The troubled loans represent 1% of the pool. Moody's has estimated a $762,000 loss (based on a 50% probability of default and 30% loss given default on average) from the troubled loans. Moody's was provided with full year 2009 and partial-year 2010 operating results for 100% and 66% of the pool, respectively. Excluding troubled, specially serviced and co-op loans, Moody's weighted average LTV is 81% compared to 82% at last full review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding troubled, specially serviced and co-op loans, Moody's actual and stressed DSCRs are 1.49X and 1.33X, respectively, compared to 1.48X and 1.30X 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 three largest performing conduit loans represent 9% of the pool. The largest conduit loan is the Fairfax Building Loan ($26 million -- 3.4% of the pool), which is secured by a 210,000 SF Class B office building located in Tyson's Corner, Virginia. The largest tenant is PNC Bank, N.A. (long term bank deposits rating A2, positive outlook), which leases 9% of the space through June 2018. The property's occupancy declined to 74% as of December 2010 from 83% at last review. Moody's LTV and stressed DSCR are 91% and 1.16X, respectively, compared to 87% and 1.21X at last review. The second largest conduit loan is the Willoughby Commons Loan ($25 million -- 3.2% of the pool), which is secured by a 354,000 SF power center located in Willoughby, Ohio. The center is shadow anchored by Target. The collateral's largest tenant is BJ's Wholesale Club, which leases 31% of the NRA through March 2020. The property has maintained 98%+ occupancy since securitization. As of December 2010, the property was 99% leased, with no lease expirations in 2011-12. Moody's LTV and stressed DSCR are 79% and 1.26X, respectively, compared to 86% and 1.17X at last review. The third largest conduit loan is the 100 Middle Street Loan ($19 million -- 2.5% of the pool), which is secured by two adjacent seven-story office buildings located at the northern edge of Portland, Maine's CBD. The property is 97% leased, which is the same as at securitization. Only one lease, totaling 2% of the NRA, expires in 2011-12. The U.S. government's General Services Administration has expanded its space from approximately 14,000 SF at securitization to 43,000 SF as of January 2011. Moody's LTV and stressed DSCR are 76% and 1.35X, respectively, compared to 85% and 1.20X at last review. CREDIT SUISSE: Moody's Downgrades Ratings on Two 2004-C3 Certs. --------------------------------------------------------------- Moody's Investors Service downgraded the ratings of two classes and affirmed eight classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2004-C3: -- Cl. B, Affirmed at Aa3 (sf); previously on March 4, 2010 Downgraded to Aa3 (sf) -- Cl. C, Affirmed at A2 (sf); previously on March 4, 2010 Downgraded to A2 (sf) -- Cl. D, Affirmed at Baa1 (sf); previously on March 4, 2010 Downgraded to Baa1 (sf) -- Cl. E, Downgraded to Ba3 (sf); previously on March 4, 2010 Downgraded to Ba1 (sf) -- Cl. F, Downgraded to Caa1 (sf); previously on March 4, 2010 Downgraded to B3 (sf) -- Cl. G, Affirmed at Caa2 (sf); previously on March 4, 2010 Downgraded to Caa2 (sf) -- Cl. H, Affirmed at Ca (sf); previously on March 4, 2010 Downgraded to Ca (sf) -- Cl. J, Affirmed at C (sf); previously on March 4, 2010 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on March 4, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on March 4, 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, as well as interest shortfalls that are currently affecting the transaction. 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 did not address the ratings of Classes A-3, A-4, A-5, A-1A, A-X, and A-SP, which are all currently rated Aaa, on review for possible downgrade. These classes were placed on review on January 19, 2011. KeyCorp Real Estate Capital Markets, Inc. is the master servicer on this transaction and deposits collection, escrow and other accounts in KeyBank, National Association. Keybank no longer meets Moody's rating criteria for an eligible depository account institution for Aaa and Aa1 rated securities. Moody's is reviewing arrangements that KeyBank has proposed, and that it may propose, to mitigate the incremental risk indicated by the lower rating of the depository account institution, so as possibly to allow the classes on review to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 5.3% of the current balance. At last review, Moody's cumulative base expected loss was 6.9%. Although Moody's expected loss for the outstanding pool is slightly less than at last review, the pool has experienced additional losses since last review. Realized losses since last review combined with expected losses total 7.9% of the current outstanding balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 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 4th, 2010. 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 February 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 25% to $1.2 billion from $1.6 billion at securitization. The collateral balance is $2 million less than the bond balance due to WODRAs (workout delayed reimbursements amounts) that occured over several periods due to the Gwinnett Crossing Apartments loan modification. The Certificates are collateralized by 148 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 31% of the pool. Twenty-three loans, representing 28% of the pool, have defeased and are secured by U.S. Government securities. Thirty-four 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. Thirteen loans have been liquidated from the pool since securitization, resulting in an aggregate realized loss of $43 million (45% loss severity overall). At last review the pool had experienced an aggregate $16.4 million realized loss. Seventeen loans, representing 11% of the pool, are currently in special servicing. The largest specially serviced loan is the Centerpointe Mall Loan ($44.1 million -- 3.6% of the pool), which is secured by a 774,000 square foot retail center located in Grand Rapids, Michigan. The largest tenants are Menard, Inc (11% of the net rentable area (NRA), lease expiration July 2013), Toys "R" Us (6% of the NRA, lease expiration January 2014), and Jo-Ann Fabrics & Craft (5% of the NRA, lease expiration January 2020). The center was 70% leased as of October 2010, essentially the same as last review, compared to 88% at securitization. The loan transferred into special servicing on February 17, 2011 due to the borrower's inability to cover the debt service payments. The loan's decline in performance is attributed to several tenants, including Klingman Furniture, Steve & Barry's and Linen 'N Things, vacating the property in 2008. The vacated space remains vacant. The property's net operating income has declined more than 50% since securitization. Although the loan is current, Moody's has assumed a loss for the loan based on the property's weak market position. The remaining 16 specially serviced loans are secured by a mix of property types. Moody's has estimated an aggregate $45 million loss (33% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for eight poorly performing loans representing 4% of the pool and has estimated a $6 million aggregate loss (12.5% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 operating results for 86% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 88% compared to 90% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.44X and 1.22X, respectively, compared to 1.41X 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 24, compared to 26 at last review. The top three loans represent 18% of the pool. The largest loan is the Pacific Design Center Loan ($145.0 million -- 11.1% of the pool), which is secured by a 916,000 square foot office and design showroom complex located in West Hollywood, California. In addition to the showroom and office space, the property also houses a 384-seat theater and screening room, conference facilities, a two-story gallery leased to the Museum of Contemporary Art, a fitness facility and two restaurants. The property was 82% leased as of June 2009 compared to 89% at last review. Preformance has declined slightly since last review. Moody's LTV and stressed DSCR are 87% and 1.24X, respectively, compared to 85% and 1.28X at last review. The second largest loan is the BC Wood Portfolio Loan ($41 million -- 3%), which is secured by four shopping centers located in Louisville, Lexington and Paris, Kentucky, all built between 1951 and 1989. The weighted average occupancy for the four properties was 91% as of November 2010, compared to 88% at last review. The loan sponsor is Brain C. Wood. Overall performance has declined slightly from the prior two reviews and securitization, mainly because of increased expenses. Moody's LTV and stressed DSCR are 100% and 1.06X, respectively, compared to 96% and 1.1X at last review. The third largest loan is the Private Mini Storage Portfolio Loan ($38 million - 3%), which is secured by nine self storage properties located in seven different markets within the state of Texas. The portfolio's overall performance has declined since last review. A decline in net operating income of about 30% can be attributed to an overall decline of 12% in revenues and an increase in expenses by 11%. Moody's LTV and stressed DSCR are 108% and 0.93X, respectively, compared to 90% and 1.1X at last review. CREDIT SUISSE: Moody's Downgrades Ratings on Three 2007-C1 Certs. ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of three classes and affirmed the ratings of 21 classes of Credit Suisse Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2007-C1: -- Cl. A-2, Affirmed at Aaa (sf); previously on April 3, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on June 23, 2010 Confirmed at Aaa (sf) -- Cl. A-3, Affirmed at Aa3 (sf); previously on June 23, 2010 Downgraded to Aa3 (sf) -- Cl. A-1-A, Affirmed at Aa3 (sf); previously on June 23, 2010 Downgraded to Aa3 (sf) -- Cl. A-M, Downgraded to Ba1 (sf); previously on June 23, 2010 Downgraded to Baa3 (sf) -- Cl. A-MFL, Downgraded to Ba1 (sf); previously on June 23, 2010 Downgraded to Baa3 (sf) -- Cl. A-J, Downgraded to Caa1 (sf); previously on June 23, 2010 Downgraded to B3 (sf) -- Cl. B, Affirmed at Caa3 (sf); previously on June 23, 2010 Downgraded to Caa3 (sf) -- Cl. C, Affirmed at Ca (sf); previously on June 23, 2010 Downgraded to Ca (sf) -- Cl. D, Affirmed at C (sf); previously on June 23, 2010 Downgraded to C (sf) -- Cl. E, Affirmed at C (sf); previously on June 23, 2010 Downgraded to C (sf) -- Cl. F, Affirmed at C (sf); previously on June 23, 2010 Downgraded to C (sf) -- Cl. G, Affirmed at C (sf); previously on June 23, 2010 Downgraded to C (sf) -- Cl. H, Affirmed at C (sf); previously on June 23, 2010 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on June 23, 2010 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on June 23, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on June 23, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on June 23, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on June 23, 2010 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on June 23, 2010 Downgraded to C (sf) -- Cl. P, Affirmed at C (sf); previously on June 23, 2010 Downgraded to C (sf) -- Cl. Q, Affirmed at C (sf); previously on Aug. 6, 2009 Downgraded to C (sf) -- Cl. A-X, Affirmed at Aaa (sf); previously on April 3, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-SP, Affirmed at Aaa (sf); previously on April 3, 2007 Definitive Rating Assigned Aaa (sf) Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from anticipated losses from specially serviced and watchlisted loans, realized losses and interest shortfalls hitting the A-J class. The affirmations are due to key parameters, including Moody's loan to value ratio and stressed debt service coverage ratio remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The significant decline in loan diversity, as measured by the Herfindahl Index, has been mitigated by increased subordination. Moody's rating action reflects a cumulative base expected loss of 17.4% of the current balance. At last review, Moody's cumulative base loss was 17.7%. Moody's stressed scenario loss is 24.0% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 35 compared to 53 at last review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities 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 23, 2010. 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 February 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 4% to $3.3 billion from $3.4 billion at securitization. The Certificates are collateralized by 248 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 38% of the pool. No loans have defeased and there are no loans in the pool with investment grade credit estimates. Eighty-three loans, representing 30.2% of the pool, including five of the top ten loans in 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. Twenty-one loans have been liquidated from the pool since securitization, resulting in a $49.2 million loss (19% average loss severity). The pool had experienced an aggregate $14.5 million loss at last review. There are presently 42 loans, representing 38% of the pool, in special servicing. The largest specially serviced loan is the Savoy Park Loan ($210.0 million -- 6.5% of the pool), which is secured by seven adjacent apartment buildings totaling 1,802 units located in the Harlem neighborhood of New York City. The property is also encumbered by a $157.5 million mezzanine loan. At securitization, the borrower's plan was to increase property value through a comprehensive renovation program and the deregulation of rent-stabilized units. However, a slower than anticipated conversion pace coupled with deteriorating market fundamentals have posed challenges to the buyer's original investment strategy. As of December 2009, 90% of the units were rent stabilized compared to 91% at securitization. The interest reserve was replenished since last review and now stands at $4.6 million. This loan was transferred to special servicing July 2010 at the borrower's request in pursuit of a loan modification and remains current. The second largest loan in special servicing is the CVI Multifamily Apartment Portfolio Loan ($178.8 million -- 5.5% of the pool), which is secured by 20 multi-family properties totaling 2,990 units. The properties range from 12 to 434 units and are located in seven markets with the largest concentrations in Austin, Texas and Sacramento, California. The loan was transferred to special servicing April 2009 due to imminent default and is currently 90+ days delinquent. The third largest specially serviced loan is the Mansions Portfolio Loan ($156.0 million -- 4.8% of the pool), which is secured by four multi-family properties totaling 1,417 units located in Austin and Round Rock, Texas. The loan was transferred to special servicing in March 2009 for imminent default and the borrower declared bankruptcy in April 2009. The original four crossed loans were modified in July 2010 and now feature three separate crossed secured and unsecured notes. All notes will remain interest only with a lower initial interest rate in years one and two increasing in year three for the balance of the secured notes. The unsecured notes include an interest accrual feature. Property performance has improved since the loan modification and the loans remain current. The remaining 39 specially serviced loans are secured by a mix of property types. The servicer has recognized an aggregate $254.9 million appraisal reduction on 36 of the specially serviced loans. Moody's estimates an aggregate $443 million loss (overall 37% expected loss) for all specially serviced loans. In addition to recognizing losses from specially serviced loans, Moody's has assumed a high default probability for 47 poorly performing loans representing 20% of the pool and has estimated a $54.9 million loss (9% expected loss based on a 25% probability default) from these troubled loans. As of the most recent remittance statement date, the transaction has experienced unpaid accumulated interest shortfalls totaling $18.2 million affecting Classes A-J through T. Interest shortfalls are caused by special servicing fees, appraisal reductions, extraordinary trust expenses and interest payment reductions due to loan modifications. Moody's expects interest shortfalls to increase due to the pool's high exposure to specially serviced loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 96% and 83%, respectively, of the pool's non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 109% compared to 121% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.51X and 1.02X, respectively, compared to 1.27X 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. The top three performing conduit loans represent 10% of the pool balance. The largest loan is the Koger Center Loan ($115.5 million -- 3.6% of the pool), which is secured by an 850,000 SF office building located in Tallahassee, Florida. The largest tenant is the State of Florida which leases 69% of the net rentable area through October 2019. As of September 2010, the property was 92% leased versus 89% at last review. The property's performance has remained stable since last review yet Moody's stressed the cash flow to reflect the uncertainty surrounding State of Florida budgetary issues. Moody's LTV and stressed DSCR are 148% and 0.66X, respectively, compared to 145% and 0.67X at last review. The second largest conduit loan is the Trident Center Loan ($101.9 million -- 3.1% of the pool), which is secured by a 366,123 SF office complex located in Los Angeles, California. The largest tenants are two large law firms, Manatt, Phelps and Phillips, which leases 57% of the NRA through April 2021 and Mitchell, Silberberg and Knupp, which leases 35% of the NRA through April 2019. As of December 2010, the property was 99% leased versus 100% at last review. Moody's LTV and stressed DSCR are 119% and 0.82X, respectively, compared to 125% and 0.78X at last review. The third largest conduit loan is the HGA Portfolio Loan ($92.5 million -- 2.8% of the pool), which is secured by a 1,538- unit multi-family portfolio with eleven separate communities located in Maryland and Texas. The properties were 89% occupied as of December 2010 versus 93% at last review. Financial performance has improved since last review due to fewer concessions despite occupancy declines. Moody's LTV and stressed DSCR are 102% and 0.93X, respectively, compared to 116% and 0.67X at last review. CREDIT SUISSE: S&P Downgrades Rating on Class M-8 Certs. to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class M-8 certificates issued by Credit Suisse International's reference notes referencing Argent Securities Inc. asset-backed pass-through certificates series 2004-W10 to 'D' from 'CC'. S&P's rating on the reference notes is dependent on the lower of S&P's ratings on (i) the reference obligation, Argent Securities Inc. series 2004-W10's class M-8 certificates due 9/25/2034 ('D (sf)') and (ii) the issuer, Credit Suisse International (A+/Stable/A-1). The rating actions follow S&P's Feb. 25, 2011, lowering of its rating on the reference obligation to 'D' from 'CC'. CREST 2003-1: Fitch Downgrades Ratings on Six Classes of Notes -------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed two classes issued by Crest 2003-1, Ltd./Corp. as a result of significant negative credit migration and increased interest shortfalls on the underlying collateral. Since Fitch's last rating action in April 2010, approximately 47.3% of the portfolio has been downgraded. Currently, 41.3% has a Fitch derived rating in the 'CCC' rating category or lower, compared to 24.3% at last review. As of the Feb. 28, 2011 trustee report, defaulted securities, as defined in the transaction's governing documents now comprise 32.9% of the portfolio, compared to 10.6% at last review. Additionally, 9.1% of non-defaulted collateral are currently experiencing interest shortfalls. Currently, all overcollateralization tests are failing their respective covenants. As a result, interest proceeds otherwise available to the class C and D notes are being diverted to pay down the class A notes. 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 B-2 notes' breakeven rates are generally consistent with the ratings assigned below. For classes C and D, 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 C notes have been downgraded to 'CCCsf', indicating that default is possible. Similarly, the class D notes have been downgraded to 'CCsf', indicating that default is probable. As of the Feb. 28, 2011 trustee report, the class C and D notes are receiving interest paid in kind whereby the principal amount of the notes is written up by the amount of interest due. The Negative Outlook on the class A-1 through B-2 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. Crest 2003-1 is a static CDO which closed March 13, 2003. The collateral is composed of 72.9% of commercial mortgage backed securities and 27.1% of real estate investment trusts. Fitch has affirmed these classes: -- $108,289,237 class A-1 notes at 'AAAsf/LS4'; Outlook Negative; -- $2,495,144 class A-2 notes at 'AAAsf/LS4'; Outlook Negative. Fitch has downgraded these classes: -- $24,000,000 class B-1 notes to 'BBBsf/LS5' from 'AAsf/LS5'; Outlook Negative; -- $36,000,000 class B-2 notes to 'BBBsf/LS5' from 'AAsf/LS5'; Outlook Negative; -- $28,290,319 class C-1 notes to 'CCCsf' from 'BBBsf/LS4'; -- $48,351,904 class C-2 notes to 'CCCsf' from 'BBBsf/LS4'; -- $10,378,058 class D-1 notes to 'CCsf' from 'Bsf/LS5'; -- $55,812,916 class D-2 notes to 'CCsf' from 'Bsf/LS5'. CRYSTAL RIVER: S&P Downgrades Ratings on Nine Classes of Notes -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on nine classes from Crystal River Resecuritization 2006-1 Ltd., a commercial real estate collateralized debt obligation transaction. The downgrades reflect S&P's analysis of the transaction following the termination of the interest rate swap contract for the transaction, resulting in a payment to the hedge counterparty. S&P lowered the rating on class A to 'D (sf)' because the nondeferrable class did not receive full interest as noted in the trustee remittance report dated Feb. 22, 2011. The nondeferrable class B, which S&P previously downgraded to 'D (sf)' on May 6, 2010, due to interest shortfalls, also did not receive an interest payment. S&P lowered the ratings of classes C through K to 'CC (sf)' from 'CCC- (sf)' because S&P expects the interest payments on these classes to be deferred for an extended period of time due to the termination payment. According to the most recent trustee report, the hedge counterparty previously terminated the interest rate swap contract for the transaction following a payment default. The termination of the hedge triggered a termination payment totaling $34.9 million to the counterparty. Based on the transaction's documents and payment waterfall, it is S&P's understanding that the termination payments to the hedge counterparty are made pro rata to interest and principal payments to class A and before any interest or principal proceeds are made available to any classes subordinate to class A. S&P expects that the termination payments may not be paid in full for several years, and full principal and interest payments to deferrable classes will likely not be paid for many years. According to the Feb. 22, 2011 trustee report, Crystal River 2006- 1 was collateralized by 71 classes of commercial mortgage-backed securities (CMBS, $370.6 million, 100%) from 32 distinct transactions issued from 2002 through 2007. Standard & Poor's analyzed Crystal River 2006-1 according to its current criteria. The analysis is consistent with the lowered ratings. Ratings Lowered Crystal River Resecuritization 2006-1 Ltd. Rating ------ Class To From ----- -- ---- A 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) DELTA FUNDING: Moody's Downgrades Ratings on 89 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 89 tranches and confirmed the ratings of five tranches from 17 Subprime deals issued by Delta Funding/Renaissance. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. 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. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Delta Funding Home Equity Loan Trust 1995-2 -- S, Downgraded to B3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- A-5, Downgraded to B3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) Issuer: Delta Funding Home Equity Loan Trust 1997-3 -- B-1F, Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Delta Funding Home Equity Loan Trust 1998-1 -- Cl. A-6F, Downgraded to B1 (sf); previously on June 19, 2008 Downgraded to Aa1 (sf) -- Underlying Rating: Downgraded to B1 (sf); previously on June 18, 2008 Assigned Aa1 (sf)* -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) Issuer: Delta Funding Home Equity Loan Trust 1999-1 -- B, Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Delta Funding Home Equity Loan Trust 1999-3 -- Cl. A-1A, Downgraded to Ba2 (sf); previously on June 19, 2008 Downgraded to Aa2 (sf) -- Underlying Rating: Downgraded to Ba2 (sf); previously on June 18, 2008 Assigned Aa2 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Cl. A-1F, Downgraded to Ba1 (sf); previously on June 19, 2008 Downgraded to Aa2 (sf) -- Underlying Rating: Downgraded to Ba1 (sf); previously on June 18, 2008 Assigned Aa2 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Cl. A-2F, Downgraded to Ba1 (sf); previously on June 19, 2008 Downgraded to Aa2 (sf) -- Underlying Rating: Downgraded to Ba1 (sf); previously on June 18, 2008 Assigned Aa2 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) Issuer: DFC HELTrust 2001-2 -- Cl. M-1, Downgraded to B1 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Renaissance Home Equity Loan Trust 2002-1 -- Cl. M-1, Confirmed at Ba1 (sf); previously on Dec. 23, 2010 Downgraded to Ba1 (sf) and Placed Under Review Direction Uncertain -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Renaissance Home Equity Loan Trust 2002-2 -- Cl. M-1, Downgraded to B3 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Renaissance Home Equity Loan Trust 2002-3 -- Cl. M-1, Downgraded to B1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Renaissance Home Equity Loan Trust 2002-4 -- A, Downgraded to Aa3 (sf); previously on Jan 2, 2003 Assigned Aaa (sf) -- Underlying Rating: Downgraded to Aa3 (sf); previously on Jan. 2, 2003 Assigned Aaa (sf) -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) -- M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- B, Downgraded to C (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Renaissance Home Equity Loan Trust 2003-2 -- A, Downgraded to Baa3 (sf); previously on Jul 14, 2003 Assigned Aaa (sf) -- M-1, Downgraded to Caa3 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- M-2A, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- M-2F, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- M-3, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- M-4, Downgraded to C (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Renaissance Home Equity Loan Trust 2003-3 -- M-1, Downgraded to A3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-2A, Downgraded to Ba2 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- M-2F, Downgraded to Ba2 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- M-3, Downgraded to B2 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- M-4, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- M-5, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Renaissance Home Equity Loan Trust 2003-4 -- A-1, Downgraded to A2 (sf); previously on Feb 20, 2004 Assigned Aaa (sf) -- A-3, Downgraded to A2 (sf); previously on Feb 20, 2004 Assigned Aaa (sf) -- M-1, Downgraded to B2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-2A, Downgraded to Caa3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- M-2F, Downgraded to Caa3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- M-3, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- M-4, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- M-5, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- M-6, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Renaissance Home Equity Loan Trust 2004-1 -- AV-1, Downgraded to A3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- AV-3, Downgraded to A3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-IO-2, Downgraded to A3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- M-3, Downgraded to C (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- M-4, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- M-5, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- M-6, Downgraded to C (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Renaissance Home Equity Loan Trust 2004-2 -- Cl. AF-4, Downgraded to Aa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Baa1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) -- Cl. AF-5, Downgraded to Aa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Baa1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) -- Cl. AF-6, Downgraded to Aa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to A3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) -- Cl. AV-3, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) -- Cl. M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa1 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Renaissance Home Equity Loan Trust 2004-3 -- Cl. AF-4, Downgraded to Aa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) -- Cl. AF-5, Downgraded to Aa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) -- Cl. AF-6, Downgraded to Aa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) -- Cl. AV-1, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AV-2A, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AV-2B, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa1 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to C (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Renaissance Home Equity Loan Trust 2004-4 -- Cl. MF-1, Downgraded to B3 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to Caa3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-3, Downgraded to Ca (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-4, Downgraded to C (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-5, Downgraded to C (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-6, Downgraded to C (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-7, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-8, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-9, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to Ba3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to Ba3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to Ba2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. MV-1, Downgraded to Ba1 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to Ca (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-3, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade DEUTSCHE ALT-A: Moody's Downgrades Ratings on 67 Tranches --------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 67 tranches, confirmed the rating of seven tranches, and withdrawn the ratings of four tranches from nine Alt-A deals issued by Deutsche Alt-A Securities. 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 deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior to 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. 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 levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Deutsche Alt-A Securities, Inc. Alternative Loan Trust Series 2003-1 -- CL. A-1, Downgraded to A1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- CL. A-2, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- CL. A-3, Downgraded to A1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- CL. A-PO, Downgraded to A1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- CL. A-X, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Alt-A Securities, Inc. Alternative Loan Trust Series 2003-3 -- Cl. I-A-1, Downgraded to A2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to A2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to A2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Downgraded to A2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-X, Downgraded to A2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-PO-1, Downgraded to A2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-6, Downgraded to A1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-7, Downgraded to A1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-X, Downgraded to A1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-PO-2, Downgraded to A2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-X, Downgraded to A2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2003-2XS -- Cl. A-5, Downgraded to B1 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ba1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2003-4XS -- Cl. A-4, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-6A, Downgraded to Ba2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Underlying Rating: Downgraded to Ba2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-6B, Downgraded to Ba2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Loan Trust, Series 2004-1 -- Cl. I-A-1, Downgraded to Aa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-X, Downgraded to Aa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-PO, Downgraded to Aa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Aa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Aa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Aa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-X, Downgraded to Aa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-PO, Downgraded to Aa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-5, Downgraded to Ba3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-6, Downgraded to Baa2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-M-1, Downgraded to Ca (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. III-M-2, Downgraded to C (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. III-M-3, Downgraded to C (sf); previously on April 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Loan Trust, Series 2004-2 -- Cl. A-5, Downgraded to B1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on April 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Loan Trust, Series 2004-3 -- Cl. I-A-4, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-5, Downgraded to B1 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to B1 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-7, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-M-1, Downgraded to Ca (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-M-2, Downgraded to C (sf); previously on April 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-M-3, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AR-1, Downgraded to B1 (sf); previously on May 26, 2009 Downgraded to A2 (sf) -- Cl. II-AR-2, Downgraded to Baa1 (sf); previously on May 26, 2009 Downgraded to Aa1 (sf) -- Cl. II-MR-1, Downgraded to Ca (sf); previously on May 26, 2009 Downgraded to Baa3 (sf) -- Cl. II-MR-2, Downgraded to C (sf); previously on May 26, 2009 Downgraded to B1 (sf) -- Cl. II-MR-3, Downgraded to C (sf); previously on May 26, 2009 Downgraded to Caa3 (sf) Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-4 -- Cl. I-A-4, Confirmed at Aa1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-5, Downgraded to B3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to Ba3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-M-1, Downgraded to Ca (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-M-2, Downgraded to C (sf); previously on April 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AR-1, Downgraded to Baa2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AR-2, Downgraded to Baa1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-MR-1, Downgraded to Caa1 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-MR-2, Downgraded to Ca (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-MR-3, Downgraded to C (sf); previously on April 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-5 -- Cl. A-3, Confirmed at Aa1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4A, Downgraded to B3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Underlying Rating: Downgraded to B3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4B, Downgraded to B3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5A, Confirmed at Aa1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Underlying Rating: Confirmed at Aa1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5B, Downgraded to Ba3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Underlying Rating: Downgraded to Ba3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-IO, Confirmed at Aa1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C (sf); previously on April 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade DLJ ABS: Moody's Downgrades Ratings on 11 Tranches -------------------------------------------------- Moody's Investors Service has downgraded the ratings of 11 tranches from 3 Subprime deals issued by DLJ. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. 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 primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: DLJ ABS Trust Series 2000-5 -- Cl. A-1, Downgraded to B3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-IO, Downgraded to B3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: DLJ ABS Trust Series 2000-7 -- Cl. A-1, Downgraded to B3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to B3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to B3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class M-1, Downgraded to Ca (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: DLJ Mtg Acpt Corp 1996-QB -- B-1, Downgraded to Caa3 (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade DLJ COMMERCIAL: Moody's Affirms Ratings on Three 1999-CG3 Certs. ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of three classes of DLJ Commercial Mortgage Corp., Commercial Mortgage Pass-Through Certificates, Series 1999-CG3: -- Cl. B-4, Affirmed at Ca (sf); previously on Dec. 10, 2009 Downgraded to Ca (sf) -- Cl. B-7, Affirmed at C (sf); previously on Dec. 10, 2009 Downgraded to C (sf) -- Cl. S, Affirmed at Aaa (sf); previously on Oct. 12, 1999 Definitive Rating Assigned Aaa (sf) Ratings Rationale 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. Moody's rating action reflects a cumulative base expected loss of 34.4% of the current balance. At last review, Moody's cumulative base expected loss was 32.3%. Moody's stressed scenario loss is 35.6% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 8 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 December 10, 2009. Deal Performance As of the February 10, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 94% to $54.8 million from $899.3 million at securitization. The Certificates are collateralized by 15 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing 91% of the pool. Two loans representing 9% of the pool have defeased and are collateralized with U.S. Government securities. Defeasance at last review represented 5% of the pool. 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. Thirty-one loans have been liquidated from the pool since securitization, resulting in an aggregate $29.2 million loss (22% loss severity on average). At last review the pool had experienced $22.2 million of losses. Seven loans, representing 59% of the pool, are currently in special servicing. The largest specially serviced loan is the Wyndham Garden Oklahoma City Loan ($7.3 million -- 13.2% of the pool), formerly known as the Holiday Inn-Oklahoma City. The loan is secured by a 246-unit hotel property located in Oklahoma City, Oklahoma. The loan was transferred to special servicing in July 2009 for imminent maturity default. The special servicer has approved a one year forbearance agreement that matures in October 2011. The second largest specially serviced loan is the Olympic Corporate Center Building ($6.9 million -- 12.7% of the pool), which is secured by an 89,000 square foot office building located in Erlanger, Kentucky. The loan was transferred to special servicing in May 2009 due to imminent maturity default. Since then the loan has become Real Estate Owned via a foreclosure on December 12, 2010. In November 2010 the master servicer recognized a $2.5 million appraisal reduction for this loan. The third largest specially serviced loan is the Rolling Meadows Plaza Loan ($6.8 million -- 12.5% of the pool), which is secured by a 128,500 SF retail property located in Rolling Meadows, Illinois. The loan was transferred to special servicing in October 2009 due to payment maturity default. In January 2011 the master servicer recognized a $5.2 million appraisal reduction on this property. The remaining four specially serviced loans are secured by retail and multifamily properties. The master servicer has recognized an aggregate $10.6 million appraisal reduction for five of the specially serviced loans. Moody's has estimated an aggregate $17.3 million loss (54% expected loss on average) for all of the specially serviced loans. Moody's has assumed a high default probability for two poorly performing loans representing 10% of the pool and has estimated a $1.4 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. Excluding defeased, specially serviced and troubled loans there are four conduit loans remaining in the conduit pool. Moody's was provided with full year 2009 operating results for 100% of the conduit pool and partial year 2010 financials for 89% of the conduit pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 72% compared to 70% at last review. Moody's net cash flow reflects a weighted average haircut of 10.4% 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 1.06X and 1.46X, respectively, compared to 1.30X and 1.57X 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 25% of the pool balance. The largest loan is The Regency Apartments Loan ($7.2 million -- 13.1% of the pool), which is secured by a 186- unit multifamily property located in Fayetteville, North Carolina. As of September 2010 the property was 97% leased. Moody's LTV and stressed DSCR are 73% and 1.33X, respectively, compared 70% and 1.39X at last review. The second largest loan is the Majestic Shopping Center Loan ($4.5 million -- 8.2% of the pool), which is secured by a 136,183 SF retail property located in Hampton, Michigan. The property was 75% leased as of January 2011 and is currently on the watchlist due to a decline in occupancy. Moody's LTV and stressed DSCR are 89% and 1.15X, respectively, compared 75% and 1.37X at last review. The third largest loan is the Kaiser Permanente Office Building Loan ($2.1 million -- 3.8% of the pool), which is secured by a 31,300 SF office property located in Anaheim, California. The loan has benefited from amortization. Moody's LTV and stressed DSCR are 46% and 2.36X respectively, compared to 61% and 1.78X at last review. DRYDEN V-LEVERAGED: Moody's Upgrades Ratings on Various Classes --------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Dryden V-Leveraged Loan CDO 2003: -- US$17,000,000 Class B-1 Floating Rate Senior Notes Due December 22, 2015, Upgraded to Aa2 (sf); previously on November 23, 2010 A2 (sf) Placed Under Review for Possible Upgrade; -- US$10,000,000 Class B-2 Fixed Rate Senior Notes Due December 22, 2015, Upgraded to Aa2 (sf); previously on November 23, 2010 A2 (sf) Placed Under Review for Possible Upgrade; -- US$9,000,000 Class C-1 Floating Rate Deferrable Notes Due December 22, 2015, Upgraded to A3 (sf); previously on November 23, 2010 Baa3 (sf) Placed Under Review for Possible Upgrade; -- US$6,500,000 Class C-2 Fixed Rate Deferrable Notes Due December 22, 2015, Upgraded to A3 (sf); previously on November 23, 2010 Baa3 (sf) Placed Under Review for Possible Upgrade; -- US$7,500,000 Class D-1 Floating Rate Deferrable Notes Due December 22, 2015, Upgraded to Ba3 (sf); previously on November 23, 2010 Caa2 (sf) Placed Under Review for Possible Upgrade; -- US$5,000,000 Class D-2 Floating Rate Deferrable Notes Due December 22, 2015, Upgraded to Ba3 (sf); previously on November 23, 2010 Caa2 (sf) Placed Under Review for Possible Upgrade; -- US$4,500,000 Class D-3 Fixed Rate Deferrable Notes Due December 22, 2015, Upgraded to Ba3 (sf); previously on November 23, 2010 Caa2 (sf) Placed Under Review for Possible Upgrade; -- US$8,500,000 Class E Floating Rate Deferrable Notes Due December 22, 2015, Upgraded to Caa3 (sf); previously on November 23, 2010 Ca (sf) Placed Under Review for Possible Upgrade. Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily due to an increase in the transaction's overcollateralization ratios since the rating action in June 2010. The overcollateralization ratios of the rated notes have improved primarily due to amortization of the Class A Notes, which have been paid down by approximately $52 million or 37% since the rating action in June 2010. As per the January 2011 trustee report, the Class A/B, Class C, Class D, and Class E, overcollateralization ratios are reported at 145.4%, 128.3%, 113.7%, and 107.5% respectively, versus April 2010 levels of 128.9%, 118.0%, 108.1%, and 103.7%, respectively, and all related overcollateralization tests are currently in compliance. The credit quality of the portfolio has been relatively stable (as measured by the weighted average rating factor) and proportion of securities from issuers rated Caa1 and below, have decreased since the rating action in June 2010. Based on the January 2011 trustee report, the weighted average rating factor is 2833 compared to 2826 in April 2010, and securities rated Caa1 and below make up approximately 11.8% of the underlying portfolio versus 12.3% in April 2010. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to approximately $3.0 million from $9.0 million in April 2010. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $169 million, defaulted par of $3.0 million, weighted average default probability of 24.9% (implying a WARF of 4065), a weighted average recovery rate upon default of 42.2%, and a diversity score of 39. 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 V-Leveraged Loan CDO 2003 Corp, issued on December 10, 2003, 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 sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF - 20% (3252) -- Class A: 0 -- Class B-1: +2 -- Class B-2: +2 -- Class C-1: +2 -- Class C-2: +2 -- Class D-1: +2 -- Class D-2: +2 -- Class D-3: +2 -- Class E: +1 Moody's Adjusted WARF + 20% (4878) -- Class A: 0 -- Class B-1: -1 -- Class B-2: -1 -- Class C-1: -2 -- Class C-2: -2 -- Class D-1: -1 -- Class D-2: -1 -- Class D-3: -1 -- Class E: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the managers' investment strategy and behavior, and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the 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 deals' overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. EAST LANE: S&P Assigns 'BB+' Rating to Two Classes of Notes ----------------------------------------------------------- Standard & Poor's Ratings Services said it assigned its 'BB+(sf)' and 'BB(sf)' ratings on the Series 2011-1 Class A and Class B notes, respectively, issued by East Lane Re IV Ltd. The notes will cover losses from hurricanes, earthquakes, severe thunderstorms, and winter storms in the covered areas on a per- occurrence basis. East Lane IV is a newly incorporated special- purpose Cayman Islands exempted company licensed as a Class B insurer in the Cayman Islands. All of its issued and outstanding share capital will be held under a declaration of trust for certain charitable purposes by Wilmington Trust (Cayman) Ltd. as share trustee. The ceding insurers, Federal Insurance Co. (AA/Stable/--) and other intercompany pool members (collectively referred to herein as Chubb), all subsidiaries of Chubb Corp., write personal and commercial lines insurance. The insurer financial strength ratings on Federal Insurance Co. and its intercompany pool members are based on the group's very strong competitive position in the global property/casualty marketplace. Chubb Corp. benefits from very strong brand-name recognition globally, excellent underwriting, and very strong consolidated capital. Ratings List New Ratings East Lane Re IV Ltd. Series 2011-1 Class A Notes BB+(sf) Series 2011-1 Class B Notes BB(sf) EL PASO: Moody's Affirms 'B3' Rating on $4.85 Mil. Mortgage Bonds ----------------------------------------------------------------- Moody's Investors Service has affirmed the B3 rating on $4,850,000 of outstanding El Paso Housing Finance Corporation, Multifamily Mortgage Revenue Bonds (Las Lomas Apartments) Series 1999A. The outlook on the bonds remains stable. The rating affirmation is based on improving debt service coverage levels and stabilized performance of Las Lomas Apartments, which are offset by a reduced Debt Service Reserve Fund. Rating Rationale The bonds are secured by a pledge of all project revenues and funds held pursuant to the program. The Series 1999A bonds have a first lien on all program funds and are paid first in the monthly flow of funds. Payment of senior bond principal and interest is given priority in the flow of funds and is senior to the payment of the Series 1999C bonds. The Series 1999C bonds are not rated by Moody's. Strengths * Debt Service Coverage levels have improved since 2008, primarily driven by the property's rent increases. * Even with rental increases, Las Lomas Apartments offers units slightly below Fair Market Rents. Challenges * The Debt Service Reserve Fund is funded and sized in an amount well below the requirement of the original Indenture. * Inherent risks associated with the volatility of the affordable multifamily housing sector. Detailed Credit Discussion According to year ending December 31 2009 financial audits, Moody's-adjusted Maximum Annual Debt Service coverage increased to 1.29x from 1.24x in the year prior. The increase was primarily driven by the property's 7% increase in total lease revenues and - 1% decrease in overall operating expenses. The property has maintained consistent occupancy levels since at least 2004, and only reported a 5% vacancy rate as of February 2011. In November 2006, the owner of the project and the beneficial owner of the Senior Lien Bonds jointly agreed to use up to $300,000 of the Senior Lien Debt Service Reserve Fund to fund various repairs to the project. The reserve fund balance prior to this $300,000 disbursement was $384,325. The withdrawal necessitated a reduction of the DSRF requirement to $89,472. As of 2/23/2011, the DSRF was funded at $111,369, an increase of only $5,714 since Moody's last surveillance in 2010. Moody's believe the amount will still not adequately insulate bondholders from operating risks, or risks associated with a particularly volatile housing sector. Outlook What Could Make The Rating Go Up: * Significant contributions to the Debt Service Reserve Fund that demonstrate sufficient protection against aforementioned risks What Could Make The Rating Go Down: * Further withdrawals from the Debt Service Reserve Fund * Material decline in Debt Service Coverage Key Indicators * DSRF: $111,369 (2/23/2011) * 2009 MADS DSC: 1.29x * Vacancy Rate: 5% (2/23/2011) EQUIFIRST MORTGAGE: Moody's Downgrades Ratings on 30 Tranches ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 30 tranches and confirmed the ratings of three tranches from five Subprime deals issued by Equifirst. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Equifirst Mortgage Loan Trust 2003-1 -- Cl. M-1, Confirmed at Aa2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Confirmed at Baa1 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Confirmed at Ca (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Equifirst Mortgage Loan Trust 2003-2 -- Cl. M-1, Downgraded to A2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba1 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B1 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to B3 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa3 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Equifirst Mortgage Loan Trust 2004-1 -- Cl. M-1, Downgraded to A1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Baa1 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ba1 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to B1 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to B3 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Caa3 (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Equifirst Mortgage Loan Trust 2004-2 -- Cl. M-1, Downgraded to A1 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to A3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Baa2 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ba1 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ba3 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to B2 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Equifirst Mortgage Loan Trust 2004-3 -- Cl. M-1, Downgraded to Aa3 (sf); previously on Jan. 10, 2005 Assigned Aa1 (sf) -- Cl. M-2, Downgraded to A1 (sf); previously on Jan. 10, 2005 Assigned Aa1 (sf) -- Cl. M-3, Downgraded to Baa1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ba3 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to B2 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to C (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade EQUITY ONE: Moody's Downgrades Ratings on 63 Tranches ----------------------------------------------------- Moody's Investors Service has downgraded the ratings of 63 tranches and has confirmed the ratings of 8 tranches from 15 Subprime deals issued by Equity One. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. 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 levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Equity One ABS, Inc. 1998-1 -- A-1, Downgraded to Caa1 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to Caa1 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- A-2, Downgraded to Caa1 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to Caa1 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Equity One Mortgage Pass-Through Trust 1999-1 -- A-1, Downgraded to Caa1 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to Caa1 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Equity One Mortgage Pass-Through Trust 2001-3 -- AF-4, Confirmed at B3 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Confirmed at B3 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- AV-1, Downgraded to B3 (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to B3 (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Equity One Mortgage Pass-Through Trust 2002-1 -- Cl. AV-1, Confirmed at Aaa (sf) ; previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa1 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Equity One Mortgage Pass-Through Trust 2002-2 -- Cl. AF-4, Downgraded to B3 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to B3 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Equity One Mortgage Pass-Through Trust 2002-3 -- Cl. AV-1, Downgraded to Aa1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Confirmed at A3 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba1 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Caa3 (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Equity One Mortgage Pass-Through Trust 2002-4 -- Cl. AV-1A, Downgraded to Aa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) -- Underlying Rating: Downgraded to Aa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AV-1B, Downgraded to Aa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa2 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Equity One Mortgage Pass-Through Trust 2002-5 -- M-1, Downgraded to Baa1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- B, Downgraded to C (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Equity One Mortgage Pass-Through Trust 2003-1 -- M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- B, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Equity One Mortgage Pass-Through Trust 2003-2 -- AV-1, Downgraded to Aa1 (sf); previously on May 19, 2003 Assigned Aaa (sf) -- M-1, Downgraded to Baa1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to B2 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- M-3, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Equity One Mortgage Pass-Through Trust 2003-3 -- AF-4, Downgraded to Aa3 (sf); previously on Aug 18, 2003 Assigned Aaa (sf) -- M-1, Downgraded to Baa3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- M-3, Downgraded to C (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Equity One Mortgage Pass-Through Trust 2003-4 -- AV-1, Downgraded to Aa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- AV-2, Downgraded to Aa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- AF-5, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- AF-6, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1, Downgraded to Baa2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to B2 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- M-3, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- M-4, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- B-1, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Equity One Mortgage Pass-Through Trust 2004-1 -- AV-1, Downgraded to Aa1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- AV-2, Downgraded to Aa1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- AF-4, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- AF-5, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- AF-6, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1, Downgraded to Baa1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to B2 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- M-3, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- M-4, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Equity One Mortgage Pass-Through Trust 2004-2 -- Cl. AV-1, Downgraded to Aa2 (sf); previously on June 24, 2004 Assigned Aaa (sf) -- Cl. AV-2, Downgraded to Aa2 (sf); previously on June 24, 2004 Assigned Aaa (sf) -- Cl. AF-4, Downgraded to Aa1 (sf); previously on June 24, 2004 Assigned Aaa (sf) -- Cl. AF-5, Downgraded to Aa1 (sf); previously on June 24, 2004 Assigned Aaa (sf) -- Cl. AF-6, Downgraded to Aa1 (sf); previously on June 24, 2004 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Baa2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Equity One Mortgage Pass-Through Trust 2004-3 -- Cl. AV-1, Downgraded to Aa2 (sf); previously on Sept. 28, 2004 Assigned Aaa (sf) -- Cl. AV-2, Downgraded to Aa2 (sf); previously on Sept. 28, 2004 Assigned Aaa (sf) -- Cl. AF-4, Downgraded to Aa1 (sf); previously on Sept. 28, 2004 Assigned Aaa (sf) -- Cl. AF-5, Downgraded to Aa1 (sf); previously on Sept. 28, 2004 Assigned Aaa (sf) -- Cl. AF-6, Downgraded to Aa1 (sf); previously on Sept. 28, 2004 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Baa1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade FALCON AUTO: Fitch Takes Rating Actions on Four Classes of Notes ---------------------------------------------------------------- Fitch Ratings has taken these actions on Falcon Auto Dealership LLC, series 2003-1: -- Class A-1 and A-2 notes downgraded to 'BBsf' from 'Asf'; -- Class B notes downgraded to 'CCsf/RR6' from 'Bsf'; -- Class C notes downgraded to 'Csf/RR6' from 'CCsf/RR6'; -- Class D, E, and F notes affirmed at 'Csf/RR6'. In addition, the class A-1 and A-2 notes remain on Rating Watch Negative. The class B notes are removed from Rating Watch Negative. Fitch does not assign Outlooks to classes rated 'CCCsf' or below. The downgrades to the class A, B, and C notes reflect Fitch's updated recovery expectations on outstanding defaults which have worsened since last review, growing interest shortfalls on the subordinate classes, the inability of the class A and B notes to pass Fitch's stress cases at their current ratings, and the anticipated default of the class C notes and all those subordinate. Over half the collateral pool is in special servicing. Among the current defaults are the two largest loans in the transaction. Fitch's expected recoveries on the second largest loan, which comprises approximately 19% of the collateral pool, have decreased since last review. The expected writedowns from the outstanding defaults will leave all notes in the structure with less credit support. Future deterioration in Fitch's recovery expectations for these loans may lead to additional negative rating actions. As such, the Rating Watch Negative has been maintained for the class A notes. In reviewing the transactions, Fitch took into account analytical considerations outlined in Fitch's 'Global Structured Finance Rating Criteria,' dated Aug. 13, 2010. Fitch's analysis first incorporated anticipated losses on currently defaulted loans given anticipated sale prices reflecting recent appraisals or contracted sales. If no such data is available, recovery expectations are based on historical collateral-specific recoveries experienced in the franchise asset backed securities sector since 1994. The resulting anticipated collateral losses were then applied to the transaction structure, enabling Fitch to assess the impact on the securities and available credit enhancement. To assess the structure's ability to withstand additional loan defaults, Fitch assumed additional borrowers would default based on their current fixed charged coverage ratios. Under specific scenarios for each rating category, borrowers with an FCCR below a defined level were assumed to default and realize a loss in the near future. If a class was able to withstand the assumed defaults without incurring a loss, it was considered to have passed that particular scenario. These FCCR hurdles for the respective scenarios ranged from 1.0 times for the 'Bsf' case to approximately 1.5x for the 'Asf' case. FCCR default levels were based on an analysis of historical franchise loan obligor FCCR data from 2005-2009. Additionally, to review possible concentration risks within the pool, Fitch evaluated the impact of the default of the largest performing obligors. Similar to the analysis detailed above, Fitch applied loss and recovery expectations to the performing obligors based on collateral type and historical recovery performance. Under this approach, Fitch expects each class in the 'Bsf' to 'Asf' rating categories to be able to withstand the default of the top one to five obligors, respectively, without defaulting. Fitch will continue to closely monitor this transaction and may take additional rating actions in the future as appropriate. FIRST ALLIANCE: Moody's Downgrades Ratings on Two Tranches ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 2 tranches from 2 Subprime deals issued by First Alliance. The collateral backing these deals primarily consists of first-lien, fixed rate residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. 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. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: First Alliance Mortgage Loan Trust 1998-3 -- A-3, Downgraded to Baa2 (sf); previously on May 8, 2009 Confirmed at A2 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) Issuer: First Alliance Mortgage Loan Trust 1998-4 -- A-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) FIRST NATIONAL: Fitch Maintains Negative Watch on All Classes ------------------------------------------------------------- Fitch Ratings maintains the Rating Watch Negative on all outstanding classes of First National Master Note Trust: Series 2009-1 -- Class A at 'AAAsf'; LS Rating revised to 'LS1' from 'LS2'; -- Class C at 'BBBsf/LS4'; -- Class D at 'BBsf'; LS Rating revised to 'LS4' from 'LS5'. Series 2009-3 -- Class A at 'AAAsf', LS Rating revised to 'LS1' from 'LS2'; -- Class C at 'BBBsf/LS4'; -- Class D at 'BBsf', LS Rating revised to 'LS4' from 'LS5'. The action follows Fitch's announcement on Feb. 25 that it affirmed the long-term Issuer Default Rating of First National Bank of Omaha (the bank) at 'BB+' and short-term IDR at 'B'. Fitch also maintained the ratings of the Bank on Rating Watch Negative. The Rating Watch will be maintained on all outstanding notes in the trust until the Watch is resolved on the bank's ratings. The trust was originally put on Rating Watch Negative after the bank was downgraded to 'BB+' from 'BBB-' in August 2010. The bank's lower rating increases the risk associated with credit card origination, ongoing receivables generation, and servicing. Fitch has since revisited its assumptions and stresses applied to the trust. The purchase rate stress has increased to reflect the bank's lower rating. This would have resulted in downward pressure on ratings; however, Fitch was also able to give credit to positive performance trends by revising its performance assumptions for the trust. Specifically, improvements in Monthly Payment Rates and Gross Charge-offs have been incorporated. These improvements have resulted in improved Loss Severity ratings for the class A and class D tranches since Fitch's loss expectation for the trust have decreased. FIRST UNION: Moody's Affirms Ratings on 16 2001-C4 Certificates --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 16 classes of First Union National Bank Commercial Mortgage Trust Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2001-C4: -- Cl. A-2, Affirmed at Aaa (sf); previously on Dec. 20, 2001 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on June 2, 2005 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on June 2, 2005 Upgraded to Aaa (sf) -- Cl. D, Affirmed at Aaa (sf); previously on Sept. 25, 2006 Upgraded to Aaa (sf) -- Cl. E, Affirmed at Aaa (sf); previously on Sept. 25, 2006 Upgraded to Aaa (sf) -- Cl. F, Affirmed at Aaa (sf); previously on July 9, 2007 Upgraded to Aaa (sf) -- Cl. G, Affirmed at Aaa (sf); previously on July 9, 2007 Upgraded to Aaa (sf) -- Cl. H, Affirmed at Aa1 (sf); previously on Sept. 25, 2008 Upgraded to Aa1 (sf) -- Cl. J, Affirmed at A1 (sf); previously on Aug. 9, 2007 Upgraded to A1 (sf) -- Cl. K, Affirmed at A3 (sf); previously on Aug. 9, 2007 Upgraded to A3 (sf) -- Cl. L, Affirmed at Ba1 (sf); previously on Sept. 25, 2006 Upgraded to Ba1 (sf) -- Cl. M, Affirmed at Ba3 (sf); previously on Dec. 20, 2001 Definitive Rating Assigned Ba3 (sf) -- Cl. N, Affirmed at B1 (sf); previously on Dec. 20, 2001 Definitive Rating Assigned B1 (sf) -- Cl. O, Affirmed at B2 (sf); previously on Dec. 20, 2001 Definitive Rating Assigned B2 (sf) -- Cl. P, Affirmed at B3 (sf); previously on Dec. 20, 2001 Definitive Rating Assigned B3 (sf) -- Cl. IO-I, Affirmed at Aaa (sf); previously on Dec. 20, 2001 Definitive Rating Assigned Aaa (sf) Ratings Rationale 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% of the current balance. At last review, Moody's cumulative base expected loss was 2%. Moody's stressed scenario loss is 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 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, 2007. Deal Performance As of the February 14, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 37% to $620 million from $978 million at securitization. The Certificates are collateralized by 106 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans representing 30% of the pool. Twenty-six loans, representing 25% of the pool has defeased and is collateralized with U.S. Government securities. The pool has significant near-term refinance risk, as loans representing 75% of the pool mature within the next 24 months. Thirty-six 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. 10 loans have been liquidated from the pool since securitization, resulting in an aggregate realized loss of $4.8 million (9% loss severity overall). At last review the pool had realized a $1.4 million loss. One loan, representing less than 1% of the pool, is currently in special servicing. Moody's has assumed a high default probability for five poorly performing loans representing 12% of the pool and has estimated a $11 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 91% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 80% compared to 83% 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 9.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.27X and 1.33X, respectively, compared to 1.31X and 1.35X 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 45 at last review. The top three loans represent 14% of the pool balance. The largest loan is the Overlook at Great Notch Loan ($31 million -- 5%), which is secured by a 415,000 square foot Class A office building located in Little Falls (Passaic County), New Jersey. Performance has declined considerably since last review. This decline can be attributed to a major tenant (ACS, 25% of net rentable area) surrendering 10% of their lease and renewing the remaining 25% at a reduced rate, as well as another tenant (7% of of the NRA) delinquent on its rent. The loan matures in 2011. Moody's is concerned about refinance risk associated with this loan due to its near-term maturity and decline in performance. Moody's LTV and stressed DSCR are 133% and 0.81X respectively, compared to 96% and 1.12X at last review. The second largest loan is the Orland Park Place Loan ($30 million -- 5%), which is secured by a 421,000 square foot power center located approximately 25 miles southwest of Chicago in Orland, Illinois. Current occupancy is 98% which is in line with last review, and the majority of tenants are on long term leases. Overall financial performance is in line with the previous review and securitization. The loan matures in 2011. Moody's LTV and stressed DSCR is 80% and 1.25X respectively, compared to 89% and 1.12X at last review. The third largest conduit loan is the Chesterbrook Office Building Loan ($25 million -- 4%), which is secured by a 171,000 square foot Class A office building located in Berwyn, Pennsylvania, 20 miles northwest of the Philadelphia central business district. Property performance has declined since last review, largely due to increased vacancy, lower rental levels for recent leases, and increased expenses. The previous majority tenant, Nationwide (58% of the NRA) was replaced by True Position at a lower rental rate. In addition, a tenant which leased 11% of the NRA was evicted in 2009 and the space is still vacant. There are several lease proposals under discussion. The property was 80% leased as of September 2010 compared to 100% at last review. Repair and maintenance costs have also increased over several winters due to the increased costs for ice and snow removal, contributing to the poor performance. The loan matures in 2012. Moody's LTV and stressed DSCR is 83% and 1.28X respectively, compared to 71% and 1.49X at last review. FOUR CORNERS: Moody's Upgrades Ratings on Various Classes --------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Four Corners CLO II, Ltd.: -- US$232,000,000 Class A Floating Rate Notes Due 2020 (current outstanding balance of $167,349929), Upgraded to Aa1 (sf); previously on August 10, 2009 Downgraded to Aa3 (sf); -- US$10,500,000 Class B Floating Rate Notes Due 2020, Upgraded to Aa3 (sf); previously on August 10, 2009 Downgraded to Baa1 (sf); -- US$21,500,000 Class C Deferrable Floating Rate Notes Due 2020, Upgraded to Baa2 (sf); previously on August 10, 2009 Downgraded to Ba2 (sf); -- US$9,500,000 Class D Deferrable Floating Rate Notes Due 2020, Upgraded to Ba2 (sf); previously on August 10, 2009 Downgraded to Caa1 (sf); -- US$11,000,000 Class E Deferrable Floating Rate Notes Due 2020, Upgraded to Caa2 (sf); previously on November 23, 2010 Ca (sf) 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 transaction's overcollateralization ratios since the rating action in August 2009. 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 February 5, 2011, the weighted average rating factor is currently 2530 compared to 2782 in the July 2009 report, and securities rated Caa1 or lower make up approximately 3.4% of the underlying portfolio versus 7.8% in July 2009. In addition, there are currently $1.48 million of defaulted securities based on the February 2011 trustee report, compared to $13.19 million in July 2009. The overcollateralization ratios of the rated notes have also improved since the rating action in August 2009. The Class A/B, Class C, Class D and Class E overcollateralization ratios are reported at 128.39%, 114.54%, 109.33% and 103.86%, respectively, versus July 2009 levels of 118.78%, 109.11%, 105.32% and 101.24%, respectively, and all related overcollateralization tests are currently in compliance. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $228.2 million, defaulted par of $1.5 million, a weighted average default probability of 25.5% (implying a WARF of 3375), a weighted average recovery rate upon default of 42.57%, and a diversity score of 50. 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. Four Corners CLO II, Ltd., issued in January 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2700) -- Class A: +1 -- Class B: +2 -- Class C: +3 -- Class D: +2 -- Class E: +3 Moody's Adjusted WARF + 20% (4050) -- Class A: -1 -- Class B: -2 -- Class C: -1 -- Class D: -2 -- Class E: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Recovery of Moody's assumed defaulted assets: Market value fluctuations in assets which were assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. 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. FRASER SULLIVAN: S&P Assigns Ratings to $350.6 Mil. Floating Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its ratings to Fraser Sullivan CLO V Ltd./Fraser Sullivan CLO V Corp.'s $350.6 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 and a limited amount of senior secured first-lien revolving loans, second-lien loans, and unsecured loans. The ratings reflect S&P's assessment 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 portfolio manager's experienced management team; * The timely interest and ultimate principal payments that S&P expects on the rated notes, assessed using S&P's cash flow analysis and assumptions commensurate with the assigned ratings under various interest rate scenarios, including LIBOR rates ranging from 0.29% to 5.16%; and * The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. Ratings Assigned Fraser Sullivan CLO V Ltd./Fraser Sullivan CLO V Corp. Class Rating Amount (mil. $) ----- ------ --------------- A-1 AAA (sf) 273.00 A-2 AA (sf) 13.50 B (deferrable) A (sf) 30.10 C (deferrable) BBB (sf) 15.00 D (deferrable) BB (sf) 19.00 E NR 6.80 F NR 13.20 EF NR 30.00 NR -- Not rated. GATEWAY CLO: Moody's Upgrades Ratings on Class B to 'Caa2' ---------------------------------------------------------- Moody's Investors Service announced that it has upgraded the rating of these notes issued by Gateway CLO Limited: -- US$15,000,000 Class B Secured Deferrable Floating Rate Notes due 2021, Upgraded to Caa2 (sf); previously on November 23, 2010 C (sf) Placed Under Review for Possible Upgrade. Ratings Rationale According to Moody's, the rating action taken on the notes results primarily from improvement in the credit quality of the underlying portfolio and an increase in the transaction's overcollateralization ratios since the rating action in 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) and a decrease in the proportion of securities from issuers rated Caa1 and below. In particular, as of the latest trustee report dated January 25, 2010, the weighted average rating factor is currently 2497 compared to 2606 in the April 2009 report, and securities rated Caa1/CCC+ or lower make up approximately 6.74% of the underlying portfolio versus 9.73% in April 2009. Additionally, defaulted securities total about $2.3 million of the underlying portfolio compared to $29.2 million in April 2009. The overcollateralization ratios of the rated notes have also improved since the rating action in June 2009. The Class A and Class B overcollateralization ratios are reported at 108.4% and 104.8%, respectively, versus April 2009 levels of 101.4% and 98.1%, respectively, and all related overcollateralization tests are currently in compliance. Moody's notes that the Class B Notes are no longer deferring interest and that all previously deferred interest has been paid in full. As a result of the significant improvement in the Class A overcollateralization ratio level, Moody's also notes that its concerns about a potential Event of Default have receded. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $469.5 million, defaulted par of $7.3 million, a weighted average default probability of 26.85% (implying a WARF of 3400), a weighted average recovery rate upon default of 44.83%, and a diversity score of 60. 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. Gateway CLO Limited, issued in October 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2720) -- Class B: +4 Moody's Adjusted WARF + 20% (4080) -- Class B: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1. Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2. Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 3. Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. However, as part of the base case, Moody's considered spread levels higher than the covenant levels due to the large difference between the reported and covenant levels. GE CAPITAL: S&P Downgrades Ratings on Four Classes of Notes ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four classes of commercial mortgage-backed securities from GE Capital Commercial Mortgage Corp.'s series 2001-3. In addition, S&P affirmed its ratings on seven other classes from the same transaction. The rating actions reflect S&P's analysis of the remaining collateral in the pool, the deal structure, and liquidity available to the trust. S&P lowered its ratings on the E, F, G, and H certificates primarily because S&P expects ongoing or susceptibility to future interest shortfalls. 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 1.30x and an adjusted loan-to-value ratio of 75.4%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average debt service coverage of 1.04x and an LTV ratio of 92.4%. The implied defaults and loss severity under the 'AAA' scenario were 32.2% and 28.9%, respectively. The DSC and LTV calculations S&P noted above exclude 32 defeased loans ($340.3 million, 35.2%), and eight ($57.4 million, 8.4%) specially serviced loans. S&P separately estimated a loss for the specially serviced loans and included them in its 'AAA' scenario implied default and loss figures. S&P's ratings actions also considered the volume of nondefeased, nonspecially serviced loans that are scheduled to mature in 2011(66 loans, $373.3 Million, 54.7% of the trust balance). While many of these loans have reported DSCs ratios greater than 1.10x, S&P believes the borrowers for these loans could face refinancing challenges given current market conditions. Credit Considerations As of the Feb. 10, 2011 trustee remittance report, eight assets ($57.4 million, 8.4%) in the pool, two of which are among the top 10 real estate exposures, were with the special servicer, LNR Partners Inc. The reported payment status of the specially serviced assets are as follows: three ($33.3 million, 4.9%) are real estate owned, four ($16.4 million, 2.4%) are 90-plus-days delinquent, and one ($7.8 million, 1.1%) is in its grace period. Five of the specially serviced assets ($40.5 million, 5.4%) have appraisal reduction amounts in effect totaling $26.3 million. The Arbors at Brookhollow ($12.6 million, 1.9%), the largest asset with LNR and the seventh-largest real estate exposure in the pool, is a 114,363-sq.-ft. office property in Arlington, Texas. The underlying mortgage loan was transferred to LNR on Nov. 14, 2008, due to imminent default, and the property became REO on April 6, 2010. According to special servicer, a new management and leasing agent has been hired. Since then an additional 2.7% of the NRA has been leased and one renewal has been signed. An ARA of $8.2 million is in effect against the asset. Standard & Poor's anticipates a significant loss upon the eventual resolution of this asset. The Highland Landing Apartments loan ($10.9 million, 1.6%), the second-largest asset with the special servicer, and the eighth- largest real estate exposure in the pool, is a 352-unit multifamily property in Decatur, Ga. The asset was transferred to LNR on Nov. 16, 2008, due to payment default and became REO on Oct. 6, 2009. According to the special servicer, the property manager has implemented a leasing program, and the property's physical occupancy is currently 75% based on the February 2011 master servicer's comments. An ARA of $9.5 million is in effect against the asset. Standard & Poor's anticipates a significant loss upon the eventual resolution of this asset. The six remaining specially serviced assets have individual balances that represent less than 1.5% of the balance. Standard & Poor's estimated losses for six of these assets, resulting in a weighted-average loss severity of 39.9%. In addition to the specially serviced assets, S&P determined one loan ($5.9 million, 0.9%) to be credit-impaired. The Executive Center One Office Building loan ($5.9 million, 0.9%) is secured by a 85,935-sq.-ft. property located in Englewood, Colo. The loan's payment status is 60-plus-days delinquent. According to the master servicer, the reported DSC as of the nine months ended Sept. 30, 2010 was 0.31x, and the reported occupancy as of Dec. 8, 2010, was 84.0%. Transaction Summary As of the Feb. 10, 2011 trustee remittance report, the aggregate pooled trust balance was $683.0 million, which represents 70.9% of the aggregate pooled trust balance at issuance. There are 110 assets remaining in the pool, down from 133 at issuance. The master servicer, Wells Fargo Bank N.A., provided financial information for 89.2% of the nondefeased loans in the pool, 45.0% of which was interim 2009 or full-year 2009 data, with the balance reflecting interim or full-year 2010 reporting. S&P calculated a weighted average DSC of 1.32x for the pool based on the reported figures, which excluded 32 defeased loans ($240.3 million, 35.2%). Nineteen loans ($186.2 million, 27.3%) are on the master servicer's watchlist. Twenty loans ($114.0 million, 16.7%) have reported DSC below 1.10x, and 14 of these loans ($62.1 million, 9.1%) have a reported DSC of less than 1.00x. To date, the transaction has realized eight principal losses totaling $17.3 million. Summary of Top 10 Real Estate Exposures The top 10 exposures secured by real estate have an aggregate outstanding pooled balance of $181.1 million (26.5%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.40x for eight of the top 10 exposures. Two of the top 10 exposures are with the special servicer and are discussed above. Six are on the master servicer's watchlist, five of which are discussed below. The Executive Tower loan ($39.0 million, 5.7%), is the largest exposure in the pool. The loan is secured by a 122,930-sq.-ft. office building located in Washington, D.C. The loan appears on the master servicer's watchlist due to lease expirations and anticipated vacancies that will affect 16.2% of the net rentable area, as well as additional vacancies affecting 9.7% of the NRA. According to the master servicer, two tenants have signed leases to replace the vacating tenants (16.2%). As of Dec. 31, 2009, the reported DSC was 1.72x. The reported occupancy as of the Sept. 30, 2010, rent roll was 75%. The Forest Avenue Shoppers Center loan ($24.3 million, 3.6%) is the second-largest exposure in the pool. The loan is secured by a 177,116-sq.-ft. anchored retail center in Staten Island, N.Y. The loan appears on the master servicer's watchlist due to a tenant (National Wholesale) occupying 19.2% of the NRA vacating prior to its lease expiration after filing for bankruptcy. The three largest tenants currently at the property are TJ Maxx, Michaels, and CVS. As of Dec. 14, 2010, property occupancy was 70%. As of Dec. 31, 2009, the reported DSC was 1.20x. The Sienna Villas Apartments loan ($22.2 million, 3.3%) is the third-largest exposure in the pool. The loan is secured by a 360- unit multifamily property in Henderson, Nev. The loan appears on the master servicer's watchlist due to a low DSC. The reported DSC and occupancy as of the nine months ended Sept. 30, 2010, were 1.07x and 91%, respectively. The Continental Park loan ($21.2 million, 3.1%) is the fourth- largest exposure in the pool. The loan is secured by four buildings totaling 203,727 sq. ft. and a four-level parking structure in El Segundo, Calif. The loan appears on the master servicer's watchlist due to low DSC. Three of the four properties are 100% occupied, while the fourth is only 19% occupied. Leasing efforts are ongoing according to the master servicer. The reported DSC and occupancy for the 12 months ended Sept. 30, 2010, are 1.09x and 78%, respectively. The Palm Beach Park Centre loan ($17.4 million, 2.5%) is the fifth-largest exposure in the pool. The loan is secured by a 67,389-sq.-ft. office property in Palm Beach, Fla. The loan appears on the master servicer's watchlist due to a tenant occupying 23% of the NRA vacating upon lease end, leaving the property 75% occupied. The reported DSC as of Dec. 31, 2010, was 1.82x. Standard & Poor's stressed the assets in the pool according to its criteria and the analysis is consistent with its lowered and affirmed ratings actions. Ratings Lowered GE Capital Commercial Mortgage Corp. Commercial mortgage pass-through certificates series 2001-3 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- E AA- (sf) AA+ (sf) 14.05 F A- (sf) AA (sf) 11.93 G B+ (sf) A- (sf) 10.17 H CCC- (sf) B- (sf) 6.11 Rating Affirmed GE Capital Commercial Mortgage Corp. Commercial mortgage pass-through certificates series 2001-3 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA (sf) 28.27 A-2 AAA (sf) 28.27 B AAA (sf) 22.70 C AAA (sf) 17.05 D AAA (sf) 15.11 I CCC-(sf) 4.88 X-1 AAA (sf) N/A N/A - Not applicable. GE COMMERCIAL: S&P Downgrades Ratings on Three 2004-C3 Securities ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on three classes of commercial mortgage-backed securities from GE Commercial Mortgage Corp.'s series 2004-C3. In addition, S&P raised its ratings on two other classes and affirmed its ratings on 17 other classes from the same trust. The rating actions on the pooled principal and interest certificates follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria. The lowered ratings reflect credit support erosion that S&P anticipate will occur upon the resolution of five of the transaction's six specially serviced assets and also consider available liquidity support. S&P upgraded the class C and D certificates to reflect increased credit support levels due to the deleveraging of the transaction. S&P's rating actions are tempered by the volume of nondefeased and nonspecially serviced assets with anticipated repayment dates (ARDs) or final maturities in 2011 ($133.8 million, 13.7%). This balance includes the previously specially serviced DDR-Macquarie Portfolio loan ($39.4 million, 4.0%). Pursuant to the transaction documents, as long as this loan continues to perform and remains with the master servicer, 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 final balloon payment, which is scheduled to be made in June 2011). S&P's analysis included a review of the credit characteristics of all of the assets in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.46x and a loan-to-value ratio of 84.9%. S&P further stressed the assets' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 1.16x and an LTV ratio of 105.4%. The implied defaults and loss severity under the 'AAA' scenario were 41.7% and 24.5%, respectively. All of the DSC and LTV calculations S&P noted above exclude nine ($158.4 million, 16.2%) defeased assets and five ($49.4 million, 5.1%) of the transaction's six ($55.5 million, 5.7%) specially serviced assets. S&P separately estimated losses for the excluded specially serviced assets and included them in the 'AAA' scenario implied default and loss figures. The affirmations of the 'AAA (sf)' ratings on the "SHP" raked classes reflect the timely payments of the Strategic Hotel Portfolio whole loan, which has been defeased. The "SHP" raked classes derive 100% of their cash flows from a nonpooled portion of the loan. S&P affirmed its ratings on the class X-1 and X-2 interest-only certificates based on its current criteria. Specially Serviced Assets As of the February 2011 remittance report, six ($55.5 million, 5.7%) assets in the pool were with the special servicer, CWCapital Asset Management LLC. The payment status of the specially serviced assets is: two ($18.4 million, 1.9%) are real estate owned; one ($4.5 million, 0.5%) is in foreclosure; one ($4.6 million, 0.5%) is 90-plus days delinquent; one ($21.9 million, 2.3%) is 60 days delinquent; and one ($6.1 million, 0.6%) is in its grace period. Appraisal reduction amounts totaling $2.4 million were in effect for two of the specially serviced assets. The Maspeth Industrial Center loan ($21.9 million, 2.3%) is the ninth-largest nondefeased exposure in the pool and the largest specially serviced asset. The loan is secured by a 672,545-sq.- ft. industrial property in Maspeth, N.Y. The loan was transferred to special servicing in July 2010 due to imminent monetary default and is classified as 60 days delinquent. As of December 2009, the reported DSC for the loan was 1.00x. Reported occupancy at the collateral property was 71.4%, as of June 2010. According to the special servicer, a loan modification and foreclosure are both being pursued as resolution strategies. S&P anticipate a moderate loss upon the resolution of this asset if the loan is not modified. The Village Shoppes at East Cherokee asset ($15.8 million, 1.6% of the pool balance) is the second-largest specially serviced asset. The asset is secured by a 128,667-sq.-ft. retail property in Holly Springs, Ga., and was transferred to special servicing in June 2010 for imminent monetary default. The asset is classified as REO. As of December 2009, the reported DSC was 0.99x. Standard & Poor's expects a significant loss upon the eventual resolution of this asset. The four remaining specially serviced assets have individual balances that represent less than 0.7% of the trust balance. ARAs totaling $2.4 million are in effect against two of these assets. Standard & Poor's estimated losses for three of the assets to arrive at a weighted-average loss severity of 27.2%. Transaction Summary As of the February 2011 remittance report, the collateral pool had an aggregate trust balance of $977.2 million, down from $1.41 billion at issuance. The pool includes 98 loans and two REO assets, down from 127 loans at issuance. Nine ($158.4 million, 16.2%) loans are defeased. The master servicer, GEMSA Loan Services L.P., provided full-year 2009 or interim-2010 financial information for 99.4% of the nondefeased assets in the pool. S&P calculated a weighted average DSC of 1.52x for the pool based on the reported figures. S&P's adjusted DSC and LTV ratio were 1.46x and 84.9%, respectively. S&P's adjusted DSC and LTV figures exclude the defeased assets and five of the transaction's six specially serviced assets. S&P separately estimated losses for the excluded specially serviced assets. The master servicer reported a watchlist of 18 ($176.8 million, 18.1%) loans, including three of the top 10 loan exposures, which S&P discusses in detail below. Fifteen ($116.7 million, 11.9%) exposures in the pool have a reported DSC of less than 1.10x, and 11 ($64.3 million, 6.6%) exposures have a reported DSC of less than 1.00x. Summary of Top 10 Real Estate Exposures The top 10 exposures secured by real estate have an aggregate outstanding trust balance of $300.1 million (30.7%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.60x for the top 10 real estate exposures. S&P's adjusted DSC and LTV ratio for the top 10 exposures are 1.43x and 83.1%, respectively. One of the top 10 exposures is with the special servicer (discussed above) and three appear on the master servicer's watchlist (discussed below). The DDR-Macquarie Portfolio loan is the second-largest nondefeased loan in the pool and the largest loan on the master servicer's watchlist. The loan has a trust balance of $39.4 million (4.0%) and is secured by a portfolio of retail properties comprising 1,757,802 sq. ft. across the U.S. The loan is on the master servicer's watchlist due to upcoming tenant lease expirations. The reported DSC and consolidated occupancy were 2.42x and 81.1% as of December 2009 and June 2010, respectively. The Sun Communities Portfolio 5 loan is the third-largest nondefeased loan in the pool and the second-largest loan on the master servicer's watchlist. The loan has a trust balance of $38.3 million (3.9%) and is secured by a portfolio of manufactured housing properties comprising 2,249-pads across the U.S. The loan is on the master servicer's watchlist for low reported occupancy. As of December 2009, the reported DSC and consolidated occupancy were 1.82x and 72.9%, respectively. The 180 Livingston Street loan is the sixth-largest nondefeased loan in the pool and the third-largest loan on the master servicer's watchlist. The loan has a trust balance of $24.1 million (2.5%) and is secured by a 165,200-sq.-ft. office property in Brooklyn, N.Y. The loan is on the master servicer's watchlist for low reported DSC. The reported DSC and occupancy were 1.00x and 100% as of December 2009 and June 2010, respectively. Standard & Poor's analyzed the transaction according to its current criteria, and the rating actions are consistent with S&P's analysis. Ratings Lowered GE Commercial Mortgage Corp. Commercial mortgage pass-through certificates series 2004-C3 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- M B (sf) B+ (sf) 2.61 N CCC (sf) B (sf) 2.06 O CCC- (sf) B- (sf) 1.52 Ratings Raised GE Commercial Mortgage Corp. Commercial mortgage pass-through certificates series 2004-C3 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- C AA (sf) AA- (sf) 14.79 D A+ (sf) A (sf) 11.88 Ratings Affirmed GE Commercial Mortgage Corp. Commercial mortgage pass-through certificates series 2004-C3 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-3 AAA (sf) 19.89 A-4 AAA (sf) 19.89 A-1A AAA (sf) 19.89 B AA+ (sf) 16.43 E A- (sf) 10.25 F BBB+ (sf) 8.61 G BBB (sf) 7.34 H BBB- (sf) 5.34 J BB+ (sf) 4.61 K BB (sf) 3.88 L BB- (sf) 3.15 SHP-1 AAA (sf) N/A SHP-2 AAA (sf) N/A SHP-3 AAA (sf) N/A SHP-4 AAA (sf) N/A X-1 AAA (sf) N/A X-2 AAA (sf) N/A N/A - Not applicable. GMAC COMMERCIAL: Moody's Upgrades Rating on Two 1997-C2 Certs. -------------------------------------------------------------- Moody's Investors Service upgraded the rating of two classes and affirmed two classes of GMAC Commercial Mortgage Securities, Inc., Mortgage Pass-Through Certificates, Series 1997-C2: -- Cl. X, Affirmed at Aaa (sf); previously on Dec. 23, 1997 Assigned Aaa (sf) -- Cl. F, Upgraded to A1 (sf); previously on April 11, 2008 Upgraded to A3 (sf) -- Cl. G, Upgraded to B2 (sf); previously on July 31, 2003 Downgraded to B3 (sf) -- Cl. H, Affirmed at C (sf); previously on Sept. 14, 2005 Downgraded to C (sf) Ratings Rationale The upgrades are due to an increase in subordination from paydowns and amortization and improved 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. Moody's rating action reflects a cumulative base expected loss of 1.2% of the current balance. At last review, Moody's cumulative base expected loss was 5.2%. Moody's stressed scenario loss is 11.3% 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. Due to the high level of credit subordination and defeasance, it is unlikely that investment grade classes would be downgraded even if losses are higher than Moody's expected base. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 and the CMBS Large Loan Model v 8.0. 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 five, essentially the same as Moody's prior review. In cases where the Herf falls below 20, Moody's employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities 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 11, 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 February 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $71.0 million from $1.07 billion at securitization. The Certificates are collateralized by nine mortgage loans ranging in size from 1% to 24% of the pool. Two loans representing 17% of the pool have defeased and are collateralized with U.S. Government securities. There are no loans on the master servicer's watchlist and currently there are no specially serviced loans. Sixteen loans have been liquidated from the pool since securitization, resulting in an aggregate $57.5 million loss (26% loss severity on average). Based on the most recent remittance statement, Classes H, J and K have experienced cumulative interest shortfalls totaling $4.0 million. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions, extraordinary trust expenses and non-advancing by the master servicer based on a determination of non-recoverability. Moody's was provided with full year 2009 and partial year 2010 operating results for 70% and 88% of the pool, respectively. Moody's weighted average LTV is 74% compared to 85% at last review. Moody's net cash flow reflects a weighted average haircut of 19% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual and stressed DSCRs are 1.16X and 1.46X, respectively, compared to 1.45X and 1.35X 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 60% of the pool balance. The largest loan is the Fruitvale Shopping Center Loan ($16.7 million -- 23.6% of the pool), which is secured by a 163,000 square foot retail center located in Oakland, California. The complex is 97% leased compared to 100% at last review. The anchor tenants include Albertson's and Office Depot, which collectively lease 57% of the premises on long term leases. Moody's LTV and stressed DSCR are 56% and 1.83X, respectively, compared to 62% and 1.66X at last review. The second largest loan is the Clinton Hill Apartments Loan ($14.0 million -- 19.7% of the pool), which is secured by a 1,221- unit cooperative apartment complex located in Brooklyn, New York. The property was 99% leased as of September 2010, essentially the same as last review. Moody's LTV and stressed DSCR are 80% and 1.28X, respectively, compared to 86% and 1.19X at last review. The third largest loan is the Boulevard Gardens Apartments Loan ($12.0 million -- 16.9% of the pool), which is secured by a 968 unit cooperative apartment complex located in Queens, New York. The property was 100% leased as of October 2010 compared to 99% at last review. Moody's LTV and stressed DSCR are 83% and 1.25X, respectively, compared to 89% and 1.15X at last review. GMAC COMMERCIAL: Moody's Reviews Ratings on Three 1999-C3 Certs. ---------------------------------------------------------------- Moody's Investors Service placed three classes of GMAC Commercial Mortgage Securities, Inc. Mortgage Pass-Through Certificates, Series 1999-C3 on review for possible downgrade: -- Cl. G, A1 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 28, 2010 Upgraded to A1 (sf) -- Cl. H, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on March 8, 2007 Upgraded to Ba2 (sf) -- Cl. J, B3 (sf) Placed Under Review for Possible Downgrade; previously on March 8, 2007 Upgraded to B3 (sf) The classes were placed on review for possible downgrade due to an anticipated increase in interest shortfalls. The master servicer, Berkadia Commercial Mortgage LLC, recently advised Moody's that it will be begin recovering approximately $600,000 of outstanding advances on a specially serviced loan, the Jewelry Building Loan ($6.5 million -- 11.6% of the pool), beginning with the March remittance date. Berkadia has indicated that it will recoup outstanding advances from the interest and principal distributions due to certificate holders for several months. As of the February remittance statement, the servicer had advanced approximately $1.0 million on the Jewelry Building Loan. 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, 2010. Deal And Performance Summary As of the February 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $55.8 million from $1.15 billion at securitization. The Certificates are collateralized by 12 mortgage loans ranging in size from 1% to 14% of the pool, with the top ten loans representing 72% of the pool. Two loans, representing 28% of the pool, have defeased and are collateralized by U.S. Government securities. One loans, representing 4% of the pool, is 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. Sixteen loans have been liquidated from the pool since securitization, resulting in an aggregate $21.3 million loss (14% loss severity on average). The pool had experienced a $19.7 million loss at Moody's prior review. Currently seven loans, representing 56% of the pool, are in special servicing. All of the loans in special servicing were transferred due to imminent maturity default. The largest specially serviced loan is the Lakeside Place Office Building Loan ($6.5 million - 11.7% of the pool), which is secured by a 84,000 square foot office building located in Cleveland, Ohio. The loan was transferred to special servicing in May 2009. The servicer has recognized a $4.0 million appraisal reduction on the loan. The remaining six specially serviced loans are secured by a mix of office, industrial and retail properties. Based on the most recent remittance statement, Classes H through N have experienced cumulative interest shortfalls totaling $3.8 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 (ASERs) and extraordinary trust expenses. GMAC COMMERCIAL: S&P Downgrades Ratings on Five 2004-C3 Notes ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on five classes of commercial mortgage-backed securities from GMAC Commercial Mortgage Securities Inc.'s series 2004-C3. Concurrently, S&P affirmed its ratings on eight other classes from the same transaction. S&P's rating actions follow its analysis of the transaction using its U.S. conduit and fusion CMBS criteria. S&P lowered its ratings on five certificate classes due to credit support erosion that S&P anticipate will occur upon the eventual resolution of the 11 specially serviced assets as well as recurring interest shortfalls affecting the trust. S&P also considered the trust's susceptibility to future interest shortfalls and a reduction in the liquidity available to absorb future interest shortfalls. 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 (DSC) of 1.74x and a loan-to-value ratio of 81.6%. 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 106.4%. The implied defaults and loss severity under the 'AAA' scenario were 66.8% and 22.1%, respectively. The DSC and LTV calculations S&P noted above exclude five fully defeased loans ($63.4 million; 6.5%) and 11 specially serviced assets ($180.1 million; 18.5%), for which S&P separately estimated losses and included them in its 'AAA' scenario implied default and loss severity figures. The affirmations of S&P's ratings on the six principal and interest certificates reflect subordination and liquidity support levels that are consistent with the outstanding ratings. S&P affirmed its ratings on class X-1 and X-2 interest-only certificates based on its current criteria. Credit Considerations As of the Feb. 10, 2011, trustee remittance report, 11 assets ($180.1 million; 18.5%) in the pool were with the special servicer, CWCapital Asset Management LLC. The reported payment status of the specially serviced assets is: four are real estate owned ($61.5 million, 6.3%), two are in foreclosure ($69.3 million, 7.1%), three are 90-plus-days delinquent ($24.8 million, 2.6%), one is 30-days delinquent ($13.1 million, 1.3%), and one is in its grace period ($11.4 million, 1.2%). Ten of the specially serviced assets have appraisal reduction amounts in effect totaling $45.1 million. According to CWCapital, the $14.1 million ARA for the International Tower loan noted in the Feb. 10, 2011 trustee remittance report has been updated to $23.0 million to reflect an updated September 2010 appraisal and its current exposure. Three of the specially serviced assets are top 10 exposures, and details of these three assets are: The Sawyer Portfolio loan is the third-largest nondefeased exposure in the pool and is the largest asset with the special servicer. The loan has a pooled trust balance of $53.0 million (5.5%) and a total exposure of $53.3 million. The loan is secured by six multifamily properties totaling 1,082 units in suburban Maryland. The loan, which is in foreclosure, was transferred to the special servicer on Jan. 25, 2010, due to maturity default. The loan matured on Dec. 1, 2009. According to the special servicer, the court-appointed receiver was replaced on Jan. 3, 2011. CWCapital stated that it will continue to stabilize the properties and develop a disposition strategy. CWCapital indicated to us that the existing ARA of $4.1 million, which is currently in effect for this asset, is expected to be reversed as early as in the March 2011 trustee remittance report. Standard & Poor's expects a minimal loss upon the resolution of this asset. The International Tower asset is the sixth-largest nondefeased exposure in the pool and the second-largest asset with the special servicer. The asset has a pooled trust balance of $33.4 million (3.4%) and a total exposure of $34.7 million. The 302,992-sq.-ft. office building in Chicago was transferred to the special servicer on April 20, 2009, due to a monetary default after the borrower was unable to meet the additional payment increase for the rollover reserve escrow account. CWCapital indicated that the asset recently became REO on Jan. 14, 2011. A $23.0 million ARA, based on a September 2010 appraisal value, is in effect for this asset. Standard & Poor's expects a significant loss upon the resolution of this asset. The Fairfield Lakes Apartments loan is the 10th-largest nondefeased exposure in the pool and the third-largest asset with the special servicer. The loan has a pooled trust balance of $16.3 million (1.7%) and a total exposure of $17.3 million. The loan is secured by a 268-unit multifamily property in Pensacola, Fla. The loan was transferred to the special servicer on Oct. 9, 2009, due to imminent maturity default. The loan matured on Nov. 1, 2009. According to CWCapital, it is currently evaluating various workout strategies, including a loan modification, with the borrower, while pursuing foreclosure. A $3.9 million ARA, based on an August 2010 appraisal value, is in effect for this asset. Standard & Poor's expects a moderate loss upon the resolution of this asset. The remaining eight specially serviced assets ($77.4 million, 7.9%) have balances that individually represent less than 1.5% of the total pool balance. Standard & Poor's estimated losses for all eight of these loans, arriving at a weighted-average loss severity of 33.5%. Transaction Summary As of the Feb. 10, 2011 trustee remittance report, the transaction had an aggregate pooled trust balance of $972.2 million (73 loans and four REO assets), compared with $1.25 billion (92 loans) at issuance. Berkadia Commercial Mortgage LLC (Berkadia), the master servicer, provided financial information for 82.1% of the pooled trust balance. All of the servicer-provided financial information was full-year 2009, partial-year 2010, or full-year 2010 data. S&P calculated a weighted average DSC of 1.77x for the nondefeased exposures in the pool based on the servicer-reported figures. S&P's adjusted DSC and LTV were 1.74x and 81.6%, respectively, and exclude five defeased loans ($63.4 million, 6.5%) and 11 specially serviced assets ($180.1 million; 18.5%), for which S&P separately estimated losses. Sixteen loans ($219.4 million, 22.6%) are on the master servicer's watchlist, including four of the top 10 exposures. Seven loans ($54.1 million, 5.6%) have a reported DSC between 1.0x and 1.1x, and seven loans ($104.6 million, 10.8%) have a reported DSC of less than 1.0x. The trust has experienced $31.2 million of principal losses on seven loans to date. Summary of Top 10 Real Estate Exposures The top 10 exposures secured by real estate have an aggregate outstanding balance of $465.2 million (47.8%). Using servicer- reported information, S&P calculated a weighted average DSC of 2.09x for seven the top 10 nondefeased exposures in the pool (the remaining three are nonreporting, specially serviced assets). S&P's adjusted DSC and LTV figures for the top 10 real estate exposures were 1.90x and 83.7%, respectively. Three of top 10 real estate exposures are with the special servicer and are discussed above. Four of the top 10 real estate exposures ($143.4 million, 14.8%) are on the master servicer's watchlist, which S&P discuss below. The Union Station loan ($54.2 million, 5.6%) is the second-largest nondefeased exposure in the pool and is secured by the leasehold interest in a 383,350-sq.-ft. retail and office complex that is part of the Union Station Train Station in Washington, D.C. The loan appears on the master servicer's watchlist due to an occupancy decrease. According to Berkadia, the borrower is considering a redevelopment and therefore has not re-leased spaces upon tenants' vacancies. The reported occupancy was 86.0% according to the Aug. 1, 2010 rent roll, and reported DSC was 3.41x DSC for the six months ended June 30, 2010. The Imperial Center Office loan ($46.3 million, 4.8%) is the fourth-largest real estate exposure in the pool and is secured by a 452,249-sq.-ft., seven-story, suburban office building with an adjacent single-story cafeteria building in Norwalk, Calif. The loan appears on the master servicer's watchlist due to a low DSC. The decline in DSC is primarily due to an occupancy decrease from 93.0% in June 2009 to 82.0% as of September 2010. According to Berkadia, the borrower is in discussion with two prospective tenants for space totaling 53,000 sq. ft. For the nine months ended Sept. 30, 2010, the reported occupancy and DSC were 82.0% and 0.95x, respectively. The 5th and Jackson loan ($26.4 million, 2.7%) is the eighth- largest real estate exposure in the pool and is secured by a 144,981-sq.-ft. office complex in Seattle. The loan appears on the master servicer's watchlist due to a low DSC. For the nine months ended Sept. 30, 2010, the reported occupancy and DSC were 98.0% and 1.06x, respectively. The Lake Pointe Shopping Center loan ($16.5 million, 1.7%) is the ninth-largest nondefeased exposure in the pool and is secured by a 174,437-sq.-ft. anchored retail center in Orem, Utah. The loan appears on the master servicer's watchlist due to a low DSC and a drop in occupancy. According to Berkadia, the initial occupancy decline was due to the bankruptcy of tenant, Circuit City (40,260- sq.-ft., 23.0% of the net rentable area). Berkadia indicated that although the center had several tenants with lease expiration in the first quarter of 2011, a majority of the tenants have renewed their leases for a minimum of five years. For the six months ended June 30, 2010, the reported occupancy and DSC were 63.0% and 0.75x, respectively. Standard & Poor's stressed the collateral in the pool according to its U.S. conduit/fusion criteria. The resultant credit enhancement levels are consistent with S&P's lowered and affirmed ratings. Ratings Lowered GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through securities series 2004-C3 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-J A+ (sf) AA+ (sf) 14.01 B BBB+ (sf) AA- (sf) 10.79 C BBB (sf) A+ (sf) 9.34 D B+ (sf) BBB+ (sf) 7.25 E CCC- (sf) B+ (sf) 5.96 Ratings Affirmed GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through securities series 2004-C3 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1A AAA (sf) 22.53 A-3 AAA (sf) 22.53 A-4 AAA (sf) 22.53 A-AB AAA (sf) 22.53 A-5 AAA (sf) 22.53 F CCC- (sf) 4.36 X-1 AAA (sf) N/A X-2 AAA (sf) N/A N/A - Not applicable. GMAC COMMERCIAL: S&P Downgrades Ratings on Six 2005-C1 Notes ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on six classes of commercial mortgage-backed securities from GMAC Commercial Mortgage Securities Inc.'s series 2005-C1 and removed them from CreditWatch with negative implications. Concurrently, S&P affirmed its ratings on seven other classes from the same transaction. S&P's rating actions follow its analysis of the transaction using its U.S. conduit and fusion CMBS criteria. S&P lowered its ratings on six certificate classes due to credit support erosion that S&P anticipate will occur upon the eventual resolution of 12 of the 14 specially serviced assets. S&P also considered the trust's susceptibility to future interest shortfalls and a reduction in the liquidity available to absorb future interest shortfalls. 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 1.33x and a loan-to-value ratio of 105.5%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 0.90x and an LTV ratio of 144.6%. The implied defaults and loss severity under the 'AAA' scenario were 84.0% and 36.9%, respectively. The DSC and LTV calculations S&P noted above exclude three fully defeased loans ($16.9 million; 1.8%) and 12 ($217.4 million, 22.5%) of the 14 specially serviced assets, for which S&P separately estimated losses and included them in its 'AAA' scenario implied default and loss severity figures. The affirmations of S&P's ratings on the five principal and interest certificates reflect subordination and liquidity support levels that are consistent with the outstanding ratings. S&P affirmed its ratings on the class X-1 and X-2 interest-only certificates based on its current criteria. Credit Considerations As of the Feb. 10, 2011 trustee remittance report, 14 assets ($304.0 million; 31.5%) in the pool were with the special servicers, Helios AMC LLC and Berkadia Commercial Mortgage LLC. The reported payment status of the specially serviced assets is: one is real estate owned ($8.2 million, 0.9%); one is in foreclosure ($13.0 million, 1.3%); nine are 90-plus- days delinquent ($191.6 million, 19.8%); one is 60-days delinquent ($3.5 million, 0.4%); and two are in their grace period ($87.7 million, 9.1%). Twelve of the specially serviced assets ($232.9 million, 22.4%) have appraisal reduction amounts in effect totaling $86.8 million. Four of the specially serviced assets are top 10 exposures, and details of the five largest assets with the special servicer are: The Windsor Hospitality Portfolio loan ($83.2 million, 8.6%) is the largest exposure in the pool and is the largest asset with the special servicer. The loan is secured by four hotel properties (three Embassy Suites flags and one Renaissance flag) 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) default. The loan is currently in its grace period. For the year ended Dec. 31, 2010, the reported occupancy and DSC were 76.0% and 0.95x, respectively. According to the special servicer, the borrower is working to refinance the loan. The 3301 N. Buffalo Drive loan ($57.7 million, 6.0%) is the third-largest exposure in the pool and the second-largest asset with the special servicer. The loan is secured by a 321,041-sq.- ft. office property in Las Vegas built in 1997. The loan was transferred to the special servicer on April 17, 2009, due to imminent default. As of the February 2011 remittance report, the loan was 90-plus-days delinquent and a $30.6 million ARA was in effect for this asset. According to Helios, this loan was modified in December 2010. The modification terms called for a hope note structure, where the $57.7 million loan was split into an A-note ($38.0 million) and a B-note ($19.7 million). In addition, the loan's maturity date was extended to May 2020, the pay interest rate was reduced and an interest-only term was included. The City Center Square loan ($40.5 million, 4.2%) is the fifth- largest exposure in the pool and third-largest asset with the special servicer. The loan is secured by a 650,097-sq.-ft. office property in Kansas City, Mo., built in 1979. The loan was transferred to the special servicer on April 9, 2010, for imminent default, and is currently 90-plus-days delinquent. The reported DSC was 0.96x for year-end 2009 and according to Helios, the occupancy is currently at 52.0%. Helios is currently working on a potential loan modification with the borrower. A $7.2 million ARA is in effect for this asset. Standard & Poor's expects a moderate loss upon the resolution of this asset. The Empirian at Winter Oaks loan ($22.2 million, 2.3%) is the 10th-largest exposure in the pool and fourth-largest asset with the special servicer. The loan is secured by a 460-unit apartment complex located in Winter Haven, Fla. The loan was transferred to the special servicer on Sept. 18, 2009, for payment default, and is currently 90-plus-days delinquent. According to Helios, the property is currently being marketed for sale. A $13.0 million ARA is in effect for this asset. Standard & Poor's expects a significant loss upon the resolution of this asset. The AviStar Parking-Hartford Bradley loan ($20.3 million, 2.1%) is the 11th-largest exposure in the pool and fifth-largest asset with the special servicer. The loan is secured by a 5,300-stall parking facility located in Windsor Lock, Conn. The loan was transferred to the special servicer on Feb. 25, 2010, for payment default and is 90-plus-days delinquent. According to the special servicer, the single tenant, Parking Co. of America Airports, filed for bankruptcy on Jan. 28, 2010, and subsequently rejected the subject lease. Helios indicated that the borrower has entered into a management agreement with a new manager and is preparing the 2011 budget. According to Helios, the borrower has submitted a request for loan modification. A $13.0 million ARA is in effect for this asset. Standard & Poor's expects a significant loss upon the eventual resolution of this asset, should a loan modification not be reached between the borrower and special servicer. The remaining nine specially serviced assets ($80.1 million, 8.3%) have balances that individually represent less than 2.0% of the total pool balance. Standard & Poor's estimated losses for eight of these nine loans, arriving at a weighted-average loss severity of 41.4%. Transaction Summary As of the Feb. 10, 2011, trustee remittance report, the transaction had an aggregate pooled trust balance of $967.4 million (76 loans and one REO asset), compared with $1.60 billion (91 loans) at issuance. Berkadia, the master servicer, provided financial information for 82.8% of the pooled trust balance. All of the servicer-provided financial information was full-year 2009, partial-year 2010, or full-year 2010 data. S&P calculated a weighted average DSC of 1.35x for the nondefeased exposures in the pool based on the servicer-reported figures. S&P's adjusted DSC and LTV were 1.33x and 105.5%, respectively, and exclude three defeased loans ($16.9 million, 1.8%) and 12 specially serviced assets ($217.4 million; 22.5%), for which S&P separately estimated losses. Twenty-one loans ($207.8 million, 21.5%) are on the master servicer's watchlist, including one top- 10 exposure. Seven loans ($94.7 million, 9.8%) have a reported DSC between 1.0x and 1.1x, and nine loans ($189.6 million, 19.6%) have a reported DSC of less than 1.0x. The trust has experienced $30.9 million of principal losses on five loans to date. Summary of Top-10 Real Estate Exposures The top real estate exposures have an aggregate outstanding balance of $444.7 million (46.0%). Using servicer-reported information, S&P calculated a weighted average DSC of 1.45x for eight of the top-10 real estate exposures in the pool (the remaining two are nonreporting, specially serviced assets). S&P's adjusted DSC and LTV figures for the top-10 real estate exposures were 1.37x and 110.8%, respectively. Four of top-10 real estate exposures are with the special servicer and are discussed above. One of the top-10 real estate exposures ($40.4 million, 4.2%) is on the master servicer's watchlist, which S&P discuss below. The NJ Industrial/Office Portfolios 1 & 2 loan ($40.4 million, 4.2%) is the sixth-largest exposure in the pool and is secured by three industrial buildings and three office buildings totaling 467,186 sq. ft. in northern New Jersey. The loan appears on the master servicer's watchlist due to a low DSC of 1.10x for the nine months ended Sept. 30, 2010. The low DSC is primarily due to an occupancy decrease from 100.0% in December 2009 to 78.0% as of September 2010. In addition, the loan began to amortize in May 2010. Standard & Poor's stressed the collateral in the pool according to its U.S. conduit/fusion criteria. The resultant credit enhancement levels are consistent with S&P's lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative GMAC Commercial Mortgage Securities Inc. Mortgage pass-through certificates series 2005-C1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-J BB+ (sf) A+ (sf)/Watch Neg 16.62 B B+ (sf) A- (sf)/Watch Neg 13.11 C B (sf) BBB- (sf)/Watch Neg 11.87 D CCC- (sf) BB+ (sf)/Watch Neg 9.40 E CCC- (sf) B (sf)/Watch Neg 7.74 F D (sf) CCC- (sf)/Watch Neg 6.09 Ratings Affirmed GMAC Commercial Mortgage Securities Inc. Mortgage pass-through certificates series 2005-C1 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1A AAA (sf) 46.35 A-3 AAA (sf) 46.35 A-4 AAA (sf) 46.35 A-5 AAA (sf) 46.35 A-M AAA (sf) 29.84 X-1 AAA (sf) N/A X-2 AAA (sf) N/A N/A - Not applicable. GOLDMAN SACHS: Moody's Downgrades Ratings on 2006-GG8 Certs. ------------------------------------------------------------ Moody's Investors Service downgraded the ratings of five and affirmed 19 classes of Goldman Sachs Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2006-GG8: -- Cl. A-1, Affirmed at Aaa (sf); previously on Nov. 8, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on Nov. 8, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Nov. 8, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on Nov. 8, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Nov. 8, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Nov. 8, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-M, Affirmed at Aa3 (sf); previously on March 25, 2010 Downgraded to Aa3 (sf) -- Cl. A-J, Downgraded to Ba1 (sf); previously on March 25, 2010 Downgraded to Baa3 (sf) -- Cl. B, Downgraded to Ba2 (sf); previously on March 25, 2010 Downgraded to Ba1 (sf) -- Cl. C, Downgraded to B2 (sf); previously on March 25, 2010 Downgraded to B1 (sf) -- Cl. D, Downgraded to Caa1 (sf); previously on March 25, 2010 Downgraded to B3 (sf) -- Cl. E, Downgraded to Caa2 (sf); previously on March 25, 2010 Downgraded to Caa1 (sf) -- Cl. F, Affirmed at Caa3 (sf); previously on March 25, 2010 Downgraded to Caa3 (sf) -- Cl. G, Affirmed at Ca (sf); previously on March 25, 2010 Downgraded to Ca (sf) -- Cl. H, Affirmed at C (sf); previously on March 25, 2010 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on March 25, 2010 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on March 25, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on March 25, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on March 25, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on March 25, 2010 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on March 25, 2010 Downgraded to C (sf) -- Cl. P, Affirmed at C (sf); previously on March 25, 2010 Downgraded to C (sf) -- Cl. Q, Affirmed at C (sf); previously on March 25, 2010 Downgraded to C (sf) -- Cl. X, Affirmed at Aaa (sf); previously on Nov. 8, 2006 Definitive Rating Assigned Aaa (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 higher credit quality dispersion. 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 10.3% of the current balance. At last full review, Moody's cumulative base expected loss was 9.8%. Moody's stressed scenario loss is 24.2% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating U.S. Conduit Transactions" published in September 2000. Moody's review incorporated the use of the Excel- based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, 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 39 compared to 46 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 March 25, 2010. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past 6 months. Deal Performance As of the February 11, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 3% to $4.1 billion from $4.2 billion at securitization. The Certificates are collateralized by 154 mortgage loans ranging in size from less than 1% to 5.1% of the pool, with the top ten loans representing 39% of the pool. Forty-two 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. Eight loans have been liquidated from the pool since securitization, resulting in an aggregate $36.4 million loss (69% loss severity on average). Currently twenty-three loans, representing 11% of the pool, are in special servicing. The largest specially serviced loan is the Ariel Preferred Retail Portfolio Loan ($90.9 million -- 2.2% of the pool), which is secured by a portfolio of six anchored retail outlet centers located in suburban markets in California, Georgia, Michigan, Minnesota, Montana and Nevada. The loan was transferred to special servicing in June 2009 due to monetary default and is currently in foreclosure. The servicer recognized a $36.2 million appraisal reduction for this loan in February 2011. The remaining 22 specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $206.4 million appraisal reduction for 20 of the specially serviced loans. Moody's has estimated an aggregate $236.4 million loss (51% expected loss on average) for 22 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 $43.8 million loss (15% expected loss based on a 41% probability default) from these troubled loans. Based on the most recent remittance statement, Classes G through S have experienced cumulative interest shortfalls totaling $23.9 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 (ASERs), loan modifications and extraordinary trust expenses. Moody's was provided with full year 2009 and partial year 2010 operating results for 80% and 81% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 119% compared to 115% at last full 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 9.5%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCR are 1.30X and 0.93X, compared to 1.29X and 0.94X, respectively, at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 15% of the pool balance. The largest loan is One Beacon Street Loan ($210.0 million -- 5.1% of the pool), which is secured by a premiere class A office building located in Boston, Massachusetts. The total gross leasable area is 1 million square foot (SF) with the largest tenants being Mass Housing Finance Agency (12% of the net rentable area (NRA); lease expiration March 2015), JP Morgan Chase (9% of the NRA; lease expiration December 2019) and Skadden, Arps, Slate, Meagher & Flom LLP (6% of the NRA; lease expiration March 2014). The property was 89% leased as of September 2010 compared to 93% at last review. The property was also encumbered by a $98 million mezzanine loan at securitization. Moody's LTV and stressed DSCR are 77% and 1.23X, respectively, compared to 81% and 1.17X at last full review. The second largest loan is the 222 South Riverside Plaza Loan ($202.0 million -- 4.9% of the pool), which is secured by two Class A office buildings with a combined total of 1.2 million SF located in Chicago, Illinois. The largest tenants include Fifth Third Bank (15% of the NRA; lease expiration December 2016), Deutsche Investment Management (10% of the NRA; lease expiration December 2016) and Trading Technologies (10% of the NRA; lease expiration January 2013). The property was 93% leased as of September 2010, the same as at last review..Moody's LTV and stressed DSCR are 90% and 1.08X, respectively, compared to 104% and 0.93X at last full review. The third largest loan is the Arizona Grand Resort Loan, formerly known as Pointe South Mountain Resort Loan, ($190.0 million -- 4.6% of the pool), which is secured by a 640-unit full-service hotel located in Phoenix, Arizona. The loan had previously been in special servicing but was modified and subsequently returned to the master servicer. . Under the loan modification agreement, the original loan was split into an A Note ($100.0 million) and a B Note ($90.0 million), both of which remain included in the trust. The A Note will remain interest only at 5.5% until March 2012 (at which point it will amortize on a 360 month schedule at a 6.68% interest rate through maturity), while the B Note will bear no interest and is payable in full at maturity. Due to the decline in the hotel market in Phoenix, Arizona, Moody's has assumed a high default probability on this loan. GRAND PACIFIC: Moody's Reviews Ratings on Two Tranches ------------------------------------------------------ Moody's Investors Service placed on review for possible downgrade two tranches in Grand Pacific Business Loan Trust 2005-1. The loans are secured primarily by commercial real estate. Wells Fargo Bank is the master servicer in the transaction. The complete rating actions are: Issuer: Grand Pacific Business Loan Trust 2005-1 -- Cl. A, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jan. 28, 2010 Downgraded to A1 (sf) -- Cl. B, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jan. 28, 2010 Downgraded to Ba2 (sf) Ratings Rationale The downgrades are caused by significant deterioration in collateral performance as evinced by higher than anticipated losses. Since Moody's last rating action in January 2010, loans totaling approximately $30 million (13% of the original pool balance) were charged-off. While Moody's expect future recoveries on the defaulted loans, the recovery amount is highly uncertain. The methodology used in these rating actions included an analysis of the collateral performance to arrive at a range of estimated lifetime net losses. This range was then evaluated against the available credit enhancement provided by subordination and excess spread. Sufficiency of coverage was considered in light of the credit quality of the collateral pool, industry, geographical and loan concentrations, historical variability of losses experienced by the issuer, and servicer quality. During the review period, Moody's will project expected defaults and recoveries on the underlying pools of loans using a loan-by- loan analysis of business types, property locations, past payment histories, borrowers' creditworthiness, and most recent appraisals or estimates of market values of the properties. The Aaa volatility proxy will also be determined. Driving factors of the Aaa volatility proxy are the credit quality of the collateral pool, the historical variability in losses experienced by the issuer, the servicer quality as well as the industrial, geographical and obligor concentrations. Based on Moody's revised expected losses and Aaa volatility proxy, Moody's will evaluate whether the available credit enhancement adequately protects investors against future collateral losses for given rating assignments. Primary sources of assumption uncertainty are the general economic environment, commercial property values, and the ability of small businesses to recover from the recession. GREENWICH CAPITAL: Moody's Cuts Ratings on Two 2006-GG7 Certs. -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of two classes and affirmed 18 classes of Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Series 2006-GG7: -- Cl. A-2, Affirmed at Aaa (sf); previously on Aug. 16, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Aug. 16, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on Aug. 16, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Aug. 16, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-1-A, Affirmed at Aaa (sf); previously on Aug. 16, 2006 Assigned Aaa (sf) -- Cl. X, Affirmed at Aaa (sf); previously on Aug. 16, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-M, Affirmed at Aa3 (sf); previously on April 15, 2010 Downgraded to Aa3 (sf) -- Cl. A-J, Affirmed at Baa3 (sf); previously on April 15, 2010 Downgraded to Baa3 (sf) -- Cl. B, Affirmed at Ba1 (sf); previously on April 15, 2010 Downgraded to Ba1 (sf) -- Cl. C, Affirmed at Ba3 (sf); previously on April 15, 2010 Downgraded to Ba3 (sf) -- Cl. D, Affirmed at B2 (sf); previously on April 15, 2010 Downgraded to B2 (sf) -- Cl. E, Affirmed at B3 (sf); previously on April 15, 2010 Downgraded to B3 (sf) -- Cl. F, Downgraded to Caa2 (sf); previously on April 15, 2010 Downgraded to Caa1 (sf) -- Cl. G, Downgraded to Caa3 (sf); previously on April 15, 2010 Downgraded to Caa2 (sf) -- Cl. H, Affirmed at Ca (sf); previously on April 15, 2010 Downgraded to Ca (sf) -- Cl. J, Affirmed at C (sf); previously on April 15, 2010 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on April 15, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on April 15, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on April 15, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Feb. 3, 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 their current ratings. Moody's rating action reflects a cumulative base expected loss of 7.3% of the current balance. At last review, Moody's cumulative base expected loss was 7.5%. Moody's stressed scenario loss is 23% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 15, 2010. 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 February 10, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 9% to $3.3 billion from $3.6 billion at securitization. The Certificates are collateralized by 123 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 48% of the pool. The pool does not contain any defeased loans or loans with credit estimates. Twenty-one loans, representing 10% 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. Ten loans have been liquidated from the pool, resulting in an aggregate realized loss of $119.9 million (86% loss severity overall). The pool had realized an aggregate $82 million loss at last review. Fifteen loans, representing 10% of the pool, are currently in special servicing. Moody's has estimated an aggregate $142.4 million loss (51% expected loss on average) for 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 $15.2 million aggregate loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 93% and 64% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 109% compared to 110% 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 9.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.28X and 0.94X, respectively, essentially the same 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 32 compared to 35 at Moody's prior review. The top three performing conduit loans represent 19% of the pool balance. The largest loan is the Investcorp Retail Portfolio Loan ($248.4 million -- 7.6%), which represents a pari passu interest in a $257.9 million loan. The loan is secured by 22 shopping centers located in three Texas MSA's (Dallas, Houston and San Antonio). Since securitization, seven properties have been released from the loan collateral reducing the total net rentable area to 2.2 million square feet from 2.8 million square feet at securitization. As of June 2010, the portfolio was 91% leased compared to 89% in March 2009 and 93% at securitization. Moody's LTV and stressed DSCR are 114% and 0.91X, respectively, compared to 139% and 0.74X at last review. The second largest loan is the One New York Plaza Loan ($192.8 million -- 5.9%), which represents a pari passu interest in a $386 million loan. The loan is secured by a 2.4 million square foot Class A office building located in downtown Manhattan. The property was 100% leased as of March 2010, similar to last review. The largest tenants are Wachovia which leases 53% of the net rentable area (NRA) through December 2014 and Goldman Sachs, which leases 21% of the NRA through December 2014. Moody's LTV and stressed DSCR are 75% and 1.23X, respectively, compared to 81% and 1.13X at last review. The third largest loan is the 55 Corporate Drive Loan ($190 million -- 5.8%), which is secured by three office buildings totaling 670,000 square feet located in Bridgewater, New Jersey. The property was 100% leased to Sanofi-Aventis (Moody's senior unsecured debt rating -- A2; stable outlook) through June 2026. Moody's LTV and stressed DSCR are 133% and 0.71X, respectively, essentially the same at last review. GREENWICH CAPITAL: Moody's Reviews Ratings on 18 2007-GG9 Certs. ---------------------------------------------------------------- Moody's Investors Service placed 18 classes of Greenwich Capital Commercial Funding Corp., Commercial Mortgage Trust 2007-GG9, Commercial Mortgage Pass-Through Certificates, Series 2007-GG9 on review for possible downgrade: -- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade; previously on March 19, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-MFL, Aaa (sf) Placed Under Review for Possible Downgrade; previously on March 19, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-J, A2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 10, 2009 Downgraded to A2 (sf) -- Cl. B, A3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 10, 2009 Downgraded to A3 (sf) -- Cl. C, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 10, 2009 Downgraded to Baa1 (sf) -- Cl. D, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 10, 2009 Downgraded to Baa2 (sf) -- Cl. E, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 10, 2009 Downgraded to Baa3 (sf) -- Cl. F, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 10, 2009 Downgraded to Ba1 (sf) -- Cl. G, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 10, 2009 Downgraded to Ba3 (sf) -- Cl. H, B1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 10, 2009 Downgraded to B1 (sf) -- Cl. J, B3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 10, 2009 Downgraded to B3 (sf) -- Cl. K, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 10, 2009 Downgraded to Caa1 (sf) -- Cl. L, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 10, 2009 Downgraded to Caa2 (sf) -- Cl. M, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 10, 2009 Downgraded to Caa2 (sf) -- Cl. N, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 10, 2009 Downgraded to Caa3 (sf) -- Cl. O, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 10, 2009 Downgraded to Caa3 (sf) -- Cl. P, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 10, 2009 Downgraded to Caa3 (sf) -- Cl. Q, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 10, 2009 Downgraded to Caa3 (sf) The classes were placed on review due to higher expected losses for the pool resulting from actual and anticipated losses from specially serviced and troubled loans and an increase in interest shortfalls. 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 10, 2009. Deal And Performance Summary As of the February 11, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 3% to $6.35 billion from $6.58 billion at securitization. The Certificates are collateralized by 196 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 41% of the pool. The pool contains two loans with investment grade credit estimates that represent 8% of the pool. The pool does not contain any defeased loans. Sixty-one loans, representing 31% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (formerly the Commercial Mortgage Securities Association) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $49.1 million (57% loss severity). Twenty-four loans, representing 17% of the pool, are currently in special servicing. The specially serviced loans are secured by a mix of multifamily, retail, office, hotel and industrial property types. The master servicer has recognized appraisal reductions totaling $165.6 million for fourteen 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. GREENWICH CAPITAL: S&P Downgrades Ratings on Seven 2003-C1 Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes of commercial mortgage-backed securities from Greenwich Capital Commercial Funding Corp.'s series 2003-C1. S&P lowered its rating on class O to 'D (sf)'. In addition, S&P affirmed its ratings on nine other classes from the same transaction. The rating actions reflect S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria and its analysis of the liquidity available to the trust. The lowered ratings reflect the credit support erosion that S&P anticipate will occur upon the eventual resolution of three of the four specially serviced assets and the monthly interest shortfalls that are affecting the trust. S&P downgraded the class O certificates to 'D (sf)' due to recurring interest shortfalls that S&P expects to continue. The affirmed ratings on the principal and interest certificates reflect subordination levels and liquidity that are consistent with the outstanding ratings. S&P's analysis included a review of the credit characteristics of all of the assets in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.27x and a loan-to-value ratio of 91.5%. S&P further stressed the assets' cash flows under S&P's 'AAA' scenario to yield a weighted-average DSC of 1.02x and an LTV ratio of 115.1%. The implied defaults and loss severity under the 'AAA' scenario were 43.6% and 34.6%, respectively. The DSC and LTV calculations S&P noted above exclude three of the four loans that are with the special servicer, Berkadia Commercial Mortgage LLC ($14.6 million; 1.9%), and nine defeased loans ($193.1 million; 25.5%). S&P separately estimated losses for the excluded specially serviced assets, and included them in S&P's 'AAA' scenario implied default and loss severity figures. As of the Feb. 7, 2011 remittance report, the trust experienced monthly interest shortfalls totaling $48,816. The shortfalls were related to appraisal subordinate entitlement reduction amounts ($31,394) associated with two of the specially serviced assets, as well as special servicing fees ($17,423). The interest shortfalls affected all classes subordinate to and including class O. Class O has experienced interest shortfalls for the past month, which S&P expects to continue for the foreseeable future. As a result, S&P lowered this certificate rating to 'D (sf)'. S&P affirmed its rating on the class XC interest-only certificate based on its current criteria. Specially Serviced Assets As of the Feb. 7, 2011 remittance report, four assets ($62.1 million; 8.2%) in the pool were with Berkadia. The reported payment status of these assets is: two ($11.2 million; 1.5%) are real estate owned; one ($3.3 million, 0.4%) is 90-plus- days delinquent; and one ($47.5 million, 6.3%) is current in its payments. Appraisal reduction amounts totaling $5.7 million are in effect for two of the specially serviced assets. The Windsor Capital Portfolio loan ($47.5 million, 6.3%) is the largest loan with the special servicer and the second-largest loan in the pool. A pari passu note of equal amount is held in the Greenwich Capital Commercial Funding Corp.'s series 2003-C2 trust. The loan is collateralized by a portfolio of seven hotels: six are located in California and one is located in Michigan. The hotels operate under the Embassy Suites, Marriott, and Radisson Suites flags, and have a combined total of 1,531 rooms. The loan is reported to be current in its payments, with reported DSC and occupancy of 1.39x and 71.3%, respectively as of Dec. 31, 2009. The loan was transferred to the special servicer on May 25, 2010, due to imminent maturity default. The loan was subject to a modification, which included a two-year maturity extension. The loan is expected to be returned to the master servicer, Wells Fargo Commercial Mortgage Servicing. The Nottingham Apartments ($7.0 million; 0.9%) is the second- largest asset with the special servicer and is REO. The asset is a 283-unit apartment complex in Kalamazoo, Mich., that was built in 1973. A property inspection conducted on March 17, 2010, characterized the property as being in "fair" to "poor" condition. The asset was transferred to the special servicer on May 6, 2009, and became REO on Feb. 4, 2010. The reported occupancy was 92.9% as of Dec. 31, 2010. There is a $3.5 million ARA in effect against the asset. The property is currently listed for sale, and S&P expects a significant loss upon the eventual resolution of this asset. The Plaza One Office Building ($4.2 million; 0.6%) is the third- largest asset with the special servicer and is REO. The asset is a 44,226-sq.-ft. office building in Richmond, Calif., that was built in 1982. The asset was transferred to the special servicer on July 15, 2009, and became REO on June 17, 2010. The reported occupancy was 73.9% as of Dec. 31, 2010. There is a $2.2 million ARA in effect against the asset. The property is currently listed for sale, and S&P expects a significant loss upon the eventual resolution of this asset. The University & Stapley loan ($3.3 million; 0.4%) is the smallest loan with the special servicer. The loan is 90-plus-days delinquent and is secured by a 24,648-sq.-ft. retail property in Mesa, Ariz., that was built in 1999. The loan was transferred to the special servicer on Oct. 15, 2010, due to a payment default. The reported DSC was 1.10x as of Dec. 31, 2009, and the reported occupancy was 62.0% as of August 2010. The special servicer is in discussions with the borrower while pursuing the trust's rights and remedies. S&P expects a moderate loss upon the eventual disposition of this loan. Transaction Summary As of the Feb. 7, 2011, remittance report, the transaction had an aggregate trust balance of $757.7 million (57 loans and two REO assets), down from $1.2 billion (72 loans) at issuance. Nine loans ($193.1 million, 25.5%) are defeased. Wells Fargo provided full-year 2009, interim 2010, and full-year 2010 financial information for 87.1% of the nondefeased assets in the pool. Using the reported figures, S&P calculated a weighted-average DSC of 1.47x for the pool. S&P's adjusted DSC and LTV were 1.27x and 91.5%, respectively. S&P's adjusted DSC and LTV figures exclude the defeased assets and three of the transaction's four specially serviced assets. S&P separately estimated losses for the excluded specially serviced assets. The master servicer reported a watchlist of 16 loans ($140.6 million, 18.6%), including one of the top 10 real estate loans, which S&P discuss in detail below. Seven ($52.5 million, 6.9%) loans in the pool have a reported DSC of less than 1.10x, five ($41.0 million, 5.4%) of which have a reported DSC of less than 1.00x. Summary of Top 10 Real Estate Loans The top 10 loans secured by real estate have an aggregate outstanding trust balance of $299.9 million (39.6%). Using servicer-reported information, S&P calculated a weighted-average DSC of 1.24x for these loans. S&P's adjusted DSC and LTV figures for the top 10 real estate exposures were 1.18x and 97.6%, respectively. The Oxmoor Center Mall ($55.3 million; 7.3%) is the largest nondefeased loan in the pool and is secured by the leasehold interest in 531,458 sq. ft. of a 941,558-sq.-ft. regional mall in Louisville, Ky., that was built in 1971. The anchors are Von Maui, Macy's, Sears, and Dick's Sporting Goods. As of Sept. 30, 2010, the reported DSC and occupancy were 1.83x and 97.5%, respectively. The loan was with the special servicer before being returned to the master servicer following a loan modification, which extended the maturity of the loan to Dec. 1, 2016. The Tysons Office Center ($18.8 million; 2.5%) is the ninth- largest nondefeased loan in the pool and is secured by a 148,467- sq.-ft. office building in Vienna, Va., built in 1979. The loan appears on the master servicer's watchlist due to a drop in DSC from issuance. As of Sept. 30, 2010, the reported DSC and occupancy were 1.10x and 75.9%, respectively. 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 Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2003-C1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- H A- (sf) A (sf) 10.16 J BBB- (sf) A- (sf) 7.76 K BB- (sf) BBB+ (sf) 5.75 L B- (sf) BBB- (sf) 3.75 M CCC+ (sf) BB+ (sf) 2.75 N CCC- (sf) BB (sf) 1.94 O D (sf) CCC- (sf) 0.74 Ratings Affirmed Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2003-C1 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-3 AAA (sf) 28.40 A-4 AAA (sf) 28.40 B AAA (sf) 22.99 C AAA (sf) 20.99 D AA+ (sf) 18.58 E AA (sf) 16.18 F AA- (sf) 14.77 G A+ (sf) 12.77 XC AAA (sf) N/A N/A - Not applicable. GS MORTGAGE: Fitch Expects to Rate Various Classes of Notes ----------------------------------------------------------- Fitch Ratings has issued a presale report GS Mortgage Securities Corporation Trust, Commercial Mortgage Pass-Through Certificates, Series 2011-ALF. Fitch expects to rate the transaction: -- $195,000,000 class A notes 'AAAsf', Outlook Stable; -- $195,000,000* class XA-1 notes 'AAAsf', Outlook Stable; -- $195,000,000* class XA-2 notes 'AAAsf', Outlook Stable; -- $40,000,000 class B notes 'AA-sf', Outlook Stable; -- $27,000,000 class C notes 'A-sf', Outlook Stable; -- $38,000,000 class D notes 'BBB-sf', Outlook Stable; -- $25,000,000 class E notes 'BB-sf', Outlook Stable. * Notional amount and interest only. Fitch does not expect to rate the interest only classes XB-1 and XB-2. The transaction represents a securitization in the form of notes backed 29 senior living facilities sponsored by CNL Lifestyle Properties and Sunrise Senior Living. The transaction is expected to close March 17, 2011. GUGGENHEIM STRUCTURED: Fitch Upgrades Ratings on Various Notes -------------------------------------------------------------- Fitch Ratings has upgraded three and affirmed two classes of Guggenheim Structured Real Estate Funding 2005-1 Ltd./Corp. reflecting Fitch's base case loss expectation of 23.4%, an increase from last review that has been more than offset by increased credit enhancement to the classes resulting from repayments. The transaction is primarily collateralized by subordinate commercial real estate debt (74.9% of total collateral is either B-notes or mezzanine loans). Fitch has modeled significant losses upon default for many of these assets, including two Fitch loans of concern (20.4%), since they are generally highly leveraged debt classes. However, no loans in the pool are currently delinquent. Further, two assets, representing 8.2% of the CDO collateral, are CMBS bonds that carry a Fitch rating of 'AA'. The transaction exited its reinvestment period in May 2010 and as such all loan repayments, of which there have been over $78 million since last review, have been used to amortize the rated classes on a pro rata basis. The preferred shares do not receive principal payments until all rated notes have been paid in full. As a result, the credit enhancement to all classes has increased significantly. The class E credit enhancement, the most junior rated class, is 90.5%. The overcollateralization test and interest coverage test are both passing their respective covenants with substantial cushion. Under Fitch's updated methodology, approximately 53.2% 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 6.3%, generally from trailing 12 months November or December 2010 cash flows. Fitch estimates average recoveries to be moderate (56.1%). The largest component of Fitch's base case loss expectation are two B-notes (12.1%) secured by a 524,000 square foot regional mall. As of November 2010, the mall was 81.6% occupied. Property net cash flow for year-end 2010 declined 18% since year-end 2009. Fitch modeled a term default and full loss on this loan in its base case scenario. The next largest component of Fitch's base case loss expectation is a mezzanine loan (21.9%) backed by partnership interests in a portfolio of 108 select service and extended stay hotels (12,638 keys) located across 34 states in the U.S. Fitch modeled a maturity default in its base case scenario on this loan. Guggenheim 2005-1 is a CRE collateralized debt obligation that is managed by Guggenheim Structured Real Estate Advisors and has approximately $118 million of collateral. The transaction's five- year reinvestment period ended in May 2010. As of the February 2011 trustee report and per Fitch categorizations, the CDO was invested: B-notes (53%), whole loans/A-notes (24%), CRE mezzanine loans (21.9%), and commercial mortgage-backed securities (CMBS; 1.1%). In general, Fitch models non-senior, single-borrower CMBS as CRE B-notes. 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 uses debt service coverage ratio tests to project future default levels for the underlying portfolio. Property cash flow stresses have been updated to reflect more recently available CRE performance and outlooks. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The transaction was not evaluated in a cash flow model because of the significant increase in credit enhancement compared to the modest increase in base case expected loss. The ratings and Outlooks for classes A through E reflect expectations that the classes will be repaid in full under investment grade stresses. Due to the concentration of the pool with only nine obligors remaining, the percentage of loans considered Fitch loans of concern, and the concentration of loans with near term maturities, high investment grade ratings are not warranted. Fitch has taken rating actions on, and revised LS Ratings as indicated on these classes; the Outlooks are revised to Stable from Negative: -- $4,943,021 class A, affirmed at 'Asf'; revised to 'LS5' from 'LS3'; -- $2,095,729 class B, affirmed at 'BBBsf'; revised to 'LS5' from 'LS4'; -- $2,558,103 class C, upgraded to 'BBBsf' from 'BBsf'; revised to 'LS5' from 'LS4'; -- $1,173,718 class D, upgraded to 'BBBsf/LS5' from 'BBsf/LS5'; -- $476,053 class E, upgraded to 'BBBsf/LS5' from 'BBsf/LS5'. GULF STREAM: 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 Gulf Stream - Sextant CLO 2007-1, Ltd.: -- US$76,500,000 Class A-1-B Floating Rate Notes due 2021, Upgraded to Aa2 (sf); previously on July 1, 2009 Downgraded to A3 (sf); -- US$17,500,000 Class B Floating Rate Notes due 2021, Upgraded to A2 (sf); previously on July 1, 2009 Downgraded to Baa2 (sf); -- US$33,750,000 Class C Floating Rate Deferrable Notes due 2021, Upgraded to Baa3 (sf); previously on July 1, 2009 Downgraded to B1 (sf); -- US$31,250,000 Class D Floating Rate Deferrable Notes due 2021, Upgraded to Ba2 (sf); previously on November 23, 2010 Ca (sf) 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 transaction's overcollateralization ratios since the rating action in July 2009. 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 , February 15, 2011, the weighted average rating factor is currently 2631 compared to 2948 in the May 2009 report, and securities rated Caa1/CCC+ or lower make up approximately 10.4% of the underlying portfolio versus 18.7% in May 2009. Additionally, defaulted securities total about $1.0 million of the underlying portfolio compared to $28.6 million in May 2009. The overcollateralization ratios of the rated notes have also improved since the rating action in July 2009. The Senior overcollateralization ratio is reported at 121.8%, versus May 2009 levels of 118%. 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 balance of $487.9 million, defaulted par of $4.7 million, a weighted average default probability of 28.25% (implying a WARF of 3590), a weighted average recovery rate upon default of 43.85%, and a diversity score of 75. 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. Gulf Stream - Sextant CLO 2007-1, Ltd., issued on May 24, 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. 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 sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2872) -- Class A-1-R: 0 -- Class A-1-A: 0 -- Class A-1-B: +2 -- Class B: +3 -- Class C: +3 -- Class D: +2 Moody's Adjusted WARF + 20% (4308) -- Class A-1-R: 0 -- Class A-1-A: 0 -- Class A-1-B: -2 -- Class B: -1 -- Class C: -1 -- Class D: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior, 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 3) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. However, as part of the base case, Moody's considered spread and coupon levels higher than the covenant levels due to the large difference between the reported and covenant levels. HALCYON STRUCTURED: S&P Raises Ratings on Various Classes of Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A-1b, A-2, B, and C notes from Halcyon Structured Asset Management Long Secured/Short Unsecured 2007-2 Ltd., a collateralized loan obligation transaction managed by Halcyon Asset Management LLC. At the same time, S&P affirmed its rating on the class A-1a notes. S&P removed its ratings on the A-1a, A-1b, 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 since February 2010. At the time of S&P's last rating action in February 2010, S&P lowered the ratings on the class A-1a, A-1b, A-2 and B notes, and affirmed the class C notes, following a review using its updated criteria for rating corporate collateralized debt obligations. At the time of S&P's last rating action, the transaction held approximately $19.5 million in defaulted obligations and $78.2 million in underlying assets from obligors with ratings in the 'CCC' range, according to the December 2009 trustee report. As of the January 2011 trustee report, the transaction held no defaulted obligations and $49.1 million in assets from underlying obligors with ratings in the 'CCC' range. Since the time of S&P's last rating action, a number of defaulted obligors held in the deal emerged from bankruptcy, with some receiving proceeds that were higher than their carrying value in the transaction's overcollateralization ratio test calculation. This, in combination with a reduction in assets with ratings in the 'CCC' range, benefited the transaction's O/C ratio. The class A O/C ratio increased to 124.8% as of the Jan. 19, 2011, report from 120.0% as of Dec. 15, 2009, report. S&P will continue to review its ratings on the notes and assess whether, in S&P's view, the ratings remain consistent with the credit enhancement available to support them and take rating actions as S&P deem necessary. Rating And Creditwatch Actions Halcyon Structured Asset Management Long Secured/Short Unsecured 2007-2 Ltd. Rating ------ Class To From ----- -- ---- A-1b AA+ (sf) AA- (sf)/Watch Pos A-2 AA- (sf) A+ (sf)/Watch Pos B A- (sf) BBB+ (sf) C BBB- (sf) BB+ (sf) Rating Affirmed And Removed From Creditwatch Positive Halcyon Structured Asset Management Long Secured/Short Unsecured 2007-2 Ltd. Rating ------ Class To From ----- -- ---- A-1a AA+ (sf) AA+ (sf)/Watch Pos HEWETT'S ISLAND: Moody's Ups Rating on Class D Notes to 'B1 (sf)' ----------------------------------------------------------------- Moody's Investors Service announced that it has upgraded these notes issued by Hewett's Island CLO VI, Ltd.: -- US$255,000,000 Class A-T First Priority Senior Secured Floating Rate Term Notes Due June 9, 2019 (current outstanding balance $231,262,519), Upgraded to Aa2 (sf); previously on June 11, 2009 Downgraded to A1 (sf); -- US$50,000,000 Class A-R First Priority Senior Secured Floating Rate Revolving Notes Due June 9, 2019 (current outstanding balance $45,256,853), Upgraded to Aa2 (sf); previously on June 11, 2009 Downgraded to A1 (sf); -- US$27,500,000 Class B Second Priority Senior Secured Floating Rate Notes Due June 9, 2019, Upgraded to A3 (sf); previously on June 11, 2009 Downgraded to Baa3 (sf); -- US$15,500,000 Class C Third Priority Senior Secured Deferrable Floating Rate Notes Due June 9, 2019, Upgraded to Baa3 (sf); previously on November 23, 2010 Ba3 (sf) Placed Under Review for Possible Upgrade; -- US$15,500,000 Class D Fourth Priority Mezzanine Secured Deferrable Floating Rate Notes Due June 9, 2019, Upgraded to B1 (sf); previously on November 23, 2010 Caa3 (sf) Placed Under Review for Possible Upgrade; -- US$16,000,000 Class E Fifth Priority Mezzanine Secured Deferrable Floating Rate Notes Due June 9, 2019 (current outstanding balance of $13,414,792), Upgraded to Caa2 (sf); previously on November 23, 2010 C (sf) Placed Under Review for Possible Upgrade. Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from an increase in the transaction's overcollateralization ratios and an improvement in the credit quality of the underlying portfolio since the rating action in June 2009. Since the rating action in June 2009, the Class A notes have been paid down by approximately 8% or $24.9 million. In part, as a result of the delevering, the overcollateralization ratios have increased. As of the latest trustee report dated February 2, 2011, the Class A/B, Class C, Class D, and Class E overcollateralization ratios are reported at 118.20%, 112.46%, 107.26%, and 103.13%, respectively, versus May 2009 levels of 108.83%, 103.93%, 99.45%, and 95.27% respectively, and all related overcollateralization tests are currently in compliance. In particular, the Class E overcollateralization ratio has increased due to the diversion of excess interest to delever the Class E notes in the event of a Class E overcollateralization test failure. The Class E notes have also delevered due to the diversion of excess interest following an interest diversion test failure. Since the rating action in June 2009, the Class E notes have delevered by 15.1% or $2.4 million including outstanding deferred interest. Moody's notes that the Class D and Class E Notes are no longer deferring interest and that all previously deferred interest has been paid in full. Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since the rating action in June 2009. Based on the February 2011 trustee report, the weighted average rating factor is 2361 compared to 2468 in May 2009, and securities rated Caa1/CCC+ or lower make up approximately 6.9% of the underlying portfolio versus 11.4% in May 2009. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to about $8 million from approximately $33 million in May 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 balance of $354 million, defaulted par of $11 million, a weighted average default probability of 26.16% (implying a WARF of 3345), a weighted average recovery rate upon default of 42.30%, and a diversity score of 60. 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. Hewett's Island CLO VI, Ltd., issued in May 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2676) -- Class A-T: +2 -- Class A-R: +2 -- Class B: +2 -- Class C: +2 -- Class D: +2 -- Class E: +3 Moody's Adjusted WARF + 20% (4014) -- Class A-T: -2 -- Class A-R: -2 -- Class B: -2 -- Class C: -2 -- Class D: -3 -- Class E: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 3) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. HEWETT'S ISLAND: Moody's Ups Rating on Class E Notes to Caa2 (sf) ----------------------------------------------------------------- Moody's Investors Service announced that it has upgraded these notes issued by Hewett's Island CLO I-R, Ltd.: -- US$15,700,000 Class B Second Priority Senior Secured Floating Rate Notes Due November 12, 2019, Upgraded to A3 (sf); previously on September 10, 2009 Downgraded to Baa1 (sf); -- US$11,250,000 Class C Third Priority Senior Secured Deferrable Floating Rate Notes Due November 12, 2019, Upgraded to Baa3 (sf); previously on September 10, 2009 Downgraded to Ba1 (sf); -- US$9,900,000 Class D Fourth Priority Mezzanine Secured Deferrable Floating Rate Notes Due November 12, 2019, Upgraded to B1 (sf); previously on September 10, 2009 Downgraded to B2 (sf); -- US$10,300,000 Class E Fifth Priority Mezzanine Secured Deferrable Floating Rate Notes Due November 12, 2019 (current outstanding balance of $7,036,867), Upgraded to Caa2 (sf); previously on November 23, 2010 Ca (sf) Placed Under Review for Possible Upgrade. Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from an increase in the transaction's overcollateralization ratios since the rating action in September 2009. Based on the trustee report dated February 8, 2011, the Class A/B, Class C, Class D, and Class E overcollateralization ratios are reported at 118.30%, 111.87%, 106.77%, and 103.41%, respectively, versus September 2009 levels of 113.14%, 107.15%, 102.32%, and 98.38%, respectively, and all related overcollateralization tests are currently in compliance. In particular, the Class E overcollateralization ratio has increased due to the diversion of excess interest to delever the Class E notes in the event of a Class E overcollateralization test failure. The Class E notes have also delevered due to the diversion of excess interest following an interest diversion test failure. Since the rating action in September 2009, the Class E notes have delevered by 22.7% or $2.1 million including outstanding deferred interest. Moody's notes that the Class D and Class E Notes are no longer deferring interest and that all previously deferred interest has been paid in full. Moody's also notes that the credit profile of the underlying portfolio has been relatively stable since the last rating action. The weighted average rating factor is 2336 in the February 2011 report compared to 2344 in September 2009, and securities rated Caa1/CCC+ or lower make up approximately 6.2% of the underlying portfolio versus 6.1% in September 2009. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to about $4.5 million from approximately $24.4 million in September 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 balance of $231 million, defaulted par of $5 million, a weighted average default probability of 25.98% (implying a WARF of 3457), a weighted average recovery rate upon default of 43.78%, 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. Hewett's Island CLO I-R, Ltd., issued in November 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. 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 sensitivity analyses to test the impact on all rated notes of various default probabilities. A summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2766) -- Class A: +2 -- Class B: +2 -- Class C: +2 -- Class D: +2 -- Class E: +3 Moody's Adjusted WARF + 20% (4148) -- Class A: -2 -- Class B: -2 -- Class C: -1 -- Class D: -3 -- Class E: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 3) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. However, as part of the base case, Moody's considered spread and coupon levels higher than the covenant levels due to the large difference between the reported and covenant levels. HIPOCAT 14: Moody's Downgrades Ratings on Three Classes of Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded Classes A, B and C issued by Hipocat 14 and all notes issued by Hipocat 16. In June 2009 Moody's placed the ratings of all notes issued by Hipocat 14 and Hipocat 16 on review for possible downgrade following the rating action on Caixa Catalunya. Ratings Rationale The rating action concludes the review and takes into consideration the exposure to Caixa d'Estalvis de Catalunya, Tarragona i Man (CatalunyaCaixa) as well as revised assumptions for the collateral portfolios in both transactions. The downgrades reflects the performance deterioration in the current down cycle, the large exposure to flexible mortgages and Moody's negative sector outlook for Spanish RMBS. In summer 2010, Moody's noted that the share of written-off loans reported in the Hipocat series managed by GestiOn de Activos Titulizados had been understated. For this review, Moody's received final restated amounts of defaulted loans, as reported in the latest investor reports of the time. The ratings of the notes take into account the credit quality of the underlying mortgage loan pools, from which Moody's determined the MILAN Aaa Credit Enhancement and the lifetime losses (expected loss), as well as the transaction structure and any legal considerations as assessed in Moody's cash flow analysis. The expected loss and the Milan Aaa CE are the two key parameters used by Moody's to calibrate its loss distribution curve, used in the cash flow model to rate European RMBS transactions. Portfolio Expected Loss: Moody's has reassessed its lifetime loss expectation for Hipocat 14 and 16, taking into account the collateral performance to date, as well as the current macroeconomic environment in Spain. In December 2011, cumulative write-offs in Hipocat 14 and 16 rose to 0.89% and 0.13%, respectively, of the original pool balance. At the end of December 2010, the share of 90+ day arrears stood at 0.36% of current pool balance in Hipocat 14 and 0.03% in Hipocat 16. The reserve funds are currently at target level. Moody's expects the portfolio credit performance to be under stress, as Spanish unemployment remains elevated. The rating agency believes that the anticipated tightening of Spanish fiscal policies is likely to weigh on the recovery in the Spanish labour market and constrain future Spanish households finances. Moody's also has concerns over the timing and degree of future recoveries in a weaker Spanish housing market. On the basis of Moody's negative sector outlook for Spanish RMBS, the rating agency has updated the portfolio expected loss assumption to 2.10% of original pool balance in Hipocat 14 and Hipocat 16, up from 1.1%. MILAN Aaa CE: Moody's has assessed the loan-by-loan information for Hipocat 14 and Hipocat 16 to determine the MILAN Aaa CE. Moody's has increased its MILAN Aaa CE assumptions for Hipocat 14 to 13.70%, up from 5.20% at closing. The rating agency increased the Milan Aaa CE for Hipocat 16 to 14.60%, up from 5.90%. The increase in the MILAN Aaa CE reflects the high concentration of flexible loans and high geographical concentration in Catalonia. Both transactions are secured by 100% flexible mortgages. The product in question, called "Cr�dito Total" offers the possibility of withdrawing additional funds when the loan has amortized below the credit limit (first and subsequent draw-downs will never exceed 80% of the original appraisal value) subject to specific conditions. These type of flexible loans are riskier than traditional mortgage loans because as the mortgage loans amortize, the debtor has the possibility of withdrawing additional funds, so the LTV may increase to the lowest of the initial LTV or 80% . Operational Risk: The rating of CatalunyaCaixa (A3/P-2) is on review for possible downgrade. CatalunyaCaixa is the servicer in both transactions. Moody's notes that operational risk in these transactions is only partially mitigated as there are no trigger in place to appoint a back-up servicer. The operational risk is not a driver in the rating action. However a severe downgrade of the servicer into the Baa3/Ba range will impact the ratings of the senior notes. The rating addresses the expected loss posed to investors by the legal final maturity of the notes. In Moody's opinion, the structure allows for timely payment of interest and principal with respect of the notes by the legal final maturity. Moody's ratings only address the credit risk associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors. Transaction Features Hipocat 14 and Hipocat 16 closed in March 2005 and June 2008, respectively. The transactions are backed by portfolios of first- ranking mortgage loans originated by Caixa Catalunya, now part of CatalunyaCaixa (A3/P-2 on review for possible downgrade) and secured by residential properties located in Spain. Their overall balance at closing is EUR909 million and EUR1.0 billion, respectively. The new entity, CatalunyaCaixa, has been operative since 1 July 2010. Moody's has been informed that the servicing of Caixa Catalunya's mortgage portfolio will remain on Caixa Catalunya's servicing platform. Hipocat 14 consists exclusively of securitization of additional drawdowns of Caixa Catalunya's flexible mortgage loan (after the initial drawdown, any additional drawdown not necessarily the second in order of origination date). The product, named Cr�dito Total offers the possibility of withdrawing additional funds up to the minimum of the original loan-to-value ratio, or 80% LTV. Hipocat 16 also securitizes flexible mortgages (first drawdown and further drawdowns). As of January 2011, the weighted average current LTV in Hipocat 14 is 39% and 49% in Hipocat 16%. The pool concentration in Catalonia represented 85% and 59% of the current pool balance in Hipocat 14 and Hipocat 16, respectively. Currently, 2.91% of the portfolio balance in Hipocat 14 and 0.97% in Hipocat 16 corresponds to loans granted to non-Spanish nationals. Some features in the deals have changed since closing: Hedging agreement: CatalunyaCaixa has amended the swap agreements to achieve substantial compliance with the requirements described in Moody's report titled "the Framework for De-linking Hedge Counterparty Risks from Global Structured Finance Cashflow Transactions."These amendments included the insertion of provisions to: (i) regulate the collateral arrangements (by way of a market-standard "CSA"); and (ii) requirements for CatalunyaCaixa to take steps to find a replacement counterparty or guarantor upon the downgrade of its ratings below A3/P-2. Treasury Bank Accounts: For both transactions, collections are paid to CatalunyaCaixa (A3/P-2, on review for possible downgrade) and then transferred every 24 to 48 hours to the treasury account. CatalunyaCaixa has been replaced as the treasury account bank by Banco Espa�ol de Cr�dito S.A (Aa3/P-1, on review for possible downgrade) in Hipocat 14 and by Banco Sabadell S.A. (A2/P1 on review for possible downgrade) in Hipocat 16. Paying Agents: CatalunyaCaixa (A3/P2 on review for possible downgrade) in Hipocat 14 and 16. Caixa Catalunya was downgraded on 15 June 2009 from A2/P-1 to A3/P-2. CatalunyaCaixa has been replaced as the paying agent by Banco Espa�ol de Cr�dito S.A (Aa3/P-1 on review for possible downgrade) in Hipocat 14 and by Banco Sabadell S.A. (A2/P1 on review for possible downgrade) in Hipocat 16. Reserve fund: The reserve funds in both deals are currently at target level. 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. List of Ratings Actions Issuer: HIPOCAT 14 FONDO DE TITULIZACION DE ACTIVOS -- EUR868.5M A Notes, Downgraded to Aa3 (sf); previously on June 29, 2009 Aaa (sf) Placed Under Review for Possible Downgrade -- EUR9M B Notes, Downgraded to A3 (sf); previously on June 29, 2009 Aa3 (sf) Placed Under Review for Possible Downgrade -- EUR22.5M C Notes, Downgraded to B1 (sf); previously on June 29, 2009 Baa3 (sf) Placed Under Review for Possible Downgrade -- EUR9M D Notes, Confirmed at Ca (sf); previously on June 29, 2009 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HIPOCAT 16 FONDO DE TITULIZACION DE ACTIVOS -- EUR956.5M A Notes, Downgraded to Aa2 (sf); previously on June 29, 2009 Aaa (sf) Placed Under Review for Possible Downgrade -- EUR25M B Notes, Downgraded to Baa1 (sf); previously on June 29, 2009 Aa3 (sf) Placed Under Review for Possible Downgrade -- EUR18.5M C Notes, Downgraded to Ba3 (sf); previously on June 29, 2009 Baa3 (sf) Placed Under Review for Possible Downgrade HSBC BANK: S&P Affirms Rating on $10 Mil. Unfunded Credit Swap -------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its rating on the $10 million unfunded Credit Default Swap between the HSBC Bank USA and the Hongkong and Shanghai Banking Corp. due September 2014, a synthetic collateralized debt obligation transaction. The rating action follows S&P's synthetic rated overcollateralization review and reflects rating stability in the reference portfolio and an SROC ratio that was at or above 100% at the current rating level. Rating Affirmed And Removed From Creditwatch Positive Credit Default Swap US$10 million HSBC Bank USA N.A. - The Hongkong and Shanghai Banking Corp. Ltd. Rating ------ Class To From ----- -- ---- Tranche BB-srp (sf) BB-srp (sf)/Watch Pos IMC HOME: Moody's Downgrades Ratings on 20 Tranches --------------------------------------------------- Moody's Investors Service has downgraded the ratings of 20 tranches from 6 Subprime deals issued by IMC. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. 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. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: IMC Home Equity Loan Trust 1998-1 -- A-5, Downgraded to Baa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-6, Downgraded to Baa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1, Downgraded to B2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- B, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IMC Home Equity Loan Owner Trust 1997-5 -- A-9, Downgraded to Ba2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-10, Downgraded to Ba1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1, Downgraded to B1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- B, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IMC Home Equity Loan Owner Trust 1998-7 -- A, Current rating at Aa3 (sf); previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: IMC Home Equity Loan Pass-Through Certificates, Series 1998-5 -- A-5, Downgraded to Baa1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-6, Downgraded to A3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1, Downgraded to B2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- B, Downgraded to C (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: IMC Home Equity Loan Trust 1997-3 -- A-6, Downgraded to Baa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-7, Downgraded to Baa1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to Ba2 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- B, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: IMC Home Equity Loan Trust 1998-3 -- A-7, Current rating at Aa3 (sf); previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- A-8, Current rating at Aa3 (sf); previously on Nov. 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade INDYMAC HOME: Moody's Downgrades Ratings on 40 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 40 tranches from 9 Subprime deals issued by IndyMac. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2002-A -- Cl. AF-4, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B2 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2001-C -- Cl. AF-A, Downgraded to Ba3 (sf); previously on Jun 30, 2009 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2004-A -- Cl. M-2, Downgraded to Baa3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa1 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2000-C -- Cl. AV, Downgraded to B2 (sf); previously on Jun 30, 2009 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to B2 (sf); previously on Jun 30, 2009 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to B1 (sf); previously on Jun 30, 2009 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-1, Downgraded to Ca (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2001-B -- Cl. MF-1, Downgraded to Caa3 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2002-B -- Cl. AF, Downgraded to A1 (sf); previously on Oct. 15, 2002 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ba3 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, SPMD 2001-A -- AF-5, Downgraded to Ba3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- AF-6, Downgraded to Ba2 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- AV, Downgraded to Caa1 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- MF-1, Downgraded to Ca (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- MV-1, Downgraded to Ca (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, SPMD 2004-B -- Cl. A-I, Downgraded to A2 (sf); previously on Oct. 27, 2004 Assigned Aaa (sf) -- Cl. A-II-3, Downgraded to Baa1 (sf); previously on Oct. 27, 2004 Assigned Aaa (sf) -- Cl. M-1, Downgraded to B2 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to Ca (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to Ca (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, SPMD 2004-C -- Cl. M-1, Downgraded to Baa3 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade INDYMAC RESIDENTIAL: S&P Corrects Ratings on Class A Notes to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on class A from IndyMac Residential Mortgage-Backed Trust 2005-L1 by reinstating it at 'D (sf)' from 'NR'. On March 19, 2010, S&P incorrectly affirmed its rating on class A at 'BB (sf)' and removed it from CreditWatch with negative implications instead of lowering it to 'CC (sf)'. On June 25, 2010, the scheduled maturity date, class A had not been paid in full, and S&P incorrectly withdrew the rating instead of lowering it to 'D (sf)'. All of the mortgage loans in this trust consist of residential lot loans. This class is bond insured by Financial Guaranty Insurance Corp. (not rated). Rating Corrected IndyMac Residential Mortgage-Backed Trust 2005-L1 Rating ------ Class CUSIP Current 6/25/10 3/19/10 Pre-3/19/10 ----- ----- ------- ------- ------- ----------- A 456606HF2 D (sf) NR BB (sf) BB (sf)/Watch Neg NR - Not rated. JP MORGAN: Fitch Downgrades Ratings on 2005-LDP4 Certificates ------------------------------------------------------------- Fitch Ratings downgrades 10 classes of J.P. Morgan Chase Commercial Mortgage Series Corp., series 2005-LDP4 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 9.4% (9.7% cumulative transaction losses which includes losses realized to date). Fitch expects losses on specially serviced loans to delete classes G through P and a portion of class F. As of February 2011, there are cumulative interest shortfalls in the amount of $5.92 million currently affecting classes G through P. As of the February 2011 distribution date, the pool's aggregate principal balance has been paid down by 21.7% to $2.10 billion from $2.68 billion at issuance. There are 4 defeased loans representing 5.16% of the pool. Fitch has identified 44 loans (28.2%) as Fitch Loans of Concern, which includes 14 specially serviced loans (18.4%). The largest contributor to modeled losses is the Silver City Galleria loan (5.97%) which is collateralized by a regional mall located in Taunton, MA, approximately 30 miles south of Boston. The 714,898 square foot property is anchored by Sears, Macy's and JC Penney. The loan transferred to special servicing in October 2009 due to monetary default and is more than 90 days delinquent. Occupancy for the property is at 82% as of YE 2010 which is in line with the occupancy at YE 2009. Steve & Barry's and Old Navy which occupied 10.3% and 3.5% of the NRA respectively have vacated their spaces. Servicer-reported DSCR as of YE 2010 was 0.92 times, which is a slight decline from DSCR of 0.99x as of YE 2009. The borrower and special servicer are discussing workout options including a modification and a potential sale of the property. The second largest contributor to modeled losses is the Creekside Apartments loan (3.22%) which is collateralized by a 1,026-unit multifamily property located in Bensalem, PA, approximately 17 miles northeast of Philadelphia. The property transferred to special servicing in June 2010 due to monetary default. Occupancy is currently at 86% as of December 2010 which is in line with occupancy at YE 2009; however, DSCR has declined to 0.75x from 1.20x in the same period. Rental rates remain weak with ongoing concessions being offered in the market. Negotiations on the resolution of this loan are ongoing with foreclosure as a potential outcome. The third largest contributor to modeled losses is the Sterling Pointe loan (1.84%) which is collateralized by a 129,020 sf grocery-anchored retail shopping center loan located in Lincoln, CA, approximately 30 miles northeast of Sacramento. The loan transferred to special servicing due to monetary default and is more than 90 days delinquent. Occupancy as of September 2010 was 87% which is in line with occupancy at YE 2009 of 85%. DSCR from September 2010 is 0.81x which is also in line with DSCR at YE 2009 of 0.76x. Discussions to modify the loan with borrower equity contribution are ongoing between the borrower and special servicer. In total, there are currently 14 loans (19%) in special servicing which consists of four loans (1.53%) in foreclosure, seven loans (15.7%) that are 60 to 90 days delinquent, two loans (0.95%) that are current and one loan (0.89%) that is REO. At Fitch's last review there were 10 loans (9.5%) in special servicing consisting of six loans (8.29%) that were current, three loans (1.07%) that were 30 to 90 days delinquent and one loan (0.16%) in foreclosure. Fitch downgrades and assigns Recovery Ratings to these classes as indicated: -- $23.4 million class E at 'CCCsf/RR1' from 'B-sf/LS5'; -- $40.2 million class F to 'CCsf/RR5' from 'B-sf/LS5'; -- $26.8 million class G to 'CCsf/RR6' from 'B-sf/LS5'; -- $30.1 million class H to 'CCsf/RR6' from 'B-sf/LS5'; -- $10 million class J to 'CCsf/RR6' from 'CCCsf/RR6'; -- $13.4 million class K to 'Csf/RR6' from 'CCCsf/RR6'; -- $13.4 million class L to 'Csf/RR6' from 'CCCsf/RR6'; -- $6.7 million class M to 'Csf/RR6' from 'CCCsf/RR6'; -- $3.3 million class N to 'Csf/RR6' from 'CCCsf/RR6'; -- $10 million class P to 'Csf/RR6' from 'CCCsf/RR6'. Fitch affirms, assigns Loss Severity ratings and Outlooks to these classes as indicated: -- $377.6 million class A-1A at 'AAAsf/LS2'; Outlook Stable; -- $158.3 million class A-3A1 at 'AAAsf/LS2'; Outlook Stable; -- $75 million class A-3A2 at 'AAAsf/LS2'; Outlook Stable; -- $580.3 million class A-4 at 'AAAsf/LS2'; Outlook Stable; -- $112.9 million class A-SB at 'AAAsf/LS2'; Outlook Stable; -- $267.7 million class A-M at 'AAAsf/LS4'; Outlook Stable; -- $204.1 million class A-J at 'BBBsf/LS4'; Outlook Stable; -- $50.2 million class B at 'BBsf/LS5'; Outlook Stable; -- $23.4 million class C at 'BBsf/LS5'; Outlook Stable; -- $46.8 million class D at 'Bsf/LS5'; Outlook Stable. Classes A-1, A-2, and A-2FL have been paid in full. Fitch withdraws the ratings of the interest only classes X-1 and X-2. JP MORGAN: Moody's Upgrades Ratings on Five 2006-FL1 Certs. ----------------------------------------------------------- Moody's Investors Service upgraded the ratings of five classes, affirmed four classes and downgraded two pooled classes of JP Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2006-FL1. -- Cl. A-2, Affirmed at Aaa (sf); previously on March 22, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on November 14, 2007 Upgraded to Aaa (sf) -- Cl. C, Upgraded to Aaa (sf); previously on March 11, 2009 Downgraded to Aa2 (sf) -- Cl. D, Upgraded to Aa1 (sf); previously on March 11, 2009 Downgraded to Aa3 (sf) -- Cl. E, Upgraded to Aa3 (sf); previously on March 11, 2009 Downgraded to A2 (sf) -- Cl. F, Upgraded to A1 (sf); previously on March 11, 2009 Downgraded to A3 (sf) -- Cl. G, Upgraded to A3 (sf); previously on August 4, 2010 Downgraded to Baa2 (sf) -- Cl. H, Affirmed at Baa3 (sf); previously on August 4, 2010 Downgraded to Baa3 (sf) -- Cl. J, Affirmed at Ba3 (sf); previously on August 4, 2010 Downgraded to Ba3 (sf) -- Cl. K, Downgraded to Caa1 (sf); previously on August 4, 2010 Downgraded to B3 (sf) -- Cl. L, Downgraded to Caa3 (sf); previously on August 4, 2010 Downgraded to Caa2 (sf) Ratings Rationale The upgrades are due to payoffs of some of the larger loans including the Holyoke Mall since last review. 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. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain the current ratings. The downgrades are due to interest shortfalls, expenses associated with a loan in special servicing and uncertainty of the outcome. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 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 4, 2010. 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 February 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by approximately 66% to $293 million from $852 million at last review. The certificates are collateralized by four loans ranging in size from 2% to 62% of the trust balance. The pool is heavily concentrated in regional mall property type and sponsor, Robert J. Congel (98% of trust balance). The trust has experienced minimal losses since securitization and currently the smallest loan (2% of trust balance) is in special servicing. The currently outstanding interest shortfalls total $3,877 and cumulative bond loss totals $24,250 to Class L. Moody's LTV ratio for the pooled trust balance is 82% compared to 79% at last review. Moody's stressed DSCR ratio for the pooled trust balance is 1.25X compared to 1.28X at last review. The overall credit metrics are similar to those at last review, and Moody's anticipate continued deleveraging from amortization from the three mall loans. 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. The pool has a Herf of two compared to six at last review. The Crossgate Mall Loan ($181 million -- 62% of trust balance) is secured by a 1.2 million square foot regional mall located in Albany, New York. This loan amortizes on a 30 year schedule and its current maturity date is June 9, 2011. The borrower has one additional 12-month extension option remaining. One anchor pad space (143,676 SF) is dark. The property's net cash flow for the first nine months of 2010 was $19 million. The previous full year 2009 NCF was $26 million. Moody's 2011 review NCF is $22 million. The loan's sponsors are Robert J. Congel and Madeira Associates. Moody's current credit estimate is Ba1. The Independence Mall Loan ($78 million -- 27% of the trust balance) is secured by a 680,000 SF regional mall located in Kingston, Massachusetts. The property's NCF for the first nine months of 2010 was $5 million compared to $9 million for 2009. Moody's 2011 review NCF is $7 million. This loan amortizes on a 20 year schedule and its current maturity date is February 9, 2012. The borrower has one additional 12-month extension option remaining. The loan's sponsors are Robert J. Congel and Riesling Associates (controlled by Robert Congel and family trust). Moody's current credit estimate is Caa2. The Centerpoint loan ($6 million -- 2% of the trust balance) was transferred to special servicing on January 29, 2010 due to imminent default. The final maturity date is August 7, 2010. The combined $130.5 million loan was divided into two pari passu notes consisting of fixed rate A-1 note with an original balance of $117.45 million (securitized in JPM Chase 2006-CIBC14 transaction) and a floating rate A-2 note with an original principal balance of $13.05 million. The A-2 note was included in this transaction. This loan was originally secured by 16 industrial properties in the Chicago MSA. Since securitization two properties were released and paid down the A-2 note per the loan documents. The current principal balance for the A-2 note is $6,065,000 and the combined outstanding principal balance for the total loan is $123,515,000. The sponsor for this loan is CenterPoint Properties Trust and JF US Industrial Trust. The outstanding P& I advances for this loan to date are $75,782. Moody's current credit estimate is Caa3. JP MORGAN: Moody's Reviews Ratings on 2007-FL1 Certificates ----------------------------------------------------------- Moody's Investors Service placed seven pooled classes of J.P. Morgan Chase Commercial Mortgage Securities Co rp. Commercial Mortgage Pass-Through Certificates, Series 2007-FL1 on review for possible downgrade. Moody's rating action is: -- Cl. B, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Dec. 17, 2010 Downgraded to Baa2 (sf) -- Cl. C, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Dec. 17, 2010 Downgraded to Baa3 (sf) -- Cl. D, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Dec. 17, 2010 Downgraded to Ba1 (sf) -- Cl. E, B1 (sf) Placed Under Review for Possible Downgrade; previously on Dec. 17, 2010 Downgraded to B1 (sf) -- Cl. F, B2 (sf) Placed Under Review for Possible Downgrade; previously on Dec. 17, 2010 Downgraded to B2 (sf) -- Cl. G, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Dec. 17, 2010 Downgraded to Caa1 (sf) -- Cl. H, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Dec. 17, 2010 Downgraded to Caa3 (sf) The classes have been placed under review for downgrade due to an anticipated increase in interest shortfalls. The master servicer, Berkadia Commercial Mortgage LLC, recently advised Moody's that it will be begin recovering outstanding advances on a specially serviced loan, the 321 Ellis Loan ($17.7 million -- 1% of the pool), beginning with the March remittance date. As of the February remittance statement, the servicer had advanced approximately $459,000 on the 321 Ellis Loan. As of the February 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 16% to $1.4 billion from $1.6 billion at securitization. The Certificates are collateralized by 18 mortgage loans ranging in size from 1% to 17% of the pool. There are currently four loans in special servicing (14% of pooled balance) which are the Resorts International loan (9%), the Westin Chicago North Shore loan (3%), the Sofitel Minneapolis loan (1%) and the 321 Ellis loan (1%). 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 is summarized in a press release dated December 17, 2010. JPMORGAN CHASE: S&P Downgrades Ratings on Seven 2006-CIBC14 Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes of commercial mortgage-backed securities from JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC14. In addition, S&P affirmed its ratings on eight other classes from the same transaction. The rating actions on the principal and interest certificates follow S&P's analysis of the transaction using its U.S. conduit fusion CMBS criteria. The downgrades reflect S&P's analysis of the transaction using its U.S. conduit fusion CMBS criteria. The lowered ratings also reflect its analysis of interest shortfalls that have affected the trust and credit support erosion that S&P anticipate will occur upon the resolution of 35 of the 38 specially serviced assets and three loans that S&P has determined to be credit-impaired. S&P lowered its rating on class F to 'D (sf)' due to recurring interest shortfalls S&P expects to continue for the foreseeable future. As of the February 2011 remittance report, the trust experienced monthly interest shortfalls totaling $166,259 and cumulative interest shortfalls of $12.5 million. The monthly interest shortfalls reflect items including appraisal subordinate entitlement reduction amounts totaling $450,462 on 24 of the 38 specially serviced assets, interest not advanced of $213,203 for four loans that Berkadia has deemed nonrecoverable, and special servicing fees of $96,150. The monthly interest shortfalls were partially offset by a one-time ASER recovery of $669,990 associated with the Park Center loan liquidation. S&P believes the recurring interest shortfalls have reduced liquidity support available to the downgraded classes. Class F has experienced cumulative interest shortfalls for the past four consecutive months and S&P expects the shortfalls to continue for the foreseeable future. Consequently, S&P lowered its rating on this class to 'D (sf)'. S&P's analysis included a review of the credit characteristics of all of the assets in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage (DSC) of 1.51x and a loan-to-value ratio of 136.1%. S&P further stressed the assets' cash flows under its 'AAA' scenario to yield a weighted average DSC of 0.87x and an LTV of 170.5%. The implied defaults and loss severity under the 'AAA' scenario were 76.3% and 40.9%, respectively. The DSC and LTV calculations S&P noted above exclude 35 ($550.6 million, 21.2%) specially serviced assets and three ($18.8 million, 0.7%) loans deemed to be credit-impaired. S&P separately estimated losses for these specially serviced and credit-impaired loans and included them in its 'AAA' scenario implied default and loss figures. The affirmations of S&P's ratings on the principal and interest certificates reflect credit enhancement and available liquidity support levels that are consistent with the outstanding ratings. S&P affirmed its ratings on the class X-1 and X-2 interest-only certificates based on its current criteria. Credit Considerations As of the February 2011 remittance report, 38 ($566.7 million, 21.8%) assets were with the special servicer, LNR Partners LLC (LNR). The payment status of the specially serviced assets is: three ($30.8 million, 1.2%) are real estate owned (REO); 11 ($105.3 million, 4.0%) are in foreclosure; 15 ($153.3 million, 5.9%) are 90-plus days delinquent; one ($94.9 million, 3.7%) is 60 days delinquent; two ($17.7 million, 0.7%) are 30 days delinquent; five ($155.9 million, 6.0%) are matured balloon loans; and one ($8.8 million,0.3%) is in its grace period. Twenty-nine specially serviced assets ($279.4 million, 10.8%) have appraisal reduction amounts in effect totaling $124.2 million. Details on the three largest assets with the special servicer are: The CenterPoint I loan ($117.5 million, 4.5%) is the fifth-largest asset in the pool and the largest exposure with the special servicer. The loan is secured by a portfolio of 16 industrial properties in Illinois comprising 5,391,940 sq. ft. The loan was reported as matured balloon and was transferred to the special servicer in February 2010 for imminent default before its Aug. 7, 2010, maturity date. As of June 30, 2009, the reported DSC was 1.61x. Recent occupancy information is not available. Standard & Poor's anticipates a moderate loss upon the eventual resolution of this asset. The Avion Business Park Portfolio loan ($94.9 million, 3.7%) is the sixth-largest asset in the pool and the second-largest exposure with the special servicer. The loan is secured by a portfolio of seven office properties in Chantilly, Va., comprising 586,466 sq. ft. The loan was reported as 60 days delinquent and the loan was transferred to the special servicer in October 2010 due to imminent payment default. As of Dec. 31, 2009, the reported DSC was 1.03x. Recent occupancy information is not available. A November 2010 appraisal valued the property below the total exposure of $96.4 million. Standard & Poor's anticipates a moderate loss upon the eventual resolution of this asset. The Concord Commons loan ($31.1 million, 1.2%) is the ninth- largest asset in the pool and the third-largest exposure with the special servicer. The loan is secured by a 306,250-sq.-ft. anchored retail center in Concord, N.C. The loan was reported as 90-plus-days delinquent and transferred to the special servicer in April 2009. Recent DSC and occupancy information is not available. An ARA of $18.7 million is in effect against the loan. Standard & Poor's anticipates a significant loss upon the eventual resolution of this asset. The 35 ($323.2 million, 12.4%) remaining specially serviced assets have balances that, individually represent less than 1.0% of the total pool balance. Three of these assets are real estate owned (REO); 11 are in foreclosure; 14 are 90-plus days delinquent; two are 30 days delinquent; four are matured balloon loans; and one is in its grace period. S&P estimated losses for 32 of these assets to arrive at a weighted-average loss severity of 46.2%. The remaining three loans ($16.0 million, 0.6%) were recently transferred to the special servicer or the special servicer is evaluating potential modification or forbearance agreements. In addition to the specially serviced assets, S&P determined three ($18.8 million, 0.7%) loans to be credit-impaired. The loans have individual balances that represent less than 0.3% of the pool balance and are secured by two retail properties and one office property. The loans all appear on the master servicer's watchlist for major tenants expiring (from 34% to 58% of gross leasable area [GLA]). Using the available financial information for two of the three loans, S&P calculated a weighed-average reported DSC of 1.37x as of year-end 2009. S&P considers these loans to be at increased risk of default and loss. Transaction Summary As of the February 2011 remittance report, the collateral balance was $2.6 billion, which is 94.5% of the issuance balance. The collateral includes 190 loans and three REO assets, down from 198 loans at issuance. The master servicer, Berkadia Commercial Mortgage LLC (Berkadia), provided interim-2009, full-year 2009, or interim-2010 financial information for 91.4% of the loans in the pool. 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, which exclude 35 of the 38 specially serviced and three credit-impaired assets, were 1.51x and 136.1%, respectively. S&P separately estimated losses for 35 of the 38 specially serviced and three credit-impaired assets and included them in its 'AAA' scenario implied default and loss figures. Fifty-six ($523.4 million, 20.2%) loans are on the master servicer's watchlist. Fifty-nine ($604.0 million, 23.3%) loans have reported DSC below 1.10x, and 42 ($345.5 million, 13.3%) have reported DSC below 1.00x. Twenty-nine ARAs are in effect totaling $124.2 million. To date, the pool has experienced principal losses totaling $29.9 million on 19 assets. Summary of Top 10 Exposures The top 10 real estate exposures have an aggregate outstanding balance of $1.2 billion (44.5%) and include three ($243.5 million, 9.4%) assets with the special servicer (as discussed above) and two ($58.2 million, 2.2%) loans on the master servicer's watchlist, as discussed below. Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.84x for nine the top 10 exposures. Two of the top 10 exposures have reported DSC below 1.10x, while a third loan has no recent reported DSC. The 510 Fifth Avenue loan ($32.1 million, 1.2%) is the eighth- largest exposure in the pool and the largest loan on the master servicer's watchlist. The loan is secured by a 61,159-sq.-ft. office building in New York, N.Y. The loan appears on the watchlist for decreased occupancy which, as of November 2010, was 61.0%, respectively. According to Berkadia, JP Morgan Chase vacated its space (24,000 sq. ft. net rentable area, 39%) when its lease expired Oct. 31, 2010, and the borrower is in discussion to re-lease the building's vacant space. The reported DSC was 1.38x as of year-end 2009. The San Antonio Marriott Northwest loan ($26.1 million, 1.0%) is the 10th-largest exposure in the pool and the second-largest loan on the master servicer's watchlist. The loan is secured by a 296- room full-service hotel in San Antonio, Texas, and appears on the watchlist for low reported DSC. The reported DSC and occupancy as of Sept. 30, 2010, were 0.57x and 50.0%, respectively. Standard & Poor's analyzed the transaction according to its current criteria. The rating actions are consistent with S&P's analysis. Ratings Lowered JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC14 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-M BBB- (sf) A+ (sf) 20.01 A-J B+ (sf) BBB+ (sf) 11.94 B B (sf) BBB- (sf) 9.56 C CCC+ (sf) BB+ (sf) 8.50 D CCC- (sf) BB (sf) 6.92 E CCC- (sf) CCC+ (sf) 5.99 F D (sf) CCC- (sf) 4.67 Ratings Affirmed JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC14 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-2 AAA (sf) 30.59 A-3A AAA (sf) 30.59 A-3B AAA (sf) 30.59 A-4 AAA (sf) 30.59 A-SB AAA (sf) 30.59 A-1A AAA (sf) 30.59 X-1 AAA (sf) N/A X-2 AAA (sf) N/A N/A -- Not applicable. JPMORGAN CHASE: S&P Downgrades Ratings on Nine 2006-LDP6 Notes -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on nine classes of commercial mortgage-backed securities from JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP6, two of which S&P lowered to 'D (sf)'. In addition, S&P affirmed its ratings on eight classes from the same transaction. The downgrades and affirmations reflect S&P's analysis of the remaining collateral in the pool, the deal structure, and liquidity available to the trust using its U.S. conduit and fusion CMBS criteria which was the primary driver of the rating actions. The downgrades also reflect credit support erosion S&P anticipate will occur upon the resolution of 15 of the transactions specially serviced assets, and its concerns about two loans that S&P has determined to be credit-impaired. S&P lowered its ratings to 'D (sf)' on classes G and H due to interest shortfalls that S&P expects to continue. S&P's analysis included a review of the credit characteristics of all of the assets in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.56x and a loan-to-value ratio of 100.1%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 0.98x and an LTV ratio of 139.1%. The implied defaults and loss severity under the 'AAA' scenario were 80.8% and 39.06%, respectively. All of the DSC and LTV calculations S&P noted above exclude one ($4.3 million, 0.2%) defeased asset, 15 ($123.9 million, 6.6%) of the transaction's 16 ($138.4 million, 7.4%) specially serviced assets, and two ($31.8 million, 1.7%) loans that S&P determined to be credit-impaired. S&P separately estimated losses for the excluded specially serviced and credit- impaired assets and included them in the 'AAA' scenario implied default and loss figures. As of the Feb. 15, 2011, remittance report, the trust experienced monthly interest shortfalls to the certificates totaling $214,582. The shortfalls were primarily related to appraisal subordinate entitlement reduction amounts ($314,610) associated with the specially serviced assets, as well as special servicing fees ($68,123). S&P believes the trust will continue to be adversely affected by interest shortfalls. Class G has experienced cumulative shortfalls for the past four months. Class H has experienced interest shortfalls for the past four months. S&P expects both classes to experience recurring shortfalls in the future. As a result, S&P downgraded classes G and H to 'D (sf)'. The affirmations of the ratings on the principal and interest certificates reflect subordination levels and liquidity that is consistent with the outstanding ratings. S&P affirmed its ratings on the class X1 and X2 interest-only certificates based on its current criteria. Credit Considerations As of the Feb. 15, 2011, remittance report, 16 ($138.5 million, 7.4%) assets in the pool were with the special servicer, LNR Partners Inc. The payment status of the specially serviced assets is: six ($77.9 million, 4.2%) are real estate owned, one ($1.3 million, 0.07%) is in foreclosure, and nine ($59.4 million, 3.2%) are 90-plus-days delinquent. Appraisal reduction amounts totaling $69 million were in effect for all 16 specially serviced assets. The four largest specially serviced loans are: The Richland Center ($18.6 million trust balance, 1.0% of the pool balance; $18.9 million total exposure) is the largest specially serviced asset. It is secured by 231,000-sq.-ft. retail center in North Richland Hills, Texas, and transferred to the special servicer in August 2008. The asset became REO as of August 2010. An ARA of $12.6 million is currently in effect for this asset. According to the special servicer, the asset is listed for sale. S&P expects a significant loss upon the resolution of this asset. The Harbor Grand Apartments asset ($18.5 million trust balance, 1% of the pool balance; $21.4 million total exposure) is secured by a 192-unit apartment complex in Lake Eisenore, Calif., and was transferred to the special servicer in September 2008. The asset has been REO since December 2010 and according to the special servicer is currently being managed by a receiver. This asset has an ARA of $10.4 million. S&P expects a significant loss upon the resolution of this asset. The Bell 28 Office Park asset ($15.3 million trust balance, 0.8% of the pool balance; $16.1 million total exposure) is secured by 109,415-sq.-ft. office park in Phoenix, Ariz., and was transferred to the special servicer in November 2009. This asset has been REO since September 2010. According to the special servicer, Friedman Real Estate Group has been hired as the portfolio manager and CBRE has been hired as the leasing agent. The asset has an ARA of $9.3 million. S&P expects a significant loss upon the resolution of this loan. The Market Fair loan ($14.5 million trust balance, 0.8% of the pool balance; $15.2 million total exposure) is secured by 136,989- sq.-ft. retail center built in 1991. It transferred to the special servicer in July 2009. While the loan payment status is 90-plus-days delinquent, this loan will be modified according to the special servicer. The terms of the modification include: * The borrower will invest $1.4 million in equity; * The existing note will be split into an A note of $9 million and a B note of $4.5 million; and * Interest on A note will remain current at 5.77%, while interest of 5.77% on the B note will accrue. The 12 remaining specially serviced assets have individual balances that represent less than 0.6% of the balance. Three of the assets are REO, one is in foreclosure, and the remaining eight are 90-plus-days delinquent. ARAs totaling $30.9 million are in effect against these 12 assets. Standard & Poor's estimated losses for 12 of these assets, arriving at a weighted-average loss severity of 48%. In addition to the specially serviced assets, S&P determined two loans ($31.8 million, 1.7%) to be credit-impaired. The Washington Plaza loan ($16.8 million, 0.9%) is secured by a 207,358-sq.-ft. office complex built in 1988 and located in Upper Marlboro, Md. The Board of Education terminated its lease effective June 30, 2009. The borrower was required to make an initial deposit at loan inception into a debt service reserve account of $2.46 million with an additional $2.6 million required as a condition of above mentioned lease termination approval. The current balance of the account is approximately $578,000. According to the master servicer, Berkadia Commercial Mortgage LLC, the property is currently being marketed for sale, while the reported DSC and occupancy are -0.44x and 11% as of year-end 2010, respectively. The Sorrento Pines loan ($15.0 million, 0.8%) is secured by two industrial properties encompassing 114,422 sq. ft. in San Diego, Calif. The loan's payment status is 30-plus-days delinquent. According to the master servicer, Midland Loan Services, one of the collateral properties is vacant, while the reported DSC is 0.39x as of Dec. 31, 2010. Transaction Summary As of the Feb. 15, 2011 trustee remittance report, the collateral pool had a trust balance of $1.87 billion, down from $2.14 billion at issuance. The pool currently includes 141 loans and six real estate owned assets. One ($4.3 million, 0.2%) loan is defeased. The master servicers, Midland Loan Services and Berkadia Commercial Mortgage LLC., provided interim-2009, full-year 2009, interim-2010, or full-year 2010 financial information for 92.3% of the nondefeased loans in the pool. S&P calculated a weighted average DSC of 1.63x for the pool based on the reported figures. S&P's adjusted DSC and LTV ratio were 1.56x and 100.1%, respectively. S&P's adjusted DSC and LTV figures exclude the defeased asset, 15 of the transaction's 16 specially serviced assets, and the two loans that S&P determined to be credit- impaired. S&P separately estimated losses for the excluded specially serviced and credit-impaired assets. The trust has experienced $62 million in losses to date from the liquidation of 14 assets. The master servicers' reported watchlist of 39 ($376.3 million, 20.0%) loans include two of the top 10 loan exposures discussed below. Thirty-three ($239.4 million, 12.7%) exposures in the pool have a reported DSC of less than 1.10x, and 22 ($155.7 million, 8.3%) exposures have a reported DSC of less than 1.00x. Summary of Top 10 Loans The top 10 loans secured by real estate have an aggregate outstanding trust balance of $898.8 million (47.8%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.92x for the top 10 real estate loans. S&P's adjusted DSC and LTV ratio for the top 10 loans are 1.71x and 92.5%, respectively. The 30 Broad Street Loan is the fifth-largest loan in the pool and the largest loan on the master servicer's watchlist. The loan has a trust balance of $81.4 million (4.3%) and is secured by a 427,568-sq.-ft. multi-tenant office building in downtown New York City. The loan appears on the watchlist due to reported low DSC of 0.83x and 87% occupancy for six months ended June 30, 2010. S&P's analysis considered the timing for expense reimbursements reported for the asset. Village Properties Crossed Portfolio is made up of three cross defaulted and cross-collateralized loans. Consolidating their current balances makes the portfolio loan the seventh-largest loan in the pool with a trust balance of $39.9 million (2.13%). It is the second-largest loan on the watchlist. The portfolio is secured by 10 retail centers located throughout Tennessee and Kentucky with a total of 1,197,497 sq. ft. of retail space. This portfolio appears on the watchlist because two of the loans had reported DSCs of 1.05x and 1.07x for Dec. 31, 2009. However, consolidated with the third loan, the reported aggregate DSC for this portfolio is 1.42x as of Dec. 31, 2009. Standard & Poor's stressed the collateral in the pool according to its current criteria. The resultant credit enhancement levels are consistent with S&P's lowered and affirmed ratings. Ratings Lowered JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2006-LDP6 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-M BBB+ (sf) A (sf) 19.51 A-J BB (sf) BBB+ (sf) 10.78 B B+ (sf) BBB- (sf) 8.21 C B (sf) BB+ (sf) 7.21 D B- (sf) BB (sf) 5.35 E CCC (sf) BB- (sf) 4.21 F CCC-(sf) B (sf) 2.63 G D (sf) B- (sf) 1.49 H D (sf) CCC (sf) 0.34 Ratings Affirmed JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2006-LDP6 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-2 AAA (sf) 30.95 A-3FL AAA (sf) 30.95 A-3B AAA (sf) 30.95 A-4 AAA (sf) 30.95 A-SB AAA (sf) 30.95 A-1A AAA (sf) 30.95 X1 AAA (sf) N/A X2 AAA (sf) N/A N/A - Not applicable. KINGLY SQUARE: S&P Withdraws Ratings on Four CDO Transactions ------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on four synthetic collateralized debt obligation transactions: Kingly Square No. 1 Ltd., ELM B.V.'s series 87, Credit Default Swap - CRA600046, and Credit Default Swap - CRA600026. The rating withdrawals follow the complete redemption of the notes pursuant to the repurchase and termination notices received. Ratings Withdrawn Kingly Square No. 1 (CDO) Ltd. Rating ------ Class To From ----- -- ---- B USDNotes NR (sf) CC (sf) B EURNotes NR (sf) CC (sf) B AUDNotes NR (sf) CC (sf) ELM B.V. Series 87 Rating ------ Class To From ----- -- ---- Tranche NR (sf) CCC (sf) Credit Default Swap - CRA600046 Rating ------ Class To From ----- -- ---- Swap NR (sf) AA-srp (sf) Credit Default Swap - CRA600026 Rating ------ Class To From ----- -- ---- Swap NR (sf) AA-srp (sf) NR - Not rated. KKR FINANCIAL: Moody's Ups Rating on Class E Notes to 'B1 (sf)' --------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by KKR Financial CLO 2007-1, Ltd.: -- US$1,849,000,000 Class A Senior Secured Floating Rate Notes Due 2021 (current balance of $1,555,539,837), Upgraded to Aaa (sf); previously on February 25, 2009 Downgraded to Aa1 (sf); -- US$220,250,000 Class B Senior Secured Floating Rate Notes Due 2021, Upgraded to Aa2 (sf); previously on June 8, 2010 Upgraded to A1 (sf); -- US$299,250,000 Class C Deferrable Mezzanine Secured Floating Rate Notes Due 2021, Upgraded to A2 (sf); previously on June 8, 2010 Upgraded to Baa2 (sf); -- US$340,500,000 Class D Deferrable Mezzanine Secured Floating Rate Notes Due 2021, Upgraded to Baa3 (sf); previously on June 8, 2010 Upgraded to B1 (sf); -- US$134,000,000 Class E Deferrable Mezzanine Secured Floating Rate Notes Due 2021, Upgraded to B1 (sf); previously on November 23, 2010 Caa2 (sf) Placed Under Review for Possible Upgrade; -- US$61,750,000 Class F Deferrable Mezzanine Secured Floating Rate Notes Due 2021, Upgraded to B3 (sf); previously on November 23, 2010 Ca (sf) Placed Under Review for Possible Upgrade. Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from an increase in the overcollateralization ratios of the rated notes since the rating action in June 2010. As of the latest trustee report dated February 4, 2011, the Senior overcollateralization ratio, Class C/D, and Class E overcollateralization ratios are reported at 180.58%, 132.75%, and 125.77%, respectively, versus April 2010 levels of 177.52%, 130.16%, and 122.69%, respectively, and all related overcollateralization tests are currently in compliance. The overcollateralization ratios have improved in part due to a decrease in the number of defaulted CLO tranches. A number of CLO tranches were defaulted and carried at depressed market values in the rating action in June 2010 but are currently treated as performing securities due to improved credit qualities. Furthermore, Moody's adjusted overcollateralization ratios of the rated notes have increased more than trustee reported ratios since the rating action in June 2010 due to a decrease in the percentage of securities with Ca or C ratings. Moody's treated these Ca or C-rated securities as defaulted securities in the rating action in June 2010 but is currently treating them as performing securities as they are no longer Ca or C-rated following corporate ratings upgrades. Moody's also notes that the credit quality of the underlying portfolio has improved since the rating action in June 2010. Based on the February 2011 trustee report, the weighted average rating factor is 3416 compared to 3548 in April 2010. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to $51 million from approximately $122 million in April 2010. Despite improvements in certain key portfolio metrics, the transaction has exposure to securities rated Caa1/CCC+ or lower that make up approximately 19% of the underlying portfolio. Moody's also noted that the portfolio includes a material concentration in CLO securities that are issued by affiliates of the collateral manager, which Moody's views as potentially exposing the notes to additional correlation risk. Furthermore, the transaction has large single obligor exposures to debt relating to recent vintages of buyouts and other highly leveraged financial transactions, which Moody's views to be particularly vulnerable to credit deterioration in the current market environment. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $3.2 billion, defaulted par of $55 million, a weighted average default probability of 42.32% (implying a WARF of 5365), a weighted average recovery rate upon default of 36.7%, and a diversity score of 30. These default and recovery properties of the collateral pool are incorporated in Moody's cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. KKR Financial CLO 2007-1, Ltd., issued on May 22, 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. 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 sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF - 20% (4292) -- Class A: 0 -- Class B: +2 -- Class C: +2 -- Class D: +2 -- Class E: +2 -- Class F: +2 Moody's Adjusted WARF + 20% (6438) -- Class A: -1 -- Class B: -2 -- Class C: -2 -- Class D: -2 -- Class E: -1 -- Class F: -4 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 3) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. However, as part of the base case, Moody's considered spread levels higher than the covenant levels due to the large difference between the reported and covenant levels. KKR FINANCIAL: Moody's Ups Rating on Class F Notes to 'B1 (sf)' --------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by KKR Financial CLO 2005-1, Ltd.: -- US$715,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2017, Upgraded to Aaa (sf); previously on February 13, 2009 Downgraded to Aa3 (sf); -- US$58,000,000 Class B Senior Secured Floating Rate Notes Due 2017, Upgraded to Aa3 (sf); previously on May 26, 2010 Upgraded to Baa1 (sf); -- US$64,000,000 Class C Deferrable Mezzanine Secured Floating Rate Notes Due 2017, Upgraded to A3 (sf); previously on May 26, 2010 Upgraded to Ba2 (sf); -- US$52,000,000 Class D Deferrable Mezzanine Secured Floating Rate Notes Due 2017, Upgraded to Baa3 (sf); previously on November 23, 2010 Caa1 (sf) Placed Under Review for Possible Upgrade; -- US$15,000,000 Class E Deferrable Mezzanine Secured Floating Rate Notes Due 2017, Upgraded to Ba2 (sf); previously on November 23, 2010 Caa3 (sf) Placed Under Review for Possible Upgrade; -- US$5,000,000 Class F Deferrable Mezzanine Secured Floating Rate Notes Due 2017, Upgraded to B1 (sf); previously on November 23, 2010 Ca (sf) Placed Under Review for Possible Upgrade. Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from an increase in the overcollateralization ratios of the rated notes since the rating action in May 2010. As of the latest trustee report dated January 14, 2011, the Senior overcollateralization ratio, Class C/D, and Class E overcollateralization ratios are reported at 132.07%, 114.83%, and 112.93%, respectively, versus April 2010 levels of 130.38%, 113.37%, and 111.49%, respectively, and all related overcollateralization tests are currently in compliance. The overcollateralization ratios have improved in part due to a decrease in the number of defaulted CLO tranches. A number of CLO tranches were defaulted and carried at depressed market values in the rating action in May 2010 but are currently treated as performing securities due to improved credit qualities. Furthermore, Moody's adjusted overcollateralization ratios of the rated notes have increased more than trustee reported ratios since the rating action in May 2010 due to a decrease in the percentage of securities with Ca or C ratings. Moody's treated these Ca or C-rated securities as defaulted securities in the rating action in May 2010 but is currently treating them as performing securities as they are no longer Ca or C-rated following corporate ratings upgrades. Moody's also notes that the credit quality of the underlying portfolio has improved since the rating action in May 2010. Based on the January 2011 trustee report, the weighted average rating factor is 2859 compared to 2972 in April 2010. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to $2 million from approximately $18.8 million in April 2010. Despite improvements in certain key portfolio metrics, Moody's noted that the portfolio includes a material concentration in CLO securities that are issued by affiliates of the collateral manager, which Moody's views as potentially exposing the notes to additional correlation risk. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $1 billion, defaulted par of $19 million, a weighted average default probability of 25.67% (implying a WARF of 3625), a weighted average recovery rate upon default of 43%, and a diversity score of 36. These default and recovery properties of the collateral pool are incorporated in Moody's cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. KKR Financial CLO 2005-1, Ltd., issued on March 30, 2005, 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 sensitivity analyses to test the impact on all rated notes of various default probabilities. A summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF - 20% (2900) -- Class A-1: 0 -- Class B: +2 -- Class C: +2 -- Class D: +2 -- Class E: +2 -- Class F: +1 Moody's Adjusted WARF + 20% (4350) -- Class A-1: -1 -- Class B: -1 -- Class C: -2 -- Class D: -1 -- Class E:-1 -- Class F: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2) 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. LB COMMERCIAL: Moody's Raises Ratings on 1996-C2 Certs. to 'Caa1' ----------------------------------------------------------------- Moody's Investors Service upgraded the rating of one class and affirmed one class of LB Commercial Conduit Mortgage Trust II, Multiclass Pass-Through Certificates, Series 1996-C2: -- Cl. F, Upgraded to Caa1 (sf); previously on May 26, 2010 Downgraded to C (sf) -- Cl. IO, Affirmed at Aaa (sf); previously on Oct. 30, 1996 Assigned Aaa (sf) Ratings Rationale The upgrade is due to overall improved pool performance. Additionally, at last review, Moody's had estimated $3.4 million in potential losses from seven poorly performing loans. Of those loans, four loans paid off, two loans remain in the pool and one loan liquidated resulting in an actual loss of $303,072 -- a difference of $3.1 million. 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 5.3% of the current balance. At last review, Moody's cumulative base expected loss was 29.8%. Moody's stressed scenario loss is 11.5% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 2, the same as at Moody's prior review. In cases where the Herf falls below 20, Moody's employs also the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated May 26, 2010. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Deal Performance As of the February 25, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $4.4 million from $397.2 million at securitization. The Certificates are collateralized by four mortgage loans ranging in size from 6% to 61% of the pool, with the top three non-defeased loans representing 94% of the pool. The weighted average maturity for the pool is 22 months. One loan, representing 61% of the pool, has a balloon maturity while the remaining 39% of the pool is fully amortizing. One loans, representing 12% of the pool, is 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. Sixteen loans have been liquidated from the pool since securitization, resulting in an aggregate $31.2 million loss (68% loss severity on average). Realized losses have resulted in the elimination of classes G, H and J and a less than 1% principal loss to class F. Currently the pool does not contain any loans that are in special servicing. Moody's has assumed a high default probability for one poorly performing loan representing 12% of the pool. Moody's has estimated a $131,421 loss (25% expected loss based on a 50% probability default) from the troubled loan. Moody's was provided with full year 2009 and partial year 2010 operating results for 100% and 100%, respectively, of the pool's non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 61% compared to 63% at last review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.9%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.31X and 2.53X, respectively, compared to 1.23X and 2.36X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 94% of the pool balance. The largest loan is Mc Queen Village Loan ($2.7 million -- 61.4% of the pool), which is secured by a 136-unit multifamily complex located in Prattville, Alabama. The property was 94% leased as of December 2010. Moody's LTV and stressed DSCR are 78% and 1.31X, respectively, the same as at last review. LB-UBS COMMERCIAL: Fitch Downgrades Ratings on 2007-C7 Certs. ------------------------------------------------------------- Fitch Ratings has downgraded and removed from Rating Watch Negative 14 classes of LB-UBS Commercial Mortgage Trust, series 2007-C7, commercial mortgage pass through certificates. The downgrades are due to further deterioration of performance, most of which involves expected losses on loans in special servicing. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 11% for the remaining pool; expected losses of the original pool are at 11.35%, including losses already incurred to date. Approximately 39.7% of the loans in the pool are considered Fitch Loans of Concern, including 12 specially serviced loans (21.2%). At Fitch's last review, there were six loans (5%) in special servicing. Fitch expects classes F through T may be fully depleted from losses associated with the specially serviced loans. As of the February 2011 distribution date, the pool's aggregate principal balance has been reduced by 0.7% (including 0.35% of realized losses) to $3.14 billion from $3.17 billion at issuance. There are no defeased loans. As of February 2011, there are cumulative interest shortfalls in the amount of $5.7 million, affecting classes E through NR. The largest contributor to Fitch-modeled losses is the Innkeepers Hotel Portfolio loan (14%), which is secured by 44 limited service hotels and one full-service hotel totaling 5,683 rooms, located across 16 states. The loan transferred to special servicing in April 2010 due to monetary default. The portfolio had suffered cash flow declines in 2009 due to the economic downturn. The servicer reported 2009 net operating income debt service coverage ratio was 1.08 times (x), down from 1.43x in 2008. The portfolio's November 2010 trailing 12-month revenue per available room and average daily rate were reported at $79.53 and $108.04, respectively. The borrowing entities, the Innkeepers USA Real Estate Investment Trust, filed for Chapter 11 bankruptcy relief in July 2010. Fitch modeled losses for this loan are based on the servicer reported TTM NOI and a 10% capitalization rate. The subject portfolio is also secured by a $412 million pari passu note securitized in the LBUBS 2007-C6 transaction. The second largest contributor to expected loss of the loans in specially servicing is Nashville Multifamily Portfolio (3.7%). The loan is collateralized by a four-property, 1,593 unit, multifamily portfolio located in the Nashville, TN MSA. Property performance has declined since issuance because of a decline in occupancy along with lower rents and increased concessions. The loan has a lockbox in place and the loan remains current. The largest contributor to expected loss of the loans not in special servicing is the District at Tustin Legacy (6.5% of the pool), which is secured by a 985,684-square foot (521,694 sf collateral) retail center in Tustin, CA. The property was constructed in 2006 and was 98% occupied as of September 2009. Average rental rates and reimbursements at the property are below underwritten levels. Fitch downgrades, removes from Rating Watch Negative, and assigns Loss Severity ratings and Stable Outlooks to these classes as indicated: -- $269.5 million class A-J to 'Bsf/LS4' from 'AAsf/LS3'; Outlook Stable; -- $32.8 million class B to 'B-sf/LS5' from 'Asf/LS5'; Outlook Stable; -- $35.7 million class C to 'B-/LS-5' from 'BBBsf/LS5'; Outlook Stable; -- $23.8 million class D to 'CCCsf/RR1' from 'BBB-sf/LS5'; -- $27.7 million class E to 'CCCsf/RR1' from 'BBsf/LS5'; -- $15.9 million class F to 'CCsf/RR2' from 'BBsf/LS5'; -- $31.7 million class G to 'CC/RR6' from 'BBsf/LS5'; -- $27.7 million class H to 'Csf/RR6' from 'Bsf/LS5'; -- $23.8 million class J to 'Csf/RR6' from 'Bsf/LS5'; -- $27.7 million class K to 'Csf/RR6' from 'B-sf/LS5'; -- $19.8 million class L to 'Csf/RR6' from 'B-sf/LS5'; -- $11.9 million class M to 'Csf/RR6' from 'B-sf/LS5'; -- $11.9 million class N to 'Csf/RR6' from 'B-sf/LS5'; -- $4 million class P to 'Csf/RR6' from 'B-sf/LS5'; -- $4 million class Q to 'Csf/RR6' from 'B-sf/LS5'; -- $4 million class S to 'Csf/RR6' from 'B-sf/LS5'. Additionally, Fitch affirms these classes with a Stable Outlook and removes class A-M from Rating Watch Negative and assigns it a Stable Outlook as well: -- $9.6 million class A-1 at 'AAA/LS-1'; -- $194 million class A-2 at 'AAA/LS-1'; -- $74 million class A-AB at 'AAA/LS-1'; -- $1.7 billion class A-3 at 'AAA/LS-1'; -- $265.1 million class A-1A at 'AAA/LS-1'; -- $317 million class A-M at 'AAA/LS-3'; -- Interest-only class X-CL at 'AAA'; -- Interest-only class X-CP at 'AAA'; -- Interest-only class X-W at 'AAA'. Fitch does not rate class T. LB-UBS COMMERCIAL: Moody's Upgrades Ratings on 2001-C7 Notes ------------------------------------------------------------ Moody's Investors Service has revised a release on LB-UBS Commercial Mortgage Trust 2001-C7, Commercial Mortgage Pass- Through Certificates, Series 2001-C7, substituting 15 for 13 classes in the heading and the first paragraph. In the corrected the list of affected ratings, Cl. X-CL was added and Cl. X-CP was affirmed. The revised release is: Moody's Investors Service upgraded the ratings of four classes and affirmed 15 classes of LB-UBS Commercial Mortgage Trust 2001-C7, Commercial Mortgage Pass-Through Certificates, Series 2001-C7: -- Cl. A-3, Affirmed at Aaa (sf); previously on Dec. 18, 2001 Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Dec. 18, 2001 Assigned Aaa (sf) -- Cl. A-5, Affirmed at Aaa (sf); previously on Dec. 18, 2001 Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on May 25, 2005 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on Jan. 11, 2006 Upgraded to Aaa (sf) -- Cl. D, Affirmed at Aa1 (sf); previously on April 12, 2007 Upgraded to Aa1 (sf) -- Cl. E, Affirmed at Aa2 (sf); previously on April 12, 2007 Upgraded to Aa2 (sf) -- Cl. F, Affirmed at A1 (sf); previously on April 12, 2007 Upgraded to A1 (sf) -- Cl. G, Affirmed at A3 (sf); previously on April 12, 2007 Upgraded to A3 (sf) -- Cl. H, Affirmed at Baa2 (sf); previously on April 12, 2007 Upgraded to Baa2 (sf) -- Cl. J, Affirmed at Baa3 (sf); previously on April 12, 2007 Upgraded to Baa3 (sf) -- Cl. K, Affirmed at Ba2 (sf); previously on Dec. 18, 2001 Assigned Ba2 (sf) -- Cl. L, Affirmed at B2 (sf); previously on April 28, 2010 Downgraded to B2 (sf) -- Cl. M, Upgraded to B3 (sf); previously on April 28, 2010 Downgraded to Caa2 (sf) -- Cl. N, Upgraded to Caa1 (sf); previously on April 28, 2010 Downgraded to Ca (sf) -- Cl. P, Upgraded to Caa2 (sf); previously on April 28, 2010 Downgraded to C (sf) -- Cl. Q, Upgraded to Caa3 (sf); previously on April 28, 2010 Downgraded to C (sf) -- Cl. X-CL, Affirmed at Aaa (sf); previously on Dec. 18, 2001 Assigned Aaa (sf) -- Cl. X-CP, Affirmed at Aaa (sf); previously on Dec. 18, 2001 Assigned Aaa (sf) Ratings Rationale The upgrades are due to overall improved pool performance and a significant increase in subordination levels since Moody's last review. Additionally, at last review, Moody's had estimated $5.3 million in potential losses from three specially serviced loans: The Pavilion Senior Residences, Huntington Lane Apartments and Westpark Plaza. All three loans paid off since last review and actual losses were only $57,000 -- a difference of $4.7 million. 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 1.3% of the current balance. At last review, Moody's cumulative base loss was 1.2%. Moody's stressed scenario loss is 3.5% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 22 compared to 20 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 April 28, 2010. 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 February 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 37% to $764.2 million from $1.2 billion at securitization. The Certificates are collateralized by 78 mortgage loans ranging in size from less than 1% to 19% of the pool, with the top ten loans representing 37% of the pool. Twenty-nine loans, representing 47% of the pool, have defeased and are collateralized by U.S. Government securities. There are two loans in the pool with investment grade credit estimates. Twenty-five loans, representing 19.4% 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 (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Six loans have been liquidated from the pool since securitization, resulting in an $11.2 million loss (51% loss severity). The pool had experienced an aggregate $4.7 million loss at last review. There are presently three loans in special servicing. The largest specially serviced loan is the Shadow Creek Apartments Loan ($5.9 million -- 0.8% of the pool), which is secured by a 231-unit apartment complex located in Kansas City, Missouri. The loan was transferred to special servicing December 2010 due to monetary default and is presently 90+ days delinquent. The remaining two specially serviced loans are secured by an industrial facility and an apartment complex. Moody's estimates a $3.9 million aggregate loss for all of the specially serviced loans (37% expected loss on average). Moody's has assumed a high default probability for one poorly performing loan representing 0.35% of the pool and has estimated a $306,000 loss (16% expected loss based on a 50% probability default) from this troubled loan. Moody's was provided with full year 2009 and partial year 2010 operating results for 59% and 55%, respectively, of the pool's non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 82% compared to 81% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12.0% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.1%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.33X and 1.55X, respectively, compared to 1.30X and 1.42X 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 Fashion Centre at Pentagon City Loan ($145.9 million -- 19.1% of the pool), which is secured by the borrower's interest in an 820,000 square foot enclosed regional shopping mall located in Arlington, Virginia. The center is anchored by Nordstrom and Macy's, which each own their respective improvements. The center is a dominant mall in the Washington, D.C. metro area and has been nearly 100% leased since securitization. The loan sponsor is a joint venture between Simon Property Group and CalPERS. The loan has amortized 2% since last review. Moody's current credit estimate and stressed DSCR are Aaa and 2.76X compared to Aaa and 2.74X at last review. The second loan with a credit estimate is the Connell Corporate Center I Loan ($14.5 million -- 1.9% of the pool) which is secured by a 415,000 SF Class A suburban office building located in Berkeley Heights, New Jersey. The property is 100% leased to two tenants -- American Home Assurance (85% of net rentable area (NRA); lease expiration June 2018) and EMC Corporation (14% of the NRA; lease expiration March 2013). The loan fully amortizes over its 11.75-year term, maturing June 2013 and has amortized 24% since last review. Moody's current credit estimate and stressed DSCR are Aaa and 4.0X compared to Aaa and 3.81X at last review. The top three performing conduit loans represent 8% of the pool balance. The largest loan is the Torrance Executive Plaza East and West Loans ($30.5 million -- 4.0% of the pool), two cross collateralized loans which are secured by two office properties located in Torrance, California. The properties total 345,100 SF and were 78% leased as of September 2010 versus 82% leased at last review. Property performance has remained stable yet Moody's analysis incorporates a stressed cash flow due to the recent occupancy declines at this asset which mirror current office submarket conditions. Moody's LTV and stressed DSCR are 82% and 1.38X, respectively, compared to 98% and 1.16X at last review. The second largest conduit loan is the Meadows Corporate Park Loan ($15.7 million -- 2.1% of the pool), which is secured by a 165,000 SF Class A office complex located in Silver Spring, Maryland. The loan had been listed on the Master Servicer's Watchlist due to a low DSCR. Higher occupancy has yielded stronger financial performance. The property was 95% leased as of September 2010, the same as at last review but above 81% leased as of December 2008. Moody's LTV and stressed DSCR are 90% and 1.14X, respectively, compared to 102% and 1.0X at last review. The third largest conduit loan is the Court Tower Office Building Loan ($15.2 million -- 2.0% of the pool), which is secured by a 132,000 SF Class A office property located in Towson, Maryland. The loan is currently on the Master Servicer's Watchlist due to increased vacancy and low DSCR concerns. The property was 72% leased as of September 2010 compared to 62% leased as of November 2009. Moody's analysis incorporates a stressed cash flow due to vacancy and financial performance concerns. The loan has an anticipated repayment date of August 2011. Moody's LTV and stressed DSCR are 120% and 0.85X, respectively, compared to 144% and 0.75X at last review. Moody's anticipates a high probability of maturity default for this loan. LB-UBS COMMERCIAL: S&P Downgrades Ratings on Seven 2001-C7 Certs. ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes of commercial mortgage pass-through certificates from LB- UBS Commercial Mortgage Trust 2001-C7, a U.S. commercial mortgage- backed securities transaction. Concurrently, S&P affirmed its ratings on 12 other classes from the same transaction. S&P's rating actions follow its analysis of the transaction and a review of the transaction's remaining collateral, the deal structure, and the liquidity available to the trust. The downgrades primarily reflect S&P's analysis of the trust's susceptibility to future interest shortfalls and the anticipated reduction of liquidity available to absorb future interest shortfalls. S&P's analysis also considered that, excluding the specially serviced and defeased loans, 49.7% of the pooled trust balance (44 loans; $380.9 million) have anticipated repayment dates or final maturities in 2011. The affirmed ratings on the 10 principal and interest certificates reflect subordination and liquidity support levels that are consistent with the outstanding ratings. S&P affirmed its ratings on the class X-CL and X-CP interest-only (IO) certificates based on its current criteria. 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 1.90x and a loan-to-value ratio of 61.4%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 1.64x and an LTV ratio of 82.3%. The implied defaults and loss severity under the 'AAA' scenario were 18.0% and 29.6%, respectively. The DSC and LTV calculations noted above exclude 28 defeased loans ($360.4 million, 47.0%), three specially serviced loans ($10.5 million, 1.4%), and one loan that S&P determined to be credit-impaired ($3.8 million, 0.5%). S&P separately estimated losses for these specially serviced and credit-impaired loans and included them in S&P's 'AAA' scenario implied default and loss severity figures. Credit Considerations As of the Feb. 17, 2011 trustee remittance report, three loans ($10.5 million, 1.4%) in the pool were with the special servicer, Berkadia Commercial Mortgage LLC. The reported payment status of the specially serviced loans is as follows: two are 90-plus days delinquent ($7.3 million, 1.0%) and one is 30-plus days delinquent ($3.2 million, 0.4%). Details on the three specially serviced loans are as follows: The Shadow Creek Apartments loan ($5.9 million, 0.8%), the largest loan with the special servicer, is secured by a 231-unit multifamily apartment complex in Kansas City, Mo. The 90-plus- day delinquent loan was transferred to the special servicer on Dec. 20, 2010, due to a payment default. Berkadia indicated that it is currently evaluating various workout strategies with the borrower while also pursuing foreclosure. It is S&P's understanding from Berkadia that the reported occupancy of 70.0% as of Dec. 1, 2010, is due primarily to weak economic conditions. An updated January 2011 appraisal valued the property below the trust balance. Accordingly, Berkadia informed us that an appraisal reduction amount, which will reduce liquidity available to the trust, is expected to be implemented as early as the March 2011 trustee remittance report. S&P expects a moderate loss upon the eventual resolution of this loan. The Bryan Dairy Road Industrial Facility loan ($3.2 million, 0.4%) is secured by an 111,874-sq.-ft. industrial/warehouse facility in Largo, Fla. The 30-plus-day delinquent loan was transferred to Berkadia on Dec. 14, 2010, due to imminent payment default. The property is currently 100% vacant. Berkadia stated that it is currently evaluating various workout strategies with the borrower. S&P expects a moderate loss upon the eventual resolution of this loan. The Oak Cluster West Apartments loan ($1.4 million, 0.2%) is secured by a 44-unit multifamily apartment complex in Orlando, Fla. The 90-plus-day delinquent loan was transferred to Berkadia on Nov. 10, 2009, due to monetary default. Berkadia stated that it is currently pursuing foreclosure. The reported occupancy was 66.0% as of January 2011. An updated February 2011 appraisal valued the property below the trust balance. Accordingly, Berkadia indicated that an ARA, which will reduce liquidity available to the trust, is expected to be implemented as early as the March 2011 trustee remittance report. S&P expects a moderate loss upon the eventual resolution of this loan. In addition to the specially serviced loans, S&P determined the Rockwest Corporate Park loan ($3.8 million, 0.5%) to be credit- impaired. The loan, secured by a 252,512-sq.-ft. industrial warehouse property in Syracuse, N.Y., has a low reported DSC of 0.79x for the nine months ended Sept. 30, 2010, and 73.3% occupancy as of December 2010. The master servicer, Wells Fargo Bank N.A., has indicated that the borrower has shorted its debt service payments since October 2010 and is in the process of sending a notice of default. As a result, S&P views this loan to be at an increased risk of default and loss. Transaction Summary As of the Feb. 17, 2011, trustee remittance report, the collateral pool balance was $766.3 million, which is 63.3% of the balance at issuance. The pool includes 77 loans, down from 114 loans at issuance. Wells Fargo provided financial information for 99.7% of the nondefeased loans in the pool, 97.8% of which was partial-2010 or full-year 2010 data, and the remainder was full-year 2009 data. S&P calculated a weighted average DSC of 1.99x for the loans in the pool based on the servicer-reported figures. S&P's adjusted DSC and LTV ratio were 1.90x and 61.4%, respectively. S&P's adjusted DSC and LTV figures excluded 28 defeased loans ($360.4 million, 47.0%), three specially serviced loans ($10.5 million, 1.4%), and one loan that S&P determined to be credit-impaired ($3.8 million, 0.5%). S&P separately estimated losses for the specially serviced and credit-impaired loans and included them in S&P's 'AAA' scenario implied default and loss severity figures. The transaction has experienced $11.2 million in principal losses to date. Twenty-five loans ($116.5 million, 15.2%) in the pool are on the master servicer's watchlist, including four of the top 10 real estate loans. Fifteen loans ($78.4 million, 10.2%) have a reported DSC below 1.10x, 10 of which ($49.5 million, 6.5%) have a reported DSC of less than 1.00x. Summary of Top 10 Real Estate Loans The top 10 loans secured by real estate have an aggregate outstanding balance of $284.5 million (37.1%). Using servicer- reported numbers, S&P calculated a weighted average DSC of 2.26x for the top 10 real estate loans. S&P's adjusted DSC and LTV ratio for the top 10 real estate loans are 2.06x and 58.7%, respectively. Four of the top 10 real estate loans ($53.3 million, 7.0%) are on the master servicer's watchlist. The Court Tower Office Building loan ($15.2 million, 2.0%) is the fourth-largest nondefeased loan in the pool and the largest loan on the master servicer's watchlist. The loan is secured by a 132,605-sq.-ft. office building in Towson, Md. The loan is on Wells Fargo's watchlist due to a low reported DSC of 0.61x for the nine months ended Sept. 30, 2010, and occupancy was 71.5% according to the Sept. 30, 2010, rent roll. The Catonsville Plaza Shopping Center loan ($12.9 million, 1.7%), the sixth-largest nondefeased loan in the pool, is secured by a 280,666-sq.-ft. retail shopping center in Cantonsville, Md. The loan appears on the master servicer's watchlist due to a low reported DSC of 1.04x for the nine months ended Sept. 30, 2010, compared with 1.21x for year-end 2009, and occupancy was 79.8% according to the Dec. 31, 2010, rent roll. The decline in DSC is attributable to higher snow removal expenses in 2010. The Wal-Mart Distribution Center & American Port Services Warehouse loan ($12.7 million, 1.7%), secured by two industrial/warehouse facilities totaling 1.3 million sq. ft. in Savannah, Ga., is the seventh-largest nondefeased loan in the pool. The loan is on Wells Fargo's watchlist due to a low reported physical occupancy (the amount of space occupied) of 36.8% as of Sept. 30, 2010. The economic occupancy (the amount of rental income collected from tenants) at the property is 100% according to the Sept. 30, 2010, rent roll. Berkadia stated that although the largest tenant (Wal-Mart Stores Inc.; comprising 63.2% of the gross leasable area) vacated the space in June 2008, the tenant has continued to pay rent until its Feb. 28, 2011, lease expiration. Berkadia indicated that the borrower is currently working with the tenant for a potential lease renewal. The reported DSC for this loan was 1.33x for the nine months ended Sept. 30, 2010. The Interstate Office Park loan ($12.5 million, 1.6%), the ninth- largest nondefeased loan in the pool, is secured by a 111,491-sq.- ft. office building in San Diego, Calif. The loan appears on Wells Fargo's watchlist due to a low reported DSC of 0.67x for the six months ended June 30, 2010, and occupancy was 84.9% according to the Sept. 30, 2010, rent roll. Standard & Poor's stressed the collateral in the pool according to S&P's current criteria. The resultant credit enhancement levels are consistent with S&P's lowered and affirmed ratings. Ratings Lowered LB-UBS Commercial Mortgage Trust 2001-C7 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- J BBB (sf) BBB+ (sf) 5.64 K BB (sf) BBB- (sf) 3.67 L B+ (sf) BB+ (sf) 2.88 M B- (sf) BB (sf) 1.89 N CCC+ (sf) BB- (sf) 1.30 P CCC (sf) B+ (sf) 0.90 Q CCC- (sf) B (sf) 0.51 Ratings Affirmed LB-UBS Commercial Mortgage Trust 2001-C7 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-3 AAA (sf) 26.96 A-4 AAA (sf) 26.96 A-5 AAA (sf) 26.96 B AAA (sf) 20.44 C AAA (sf) 18.27 D AA+ (sf) 13.14 E AA (sf) 11.56 F AA- (sf) 9.98 G A (sf) 8.40 H A- (sf) 7.02 X-CL AAA (sf) N/A X-CP AAA (sf) N/A N/A -- Not applicable. LEHMAN ABS: Moody's Downgrades Ratings on Nine Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of nine tranches from two Alt-A deals issued by Lehman ABS Corporation. The collateral backing these deals primarily consists of first- lien and fixed rate Alt-A residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior to 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Lehman ABS Corpration 2003-1 Trust -- Cl. A1, Downgraded to Ba1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Caa3 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Lehman ABS Corpration 2004-1 Trust -- Cl. 1-A2, Downgraded to Baa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Baa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Caa1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M1-IO, Downgraded to Caa1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M2-IO, Downgraded to Ca (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade LEHMAN BROTHERS: Moody's Downgrades Ratings on 2006-LLF C5 Certs. ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of three rake, or non-pooled classes, of Lehman Brothers Floating Rate Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-LLF C5. Moody's rating action is: -- Cl. PR2 Certificate, Downgraded to B2 (sf); previously on December 17, 2010 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade -- Cl. PR31 Certificate, Downgraded to B2 (sf); previously on December 17, 2010 Downgraded to B1 (sf) and Placed Under Review for Possible Downgrade -- Cl. PR32 Certificate, Downgraded to B3 (sf); previously on December 17, 2010 Downgraded to B2 (sf) and Placed Under Review for Possible Downgrade Ratings Rationale The downgrades of the rake classes are due to interest shortfalls, outstanding principal and interest advances, and uncertainty surrounding the outcome and timing of the resolution. On December 17, 2010 Moody's placed the three rake classes on review for possible downgrade. This action concludes Moody's review. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 17, 2010. 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 Praedium Rental Portfolio II ($28.6 million -- 4.1% of the pooled balance) and Praedium Rental Portfolio III ($22.7 million -- 3.2% of the pooled balance) were transferred to special servicing in September 2010 due to imminent default. As of February 15, 2011 distribution date, interest shortfalls totaling $39,307 have been incurred by rake classes PR2, PR31 and PR32, up from $19,291 when these classes were placed on review for possible downgrade. Total outstanding P&I Advances are $67,904 for Praedium Rental Portfolio II and $53,118 for Praedium Rental Portfolio III, respectively. Foreclosure complaints were filed on January 26, 2011, for both of the loans. According to the special servicer (TriMont Real Estate Advisors), the anticipated resolution timing is early 2011. Cash management has been sprung for both of the loans. Praedium Rental Portfolio II had a Net Operating Income (NOI) of $1.9 million in 2010, which is slightly lower than what was anticipated during last review. Praedium Rental Portfolio III achieved a NOI of $1.5 million during the same period, lower than what was anticipated during last review. The maturity date for Praedium Portfolio I ($18.3 million -- 2.6% of the pooled balance) was extended to August 8, 2011. There are no interest shortfalls outstanding for the rake classes associated with this portfolio (classes PR11 and PR12). LOCAL INSIGHT: Moody's Reviews Ratings on Two Classes of Notes -------------------------------------------------------------- Moody's Investors Service concluded its review and downgraded two classes of notes issued in two series of the Local Insight Media securitization transaction. The transaction is a securitization of telephone directory publishing businesses (primarily Yellow Pages) of three subsidiaries of Local Insight Media, Inc.; CBD Media Finance LLC, a publisher of print and online directories in the greater Cincinnati metropolitan area, ACS Media Finance LLC, a publisher of print and online directories in Alaska, and HYP Media Finance LLC, a publisher of print and online directories in Hawaii. Essentially all assets of CBD, ACS and HYP were transferred to securitization entities, which issued fixed rate notes supported by the assets. The complete rating actions are: Issuer: Local Insight Media Finance LLC, Series 2007-1 -- Cl. A-2, Downgraded to Caa2 (sf); previously on Oct. 27, 2010 Downgraded to B1 (sf) and Remained On Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Caa2; previously confirmed on Nov. 23, 2010) -- Underlying Rating: Caa3 (sf) Issuer: Local Insight Media Finance LLC/ACS Media Finance LLC/CBD Media Finance LLC and HYP Media Finance LLC - Series 2008-1 -- Cl. A-2, Downgraded to Caa3 (sf); previously on Oct. 27, 2010 Downgraded to B1 (sf) and Remained On Review for Possible Downgrade Ratings Rationale The rating actions reflect the declining collections, net securitizable cash flow (collections after expenses available to service debt) and the Debt Service Coverage Ratio (DSCR). On December 31, 2010 a rapid amortization event occurred as a result of DSCR declining to 1.43x, below the 1.5x trigger level. In addition, the leverage ratio (senior securitized debt divided by the last 12 months net securitizable cash flow) has increased to nearly 10x, significantly higher than the 7.4x leverage at closing. As of the latest quarterly reporting period ending on December 31, 2010, 12-month collections were more than 20% lower than for the same period in 2009, and the 12-month net securitizable cash flow was over 25% lower. During the rapid amortization period all residual cash is allocated to repay senior notes. Moody's notes that LIM's business has come under increased pressure in recent years due to competition from internet-based search engines and recessionary conditions, which have particularly effected the small and medium size businesses who are the main users of print based advertising. While LIM's assets (CBD, ACS, HYP) are based in less competitive markets, Moody's believe that these markets may now be experiencing pressures that previously affected major markets dominated by larger players. Principal methodology used in these rating actions includes cash flow simulation analysis and the assessment of the ability of the net cash flows to make timely interest payments on the notes and ultimate repayment of the principal by the legal maturity date. Moody's identified key drivers of the cash flow and estimated their expected values over the course of the transaction as well as the probability distribution around these values based on the analysis of the historical collateral performance trends. The simulated revenues are then fed through the payment waterfall to assess performance of the notes under different expected and stressed scenarios. A resulting loss of yield to investors, if any, was calculated. Parameters which were incorporated in projecting ongoing cash flows for LIM included (i) annual growth/decline of print revenue and expenses, (ii) Chapter 11 status of The Berry Company LLC, the marketing agent, and the potential adverse impact on the transaction's cash flows. Revenue streams, were derived from historical data and modeled using triangular distributions. The main sources of uncertainty for this transaction include the demand for advertising in Yellow Pages and the timing of economic recovery, which can affect the demand for advertising by small and medium-sized businesses. 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. LONG BEACH: Moody's Downgrades Ratings on 84 Tranches ----------------------------------------------------- Moody's Investors Service has downgraded the ratings of 84 tranches and confirmed the rating of 4 tranches from 16 Subprime deals issued by Long Beach Mortgage Loan Trust. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Long Beach Mortgage Loan Trust 2000-1 -- Cl. AF-3, Downgraded to B2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to B1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AV-1, Downgraded to Baa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Long Beach Mortgage Loan Trust 2001-1 -- Cl. A-1, Downgraded to Baa1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Long Beach Mortgage Loan Trust 2001-2 -- Cl. M-1, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Long Beach Mortgage Loan Trust 2001-4, Asset Backed Certificates, Series 2001-4 -- Cl. II-A1, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-A3, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-M1, Downgraded to B3 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Long Beach Mortgage Loan Trust 2002-1 -- Cl. II-M1, Downgraded to B3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Long Beach Mortgage Loan Trust 2002-2 -- Cl. M2, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Ca (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Long Beach Mortgage Loan Trust 2002-5 -- Cl. M-1, Downgraded to B2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Long Beach Mortgage Loan Trust 2003-1 -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Long Beach Mortgage Loan Trust 2003-2 -- Cl. M-1, Downgraded to Caa1 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Confirmed at Ca (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Long Beach Mortgage Loan Trust 2003-3 -- Cl. M-1, Downgraded to B3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Long Beach Mortgage Loan Trust 2003-4 -- Cl. M-1, Downgraded to B2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4A, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4F, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5A, Downgraded to Ca (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5F, Downgraded to Ca (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Long Beach Mortgage Loan Trust 2004-1 -- Cl. M-1, Downgraded to A3 (sf); previously on April 19, 2004 Assigned Aa1 (sf) -- Cl. M-2, Downgraded to Ba2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B1 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa2 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to Ca (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Long Beach Mortgage Loan Trust 2004-2 -- Cl. M-1, Downgraded to B1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Confirmed at Ca (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Long Beach Mortgage Loan Trust 2004-3 -- Cl. A-1, Downgraded to Aa1 (sf); previously on July 5, 2004 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to Ca (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Long Beach Mortgage Loan Trust 2004-4 -- Cl. M-1, Downgraded to A3 (sf); previously on Sept. 28, 2004 Assigned Aa1 (sf) -- Cl. M-2, Downgraded to B1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to C (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Long Beach Mortgage Loan Trust 2004-5 -- Cl. A-1, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B2 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Long Beach Mortgage Loan Trust Asset-Backed Certificates, Series 2001-3 -- Cl. M-1, Downgraded to Caa1 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade MACLAURIN SPC: Moody's Downgrades Ratings on Two Classes of Notes ----------------------------------------------------------------- Moody's has downgraded two classes of Notes issued by Maclaurin SPC 2007-2 Segregated Portfolio due to the deterioration in the credit quality of the underlying portfolio of reference obligations as evidenced by an increase in the weighted average rating factor and a decrease in the weighted average recovery rate. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Moody's rating action is: -- Cl. A1, Downgraded to Caa3 (sf); previously on March 17, 2010 Downgraded to Ba2 (sf) -- Cl. A2, Downgraded to C (sf); previously on March 17, 2010 Downgraded to Ca (sf) Ratings Rationale Maclaurin SPC 2007-2 Segregated Portfolio is a synthetic CRE CDO transaction backed by a portfolio of commercial mortgage backed securities reference obligations (100.0% of the pool balance). All of the CMBS referenced obligations were securitized between 2005 and 2007. The aggregate Note balance of the transaction is $1.0 billion, the same as at securitization. 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 reference obligations. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 5,302 compared to 1,996 at last review. The distribution of current ratings and credit estimates is: A1-A3 (0.0% compared to 8.0% at last review), Baa1- Baa3 (5.6% compared to 48.0% at last review), Ba1-Ba3 (20.0% compared to 22.8% at last review), B1-B3 (14.0% compared to 7.2% at last review), and Caa1-C (60.4% compared to 14.0% 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 5.5 years compared to 6.5 years at last review. WARR is the par-weighted average of the mean recovery values for the reference obligations in the pool. Moody's modeled a variable WARR with a mean of 4.2% compared to 14.6% 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 99.9% compared to 20.2% at last review. The high MAC is due to high default probability collateral concentrated within a small number of collateral names. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated Notes are particularly sensitive to rating changes within the collateral pool. Holding all other key parameters static, stressing non- Moody's rated reference obligations' credit estimates (twenty assets; 26.0% of notional amount) by one notch downward , the resulting impact negatively affects the model results between 0 to 0.06 notches downward on average. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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. MAGNOLIA FINANCE: Moody's Affirms 'C' Ratings on Class D & E Notes ------------------------------------------------------------------ Moody's has affirmed all classes of Notes issued by Magnolia Finance II Series 2007-2 The key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation are all performing within levels commensurate with the existing ratings levels. Moody's prior full review is summarized in a press release dated March 17, 2010. Moody's rating action is: -- Cl. D CMBS Portfolio Variable Rate Notes due November 2052, Affirmed at C (sf); previously on March 17, 2010 Downgraded to C (sf) -- Cl. E CMBS Portfolio Variable Rate Notes due November 2052, Affirmed at C (sf); previously on March 17, 2010 Downgraded to C (sf) Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. MAGNOLIA FINANCE: Moody's Downgrades Ratings on Notes to 'C' ------------------------------------------------------------ Moody's has downgraded one class of Notes issued by Magnolia Finance II plc Series 2007-2A due to the deterioration in the credit quality of the underlying portfolio of reference obligations as evidenced by an increase in the weighted average rating factor and a decrease in the weighted average recovery rate. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Moody's rating action is: -- CMBS Portfolio Variable Rate Notes due November 2052, Downgraded to C (sf); previously on March 17, 2010 Downgraded to Ca (sf) Ratings Rationale Magnolia Finance II plc Series 2007-2A is a synthetic CRE CDO transaction backed by a portfolio of commercial mortgage backed securities reference obligations (100.0% of the pool balance). All of the CMBS reference obligations were securitized between 2005 and 2006. The aggregate Note balance of the transaction has decreased to $1.066 billion from $1.072 billion at securitization, due to a partial repurchase of the class A notes by the collateral manager. 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 reference obligations. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 8,673 compared to 3,779 at last review. The distribution of current ratings and credit estimates is: Baa1-Baa3 (1.6% compared to 17.2% at last review), Ba1-Ba3 (1.6% compared to 12.5% at last review), B1-B3 (7.8% compared to 42.2% at last review), and Caa1-C (89.1% compared to 28.1% 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 5.4 years compared to 6.4 years at last review. WARR is the par-weighted average of the mean recovery values for the reference obligations in the pool. Moody's modeled a variable WARR with a mean of 3.9% compared to 6.8% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 99.9% compared to 26.5% at last review. The high MAC is due to high default probability collateral concentrated within a small number of collateral names. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated Notes are particularly sensitive to rating changes within the collateral pool. Holding all other key parameters static, stressing non- Moody's rated reference obligations' credit estimates (fifteen assets; 23.4% of notional amount) by one notch downward would not result in any rating movement on the rated Notes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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. MAGNOLIA FINANCE: Moody's Downgrades Ratings on Notes to 'C' ------------------------------------------------------------ Moody's has downgraded one class of Notes issued by Magnolia Finance II plc Series 2007-5 due to the deterioration in the credit quality of the underlying portfolio of reference obligations as evidenced by an increase in the weighted average rating factor and a decrease in the weighted average recovery rate. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Moody's rating action is: -- CMBS Portfolio Variable Rate Notes due October 2045, Downgraded to C (sf); previously on March 17, 2010 Downgraded to Ca (sf) Ratings Rationale Magnolia Finance II plc Series 2007-5 is a synthetic CRE CDO transaction backed by a portfolio of commercial mortgage backed securities reference obligations (100.0% of the pool balance). All of the CMBS reference obligations were securitized between 2005 and 2007. The aggregate Note balance of the transaction is $750 million, the same as at securitization. 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 reference obligations. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 8,448 compared to 4,401 at last review. The distribution of current ratings and credit estimates is: Baa1-Baa3 (2.0% compared to 16.0% at last review), Ba1-Ba3 (0.0% compared to 8.0% at last review), B1-B3 (12.0% compared to 46.0% at last review), and Caa1-C (86.0% compared to 30.0% 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 5.4 years compared to 6.4 years at last review. WARR is the par-weighted average of the mean recovery values for the reference obligations in the pool. Moody's modeled a variable WARR with a mean of 1.1% compared to 6.3% 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 99.9% compared to 23.6% at last review. The high MAC is due to high default probability collateral concentrated within a small number of collateral names. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated Notes are particularly sensitive to rating changes within the collateral pool. Holding all other key parameters static, stressing non- Moody's rated reference obligations' credit estimates (seven assets; 14.0% of notional amount) by one notch downward would not result in any further negative rating movement on the rated Notes The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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. MAGNOLIA FINANCE: Moody's Downgrades Ratings on Two Classes ----------------------------------------------------------- Moody's has downgraded two classes of Notes issued by Magnolia Finance II Series 2005-6 due to the deterioration in the credit quality of the underlying portfolio of reference obligations as evidenced by an increase in the weighted average rating factor and a decrease in the weighted average recovery rate. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Moody's rating action is: -- Cl. A, Downgraded to A2 (sf); previously on March 26, 2010 Downgraded to Aa2 (sf) -- Cl. B, Downgraded to Ba1 (sf); previously on March 26, 2010 Downgraded to A2 (sf) Ratings Rationale Magnolia Finance II Series 2005-6 is a synthetic CRE CDO transaction backed by a portfolio of commercial mortgage backed securities reference obligations (100.0% of the pool balance). All of the CMBS reference obligations were securitized between 2003 and 2005. The aggregate par amount of the reference obligations has decreased to $3.36 billion from $3.41 billion at securitization due to amortization of several reference obligations. Additionally, the aggregate issued note balance of the transaction has decreased to $256 million from $307 million at securitization. The decrease in the note balance was due to the Partial Repurchase of the Class A Notes. 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. All of the reference obligations are Moody's rated. The bottom- dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 56 compared to 6 at last review. The distribution of current ratings and credit estimates of the reference obligations is: Aaa-Aa3 (89.6% compared to 96.9% at last review), A1-A3 (6.9% compared to 3.1% at last review), Baa1-Baa3 (2.8% compared to 0.0% at last review), and Caa1-C (0.7% 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 3.5 years compared to 4.5 years at last review. WARR is the par-weighted average of the mean recovery values for the reference obligations in the pool. Moody's modeled a variable WARR with a mean of 67.5% compared to 69.6% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 12.5% compared to 61.0% at last review. The lower MAC is due to the wider diversity of ratings and credit estimates. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated Notes are particularly sensitive to rating changes within the collateral pool. Holding all other key parameters static, stressing Moody's rated reference obligations' that are currently on watch for downgrade (ten assets; 9.4% of notional amount) by two notches downward for Aaa and three notches downward for non-Aaa, the resulting impact negatively affects the model results between 0.03 to 0.18 notches. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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. MAX CMBS: Moody's Downgrades Ratings on 13 Classes of Notes ----------------------------------------------------------- Moody's has downgraded thirteen classes and affirmed one class of Notes issued by Max CMBS I 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. Moody's rating action is: Issuer: MAX CMBS I Ltd., Series 2007-1 -- Cl. A-1, Downgraded to Baa2 (sf); previously on March 26, 2010 Downgraded to A1 (sf) Issuer: MAX CMBS I Ltd., Series 2008-1 -- Cl. A-1, Downgraded to Baa2 (sf); previously on March 26, 2010 Downgraded to A1 (sf) -- Cl. A-2A, Downgraded to Caa1 (sf); previously on March 26, 2010 Downgraded to Ba2 (sf) -- Cl. A-2B, Downgraded to Caa1 (sf); previously on March 26, 2010 Downgraded to Ba2 (sf) -- Cl. C, Downgraded to Caa2 (sf); previously on March 26, 2010 Downgraded to B2 (sf) -- Cl. E, Downgraded to Caa3 (sf); previously on March 26, 2010 Downgraded to B3 (sf) -- Cl. F, Downgraded to Caa3 (sf); previously on March 26, 2010 Downgraded to Caa1 (sf) -- Cl. G, Downgraded to Caa3 (sf); previously on March 26, 2010 Downgraded to Caa2 (sf) -- Cl. H, Downgraded to Caa3 (sf); previously on March 26, 2010 Downgraded to Caa2 (sf) -- Cl. J, Affirmed at Caa3 (sf); previously on March 26, 2010 Downgraded to Caa3 (sf) -- Cl. K, Downgraded to Ca (sf); previously on March 26, 2010 Downgraded to Caa3 (sf) -- Cl. X-B, Downgraded to Caa1 (sf); previously on March 26, 2010 Downgraded to Ba2 (sf) -- Cl. X-W, Downgraded to Caa1 (sf); previously on March 26, 2010 Downgraded to Ba2 (sf) -- Cl. X-C, Downgraded to Caa1 (sf); previously on March 26, 2010 Downgraded to Ba2 (sf) Ratings Rationale Max CMBS I Ltd. Series 2007-1 and Series 2008-1 are cross- collateralized static cash CRE CDO transactions backed by a portfolio of commercial mortgage backed securities (100% of the pool balance). All of the CMBS collateral was securitized between 2004 and 2007. As of the February 17, 2011 Trustee report, the aggregate collateral par amount was $7.89 billion, the same as that at securitization; the aggregate Note balance of the Series 2007-1 transaction was $2.097 billion, the same as that at securitization; the aggregate Note balance of the Series 2008-1 transaction was $5.782 billion, the same as that at securitization. There is one asset with a par balance of $20 million (0.3% of the current pool balance) that is considered a Defaulted Securtiy as of the February 17, 2011 Trustee report, comparied to none at last review. Also, there are 5 assets with a balance of $152.1 million (1.9% of the current pool balance) that have experienced interest shortfalls comparied to no assets with interest shortfalls at last review. 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 607 compared to 178 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (41.9% compared to 56.8% at last review), A1-A3 (14.5% compared to 25.0% at last review), Baa1-Baa3 (23.4% compared to 12.3% at last review), Ba1-Ba3 (8.1% compared to 4.9% at last review) , B1-B3 (11.2% compared to 1.0% at last review) , Caa1-C (0.9% compared to 0.0% at last review). WAL acts to adjust the probability of default of the collateral assets in the pool for time. Moody's modeled to a WAL of 5.9 years compared to 6.9 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 47.6% compared to 56.1% 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 26.4% compared to 34.3% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 47.6% to 37.6% or up to 57.6% would result in average rating movement on the rated tranches of 0 to 1 notches downward or 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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. MERITAGE MORTGAGE: Moody's Downgrades Ratings on 10 Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 10 tranches from 3 Subprime deals issued by Meritage Mortgage Loan Trust. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Meritage Mortgage Loan Trust 2003-1 -- Cl. M-1, Downgraded to A1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba1 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Meritage Mortgage Loan Trust 2004-1 -- Cl. M-1, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Meritage Mortgage Loan Trust 2004-2 -- Cl. M-3, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade MERRILL LYNCH: Moody's Upgrades Ratings on Two 2002-MW1 Certs. -------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes and affirmed 12 classes of Merrill Lynch Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2002-MW1: -- Cl. A-4, Affirmed at Aaa (sf); previously on July 11, 2002 Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Jan. 25, 2006 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on Dec. 8, 2006 Upgraded to Aaa (sf) -- Cl. D, Upgraded to Aaa (sf); previously on Aug. 9, 2007 Upgraded to Aa1 (sf) -- Cl. E, Upgraded to Aa1 (sf); previously on Aug. 9, 2007 Upgraded to Aa2 (sf) -- Cl. F, Affirmed at A3 (sf); previously on Aug. 9, 2007 Upgraded to A3 (sf) -- Cl. G, Affirmed at Baa2 (sf); previously on Aug. 9, 2007 Upgraded to Baa2 (sf) -- Cl. H, Affirmed at Ba1 (sf); previously on April 3, 2006 Confirmed at Ba1 (sf) -- Cl. J, Affirmed at Ba2 (sf); previously on April 3, 2006 Confirmed at Ba2 (sf) -- Cl. K, Affirmed at B3 (sf); previously on May 21, 2009 Downgraded to B3 (sf) -- Cl. L, Affirmed at Caa2 (sf); previously on May 21, 2009 Downgraded to Caa2 (sf) -- Cl. M, Affirmed at Ca (sf); previously on May 21, 2009 Downgraded to Ca (sf) -- Cl. N, Affirmed at Ca (sf); previously on May 21, 2009 Downgraded to Ca (sf) -- Cl. XC, Affirmed at Aaa (sf); previously on July 11, 2002 Definitive Rating Assigned Aaa (sf) Ratings Rationale The upgrades are due to increased credit subordination due to loan payoffs and amortization and improved pool performance. 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 3.2% of the current balance. At last review, Moody's cumulative base expected loss was 4.4%. Moody's stressed scenario loss is 9.0% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 28 compared to 32 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 21, 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 February 14, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 28% to $778.7 million from $1.1 billion at securitization. The Certificates are collateralized by 82 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 35% of the pool. The pool includes two loans with investment-grade credit estimates, representing 17% of the pool. Twenty-eight loans, representing 37% of the pool, have defeased and are collateralized with U.S. Government securities. Seventeen 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. Five loans have been liquidated from the pool, resulting in an aggregate $14.1 million loss (33% loss severity on average). There are currently two loans, representing 1.0% of the pool, in special servicing. The master servicer has recognized a $1.2 million appraisal reduction for one of the specially serviced loans. Moody's estimated a $2.4 million loss (31% expected loss based on 100% probability of default) for these loans. Moody's has assumed a high default probability for four poorly performing loans, representing 2% of the pool, and has estimated an aggregate $2.7 million loss (16% expected loss based on a 62% probability default) from these troubled loans. Moody's was provided with full year 2009 operating results for 99% of the pool. Excluding troubled loans, Moody's weighted average LTV is 89% compared to 91% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 6.3% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Excluding troubled loans, Moody's actual and stressed DSCRs are 1.31X and 1.32X, respectively, compared to 1.28X and 1.24X 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 Burbank Empire Center Loan ($58.8 million -- 7.5% of the pool), which is secured by a 432,000 square foot power center and 181,393 SF of ground leased improvements located in Burbank, California. Major tenants include Target (24% of the net rentable area; lease expiration 1/1/2027) and Lowe's (22% of the NRA; lease expiration 10/1/2026). The property was 100% leased in January 2011 compared to 90% at last review. Moody's analysis incorporated concerns over near term tenancy risk, as leases accounting for nearly a third of the property's base rent expire in the next eighteen months, which offset the potential benefit from improved occupancy. Moody's current credit estimate and stressed DSCR are Baa2 and 1.52X, respectively, compared to Baa2 and 1.56X at last review. The second loan with a credit estimate is the U-Haul Portfolio Loan ($55.2 million -- 7.1% of the pool), which is collateralized by 57 U-Haul self-storage facilities located across 27 states and 56 cities. Approximately 20% of the units have climate control. The loan matures in April 2012. Property performance declined in 2009 due to a 6% drop in revenue but was offset by loan amortization. Moody's current credit estimate and stressed DSCR are A3 and 1.97X, respectively, compared to A3 and 1.84X at last review. The top three performing conduit loans represent 9% of the pool balance. The largest loan is the Seven Mile Crossing Loan ($32.4 million -- 4.2% of the pool) which is secured by a ground lease for three class A office buildings with 346,265 SF located in Livonia, Michigan. The loan is on the master servicer's watchlist. Since 2008, the property has been less than 70% leased and has not generated enough cash flow to cover debt service. However, the borrower continues to make payments and the loan is current. The loan matures in April 2012. Moody's LTV and stressed DSCR are 172% and 0.66X, respectively, compared to 143% and 0.79X at last review. The second largest loan is the Keystone Technology VII, VII & IX Loan ($20.7 million -- 2.7% of the pool), which is secured by an office and R&D complex located in Durham, North Carolina. The loan is on the master servicer's watchlist. The property is currently 92% leased, an increase from 63% at last review. A new tenant leased 95,000 SF of space in February 2010 and began paying rent at the end of the year. Moody's LTV and stressed DSCR are 105% and 1.06X, respectively, compared to 122% and 0.91X at last review. The third largest loan is the Mayfair Shopping Center Loan ($20.3 million -- 2.6% of the pool), which is secured by a retail center located in Commack, NY. Major tenants include Waldbaums (28% of the NRA; lease expiration 10/31/2020) and Burlington Coat Factory (14% of the NRA; lease expiration on 1/31/2015). The property was 98% leased in September 2010, the same as at last review. Property performance has been stable. Moody's analysis at last review incorporated a stressed cash flow to reflect a negative outlook for the retail sector and commercial real estate in general. Moody's LTV and stressed DSCR are 60% and 1.77X, respectively, compared to 70% and 1.52X at last review. MERRILL LYNCH: Moody's Downgrades Ratings on 2006-WMC1 Notes ------------------------------------------------------------ Moody's Investors Service has downgraded $258 Million of subprime RMBS issued by Merrill Lynch Mortgage Investors Trust 2006-WMC1. The collateral backing this deal primarily consists of first-lien adjustable-rate subprime residential mortgages. Ratings Rationale The rating actions reflect the poor performance of the transaction, however, the ratings on class A1-A and class A1-B also reflect a correction to the previous rating actions where the Class A1-A was given the benefit of a sequential trigger that Moody's do not believe will provide benefit in the future. As defined by the governing documents, the sequential trigger event is not anticipated to occur. Moody's ratings on these two tranches have been adjusted to reflect Moody's expectation of continued pro-rata principal allocation to these two tranches. In addition, Moody's has updated pool loss estimates based on collateral performance to date. When calculating the rate of new delinquencies (as described on page 4 of the methodology publication referenced above), Moody's took into account loans that were reclassified from delinquent to current due to modification in order to not understate the rate of new delinquencies. The modified loans that are classified as current were added to the reported delinquency levels in the pool to calculate the true rate of new delinquencies. To assess the rating implications, 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. 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. Overall, Moody's assumes a further 5% decline in home prices with stabilization later in 2011, accompanied by continued stress in national employment levels through that timeframe. 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. Complete rating actions are: Issuer: Merrill Lynch Mortgage Investors Trust 2006-WMC1 -- Cl. A-1A, Downgraded to Caa3 (sf); previously on Jan. 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to Caa3 (sf); previously on Jan. 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: CIFG Assurance North America, Inc. (Insured Rating Withdrawn on Nov. 12, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on March 17, 2009 Downgraded to Ba3 (sf) -- Cl. A-2C, Downgraded to Caa1 (sf); previously on Jan. 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Ca (sf); previously on Jan. 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C (sf); previously on Jan. 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade MKP VELA: S&P Downgrades Ratings on Various Classes of Notes ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on the super-senior, A, and B notes from MKP Vela CBO Ltd. and the class A-1VF, A-2, and B notes from Gulf Stream-Atlantic CDO 2007-1 Ltd. to 'D (sf)'. At the same time, S&P affirmed its 'CC (sf)' ratings on 10 classes from these transactions. The downgrades reflect a default in the payment of interest due on these nondeferrable notes. The rating actions are consistent with S&P's criteria for ratings on CDO transactions that have triggered an event of default and may be subject to acceleration or liquidation Ratings Lowered MKP Vela CBO Ltd. Rating ------ Class To From ----- -- ---- Super senior D (sf) CC (sf) A D (sf) CC (sf) B D (sf) CC (sf) Gulf Stream-Atlantic CDO 2007-1 Ltd. Rating ------ Class To From ----- -- ---- A-1VF D (sf) CC (sf) A-2 D (sf) CC (sf) B D (sf) CC (sf) Ratings Affirmed MKP Vela CBO Ltd. Class Rating ----- ------ C CC (sf) D CC (sf) X-1 CC (sf) X-2 CC (sf) Gulf Stream-Atlantic CDO 2007-1 Ltd. Class Rating ----- ------ C CC (sf) D CC (sf) E CC (sf) F CC (sf) G CC (sf) Sub notes CC (sf) ML-CFC COMMERCIAL: Moody's Affirms Ratings on 26 Certificates ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 26 classes of ML-CFC Commercial Mortgage Trust 2006-4 Commercial Mortgage Pass- Through Certificates, Series 2006-4: -- Cl. A-2, Affirmed at Aaa (sf); previously on Jan. 3, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-2FL, Affirmed at Aaa (sf); previously on Jan. 3, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-2FX, Affirmed at Aaa (sf); previously on Mar 15, 2010 Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Jan. 3, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Jan. 3, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-SB, Affirmed at Aaa (sf); previously on Jan. 3, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. XP, Affirmed at Aaa (sf); previously on Jan. 3, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. XC, Affirmed at Aaa (sf); previously on Jan. 3, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. AM, Affirmed at Aa2 (sf); previously on April 22, 2010 Downgraded to Aa2 (sf) -- Cl. AJ, Affirmed at Baa3 (sf); previously on April 22, 2010 Downgraded to Baa3 (sf) -- Cl. AJ-FL, Affirmed at Baa3 (sf); previously on April 22, 2010 Downgraded to Baa3 (sf) -- Cl. AJ-FX, Affirmed at Baa3 (sf); previously on April 22, 2010 Downgraded to Baa3 (sf) -- Cl. B, Affirmed at Ba2 (sf); previously on April 22, 2010 Downgraded to Ba2 (sf) -- Cl. C, Affirmed at B1 (sf); previously on April 22, 2010 Downgraded to B1 (sf) -- Cl. D, Affirmed at B2 (sf); previously on April 22, 2010 Downgraded to B2 (sf) -- Cl. E, Affirmed at B3 (sf); previously on April 22, 2010 Downgraded to B3 (sf) -- Cl. F, Affirmed at Caa2 (sf); previously on April 22, 2010 Downgraded to Caa2 (sf) -- Cl. G, Affirmed at Ca (sf); previously on April 22, 2010 Downgraded to Ca (sf) -- Cl. H, Affirmed at Ca (sf); previously on April 22, 2010 Downgraded to Ca (sf) -- Cl. J, Affirmed at C (sf); previously on April 22, 2010 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on April 22, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on April 22, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on April 22, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on April 22, 2010 Downgraded to C (sf) -- Cl. P, Affirmed at C (sf); previously on April 22, 2010 Downgraded to C (sf) -- Cl. Q, Affirmed at C (sf); previously on April 22, 2010 Downgraded to C (sf) 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 8.3% of the current balance. At last review, Moody's cumulative base expected loss was 8.7%. 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 22, 2010. Deal Performance As of the February 14, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 3% to $4.4 billion from $4.5 billion at securitization. The Certificates are collateralized by 270 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 35% of the pool. The pool contains one loan with an investment grade credit estimate that represents 1% of the pool. Sixty-eight 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. Ten loans have been liquidated from the pool, resulting in an aggregate realized loss of $28 million (61% loss severity overall). Thirty-three loans, representing 12% of the pool, are currently in special servicing. Moody's has estimated an aggregate $190.1 million loss (43% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 14 poorly performing loans representing 2% of the pool and has estimated a $9.7 million aggregate loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 91% and 85% of the pool's loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 124% compared to 118% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.21X and 0.84X, respectively, compared to 1.26X and 0.90X 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 48 compared to 49 at Moody's prior review. The loan with a credit estimate is the White Oaks Mall Loan ($50 million -- 1.1%), which is secured by a 834,000 square foot regional mall located in Springfield, Illinois. The loan is interest only for its entire 10 year term. The property was 89% leased as of December 2010, the same at last review. The center is anchored by Sears, Macy's and Bergner's. Performance has declined since last review due to a decrease in tenant income. Moody's current credit estimate and stressed DSCR are A3 and 1.56X, respectively, compared to Aa1 and 2.0X at last review. The top three performing conduit loans represent 18% of the pool balance. The largest loan is the Park La Brea Apartments Loan ($387.5 million -- 8.8%), which represents a pari passu interest in a $775 million first mortgage loan. The loan is secured by a 4,238-unit multifamily complex located in Hollywood, California. The property was 96% occupied as of December 2010 compared to 98% at last review. Property performance has improved since last review. The loan is interest only for its entire 10 year term. Moody's LTV and stressed DSCR are 99% and 0.82X, respectively, compared to 119% and 0.84X at last review. The second largest loan is the Beacon Office Portfolio Loan ($225 million -- 5.1%), which is secured by two adjacent Class B office properties located in Chicago, Illinois. The properties were 89% leased as of September 2010 compared to 92% at last review. The loan matures in November 2011. Moody's LTV and stressed DSCR are 124% and 0.81X, respectively, essentially the same as at last review. The third largest loan is the First Colony Mall Loan ($183.6 million -- 4.2%), which is secured by a 416,000 square foot retail center located in Sugar Land, Texas. The property was 98% leased as of September 2010, the same at last review. Performance has been stable. Moody's LTV and stressed DSCR are 109% and 0.84X, respectively, compared to 107% and 0.88X at last review. MORGAN STANLEY: Fitch Downgrades Ratings on Five 2005-IQ9 Notes --------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed 15 classes of Morgan Stanley Capital I Trust 2005-IQ9 commercial mortgage pass- through certificates. The downgrades reflect realized losses of $6.8 million (0.4% of original pool balance) since Fitch's last review and Fitch modeled losses of 2.2% of the remaining pool (modeled losses of the original pool are at 2.5%). Fitch expects losses associated with the specially serviced loans to deplete class P and impact a portion of class O. As of February 2011, cumulative interest shortfalls totaling $1.4 million are affecting classes B through P. As of the February 2011 distribution date, the pool's aggregate principal balance has been reduced by 14.8% to $1.30 billion from $1.53 billion at issuance. Since issuance, the transaction has paid down by $218.3 million (14.2% of original pool balance) and has realized losses of $9 million (0.6% of original pool balance). Fitch has identified 63 loans (16.9% of the current pool balance) as Fitch Loans of Concern, which includes 11 specially serviced loans (3.1%). Of the 11 loans in special servicing, five loans (0.9%) are 90 days or more delinquent, three loans (1.2%) are current, two loans (0.3%) are in foreclosure, and one is a non- performing matured balloon loan (0.7%). The largest contributor to modeled losses is a specially-serviced loan (0.8%) secured by a 148,214 square foot industrial facility comprising of 11 buildings located in West Palm Beach, Florida. The loan was transferred to special servicing in June 2009 due to payment default. A loan modification was approved in July 2010 that included an interest rate reduction and interest-only payments through maturity, among other terms. The special servicer is currently awaiting the master servicer's completion of boarding the modification into its system before returning the loan to the master servicer. As of September 2010, occupancy at the property was 67.6%, down from 87.7% reported at issuance. The second largest contributor to modeled losses is a loan (5.1%) secured by a 330,367 sf office property located in San Diego, California. Occupancy as of June 2010 was 80%, down from 84% at June 2009 and 98% at issuance. The September 2010 rent roll shows leases for 20% of the total property square footage expiring in 2012, including the lease of the largest tenant. Further, leases for 41% of the total property square footage expire prior to the loan's anticipated repayment date in January 2015. For the trailing 12 months ended June 30, 2010, the net-operating income debt service coverage ratio was 1.59 times, down from 1.78x for the TTM ended June 30, 2009 and 1.85x at issuance. Fitch downgrades and assigns or revises Recovery Ratings to these classes as indicated: -- $7.7 million class K downgrade to 'CCCsf/RR1' from 'B-/LS5'; -- $5.7 million class L downgrade to 'CCCsf/RR1' from 'B-/LS5', -- $5.7 million class M downgrade to 'CCsf/RR1' from 'CCCsf/RR1'; -- $3.8 million class N downgrade to 'CCsf/RR1' from 'CCCsf/RR1'; -- $5.7 million class O downgrade to 'Csf/RR6' from 'CCsf/RR4'. In addition, Fitch affirms and revises Loss Severity ratings and Rating Outlooks to these classes as indicated: -- $241.1 million class A-1A at 'AAAsf/LS1'; Outlook Stable; -- $4.1 million class A-2 at 'AAAsf/LS1'; Outlook Stable; -- $194.7 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- $94.4 million class A-4 at 'AAAsf/LS1'; Outlook Stable; -- $26.6 million class A-AB at 'AAAsf/LS1'; Outlook Stable; -- $446.2 million class A-5 at 'AAAsf/LS1'; Outlook Stable; -- $130.2 million class A-J at 'AAsf/LS3'; Outlook revised to Positive from Stable; -- $32.6 million class B at 'Asf/LS4'; Outlook Stable; -- $11.5 million class C at 'Asf/LS5'; Outlook revised to Stable from Negative; -- $26.8 million class D at 'BBB+sf/LS4'; Outlook Stable; -- $15.3 million class E at 'BBBsf/LS5'; Outlook revised to Stable from Negative; -- $15.3 million class F at 'BBsf/LS5'; Outlook Stable; -- $11.5 million class G at 'BBsf/LS5'; Outlook Negative; -- $17.2 million class H at 'Bsf/LS4'; Outlook Negative; -- $5.7 million class J at 'Bsf/LS5'; Outlook Negative. Class A-1 has paid in full. Fitch does not rate the $2.5 million class P. Fitch withdrew the ratings on the interest-only class X-1, X-2, and X-Y on July 13, 2010. MORGAN STANLEY: Fitch Downgrades Ratings on 14 2007-TOP25 Certs. ---------------------------------------------------------------- Fitch Ratings has downgraded 14 classes of Morgan Stanley Capital I Trust 2007-TOP25, due to further deterioration of performance relative to the previous full transaction review, most of which involves increased projected losses on the specially serviced loans. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 7.5% for the remaining pool; expected losses of the original pool are at 7.3%, including losses already incurred to date. Approximately 26.7% of the loans in the pool are considered Fitch loans of concern, including 10 specially serviced loans (7.7%). At Fitch's last review, there were five loans (5.1%) in special servicing. Fitch expects classes H through O may be fully depleted from losses associated with the specially serviced loans. As of the February 2011 distribution date, the pool's aggregate principal balance has been reduced by approximately 2.5% to $1.51 billion from $1.55 billion at issuance. Interest shortfalls are affecting classes F through P. The largest contributor to modeled losses is Village Square (3.9%), which consists of a 237,834 square foot mixed-use development in Las Vegas, NV. Approximately 167,000 sf of the center is collateral to the loan, consisting of retail and office uses. The asset, which has been in special servicing since February 2009, became real estate owned in October 2010. The servicer indicated that vacancy at the property remains high, and finding replacement tenants in this market remains challenging. The servicer is currently marketing the property for sale. The second largest contributor to modeled losses is Mount Pleasant Town Center (6.3%), the largest loan in the pool. The property consists of a 443,521 sf retail center in Mount Pleasant, SC, approximately 10 miles east of Charleston. Occupancy has declined to 91% (as of September 2010) from 96% at issuance, and approximately 17% of the net rentable area will expire through full-year 2011. The servicer reported a year end 2009 debt service coverage ratio of 1.25 times. Major tenants include: Belk (18% of NRA), Regal Cinemas (13.5%), and Bed, Bath, & Beyond (7.6%), all of which have leases that expire in 2019. The next contributor to modeled losses, The Shops at Kildeer (2.2%), consists of a 167,477 sf retail center in Kildeer, IL, approximately 34 miles northwest of the Chicago CBD. Major tenants at the center include Bed, Bath, & Beyond (21% of NRA), Old Navy (14%), and World Market (10%). These tenants have maturities in January 2012, October 2011, and January 2012, respectively. Property occupancy declined from 100% to 80% after Circuit City vacated their space upon the company's bankruptcy and liquidation. The property will face a high level of rollover over the next five years, with 22% of the NRA expiring in 2011 (through year-end), 39% in 2012, 3% in 2013, and 13% in 2014. Fitch's analysis of the loan resulted in a higher probability of default at maturity due to challenges the sponsor will face with the upcoming rollover. Fitch downgrades these classes and revises the Outlooks, Loss Severity ratings, and Recovery Ratings as indicated: -- $110.8 million class A-J to 'BBB-sf/LS4' from 'Asf/LS3'; Outlook to Stable from Negative; -- $27.2 million class B to 'BBsf/LS5' from 'BBBsf/LS4'; Outlook Negative; -- $11.7 million class C to 'Bsf/LS5' from 'BBBsf/LS5'; Outlook Negative; -- $25.3 million class D to 'B-sf/LS5' from 'BBsf/LS5'; Outlook Negative; -- $11.7 million class E to 'CCCsf/RR1' from 'BBsf/LS5'; -- $13.6 million class F to 'CCCsf/RR1' from 'Bsf/LS5'; -- $13.6 million class G to 'CCsf/RR3' from 'B-sf/LS5'; -- $11.7 million class H to 'Csf/RR6' from 'B-sf/LS5'; -- $3.9 million class J to 'Csf/RR6' from 'CCCsf/RR6'; -- $3.9 million class K to 'Csf/RR6' from 'CCsf/RR6'; -- $5.8 million class L to 'Csf/RR6' from 'CCsf/RR6'; -- $3.9 million class M to 'Csf/RR6' from 'CCsf/RR6'; -- $1.9 million class N to 'Csf/RR6' from 'CCsf/RR6'; -- $3.9 million class O to 'Csf/RR6' from 'CCsf/RR6'. Fitch also affirms these classes and revises the LS ratings as indicated: -- $32.4 million class A-1 at 'AAAsf/LS2' from 'AAAsf/LS1; Outlook Stable; -- $77.7 million class A-2 at 'AAAsf/LS2' from 'AAAsf/LS1; Outlook Stable; -- $62.3 million class A-AB at 'AAAsf/LS2' from 'AAAsf/LS1; Outlook Stable; -- $784.4 million class A-3 at 'AAAsf/LS2' from 'AAAsf/LS1; Outlook Stable; -- $139.4 million class A-1A at 'AAAsf/LS2' from 'AAAsf/LS1; Outlook Stable; -- $155.5 million class A-M at 'AAAsf/LS3'; Outlook Stable. Fitch withdraws the rating on the interest-only class X. MORGAN STANLEY: Moody's Downgrades Ratings on 108 Tranches ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 108 tranches and confirmed the rating of 23 tranches from 11 Alt-A deals issued by Morgan Stanley Mortgage 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 deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. . Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. 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 levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Morgan Stanley Mortgage Loan Trust 2004-1 -- Cl. 1-A-1, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Confirmed at Aa1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-X, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-P, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Radian Asset Assurance Inc. (Downgraded to Ba1, Outlook Stable on Mar 12, 2009) -- Cl. 2-A-5, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-X, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-P, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Morgan Stanley Mortgage Loan Trust 2004-10AR -- Cl. 1-A, Downgraded to Baa3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Baa2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Baa3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Baa3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to Baa3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Baa3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Caa2 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on April 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Morgan Stanley Mortgage Loan Trust 2004-11AR -- Cl. 1-A-1, Confirmed at A3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2A, Confirmed at Aa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2B, Confirmed at A3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X-2, Confirmed at Aa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X-B, Downgraded to Caa3 (sf); previously on Apr 24, 2009 Downgraded to B2 (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2004-2AR -- Cl. 1-A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Morgan Stanley Mortgage Loan Trust 2004-3 -- Cl. 1-A, Downgraded to Baa2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-X, Downgraded to Baa2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-P, Downgraded to Baa2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Baa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Baa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Baa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Baa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Cl. 2-A-5, Downgraded to Baa2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Baa2 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Baa2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Baa2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Baa2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. C-A-X, Downgraded to Baa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. C-A-P, Downgraded to Baa2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to B2 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Morgan Stanley Mortgage Loan Trust 2004-4 -- Cl. 1-A-3, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-X, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-P, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-X, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-P, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Issuer: Morgan Stanley Mortgage Loan Trust 2004-5AR -- Cl. 1-A-1, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Downgraded to A1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Caa3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Morgan Stanley Mortgage Loan Trust 2004-6AR -- Cl. 1-A, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-1, Downgraded to Caa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-2, Downgraded to C (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-3, Downgraded to C (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-B-1, Downgraded to C (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-B-2, Downgraded to C (sf); previously on April 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B2 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B2 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to B2 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to B2 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to B2 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to B2 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to B2 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Morgan Stanley Mortgage Loan Trust 2004-7AR -- Cl. 1-A, Downgraded to Ba3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ba3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Ba3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Ba3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Ba3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at A1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Ba3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Ba3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Morgan Stanley Mortgage Loan Trust 2004-8AR -- Cl. 1-A, Downgraded to Ba1 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Ba1 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Ba1 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to Ba1 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Ba3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Ba3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-2, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-4, Downgraded to Ba3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-5, Downgraded to Ba3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. S-B-1, Confirmed at Ca (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. S-B-2, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Morgan Stanley Mortgage Loan Trust 2004-9 -- Cl. 1-A, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ba1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-6, Downgraded to Ba3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-X, Downgraded to Ba1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-P, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-X, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-P, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade MORGAN STANLEY: Moody's Takes Rating Actions on Two Classes ----------------------------------------------------------- Moody's Investors Service announced these rating actions on Morgan Stanley ACES SPC Series 2007-1, a collateralized debt obligation transaction. The CSO, issued in 2007, references a portfolio of corporate synthetic senior secured loans with recovery rate fixed at 70% in case of any credit event on these names. Issuer: Morgan Stanley ACES SPC, Series 2007-1 (Class B) -- US$10,000,000 Class B Secured Floating Rate Notes due 2012, Upgraded to A2 (sf); previously on March 25, 2010 Confirmed at Baa2 (sf) Issuer: Morgan Stanley ACES SPC, Series 2007-1 (Class C) -- US$6,500,000 Class C Secured Floating Rate Notes due 2012, Upgraded to Baa2 (sf); previously on March 25, 2010 Confirmed at Ba2 (sf) Rating Rationale Moody's rating actions are the result of the the shortened time to maturity of the CSO, the credit improvement of the underlying portfolio, and the level of credit enhancement remaining in the transaction. The CSO has a remaining life of approximately one year. Since the last rating action in March 2010, the 10-year weighted average rating factor of the portfolio improved from 2836 to 2451, equivalent to B2, excluding settled credit events. There have been no credit events since the last rating action. There is approximately 9.8% and 7.8% subordination remaining for the Class B and Class C notes, respectively. Moody's rating actions factor 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 parameters constant. The result of this run is three (Class B) or five (Class C) 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 not materially different than 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 one notch lower than that of the base case. * Moody's conducts a sensitivity analysis consisting of notching down by one the ratings of the most referenced industry (Hotels, Gaming, and Leisure, representing 15.4% of the portfolio). The result of this run is one (Class B) or zero (Class C) notches lower than that of the base case. * Removing the notch-down adjustment on ratings of all reference entities on negative outlook and/or on watch for downgrade generates a result that is not materially different than that of 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 for this transaction is based on CDOROM v2.8. 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. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Corporate Synthetic Obligations", key model inputs used by Moody's in its analysis may be different from the manager/arranger's reported numbers. In particular, rating assumptions for all publicly rated corporate credits in the underlying portfolio have been adjusted for "Review for Possible Downgrade", "Review for Possible Upgrade", or "Negative Outlook". Moody's 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. MORGAN STANLEY: S&P Assigns Ratings on $1.55 Bil. Certificates -------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Morgan Stanley Capital I Trust 2011-C1's $1.55 billion commercial mortgage pass-through certificates. The ratings reflect the credit support provided by the subordinate classes of certificates, the liquidity provided by the trustee, and the underlying loans' economics, geographic diversity, and property type diversity. In its analysis, S&P determined that, on a weighted average basis, the pool has a debt service coverage of 1.20x based on a weighted average Standard & Poor's Ratings Services loan constant of 8.46%, a beginning loan-to-value ratio of 88.9%, and an ending LTV ratio of 78.5%. To calculate the number of loans, S&P considered each group of cross-collateralized and cross-defaulted loans as one loan. Ratings Assigned Morgan Stanley Capital I Trust 2011-C1 Class Rating Amount ($) ----- ------ ---------- A-1 AAA (sf) 87,863,000 A-2 AAA (sf) 597,153,000 A-3 AAA (sf) 105,120,000 A-4 AAA (sf) 404,067,000 X-A* AAA (sf) 1,194,203,000** X-B* NR 354,197,430** B AA (sf) 60,001,000 C A (sf) 89,033,000 D BBB (sf) 85,162,000 E BBB- (sf) 19,355,000 F BB+ (sf) 13,548,000 G BB (sf) 15,484,000 H BB- (sf) 13,549,000 J B+ (sf) 15,484,000 K B (sf) 13,548,000 L B- (sf) 9,678,000 M NR 19,355,430 R NR N/A * Interest-only class. ** Notional amount. NR -- Not rated. N/A -- Not applicable. MORGAN STANLEY: S&P Junks Rating to Class A-8 Notes From 'B-' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on Morgan Stanley ACES SPC's series 2006-8, class A-8 notes to 'CCC (sf)' from 'B- (sf)'. At the same time, S&P removed the rating from CreditWatch, where it was placed with negative implications on Aug. 23, 2010. S&P's rating on the class A-8 notes is dependent on the lowest of S&P's ratings on: * Dynegy Holdings Inc.'s 6.875% notes due April 1, 2011, the reference obligation ('CCC'); * Morgan Stanley, the guarantor under the swap-and-forward agreements ('A'); and * BA Master Credit Card Trust II's class A certificates, series 2001-B, due 2013, the underlying security ('AAA (sf)'). S&P's rating action follows its March 1, 2011, rating action on Dynegy Holdings Inc.'s 6.875% notes due April 1, 2011; S&P lowered the rating to 'CCC' from 'B-' and removed the rating from CreditWatch with negative implications. S&P may take subsequent rating actions on the class A-8 notes due to changes in S&P's ratings on the reference obligation, the swap-and-forward agreements guarantor, or the underlying security. MORGAN STANLEY: S&P Raises Ratings on Class H Notes From 'BB+' -------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating to 'A- (sf)' from 'BB+ (sf)' on the class H commercial mortgage pass-through certificates from Morgan Stanley Capital I Inc.'s series 1999- FNV1, a U.S. commercial mortgage-backed securities transaction. The upgrade reflects S&P's analysis of the remaining collateral in the transaction, the deal structure, and the liquidity available to the trust. The upgrade also reflects increased credit enhancement levels primarily due to the deleveraging of the collateral in the transaction. The current credit enhancement level for the class H certificate is 72.34% according to the Feb. 17, 2011 trustee remittance report. Transaction Summary As of the February 2011 trustee remittance report, the collateral principal balance was $25.5 million, which is 4.0% of the balance at issuance. The collateral includes five loans, one of which has been defeased ($2.9 million, 11.4%), down from 194 loans at issuance. The largest loan in the transaction is on the master servicer, Berkadia Commercial Mortgage LLC's, watchlist, and is discussed below. The transaction has experienced $27.4 million in principal losses from nine loans to date. Details on the four nondefeased loans are: The Quail Oaks Apartments loan ($18.1 million, 71.0%), the largest real estate loan in the trust, is secured by a 404-unit garden- style multifamily apartment complex in Tampa, Fla. The loan is on the master servicer's watchlist due to a low reported debt service coverage of 1.05x as of year-end 2010. The reported occupancy at the property was 94.6% according to the Jan. 1, 2011, rent roll. The Northwest Mini Storage loan ($2.7 million, 10.6%), the second- largest nondefeased loan in the trust, is secured by a 137,686- sq.-ft. self-storage facility in Reno, Nev. Berkadia reported a DSC of 2.29x for the nine months ended Sept. 30, 2010. Occupancy at the property was 83.4% according to the Dec. 31, 2010 rent roll. The Westfield MHP loan ($938,200, 3.7%), the second-smallest nondefeased loan in the trust, is secured by a property encompassing a 249-pad manufactured housing community and 9,100 sq. ft. of retail space in Houston, Texas. Berkadia reported a DSC of 3.35x for the nine months ended Sept. 30, 2010, and occupancy at the property was 100% according to the Sept. 30, 2010, rent roll. The Southend Self Storage loan ($840,508, 3.3%), the smallest nondefeased loan in the trust, is secured by a 68,786-sq.-ft. self-storage facility in Lake Havasu City, Ariz. Berkadia reported a DSC of 1.86x for the nine months ended Sept. 30, 2010, and occupancy at the property was 96.8% according to the Dec. 31, 2010 rent roll. N-STAR REAL: Fitch Affirms Ratings on Eight Classes of Notes ------------------------------------------------------------ Fitch Ratings has affirmed eight and downgraded two classes of notes issued by N-Star Real Estate CDO I Ltd. as a result of negative credit migration. Since Fitch's last rating action in March 2010, the weighted average rating has declined to 'BB+/BB' from 'BBB-'. Currently, 31% has a Fitch derived rating below investment grade and 12.7% has a rating in the 'CCC' rating category or lower, compared to 22.6% and 0% at last review. The class A-1 notes have paid down by $56.6 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 through C-2 notes' breakeven rates are generally consistent with the ratings assigned below. For class D, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class D notes have been downgraded to 'Csf', indicating that default is inevitable. The Stable Outlook on the class A-1 notes reflects Fitch's expectation that the notes will continue to de-lever. The Negative Outlook on the class A-2 through C-2 notes reflects Fitch's expectation that underlying commercial mortgage backed securities 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 CDO I is a cash flow collateralized debt obligation, which closed Aug. 21, 2003. The collateral is composed of 69.7% CMBS, 20.6% real estate investment trusts, 7.9% of SF CDOs, and the remaining 1.8% of commercial real estate loans. Fitch notes that the class B-1 notes are non-deferrable, while junior in priority to the class A OC test in the waterfall. Fitch has affirmed these classes: -- $80,812,124 class A-1 notes at 'AAAsf'; Outlook to Stable from Negative; to 'LS3' from 'LS1'; -- $45,000,000 class A-2A notes at 'AAsf'; Outlook Negative; to 'LS3' from 'LS2' -- $15,000,000 class A-2B notes at 'AAsf'; Outlook Negative; to 'LS3' from 'LS2' -- $15,000,000 class B-1 notes at 'Asf'; Outlook Negative; to 'LS5' from 'LS3'; -- $10,000,000 class B-2 notes at 'Asf'; Outlook Negative; to 'LS5' from 'LS4'; -- $5,000,000 class C-1A notes at 'BBBsf'; Outlook Negative; to 'LS5' from 'LS4'; -- $5,000,000 class C-1B notes at 'BBBsf'; Outlook Negative to 'LS5' from 'LS4'; -- $24,000,000 class C-2 notes at 'Bsf'; Outlook Negative; to 'LS4' from 'LS3'. Fitch has downgraded these classes: -- $10,000,000 Class D-1A notes to 'Csf' from 'CCCsf'; -- $4,000,000 Class D-1B notes to 'Csf' from 'CCCsf'. NORTHWOODS CAPITAL: S&P Raises Ratings on Three Classes of Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2, B, and C notes from Northwoods Capital VI Ltd., a collateralized loan obligation transaction managed by Angelo, Gordon & Co. L.P. At the same time, S&P affirmed its rating on the class A-1 notes, and S&P removed its rating on the class A-2 notes from CreditWatch, where S&P placed it with positive implications on Jan. 3, 2011. The upgrades reflect improved performance S&P has observed in the deal's underlying asset portfolio since S&P lowered its ratings on all of the notes on Dec. 11, 2009, following the application of its September 2009 corporate CDO criteria. As of the Feb. 5, 2011 trustee report, the transaction had $28.16 million of defaulted assets and approximately $46.56 million in assets from obligors with ratings in the 'CCC' range. This was down from $70.61 million in defaults and approximately $61.54 million in assets from obligors with ratings in the 'CCC' range noted in the Oct. 7, 2009 trustee report, which S&P referenced for its December 2009 rating actions. The affirmation of the class A-1 notes reflects S&P's opinion of the availability of sufficient credit support at the current rating level. The transaction has benefited from an increase in principal coverage (i.e., overcollateralization) available to support the rated notes. The trustee reported these principal coverage ratios in the Feb. 5, 2011, monthly report: The class A overcollateralization ratio test was 135.60%, compared with a reported ratio of 128.17% in October 2009; The class B overcollateralization ratio test was 121.79%, compared with a reported ratio of 115.11% in October 2009; and The class C overcollateralization ratio test was 111.74%, compared with a reported ratio of 105.62% in October 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 deem necessary. Rating And Creditwatch Actions Northwoods Capital VI Ltd. Rating ------ Class To From ----- -- ---- A-2 AA (sf) A+ (sf)/Watch Pos B A (sf) BBB (sf) C BB- (sf) CCC+ (sf) Rating Affirmed Northwoods Capital VI Ltd. Class Rating ----- ------ A-1 AA+ (sf) NOVASTAR MORTGAGE: Moody's Downgrades Ratings on 54 Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 54 tranches from nine Subprime deals issued by NovaStar Mortgage Funding Trust. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: NovaStar Mortgage Funding Trust, Series 2002-3 -- Cl. A-1, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B3 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. AIO, Downgraded to B3 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: NovaStar Mortgage Funding Trust, Series 2003-1 -- Cl. A-1, Downgraded to Ba2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. AIO, Downgraded to Ba2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: NovaStar Mortgage Funding Trust, Series 2003-2 -- Cl. A-1, Downgraded to Baa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: NovaStar Mortgage Funding Trust, Series 2003-3 -- Cl. A-1, Downgraded to Baa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Baa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: NovaStar Mortgage Funding Trust, Series 2003-4 -- Cl. A-1, Downgraded to Baa1 (sf); previously on Feb. 9, 2004 Assigned Aaa (sf) -- Cl. A-2B, Downgraded to Aa2 (sf); previously on Feb. 9, 2004 Assigned Aaa (sf) -- Cl. A-2C, Downgraded to Aa2 (sf); previously on Feb. 9, 2004 Assigned Aaa (sf) -- Cl. A-3, Downgraded to Baa2 (sf); previously on Feb. 9, 2004 Assigned Aa1 (sf) -- Cl. M-1, Downgraded to Caa2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: NovaStar Mortgage Funding Trust, Series 2004-1 -- Cl. M-3, Downgraded to A2 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ba2 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa1 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: NovaStar Mortgage Funding Trust, Series 2004-2 -- Cl. M-2, Downgraded to A1 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Baa1 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to B3 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: NovaStar Mortgage Funding Trust, Series 2004-3 -- Cl. M-3, Downgraded to A1 (sf); previously on Sept. 20, 2004 Assigned Aa3 (sf) -- Cl. M-4, Downgraded to Baa1 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to B3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: NovaStar Mortgage Funding Trust, Series 2004-4 -- Cl. M-3, Downgraded to A1 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to A3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Baa1 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ba2 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade OHA INTREPID: S&P Assigns Ratings on $364 Mil. Floating Notes ------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to OHA Intrepid Leveraged Loan Fund Ltd./OHA Intrepid Leveraged Loan Fund Inc.'s $364.0 million floating-rate notes. The ratings reflect S&P's assessment 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, which Standard & Poor's assessed 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 timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions that are commensurate with the assigned ratings under various interest rate scenarios, including LIBOR rates ranging from 0.344%-12.256%; and * The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the outstanding balance of the rated notes. Ratings Assigned OHA Intrepid Leveraged Loan Fund Ltd./OHA Intrepid Leveraged Loan Fund Inc. Class Rating Amount (mil. $) ----- ------ --------------- A AAA (sf) 265.0 B AA (sf) 26.0 C (deferrable) A (sf) 35.0 D (deferrable) BBB (sf) 18.0 E (deferrable) BB (sf) 20.0 Subordinated NR 49.0 NR -- Not rated. OMEGA CAPITAL: S&P Affirms 'CCC-' Rating on Class C-1E Notes ------------------------------------------------------------ Standard & Poor's Ratings Services affirmed its 'CCC- (sf)' rating on the class C-1E issued by Omega Capital Investments II PLC's Palladium CDO II series 31, a synthetic collateralized debt obligation transaction, and removed it from CreditWatch with positive implications. S&P affirmed the rating because the tranche has a passing synthetic rated overcollateralization level at the current rating, but it does not have enough cushion at the next higher rating category. PARK PLACE: Moody's Downgrades Rating to $306 Mil. Certs. --------------------------------------------------------- Moody's Investors Service has downgraded the rating of $306 Million of Subprime RMBS issued by Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCW2. The collateral backing these deals primarily consists of first- lien adjustable-rate subprime residential mortgages. Ratings Rationale In addition, Moody's has updated pool loss estimates based on collateral performance to date. When calculating the rate of new delinquencies (as described on page 4 of the methodology publication referenced above), Moody's took into account loans that were reclassified from delinquent to current due to modification in order to not understate the rate of new delinquencies. The modified loans that are classified as current were added to the reported delinquency levels in the pool to calculate the true rate of new delinquencies. To assess the rating implications, 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. Overall, Moody's assumes a further 5% decline in home prices with stabilization later in 2011, accompanied by continued stress in national employment levels through that timeframe. 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. Complete rating actions are: Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCW2 -- Cl. A-2D, Downgraded to Baa2 (sf); previously on Jan. 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B3 (sf); previously on Jan. 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Jan. 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Jan. 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Jan. 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade PEACHTREE FRANCHISE: Moody's Confirms Ratings on Two Certificates ----------------------------------------------------------------- Moody's Investors Service has confirmed ratings on two classes of certificates originated by Peachtree Franchise Finance, LLC, which were previously on review for possible downgrade. The certificates are backed by franchise loans made to fast-food and casual dining restaurants. Credit enhancement for the certificates consists of solely of subordination. The complete rating action is: Issuer: Peachtree Franchise Loan LLC 1999-A -- Class B, Confirmed at B1 (sf); previously on Nov. 11, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Class C, Confirmed at Caa3 (sf); previously on Nov. 11, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The securities listed above were previously placed on review for possible downgrade due to potentially insufficient levels of credit enhancement available for the notes against future losses, relative to current ratings. Upon further review of the underlying collateral and credit quality of the obligors, Moody's expect many formerly delinquent borrowers to continue to make payments under the terms of loan restructurings. As of the February 15th payment date, there have been no new defaults, and all previously specially serviced loans are current on payments under loan restructurings and modifications. As of the February 15th payment date, the Class B certificate is only supported by 22% subordination of the Class C certificate, and the Class C certificate is unsupported. The transaction remains subject to significant franchise concentration risks with Wendy's, Arby's, and Applebees comprising 34%, 21% and 11% of the outstanding pool balance, respectively. The confirmed ratings reflect the underlying risks in the transaction as well as Moody's view on future performance of the collateral properties. The primary source of uncertainty for the transactions is the current macroeconomic environment and its impact on the restaurant and fast food industry. Moody's current outlook on the restaurant industry is stable but weak as many fast food restaurants remain under financial pressure. In order to estimate losses on the collateral pool, Moody's calculates the expected loss given default of the obligors that have become nonperforming, and also estimates future losses on the performing portion of the pool, all as a percentage of the outstanding pool balance. In evaluating the nonperforming loans, key factors include collateral valuations and expected recovery rates, volatility around those recovery rates, historical obligor performance, time until recovery or liquidation on defaulted obligors, concessions due to restructuring which may negatively impact the overall cash flow of the trust and/or the collateral, and future industry expectations. In evaluating the performing portion of the pool, Moody's estimate default rates based on industry outlook and credit quality of underlying concepts and borrowers, with additional stress applied for highly concentrated pools, such as the Peachtree Franchise pool related to this action. Moody's then apply a stressed loss severity that accounts for historical loss experience as well as possible future deterioration of the underlying collateral. Moody's total losses are then evaluated against the available credit enhancement provided by overcollateralization, subordination, and excess spread if available. Sufficiency of coverage is considered in light of remaining borrower concentrations and concepts, remaining bond maturities, and economic outlook. PPLUS TRUST: Moody's Upgrades Ratings on Two Classes of Certs. -------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these certificates issued by PPLUS Trust Series LTD-1: -- US$25,000,000 PPLUS 6.70% Class A Trust Certificates; Upgraded to Ba2; Previously on May 28, 2009 Downgraded to Ba3 -- US$25,000,000 Notional Principal PPLUS 0.25% Class B Trust Certificates; Upgraded to Ba2; Previously on May 28, 2009 Downgraded to Ba3 Ratings Rationale The transaction is a structured note whose ratings are based on the rating of the Underlying Securities and the legal structure of the transaction. The rating actions are a result of the change of the rating of the underlying securities which are the $25,000,000 aggregate principal amount of 6.95% Exchange Debentures due 2033 issued by Limited Brands, Inc. which were upgraded to Ba2 by Moody's on March 7, 2011. PREFERREDPLUS TRUST: S&P Corrects Rating on $45 Mil. Certs. to B+ ----------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on PreferredPLUS Trust Series FAR-1's $45 million trust certificates to 'B+' from 'BBB-'. The rating on the certificates is dependent solely on the rating on the underlying security, CoreLogic Inc.'s (a spin-off of First American Corp.) $100 million 7.55% senior debentures due April 1, 2028. PUTNAM STRUCTURED: Moody's Affirms Ratings on 12 Classes of Notes ----------------------------------------------------------------- Moody's has affirmed all twelve long-term ratings of Notes issued by Putnam Structured Product CDO 2002-1 Ltd. Whilst the pace of amortization of the notes has been rapid, the increase in the weighted average rating factor has offset this resulting in an affirmation of the current ratings. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Moody's rating action is: -- US$176,000,000 Class A-1MT -a Medium Term Floating Rate Notes Due 2038, Affirmed at Ba1 (sf); previously on March 4, 2010 Downgraded to Ba1 (sf) -- US$176,000,000 Class A-1MT -b Medium Term Floating Rate Notes Due 2038, Affirmed at Ba1 (sf); previously on March 4, 2010 Downgraded to Ba1 (sf) -- US$176,000,000 Class A-1MT -c Medium Term Floating Rate Notes Due 2038, Affirmed at Ba1 (sf); previously on March 4, 2010 Downgraded to Ba1 (sf) -- US$176,000,000 Class A-1MM -d Floating Rate Notes Due 2038, Affirmed at Ba1 (sf); previously on March 4, 2010 Downgraded to Ba1 (sf) -- US$176,000,000 Class A-1MM -e Floating Rate Notes Due 2038, Affirmed at Ba1 (sf); previously on March 4, 2010 Downgraded to Ba1 (sf) -- US$176,000,000 Class A-1MM -f Floating Rate Notes Due 2038, Affirmed at Ba1 (sf); previously on March 4, 2010 Downgraded to Ba1 (sf) -- US$176,000,000 Class A-1MM -g Floating Rate Notes Due 2038, Affirmed at Ba1 (sf); previously on March 4, 2010 Downgraded to Ba1 (sf) -- US$176,000,000 Class A-1MM -h Floating Rate Notes Due 2038, Affirmed at Ba1 (sf); previously on March 4, 2010 Downgraded to Ba1 (sf) -- US$176,000,000 Class A-1MM -i Floating Rate Notes Due 2038, Affirmed at Ba1 (sf); previously on March 4, 2010 Downgraded to Ba1 (sf) -- US$176,000,000 Class A-1MM -j Floating Rate Notes Due 2038, Affirmed at Ba1 (sf); previously on March 4, 2010 Downgraded to Ba1 (sf) -- US$80,000,000 Class A-2 Floating Rate Notes Due 2038, Affirmed at Caa3 (sf); previously on March 4, 2010 Downgraded to Caa3 (sf) -- US$150,000,000 Class B Participating Notes Due 2038, Affirmed at Ca (sf); previously on March 4, 2010 Downgraded to Ca (sf) Ratings Rationale Putnam Structured Product CDO 2002-1 Ltd. is a CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (61.1% of the pool balance), asset backed securities (ABS) that are primarily residential mortgage backed securities (57.6%) and collateralized debt obligations (6.3%). As of the January 31, 2011 Trustee report, the aggregate Note balance of the transaction has decreased to $1.6 billion from $2.0 billion at issuance, with the paydown directed to the Class A Notes, as a result of amortizing collateral. There are seven assets with par balance of $25.0 million (1.5% of the current pool balance) that are considered Defaulted Securities as of the January 31, 2011 Trustee report. Five of these assets (40.0% of the defaulted balance) are ABS and two assets are CDOs (60.0%). 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 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 1,095 compared to 731 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (71.8% compared to 72.8% at last review), A1-A3 (3.7% compared to 7.6% at last review), Baa1-Baa3 (5.7% compared to 3.2% at last review), Ba1-Ba3 (6.9% compared to 5.1% at last review), B1-B3 (4.5% compared to 3.7% at last review), and Caa1-C (7.4% compared to 7.5% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 4.2 years compared to 5.0 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 57.6% compared to 39.7% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 1.9% compared to 2.1% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 58% to 38% or up to 78% would result in average rating movement on the rated tranches of 0 to 4 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. PUTNAM STRUCTURED: Moody's Takes Rating Actions on Various Classes ------------------------------------------------------------------ Moody's has upgraded three, affirmed two and downgrade one class of notes issued by Putnam Structured Product CDO 2001-1 Ltd. The senior classes have paid down rapidly on a pro-rata basis while the weighted average rating factor has increased as the percentage of B through Caa rated collateral has increased. This is resulting in upgrades to the senior classes and downgrades to applicable junior classes. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Moody's rating action is: -- Cl. A1-SS Floating Rate Notes Due 2032, Upgraded to Aa3 (sf); previously on Feb. 24, 2009 Downgraded to A1 (sf) -- Cl. A1-MM-a Floating Rate Notes Due 2032, Upgraded to Aa3 (sf); previously on Feb. 24, 2009 Downgraded to A1 (sf) -- Cl. A1-MM-b Floating Rate Notes Due 2032, Upgraded to Aa3 (sf); previously on Feb. 24, 2009 Downgraded to A1 (sf) -- Cl. B Floating Rate Notes Due 2037, Downgraded to Caa2 (sf); previously on Feb. 24, 2009 Downgraded to B2 (sf) -- Cl. C-1 Floating Rate Notes due 2037, Affirmed at C (sf); previously on Feb. 24, 2009 Downgraded to C (sf) -- Cl. C-2 Fixed Rate Notes Due 2037, Affirmed at C (sf); previously on Feb. 24, 2009 Downgraded to C (sf) Ratings Rationale Putnam Structured Product CDO 2001-1 Ltd. is a CRE CDO transaction backed by a portfolio of real estate investment trust bonds, asset backed securities that are primarily residential mortgage backed securities (25.9%), corporate bonds (18.0%), commercial mortgage backed securities (14.7% of the pool balance), and collateralized debt obligations (7.7%). As of the January 31, 2011 Trustee report, the aggregate Note balance of the transaction has decreased to $178.4 million from $300 million at issuance. There are ten assets with par balance of $3.2 million (1.9% of the current pool balance) that are considered Defaulted Securities as of the January 31, 2011 Trustee report. Nine of these assets (52.7% of the defaulted balance) are ABS and one asset is a CDO (47.3%). 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 ratedcollateral.. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 1,487 compared to 1,046 at last review. The distribution of current ratings and credit estimates is: Aaa- Aa3 (18.4% compared to 24.7% at last review), A1-A3 (12.2% compared to 11.2% at last review), Baa1-Baa3 (49.0% compared to 48.3% at last review), Ba1-Ba3 (8.7% compared to 9.6% at last review), B1-B3 (6.3% compared to 3.0% at last review), and Caa1-C (5.4% 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 4.6 years compared to 4.9 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 36.4.% compared to 41.6% 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 1.9% compared to 5.0% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 45% to 25% or up to 65% would result in average rating movement on the rated tranches of 3 to 5 notches downward or 3 to 5 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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. SALOMON BROTHERS: Moody's Downgrades Ratings on Eight Tranches -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 8 tranches from 4 Subprime deals issued by Salomon Brothers. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Salomon Brothers Mortgage Securities VII, Inc. Series 1998-OPT2 -- M-1, Downgraded to B1 (sf); previously on Oct. 15, 2010 Downgraded to Ba1 (sf) and Placed Under Review Direction Uncertain Issuer: Salomon Brothers Mortgage Securities VII, Inc. Union Planters Mortgage Loan Trust 2003-UP1 -- Cl. A, Downgraded to B1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Salomon Home Equity Loan Trust, Series 2002-WMC1 -- Cl. M-2, Downgraded to Caa2 (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Salomon Mortgage Loan Trust, Series 2002-CB3 C-BASS Mortgage Loan Asset-Backed Certificates -- Cl. B-1, Downgraded to Baa3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade SATURNS LIMITED: Moody's Raises Ratings on 2005-3 Certs. To 'Ba2' ----------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the rating of these certificates issued by Saturns Limited Brands Inc. Debenture Backed Series 2005-3: -- US$25,000,000 of 7.00% Callable Units due March 1, 2033; Upgraded to Ba2; Previously on May 28, 2009 Downgraded to Ba3 Ratings Rationale The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of the underlying securities which are the $25,340,000 of 6.95% Limited Brands Inc. due March 1, 2033, which were upgraded to Ba2 by Moody's on March 7, 2011. SAXON ASSET: Moody's Downgrades Ratings on 77 Tranches ------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 77 tranches and confirmed the ratings of 7 tranches from 17 Subprime deals issued by Saxon. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Saxon Asset Securities Trust 1999-2 -- BF-1, Downgraded to B3 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Saxon Asset Securities Trust 1999-3 -- BF-1, Downgraded to Ba3 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- BF-1A, Downgraded to Caa1 (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Saxon Asset Securities Trust 1999-5 -- Cl. MF-2, Confirmed at Baa1 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. BF-1, Confirmed at Ca (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Saxon Asset Securities Trust 2000-1 -- Cl. MF-2, Confirmed at Baa1 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. BF-1, Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Saxon Asset Securities Trust 2000-4 -- Cl. MF-1, Downgraded to A2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to Caa2 (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. BF-1, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Saxon Asset Securities Trust 2001-1 -- Cl. MF-1, Downgraded to A1 (sf); previously on July 11, 2003 Confirmed at Aa2 (sf) -- Cl. MF-2, Downgraded to Caa3 (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. BV-1, Downgraded to B1 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Saxon Asset Securities Trust 2001-2 -- Cl. M-1, Downgraded to Caa1 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to A2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. X-IO, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Saxon Asset Securities Trust 2001-3 -- AV-1, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- AF-6, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1, Downgraded to B2 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- X-IO, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Saxon Asset Securities Trust 2002-1 -- Cl. AV-1, Downgraded to Aa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to Aa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to Aa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-IO, Downgraded to Aa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Saxon Asset Securities Trust 2002-2 -- Cl. AF-5, Downgraded to A2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AV, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Saxon Asset Securities Trust 2002-3 -- Cl. AF-6, Downgraded to Aa3 (sf); previously on Nov. 18, 2002 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ba2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. S, Downgraded to Aa3 (sf); previously on Nov. 18, 2002 Assigned Aaa (sf) Issuer: Saxon Asset Securities Trust 2003-1 -- Cl. AF-5, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to Aa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-7, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. BV, Downgraded to C (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. BF, Downgraded to C (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Saxon Asset Securities Trust 2003-2 -- Cl. AF-5, Downgraded to Baa1 (sf); previously on June 16, 2003 Assigned Aaa (sf) -- Cl. AF-6, Downgraded to A3 (sf); previously on June 16, 2003 Assigned Aaa (sf) -- Cl. M-1, Downgraded to B3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Saxon Asset Securities Trust 2003-3 -- Cl. AF-5, Downgraded to Aa1 (sf); previously on Nov. 17, 2003 Assigned Aaa (sf) -- Cl. AF-6, Downgraded to Aa1 (sf); previously on Nov. 17, 2003 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Saxon Asset Securities Trust 2004-1 -- Cl. M-1, Downgraded to B1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Saxon Asset Securities Trust 2004-2 -- Cl. AF-3, Downgraded to A2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to A2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to Baa2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to B2 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-3, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-4, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-5, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-6, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Saxon Asset Securities Trust 2004-3 -- Cl. M-1, Downgraded to A3 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B1 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Confirmed at Ca (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade SCHOONER TRUST: Moody's Upgrades Ratings on Two Classes of Notes ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes and affirmed 14 classes of Schooner Trust Commercial Mortgage Pass- Through Certificates, Series 2005-4: -- Cl. A-1, Affirmed at Aaa (sf); previously on Oct. 27, 2005 Definitive Rating Assigned Aaa (sf) -- Cl..A-2, Affirmed at Aaa (sf); previously on Oct. 27, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. XP-1, Affirmed at Aaa (sf); previously on Oct. 27, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. XC-1, Affirmed at Aaa (sf); previously on Oct. 27, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. XP-2, Affirmed at Aaa (sf); previously on Oct. 27, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. XC-2, Affirmed at Aaa (sf); previously on Oct. 27, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. B, Upgraded to Aa1 (sf); previously on Oct. 27, 2005 Definitive Rating Assigned Aa2 (sf) -- Cl. C, Upgraded to A1 (sf); previously on Oct. 27, 2005 Definitive Rating Assigned A2 (sf) -- Cl. D, Affirmed at Baa2 (sf); previously on Oct. 27, 2005 Definitive Rating Assigned Baa2 (sf) -- Cl. E, Affirmed at Baa3 (sf); previously on Oct. 27, 2005 Definitive Rating Assigned Baa3 (sf) -- Cl. F, Affirmed at Ba1 (sf); previously on Oct. 27, 2005 Definitive Rating Assigned Ba1 (sf) -- Cl. G, Affirmed at Ba2 (sf); previously on Oct. 27, 2005 Definitive Rating Assigned Ba2 (sf) -- Cl. H, Affirmed at Ba3 (sf); previously on Oct. 27, 2005 Definitive Rating Assigned Ba3 (sf) -- Cl. J, Affirmed at B1 (sf); previously on Oct. 27, 2005 Definitive Rating Assigned B1 (sf) -- Cl. K, Affirmed at B2 (sf); previously on Oct. 27, 2005 Definitive Rating Assigned B2 (sf) -- Cl. L, Affirmed at B3 (sf); previously on Oct. 27, 2005 Definitive Rating Assigned B3 (sf) Ratings Rationale The upgrades are due to overall stable pool performance and increased credit subordination due loan payoffs and amortization. The pool has paid down 23% since last review. 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 1.3% of the current balance, the same as at last review. Moody's stressed scenario loss is 6.5% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 23, the same as 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 February 3, 2010. 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 February 14, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 30% to $385.1 million from $551.2 million at securitization. The Certificates are collateralized by 60 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 59% of the pool. The pool includes one loan with an investment-grade credit estimate, representing 10% of the pool. Three 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. 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 since securitization and currently there are no loans in special servicing. Moody's was provided with full year 2009 operating results for 93% of the pool. Moody's weighted average conduit LTV is 76% compared to 78% 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 8.8%. Moody's actual and stressed conduit DSCRs are 1.55X and 1.37X, respectively, compared to 1.50X and 1.31X 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 Southland Mall Loan ($39.6 million -- 10.3% of the pool), which is secured by a 437,762 square foot anchored retail center located in Regina, Saskatchewan. The property is currently on the master servicer's watchlist. Wal-Mart, the former anchor tenant accounting for 34% of the net rentable area, vacated the property prior to its lease expiration in January 2011. A new anchor was expected to be in place by April 2011 but a corporate level sale of leasehold interests by the potential anchor has temporarily stalled negotiations. The loan is full recourse to sponsor RioCan REIT. Moody's current credit estimate and stressed DSCR are Baa2 and 1.39X, respectively, compared to Baa2 and 1.36X at last review. The top three performing conduit loans represent 20.5% of the pool balance. The largest loan is the 66 Slater Street Loan ($29.0 million -- 7.5% of the pool) which is secured by a 22-story class B office building located a few blocks from the Parliament in downtown Ottawa, Ontario. The tenant base is dominated by the Canadian Government, which leases over 90% of the NRA. The loan is full recourse to the borrower. Property performance has been stable since last review. However, Moody's analysis at last review incorporated a stressed cash flow due to concerns about near term lease expirations. Moody's LTV and stressed DSCR are 69% and 1.41X, respectively, compared to 78% and 1.25X at last review. The second largest conduit loan is the Nordel Crossing Shopping Centre Loan ($26.5 million -- 6.9% of the pool), which is secured by a 133,000 SF grocery-anchored retail center located in Surrey - - a suburb of Vancouver, British Columbia. As of May 2010, the property was 100% leased, the same as at last review. Major tenants include Save-on-Foods (37% of the NRA; lease expiration in August 2024) and Shopper's Drug Mart (14% of the NRA; lease expiration in September 2019). Property performance has been stable. Moody's LTV and stressed DSCR are 83% and 1.08X, respectively, compared to 87% and 1.04X at last review. The third largest conduit loan is the Milliken Crossing Shopping Centre Loan ($23.2 million -- 6.0% of the pool), which is secured by a 140,000 SF grocery-anchored retail center located in Toronto, Ontario. As of January 2010, the property was 94% leased. Major tenants include T&T Supermarkets (47% of the NRA; lease expiration in December 2019) and Shopper's Drug Mart (11% of the NRA; lease expiration in January 2020). Performance has deteriorated since last review due to declining base rent and expense recoveries. Moody's LTV and stressed DSCR are 105% and 0.88X, respectively, compared to 94% and 0.96X at last review. SEAWALL SPC: Moody's Junks Ratings on Series 2008-39 Notes ---------------------------------------------------------- Moody's has downgraded one class of Notes issued by Seawall SPC - Series 2008-39 due to the deterioration in the credit quality of the underlying reference obligation since last review. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Moody's rating action is: -- Seawall SPC - Series 2008-39 US$20,000,000 Floating Rate Notes Due 2045, Downgraded to Caa1 (sf); previously on April 6, 2010 Downgraded to Ba2 (sf) Ratings Rationale Seawall SPC -- Series 2008-39 is a credit linked note referencing $20 million, or 12% of the aggregate class principal balance, of Class A-2A of COMM 2008-RS3 Commercial Mortgage Related Securities, Series 2008-RS3 (as the Underlying Certificate). The Underlying Certifcate is a direct pass through resecuritization of the Class A-2A of MAX CMBS I Ltd., Series 2008-1. Both the Underlying Certificate and Class A-2A of MAX CMBS I Ltd., Series 2008-1 were downgraded in a rating action dated March 2, 2011. Since the rating of the Seawall SPC -- Series 2008-39 Note is linked to the rating of the Underlying Certificate, any rating action on the Underlying Certificate may trigger a review of the rating of the Note. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated Notes are particularly sensitive to rating changes within the collateral pool. Holding all other key parameters static, stressing all AJ classes collateralizing MAX CMBS I Ltd., Series 2008-1 (45.6% of the collateral pool) by one notch downward, the resulting impact negatively affects the model results by 0.74 notches. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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. SECURITIZED ASSET: Moody's Downgrades Ratings on 28 Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 28 tranches and confirmed the rating of one tranche from six Subprime deals issued by Securitized Asset Backed Receivables Trust. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005 ). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Securitized Asset Backed Receivables LLC Trust 2004-DO1 -- Cl. A-1, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B3 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Securitized Asset Backed Receivables LLC Trust 2004-DO2 -- Cl. M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Securitized Asset Backed Receivables LLC Trust 2004-NC1 -- Cl. M-1, Downgraded to B1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to Ca (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Securitized Asset Backed Receivables LLC Trust 2004-NC3 -- Cl. M-1, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Securitized Asset Backed Receivables LLC Trust 2004-OP1 -- Cl. M-1, Downgraded to Ba3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Securitized Asset Backed Receivables LLC Trust 2004-OP2 -- Cl. M-1, Downgraded to B2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade SIERRA KINGS: Moody's Upgrades Ratings on GO Bonds From 'Ba2' ------------------------------------------------------------- Moody's Investors Service has upgraded to Baa3 from Ba2 the ratings on Sierra Kings Health Care District's Series 2007 and 2009 General Obligation Bonds. The bonds are secured by an unlimited, district-wide ad valorem property tax levied in an amount sufficient to repay the bonds. The property tax for this purpose is unlimited in both rate and amount. Ratings Rationale The rating primarily reflects a recent ruling by the U.S. Bankruptcy Court in the Eastern District of Fresno County holding that a California local government's general obligation bond debt service cannot be interrupted due to the government's Chapter 9 bankruptcy. This ruling combined with the strong administrative procedures for the levying, collection, and repayment of these general obligation bonds underpins the rating upgrade. Moody's also note that were the hospital to cease operations, the District would still be obligated to cause the county to levy ad valorem property taxes sufficient for repayment of the bonds, thus maintaining their security, which is a key component of the rating given the narrow fiscal operations of hospital. The rating is inclusive of the District's small Central Valley tax base, and its current, strained fiscal position, which raises questions as to the long-term viability of the hospital facility. Bankruptcy Court Reaffirms The Security Of The Property Tax Pledge For The District's G.O. Debt Service; Structural Features Of The Bond Insulate The Revenues From District Operations A key element to the rating upgrade is the ruling by the United States Bankruptcy Court Eastern District of California that the property tax pledge securing the District's general obligation bonds qualifies as both a "special revenue pledge" and "statutory lien". As such, the property tax levy, collections, and payments for the District's general obligation bond debt service cannot be disrupted by the District's Chapter 9 bankruptcy proceedings. The District has also reaffirmed its agreement that the ad valorem taxes levied on behalf of the general obligation bonds are special revenues and that the lien on the tax proceeds will continue in full force and effect through bond maturity. The District's credit quality also benefits from the structural features of California local governments' general obligation bonds. These features, as reflected in the District's bond resolution, stipulate that the District will require the county to levy ad valorem taxes in an amount sufficient to pay debt service when due. The monies collected from this levy are placed in an interest and sinking fund at the county treasury before being transferred by the county to the paying agent. At no point does the District have access to, or gain operational benefit from, the proceeds pledged for bond repayment. Also, the bond proceeds can only be used for the purposes of making capital improvements to the facility. These provisions insulate, both legally and as a practical matter, the revenue pledged for debt service from the operating funds of the District. District Pursuing Strategy For Long-Term Sustainability; General Obligation Bond Debt Service Would Not Be Disrupted Even If The District Ceased Hospital Operations The District is pursuing a long-term strategy through an affiliation with Adventist Health System. On February 3, 2011, the Sierra Kings board approved a memorandum of understanding to negotiate a 15 year lease agreement with the System. The District and System are working to establish a letter of intent agreement by no later than April 15, 2011. Under the intent agreement, Adventist would operate the hospital and purchase the non-fixed capital assets of the facility. The cash received by the District from the sale of assets would be used as the basis of its bankruptcy plan of adjustment. However, the District cannot sell the assets without a vote from the taxpayers, which is anticipated to occur in June 2011. If a lease agreement is ultimately implemented, the System would make improvements to the facility and use it to serve overflow patients from its other hospital 12 miles away. Ongoing hospital operations are not a prerequisite for continued debt service payment, though cessation of a functioning hospital could prompt a review of the rating depending upon the development of any challenges to the District's obligation to pay debt service. Typical Debt Levels; Debt Service Has Not Been Interrupted Despite Bankruptcy The District's direct debt level of 1.8% is typical for Moody's- rated California health care district. The District has remained current on all of its debt obligations throughout the bankruptcy process and Moody's do not anticipate any interruption of the general obligation bond debt service. The District has used bond proceeds to expand service capacity including raising its bed capacity to 49 beds including 29 surgical beds. Proceeds also funded improvement to the emergency room, lobby, medical imaging service, clinic, and birthing center. Additional projects may include upgrades to the HVAC system, children's clinic, parking lots, and flooring. Interim Management Has Produced Modest Operating Improvements; Overall Fiscal Position Places Viability Of Long Term Hospital Operations In Doubt The District continues to be led by the interim management team that has been in place since the District filed for bankruptcy in October 2009. This has stabilized the District's management as it pursues a strategy to secure the long-term viability of the hospital facility. Due to the exceedingly narrow fiscal position of the hospital, the ability of the hospital to remain in operation is in doubt. For fiscal 2010, the hospital's net patient revenues increased as a result of improvements to its billing and collection rates, admission processes, and claims management. This improvement was offset by higher expenditures driven up, in part, by costs associated with the bankruptcy filing. Nonetheless, the hospital was able to reduce its audited fiscal 2010 operating deficit by half versus 2009, while marginally boosting it days-cash on hand from 8 to 11. The District anticipates that overall revenue for fiscal 2011will rise 4% due to increased patient volume owing to new emergency room and obstetrics facilities. Revenue will also benefit from approximately $2 million in SB 1653 monies and continued administrative improvements. The operating deficit is budgeted to decline to approximately $100,000 with days-cash on hand expected to rise to 15 days. While these improvements are certainly positive developments, the District's fiscal position remains severely stressed. In addition, at some point the District will also have to effectively manage the transition to new and permanent leadership, which is a change that often disrupts operational efficiency of small hospitals. The District will also have to sustain a much more marked fiscal improvement to ensure the continuation of the facility. Central Valley Tax Base Undergoing The Effects Of The Economic Downturn Sierra Kings' tax base comprises the city of Reedley and other, unincorporated areas in Fresno County approximately 30 miles southeast of the city of Fresno. The assessed valuation is $1.8 billion though it has absorbed two consecutive years of modest contraction resulting from the economic downturn. In 2010 and 2011, the tax base declined 0.6% and 1.7% respectively. This loss in value exacerbates pressure on the socioeconomic profile of the area, which is highlighted by county unemployment of 17% and per capita income levels well below the state median. Still, the rate of decline is much less than many other central valley communities that have undergone double-digit losses in tax base value as residential home prices have fallen. The Sierra Kings tax base includes a significant agricultural component where value did not change radically during the housing construction boom. Half of the District's top ten taxpayers are in agriculture or food processing endeavors. What could change the rating -- Up -- Emergence from bankruptcy with viable plan for long-term sustainability -- Significant and sustained fiscal improvement reflected by positive audited operating results and healthy unrestricted cash levels -- Effective transition to stable and permanent administrative leadership What could change the rating -- Down -- Significant erosion of the District's tax base -- Continued deterioration of fiscal operations -- Cessation of hospital operations -- Legal appeal of the recent court ruling that could threaten the statutory lien and special revenue status of the bonds or weaken the bond pledge or security SOUTH COAST: Moody's Upgrades Ratings on Two Classes of Notes ------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of two classes of notes issued by South Coast Funding IV Ltd. The classes of notes affected by the rating action are: -- Class A-1 First Priority Senior Secured Floating Rate Notes Due 2034 (current balance of $16,733,128), Upgraded to Aa1 (sf); previously on September 25, 2009 Downgraded to Baa1 (sf); -- Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2038, Upgraded to Ba1 (sf); previously on May 21, 2010 Downgraded to B3 (sf). Ratings Rationale According to Moody's, the rating actions taken result primarily from the continuing amortization of the Class A-1 Notes, which have been paid off by 25.8 million since May 2010. According to the most recent trustee report, part of this amortization is due to the sale of defaulted assets in the portfolio. Such amortization offsets the large bucket of assets currently on review for possible downgrade, whose ratings were stressed during both the current, and prior review, which took place in May 2010. South Coast Funding IV Ltd. is a collateralized debt obligation backed primarily by a portfolio of RMBS, CMBS and Home Equity Loans originated in 2003 and 2004. Moody's applied the Monte Carlo simulation framework within CDOROMv2.6 to model the loss distribution for SF CDOs. Within this framework, defaults are generated so that they occur with the frequency indicated by the adjusted default probability pool (the default probability associated with the current rating multiplied by the Resecuritization Stress) for each credit in the reference. Specifically, correlated defaults are simulated using a normal (or "Gaussian") copula model that applies the asset correlation framework. Recovery rates for defaulted credits are generated by applying within the simulation the distributional assumptions, including correlation between recovery values. Together, the simulated defaults and recoveries across each of the Monte Carlo scenarios define the loss distribution for the reference pool. Once the loss distribution for the collateral has been calculated, each collateral loss scenario derived through the CDOROM loss distribution is associated with the interest and principal received by the rated liability classes via the CDOEdge cash-flow model. The cash flow model takes into account these: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's 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. SPECIALTY UNDERWRITING: Moody's Downgrades Ratings on 29 Tranches ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 29 tranches from 7 Subprime deals issued by Specialty Underwriting and Residential Finance Trust. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Specialty Underwriting and Residential Finance Trust, Series 2003-BC1 -- Cl. M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Trust, Series 2003-BC2 -- Cl. S, Downgraded to A3 (sf); previously on July 31, 2003 Assigned Aaa (sf) -- Cl. M-1, Downgraded to A3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B3 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Trust, Series 2003-BC3 -- Cl. M-1, Downgraded to Ba2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Trust, Series 2004-BC1 -- Cl. M-1, Downgraded to A1 (sf); previously on May 28, 2004 Assigned Aa2 (sf) -- Cl. M-2, Downgraded to Caa2 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Trust, Series 2004-BC2 -- Cl. M-1, Downgraded to Baa2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Trust, Series 2004-BC3 -- Cl. M-1, Downgraded to B1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa1 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Trust, Series 2004-BC4 -- Cl. A-1A, Downgraded to A2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Baa2 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to A3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade ST JOSEPH: S&P Corrects Rating on Revenue Bonds to 'BB/B' --------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on St. Joseph County, Ind.'s adjustable rate economic development revenue bonds series 1997, issued on behalf of Brothers of Holy Cross (Brothers of Holy Cross Project), to 'BB/B' from 'A-/A2'. The rating on the bonds is on CreditWatch with negative implications. STRONGTOWER FINANCIAL: Moody's Cuts Ratings on Class A to 'B1' -------------------------------------------------------------- Moody's Investors Service has downgraded and left on review for possible further downgrade one class of notes issued in a securitization of church-backed collateral sponsored by Strongtower Financial, Inc. The notes are secured by pools of mortgage assets including mortgage bonds and participation certificates secured primarily by church-related real property such as church buildings and church affiliated schools. The complete rating action is: Issuer: STF First Mortgage Bond Trust 2007-A -- Class A, Downgraded to B1 (sf) Placed Under Review for Possible Downgrade; previously on December 7, 2010 Placed Under Review for Possible Downgrade from Baa2 (sf) Ratings Rationale The action was prompted by the performance of the underlying collateral. Approximately 38.2% of the collateral in the STF 2007-A transaction is defaulted as of the January 2011 reporting date. Additionally, while the structure includes non-declining enhancement, there are substantial obligor concentrations which have increased due to defaults and prepayments. Specifically, there are now 20 obligors for STF 2007-A; this is down from 29 at deal closing. Finally, it is noteworthy that as of the January 2011 reporting date, the reserve account for the STF 2007-A deal has been completely drawn down and there was an interest shortfall. Total enhancement consisting of the combination of the reserve account and overcollateralization is approximately 23.7% for the STF 2007-A transaction. However, given the level of defaults and uncertainty over timing and amount of recoveries, the effective value of the overcollateralization is likely lower. The methodology used for these rating actions included a default analysis of the underlying collateral. The underlying securities in default were stratified by age, geographic location, and default status (e.g. foreclosure, REO, etc.). Moody's then applied various recovery assumptions ranging from 50% (which represents an expected case) to 70% (which would be an expected case in a more benign economic environment). The timing of net losses was also considered. With respect to just the net losses that could arise on the now defaulted collateral, the losses as a percentage of the total current collateral balance (i.e. including non-defaulted securities) ranged from 11.4% to 19.1%. Currently, noteholders are protected by overcollateralization totaling approximately 23.7%. The range of losses on the defaulted collateral was then evaluated in the context of the deal's capital structure, which included credit enhancement provided by the reserve account, overcollateralization, and excess spread. Currently, the reserve account has been depleted, and due to defaults, excess spread is negative; therefore, there currently is not enough cash available to pay the interest due on the notes. Obligor concentration risk is also considered in Moody's analysis. Each of the three largest obligors which are not in default account for 9.35% of the current pool balance. Depending on recoveries, there may not be adequate overcollateralization to protect noteholders from loss if just one of these high concentration obligors defaults. During the review period, Moody's will further analyze the underlying pools of loans at the obligor level for expected defaults and recoveries. Moody's will then assess how the available credit enhancement compares to Moody's estimate of expected losses. Primary sources of assumption uncertainty are the general economic environment, property values and the ability of the underlying church borrowers to recover from the recession. Moody's Investors Service did not receive or take into account any third party due diligence reports on the underlying assets or financial instruments in this transaction. STRUCTURED ADJUSTABLE: Moody's Cuts Ratings on 13 2004-19 Notes --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 13 tranches issued by Structured Adjustable Rate Mortgage Loan Trust 2004-19. The collateral backing the deal primarily consists of first-lien, adjustable rate, negative amortization residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Alt-A and Option ARM pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A and Option ARM pools issued from prior to 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-19 -- Cl. 1-A1, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2X, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1X, Downgraded to Ba3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Ca (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to C (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to C (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to C (sf); previously on April 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to C (sf); previously on April 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B6, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. BX, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade STRUCTURED ADJUSTABLE: Moody's Downgrades Ratings on 173 Tranches ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 173 tranches from 18 Alt-A deals issued by SARM. The collateral backing these deals primarily consists of first-lien, adjustable rate Alt-A residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-1 -- Cl. 1-A, Downgraded to Baa1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Baa2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-AX, Downgraded to Baa2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A3, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to Baa1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A2, Downgraded to Baa1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A3, Downgraded to Baa1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A4, Downgraded to Baa1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-10 -- Cl. 1-A1, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Ba1 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-AX, Downgraded to Ba3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-11 -- Cl. A, Downgraded to Baa2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Caa3 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to C (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to C (sf); previously on April 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-12 -- Cl. 1-A1, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Baa2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A1, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A2, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A3, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-AX, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 8-A, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 9-A, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Caa3 (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B1-X, Downgraded to Caa3 (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Ca (sf); previously on April 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B3-X, Downgraded to Ca (sf); previously on April 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-13 -- Cl. A1, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to Baa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-IO, Downgraded to Ba1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AX-2, Downgraded to Ba1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Ca (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to C (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to C (sf); previously on April 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. BX, Downgraded to C (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-14 -- Cl. 1-A, Downgraded to Baa3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Baa3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Baa2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Baa3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A1, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-AX, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-PAX, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to Baa3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A, Downgraded to Baa3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Ca (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B1-X, Downgraded to Ca (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to C (sf); previously on April 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B3-X, Downgraded to C (sf); previously on April 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-15 -- Cl. A, Downgraded to Ba2 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Ca (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to C (sf); previously on April 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. BX, Downgraded to Ca (sf); previously on April 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-16 -- Cl. 1-A1, Downgraded to Ba2 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Ba2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Ba2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Ba1 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Ba2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-AX, Downgraded to Ba2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-PAX, Downgraded to Ba2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A1, Downgraded to Ba2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A2, Downgraded to Ba2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A3, Downgraded to Ba2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-AX, Downgraded to Ba2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to Ba2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to C (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B1X, Downgraded to C (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to C (sf); previously on April 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B3X, Downgraded to C (sf); previously on April 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-17 -- Cl. A1, Downgraded to Baa3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. A1X, Downgraded to Baa3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to Baa3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. A2X, Downgraded to Baa3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. A3, Downgraded to Baa3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Ca (sf); previously on April 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to C (sf); previously on April 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to C (sf); previously on April 9, 2009 Downgraded to Ca (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-18 -- Cl. 1-A1, Downgraded to B3 (sf); previously on April 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to B3 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to B3 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to B2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to B3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-AX, Downgraded to B3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-PAX, Downgraded to B3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to B3 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-AX, Downgraded to B3 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on April 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. MX, Downgraded to C (sf); previously on April 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to C (sf); previously on April 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B1X, Downgraded to C (sf); previously on April 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B3X, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. B5X, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-2 -- Cl. 1-A1, Downgraded to Baa2 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Baa2 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-AX, Downgraded to Baa2 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A2, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A3, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-20 -- Cl. 1-A1, Downgraded to B3 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to B2 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to B3 (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to B2 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Caa3 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to B3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to B3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to C (sf); previously on April 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B1X, Downgraded to C (sf); previously on April 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to C (sf); previously on April 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2X, Downgraded to C (sf); previously on April 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B3X, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. B5X, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-3AC -- Cl. A1, Downgraded to Baa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to A3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-4 -- Cl. 1-A1, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A3, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A4, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A5, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-5 -- Cl. 1-A, Downgraded to Baa1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Baa1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to A3 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Baa1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A3, Downgraded to Baa1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A4, Downgraded to Baa1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A5, Downgraded to Baa1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Baa1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-AX, Downgraded to Baa1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Baa1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-AX, Downgraded to Baa1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-6 -- Cl. 1-A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Baa2 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A2, Downgraded to Aa2 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A3, Downgraded to Baa2 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A4, Downgraded to Ba1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A5, Downgraded to Baa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-7 -- Cl. A1, Downgraded to B3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A3, Downgraded to B3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-9XS -- Cl. A, Downgraded to Baa2 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade STRUCTURED ASSET: Moody's Downgrades Ratings on 25 Tranches ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 25 tranches and confirmed the rating of 1 tranche from 9 Subprime deals issued by SASCO. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are as follows: Issuer: Structured Asset Sec Corp 1996-4 (Norwest) -- A, Downgraded to Aa1 (sf); previously on Oct 30, 1996 Assigned Aaa (sf) -- B1, Downgraded to A1 (sf); previously on Oct 30, 1996 Assigned Aa2 (sf) -- B2, Downgraded to Caa2 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- B3, Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2002-BC1 -- Cl. M2, Downgraded to B3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Ca (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2002-HF1 -- Cl. B, Downgraded to C (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba2 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-AM1 -- Cl. M1, Downgraded to Baa1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Baa2 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Baa3 (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to Ba1 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to Ba2 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-BC2 -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-BC3 -- Cl. M1, Downgraded to Ba2 (sf); previously on Sept. 21, 2006 Upgraded to Aaa (sf) -- Cl. M2, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2003-39EX -- Cl. M3, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Ca (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp., Amortizing Residential Collateral Trust 2001-BC1 -- Cl. A1, Downgraded to Caa2 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corporation, Series 2003-BC1 -- Cl. M2, Confirmed at Aa2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Caa3 (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade STRUCTURED ASSET: Moody's Downgrades Ratings on 94 Tranches ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 94 tranches and confirmed the ratings of three tranches from 22 Subprime deals issued by Structured Asset Investment Loan Trust. The collateral backing these deals primarily consists of first- lien, fixed and adjustable-rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. 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. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Structured Asset Investment Loan Trust 2003-BC10 -- Cl. 1-A2, Downgraded to Aa1 (sf); previously on Oct. 27, 2003 Assigned Aaa (sf) -- Cl. M2, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to C (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2003-BC11 -- Cl. M4, Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to C (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2003-BC2 -- Cl. M3, Downgraded to C (sf); previously on April 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2003-BC3 -- Cl. M5, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2003-BC4 -- Cl. M1, Downgraded to B3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2003-BC5 -- Cl. M1, Downgraded to B3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M2-A, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M2-B, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Ca (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2003-BC6 -- Cl. M1, Downgraded to Caa1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to Ca (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2003-BC7 -- Cl. 1-A2, Downgraded to Aa1 (sf); previously on Aug. 25, 2003 Assigned Aaa (sf) -- Cl. M1, Downgraded to B3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to Ca (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to C (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2003-BC8 -- Cl. 2-A, Downgraded to Baa1 (sf); previously on Sept. 11, 2003 Assigned Aaa (sf) -- Cl. 3-A-2, Downgraded to A2 (sf); previously on Jan. 17, 2008 Confirmed at Aaa (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Underlying Rating: Downgraded to A2 (sf); previously on June 30, 2008 Assigned Aaa (sf) -- Cl. 3-A-3, Downgraded to A3 (sf); previously on Sept. 11, 2003 Assigned Aaa (sf) -- Cl. M1, Downgraded to B3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Ca (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M4, Confirmed at Ca (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2003-BC9 -- Cl. 2-A, Downgraded to Baa2 (sf); previously on Sept. 11, 2003 Assigned Aaa (sf) -- Cl. M1, Downgraded to Caa2 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C (sf); previously on April 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2004-10 -- Cl. A2, Confirmed at Aa1 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Aa2 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A7, Downgraded to Aa3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A9, Confirmed at Aaa (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2004-11 -- Cl. A4, Downgraded to A3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to B3 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to C (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M6, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M7, Downgraded to C (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2004-2 -- Cl. M2, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to Ca (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M6, Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2004-4 -- Cl. M1, Downgraded to Caa2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to Ca (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M6, Downgraded to C (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2004-5 -- Cl. M2, Downgraded to A3 (sf); previously on Jun 10, 2004 Assigned Aa2 (sf) -- Cl. M3, Downgraded to B3 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to Caa3 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M6, Downgraded to Ca (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M7, Downgraded to C (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2004-7 -- Cl. M4, Downgraded to Ca (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M6, Downgraded to Ca (sf); previously on April 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M7, Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2004-8 -- Cl. M1, Downgraded to Ba3 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to B3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Ca (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to Ca (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M6, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M7, Downgraded to Ca (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M8, Downgraded to Ca (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2004-9 -- Cl. A2, Downgraded to Aa1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A7, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to B2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Caa3 (sf); previously on April 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C (sf); previously on April 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to C (sf); previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M6, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M7, Downgraded to C (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2004-BNC1 -- Cl. A2, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to C (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to Baa3 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade STRUCTURED ASSET: Moody's Downgrades Ratings on 108 Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 108 tranches from 16 Alt-A deals issued by Structured Asset Securities Corp Trust. The collateral backing these deals primarily consists of first-lien, fixed rate Alt-A residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. . Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. 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 levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Structured Asset Securities Corp 2002-23XS -- Cl. A7, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Caa3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C (sf); previously on April 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-12XS -- Cl. A5, Downgraded to B2 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C (sf); previously on April 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-18XS -- Cl. A5, Downgraded to B1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. A6, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A7, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Ca (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-25XS -- Cl. A5, Downgraded to B2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. A6, Downgraded to Ba3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ba3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. M1, Downgraded to C (sf); previously on April 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-3XS -- Cl. A8, Downgraded to Baa2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Ca (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2003-28XS -- Cl. A4, Downgraded to Baa2 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to Ba1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ba1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. A6, Downgraded to Baa1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Baa1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. M1, Downgraded to Ca (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C (sf); previously on April 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2003-36XS -- Cl. A5, Downgraded to Baa2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Baa2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. M1, Downgraded to Ca (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C (sf); previously on April 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-11XS -- Cl. 1-A4A, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A4B, Downgraded to Ba2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A5A, Downgraded to Ba3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A5B, Downgraded to Ba3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ba3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Cl. 1-A6, Downgraded to Ba1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ba1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. 1-M1, Downgraded to Ca (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M2, Downgraded to C (sf); previously on April 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Baa2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-M1, Downgraded to Ba3 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-M2, Downgraded to Ca (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-16XS -- Cl. A3A, Downgraded to B3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A3B, Downgraded to B3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. A4A, Downgraded to B3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A4B, Downgraded to B3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Cl. M1, Downgraded to C (sf); previously on April 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C (sf); previously on April 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-17XS -- Cl. A3A, Downgraded to B3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade* -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A3B, Downgraded to B3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A4A, Downgraded to B3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade* -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A4B, Downgraded to B3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C (sf); previously on April 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-19XS -- Cl. A3A, Downgraded to Baa2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A3B, Downgraded to Ba2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A3C, Downgraded to Ba1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to Ba2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A6A, Downgraded to Ba1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A6B, Downgraded to Baa2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A6C, Downgraded to Ba2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C (sf); previously on April 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C (sf); previously on April 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-21XS -- Cl. 1-A4, Downgraded to B2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. 1-A5, Downgraded to B2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to A3 (sf); previously on Feb. 14, 2005 Assigned Aaa (sf) -- Cl. 2-A4A, Downgraded to Baa2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A4B, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A5A, Downgraded to Baa2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A5B, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A6A, Downgraded to Baa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A6B, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-23XS -- Cl. 1-A3A, Downgraded to B2 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A3B, Downgraded to Caa1 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A3C, Downgraded to B3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A3D, Downgraded to B3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to B2 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to B3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to B3 (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to Caa1 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C (sf); previously on April 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-4XS -- Cl. 1-A3A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A3B, Downgraded to Baa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A5, Downgraded to Baa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A6, Downgraded to Baa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. 1-M1, Downgraded to B3 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M2, Downgraded to C (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to B3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-M1, Downgraded to C (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-6XS -- Cl. A3, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A5A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A5B, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A6, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to B3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C (sf); previously on April 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C (sf); previously on April 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-9XS -- Cl. 2A1, Downgraded to Baa2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A4A, Downgraded to B2 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A4B, Downgraded to B2 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A4C, Downgraded to B2 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A4D, Downgraded to B2 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A5, Downgraded to B3 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. 1-A6, Downgraded to B2 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B2 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- Cl. 1-M1, Downgraded to C (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M2, Downgraded to C (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-M1, Downgraded to Caa1 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-M2, Downgraded to C (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade STRUCTURED ASSET: Moody's Downgrades Ratings on 109 Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 109 tranches and confirmed the ratings of 43 tranches from 19 Alt-A deals issued by Structured Asset Securities Corp. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Alt-A residential mortgages. Moody's Investors Service has also withdrawn the ratings of 4 tranches from Structured Asset Sec Corp 2001-9. These tranches are backed by a pool of mortgage loans with pool factor less than 5% and containing fewer than 40 loans. Ratings Rationale The actions are a result of deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior to 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Moody's current RMBS surveillance methodologies apply to pools with at least 40 loans and a pool factor of greater than 5%. As a result, Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). Moody's published credit rating methodologies allow for the withdrawal of the credit rating if the size of the pool outstanding at the time of the withdrawal has fallen below a specified level. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are as follows: Issuer: Structured Asset Sec Corp 2001-9 -- Cl. 3-AP, Withdrawn (sf); previously on June 29, 2001 Assigned Aaa (sf) -- Cl. 4-AP, Withdrawn (sf); previously on June 29, 2001 Assigned Aaa (sf) -- Cl. 5-AP, Withdrawn (sf); previously on June 29, 2001 Assigned Aaa (sf) -- Cl. 6-AP, Withdrawn (sf); previously on June 29, 2001 Assigned Aaa (sf) Issuer: Structured Asset Securities Corp 2002-11A -- Cl. 1-A1, Downgraded to A3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to A3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Confirmed at Baa3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A3, Confirmed at Baa3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Confirmed at Baa3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Baa3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B1-I, Downgraded to Ba1 (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B1-I-X, Downgraded to Ba1 (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B1-II, Downgraded to Caa3 (sf); previously on April 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B2-I, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B2-I-X, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B2-II, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to C (sf); previously on April 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2002-13 -- Cl. AP, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AX, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PAX, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2002-21A -- Cl. 1-A1, Downgraded to Ba3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to Ba3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Confirmed at Aa2 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A1, Confirmed at Aa2 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B1-I-X, Downgraded to B2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B2-I, Downgraded to C (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B2-I-X, Downgraded to C (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B1-II, Downgraded to Baa3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to C (sf); previously on April 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B1-I, Downgraded to B2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B2-II, Downgraded to Caa2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2002-22H -- Cl. 1-A, Downgraded to B2 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-AX, Downgraded to B2 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to B1 (sf); previously on April 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2002-25A -- Cl. 1-A1, Downgraded to B1 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to A1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to A1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to A1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B1-I, Downgraded to B2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B1-II, Downgraded to Baa2 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B1-I-X, Downgraded to B2 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B2-I, Downgraded to B2 (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B2-II, Downgraded to B2 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B2-I-X, Downgraded to B2 (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- B-3, Downgraded to C (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2002-5A -- Cl. 1-A1, Downgraded to Aa2 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to A1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to A1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-1 -- Cl. 3-A1, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A1, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A3, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-AX, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AP, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AX, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-10 -- Cl. A, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AP, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AX, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-15A -- Cl. 1-A, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Aa3 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-20 -- CL. 1-A1, Downgraded to A1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- CL. 1-AX, Downgraded to A1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- CL. 1-PAX, Downgraded to A1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- CL. 1-AP, Downgraded to A1 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to A1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to A1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to A1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A4, Downgraded to A1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A5, Downgraded to A1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-AP, Downgraded to A1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to A1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-PAX, Downgraded to A1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-AP, Downgraded to A1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. AX, Downgraded to A1 (sf); previously on April 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-2A -- Cl. 1-A1, Downgraded to B3 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B1-I, Downgraded to C (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B1-I-X, Downgraded to C (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B1-II, Downgraded to Caa3 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B2-I, Downgraded to C (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B2-I-X, Downgraded to C (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B2-II, Downgraded to C (sf); previously on April 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to C (sf); previously on April 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-6A -- Cl. 1-A1, Confirmed at A1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Confirmed at A3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Confirmed at A3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Confirmed at A3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2, Confirmed at A3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A1, Confirmed at A3 (sf); previously on April 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-8 -- Cl. 1-A2, Downgraded to Aa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to Aa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A5, Downgraded to Aa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-AX, Downgraded to Aa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-AP, Downgraded to Aa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A3, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A4, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A5, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A6, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A7, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A8, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A9, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A10, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A11, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-AX, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-PAX, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-AP, Confirmed at Aaa (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-9A -- Cl. 1-A1, Confirmed at B3 (sf); previously on April 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Confirmed at Baa1 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Confirmed at Baa1 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A3, Confirmed at Baa1 (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2003-17A -- Cl. 1-A, Downgraded to B3 (sf); previously on April 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to A2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to A2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to A2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to A2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to A2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A3, Downgraded to A2 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to A2 (sf); previously on April 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2003-22A -- Cl. 1-A, Confirmed at A1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Confirmed at Aa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Confirmed at A1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Confirmed at A1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2003-24A -- Cl. 1-A1, Downgraded to Baa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Baa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to Baa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Baa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Baa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Baa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Baa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Baa1 (sf); previously on April 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2003-26A -- Cl. 1-A, Confirmed at A2 (sf); previously on April 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Baa1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Baa1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A5, Downgraded to Baa1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Baa1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Baa1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to Baa1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A, Downgraded to Baa1 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2003-31A -- Cl. 1-A, Downgraded to A3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to A3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A7, Downgraded to A3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to A3 (sf); previously on April 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade SVG DIAMOND: S&P Downgrades Ratings on Five Tranches ---------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on five tranches from SVG Diamond Private Equity II PLC. S&P affirmed the ratings on two tranches and removed all of the ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on five tranches from SVG Diamond Private Equity PLC and removed them CreditWatch negative. Both transactions are private equity collateralized fund obligations backed by a diversified pool of limited partnership interests in private equity funds. S&P last lowered its ratings on SVG Diamond Private Equity II PLC on Dec. 8, 2010, and left them on CreditWatch negative to be monitored for developments. The value of the assets increased slightly since then, as was reflected in the transaction's net asset value of its preferred equity share. As of the end of January 2011, the trustee reported that the NAV equaled 44% of its original value, which is up from 40% at the end of October 2010. Notwithstanding the recent improvement in the transaction's NAV, S&P believes that the credit support to the junior tranches (class B and lower) has declined. Typically, a private equity CFO needs cash flow liquidity to pay senior fees, expenses, interest and principal on the liabilities (when due) and to fund unfunded capital commitments when called by the underlying fund managers. SVG Diamond Private Equity II PLC's available liquidity facilities and existing cash assets continue to be under stress, even though they have improved since October 2010. As a result of its deteriorating cash position, in January 2011 the transaction drew EUR2.39 million from its liquidity facility line for the first time. In addition, class C and M tranches have been deferring their interest since their last payment in September 2009. The transaction continues to fail some of the key performance tests such as the gearing test (the ratio of assets minus liabilities divided by the total commitments) and subordination test, albeit some by a lower margin than before. For those reasons, S&P downgraded the junior tranches to reflect its view and removed them from CreditWatch. S&P affirmed its ratings on the senior classes (A-1 and A-2, pari passu) and removed them from CreditWatch based on its view that the existing subordination levels and available cash flow sources are sufficient to make the scheduled payments and repay these notes at their current rating levels. S&P affirmed its ratings on the five tranches from SVG Diamond Private Equity I PLC and removed them from CreditWatch because the transaction continues to pass all key tests, and their results have improved since October 2010. The transaction's cash and liquidity levels are, in S&P's opinion, acceptable at these rating levels. In addition, the transaction's reported NAV as of the end of January 2011 was higher than when it was last reported in October 2010. Standard & Poor's will continue to monitor the CFO transactions it rates and take rating actions, including CreditWatch placements, when appropriate. Ratings Lowered And Removed From Creditwatch Negative SVG Diamond Private Equity II PLC Rating ------ Class To From ----- -- ---- B-1 BB+ (sf) BBB (sf)/Watch Neg B-2 BB+ (sf) BBB (sf)/Watch Neg C B (sf) BB (sf)/Watch Neg M-1 CCC (sf) B (sf)/Watch Neg M-2 CCC (sf) B(sf)/Watch Neg Ratings Affirmed And Removed On Creditwatch Negative SVG Diamond Private Equity II PLC Rating ------ Class To From ----- -- ----- A-1 A (sf) A (sf)/Watch Neg A-2 A (sf) A (sf)/Watch Neg SVG Diamond Private Equity PLC Rating ------ Class To From ----- -- ----- A-1 AA (sf) AA (sf)/Watch Neg A-2 AA (sf) AA (sf)/Watch Neg B-1 AA (sf) AA (sf)/Watch Neg B-2 AA (sf) AA (sf)/Watch Neg C A (sf) A (sf)/Watch Neg TALCOTT NOTCH: Fitch Affirms 'Csf/RR2' Rating to Class B-2L Notes ----------------------------------------------------------------- Fitch Ratings has affirmed one class of notes issued by Talcott Notch CBO I, Ltd/Corp.: -- $5,223,727 class B-2L notes at 'Csf/RR2'. The affirmation of the class B-2L notes at their current rating level is the result of Fitch's expectations that available proceeds will be insufficient to redeem the $5.2 million principal balance and approximately $8.2 million interest shortfall balance due to the notes at the scheduled maturity in October 2011. This transaction was analyzed using projected recovery estimates on the distressed and unrated collateral in line with the Portfolio Credit Model's assumptions for default and recovery. Additionally, an asset by asset analysis was performed for the remaining assets to determine the collateral available to pay the notes. Fitch also affirmed the Recovery Rating of these notes to indicate the expectation that the notes are expected to recover between 71% and 90% of the current principal and interest due, consistent with an 'RR2'. Recovery Ratings are designed to provide a forward- looking estimate of recoveries on currently distressed or defaulted structured finance securities. Distressed securities are defined as bonds that face a real possibility of default at or prior to maturity and by definition are rated 'CCC' or below. For further detail on Recovery Ratings, please see Fitch's report 'Global Rating Criteria for Corporate CDOs'. Talcott CBO I is a collateralized bond obligation that closed Oct. 20, 1999, and is managed by General Re-New England Asset Management, Inc. Payments are made semi-annually in April and October and the reinvestment period ended in October 2003. The scheduled maturity date is in October 2011. TERWIN MORTGAGE: Moody's Downgrades Ratings on 41 Tranches ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 41 tranches from 10 Subprime deals issued by Terwin. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. 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 Assured Guaranty Municipal Corporation are rated at their underlying rating without consideration of Assured Guaranty Municipal's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Terwin Mortgage Trust, Series TMTS 2003-4HE -- Cl. A-1, Downgraded to Aa1 (sf); previously on Nov 21, 2003 Assigned Aaa (sf) -- Cl. A-3, Downgraded to Aa1 (sf); previously on Nov 21, 2003 Assigned Aaa (sf) -- Cl. M-1, Downgraded to B3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Terwin Mortgage Trust, Series TMTS 2003-6HE -- Cl. A-1, Downgraded to Aa2 (sf); previously on Dec 23, 2003 Assigned Aaa (sf) -- Cl. A-3, Downgraded to Aa2 (sf); previously on Dec 23, 2003 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ba3 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on April 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Terwin Mortgage Trust, Series TMTS 2003-8HE -- Cl. A, Downgraded to A1 (sf); previously on May 28, 2004 Assigned Aaa (sf) -- Cl. S, Downgraded to A1 (sf); previously on May 28, 2004 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ba1 (sf); previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Terwin Mortgage Trust, Series TMTS 2004-11HE -- Cl. A, Downgraded to Aa3 (sf); previously on April 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) Issuer: Terwin Mortgage Trust, Series TMTS 2004-19HE -- Cl. A-1, Downgraded to Aa3 (sf); previously on Nov. 23, 2008 Downgraded to Aa2 (sf) -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) Issuer: Terwin Mortgage Trust, Series TMTS 2004-1HE -- Cl. M-1, Downgraded to Baa2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on April 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Terwin Mortgage Trust, Series TMTS 2004-21HE -- Cl. 2-A-1, Downgraded to Aa3 (sf); previously on Nov. 23, 2008 Downgraded to Aa1 (sf) -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) -- Cl. 2-A-3, Downgraded to Aa3 (sf); previously on Nov. 23, 2008 Downgraded to Aa1 (sf) -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) Issuer: Terwin Mortgage Trust, Series TMTS 2004-3HE -- Cl. M-1, Downgraded to A1 (sf); previously on May 26, 2004 Assigned Aa2 (sf) -- Cl. M-1-X, Downgraded to A1 (sf); previously on May 26, 2004 Assigned Aa2 (sf) -- Cl. M-2, Downgraded to Caa1 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2-X, Downgraded to Caa1 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3-X, Downgraded to Caa3 (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Terwin Mortgage Trust, Series TMTS 2004-5HE -- Cl. M-1, Downgraded to Baa3 (sf); previously on Aug 9, 2004 Assigned Aa2 (sf) -- Cl. M-1-X, Downgraded to Baa3 (sf); previously on Aug 9, 2004 Assigned Aa2 (sf) -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2-X, Downgraded to Ca (sf); previously on April 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on April 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on April 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Terwin Mortgage Trust, Series TMTS 2004-9HE -- Cl. A-1, Downgraded to Aa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) -- Cl. A-3, Downgraded to Aa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov. 12, 2009) TIERS BRISBANE: Moody's Confirms 'Caa3' Rating to US$75 Mil. Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has confirmed the rating on the certificates issued by TIERS Brisbane Floating Rate Credit Linked Trust, Series 2007-34, a synthetic collateralized debt obligation transaction referencing a portfolio of corporate loans. Issuer: TIERS Brisbane Floating Rate Credit Linked Trust, Series 2007 -- US$75,000,000 Floating Rate Credit Linked Trust Certificates Notes, Confirmed at Caa3; previously on May 14, 2010 Caa3 Placed Under Review for Possible Upgrade Rating Rationale The rating was placed on review for possible upgrade on May 14, 2010, after the Caa2 insurance financial strength rating of Ambac Assurance Corporation was placed on review for possible upgrade on March 26, 2010. The review was resolved on November 23, 2010, by confirming the rating of AAC at Caa2, rating outlook developing. AAC acts as Guarantor under the Investment Agreement in the transaction. The credit risk from the reference portfolio on the rated tranche is negligible compared to the credit risk from the Investment Agreement securing the repayment of the certificates. Moody's analysis assumes a very high severity on the certificates in case of a default of AAC under the GIC, in part due to a CDS termination payment that could potentially be paid by the Trust in priority to the certificates holders. There is 1.55 years remaining until the CSO's final maturity. 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 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. TOYS R: Moody's Downgrades Ratings on Two Classes of Certs. ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these certificates issued by Corporate Backed Trust Certificates, Toys "R" Us Debenture-Backed Series 2001-31: -- US$13,090,000 Class A-1 Certificates due September 1, 2021; Downgraded to B3; Previously on November 15, 2010 Confirmed at B2 -- US$13,090,000 Notional Amount of 1.00% Interest-Only Class A- 2 Certificates due September 1, 2021; Downgraded to B3; Previously on November 15, 2010 Confirmed at B2 Ratings Rationale The transaction is a structured note whose ratings are based on the rating of the Underlying Securities and the legal structure of the transaction. The rating actions are a result of the change of the rating of the underlying securities which are the $13,090,000 8.75% Debentures due September 1, 2021 issued by Toys "R" Us, Inc. which were downgraded to B3 by Moody's on March 7, 2011. TRIBUNE LTD: S&P Raises Rating on Palm2005SS Notes to 'BB' ---------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class Palm2005SS notes from Tribune Ltd.'s series 25, a synthetic collateralized debt obligation transaction, to 'BB (sf)' from 'B+ (sf)' and removed it from CreditWatch with positive implications. The transaction has step-up triggers through its life where the subordination available to the rated class increases each year. S&P reviewed the transaction and raised the rating because the tranche had enough cushion at the next higher rating category. TRITON AVIATION: Moody's Downgrades Ratings on Class A-1 to 'Caa1' ------------------------------------------------------------------ Moody's Investors Service has downgraded one class of pooled aircraft lease-backed notes issued by Triton Aviation Finance. The sponsor is Triton Aviation Limited. The complete rating action is: Issuer: Triton Aviation Finance -- Class A-1, Downgraded to Caa1 (sf); previously on Dec. 17, 2010 B1 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The Notes were downgraded because of note balances which appear to exceed aircraft value, and Moody's view that values are unlikely to rebound significantly because the aircraft are older and in less demand. At closing in 2000 the notes were backed by a pool of 51 aircraft. As of February 2011 the portfolio had 41 aircraft, with a recent average appraised base value of approximately $187 million. The remaining portfolio is comprised of all old-vintage aircraft which have experienced accelerated decline in demand and lease rates as a result of the global recession. Currently seven aircraft in the pool are off-lease with an additional thirteen aircraft under leases that are scheduled to expire before December 31, 2011. Given the lower desirability of the aircraft in the remaining pool compared with their newer generation counterparts Moody's expect future cash flows generated by the pool to remain weak, with limited prospect for rebound even as the global economic recovery continues. In assessing value, Moody's considered two sources, the most recent base appraised value, and indicative market value by type according to another ISTAT certified independent appraiser. Base value is the underlying economic value of an aircraft in a stable market environment with a balanced supply and demand. Market value is the most likely trading price under the current market circumstances. Due to the sharply reduced demand in the old vintage aircrafts, the market value is significantly lower than the base value for this portfolio. The current LTV ration of the Class A-1 is approximately 95%, using the base value, while the LTV calculated using the market value is significantly higher; both indicate the distinct possibility that noteholders may suffer a loss. Moody's also considered the portfolio rental income. The principal retirement from lease revenue continues to be low. The average rental income and principal payment was approximately $2.8 million per month in the last two quarters, as compared to a current remaining balance of $177 million, which suggests a repayment period which is quite lengthy given the age of the aircraft. Moody's Investors Service received and took into account third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a negative impact on the rating. TY COBB: Fitch Affirms Ratings on Hospital Revenue Bonds at 'BB-' ----------------------------------------------------------------- As part of its continuous surveillance process, Fitch Ratings has affirmed the rating on these bonds issued on behalf of Ty Cobb Healthcare System, at 'BB-': -- $12.5 million Hospital Authority of the City of Royston revenue anticipation certificates, series 1999. The Rating Outlook is Stable. Rating Rationale: -- Supporting the 'BB-' rating is Ty Cobb's favorable liquidity position of $32.3 million of unrestricted cash and investments, which equates to 221.5 days cash on hand (DCOH), a 17.1 times cushion ratio, and 139.2% cash to debt. Fitch views Ty Cobb's balance sheet as the borrower's primary credit strength. -- Fitch's primary credit concerns include Ty Cobb's deteriorating financial performance, declining patient volumes in a weak service area, and poor historical debt service coverage. -- Ty Cobb's progress in consolidating the organization's services into one facility is a positive rating factor; however, the new facility is not expected to open until the spring of 2012. -- Located in northeast Georgia and operating in Hart and Franklin counties, Ty Cobb's two facilities have a high percentage of revenue coming from governmental payors and self-pay, which Fitch views unfavorably. Additionally, the service area is hampered by high unemployment and below average socioeconomic indicators compared against state and national averages. Key Rating Drivers: -- Continued negative operating performance and significant decline in liquidity indicators may cause negative rating pressure. -- Hospital consolidation of acute care services is viewed positively by Fitch but current utilization trends signal outmigration, which continues to pressure operations. Security: The bonds are secured by a pledge of gross revenues, property, and equipment. Credit Summary: The rating affirmation at 'BB-' is based primarily on Ty Cobb's strong balance sheet and solid market position in the primary service area. An additional credit positive is management's plan to eventually move into a new hospital located in Lavonia, GA. Credit concerns include the organization's continued poor operating performance, declining patient utilization trends, lack of capital investment at the organization's current facilities, and weak historical debt service coverage. Ty Cobb's balance sheet remains very strong as the system had 221.5 DCOH, a 17.1x cushion ratio, and 139.2% cash to debt through December 2010. Fitch also views favorably the fact that management will eventually be consolidating acute care hospital operations once the new hospital opens, which is expected in the spring of 2012. However, management noted that construction for the new facility was impacted due to unfavorable winter weather, but is confident that the facility will open on time. At Dec. 31, 2010 (unaudited), Ty Cobb recorded a $5.3 million loss from operations and lost $1.8 million in operating EBIDTA cash flow, which translated into a negative 9.3% operating margin and negative 3.2% operating EBITDA margin. Both measures compare unfavorably against Fitch's 'BB' rated peer group. The operating losses continue to be driven by weak patient utilization, which is impacted by patient outmigration and the poor performing economy in Ty Cobb's service area. With the lack of financial resources, management has not made any significant capital investments in either of the organization's two acute care facilities over the past two fiscal years and has no plans to do so with the new hospital construction. While Fitch understands the rationale behind the lack of recent capital investment Fitch would expect the lack of capital investment to have a negative impact on patient utilization if new hospital construction is further delayed. The Stable Outlook is primarily due to Ty Cobb's strong balance sheet for the rating level. Any significant deterioration to liquidity metrics may cause negative rating pressure. However, management has indicated to Fitch the intention to redeem the remainder of the series 1999 bonds in July 2011. Fitch will continue to monitor the bonds and take appropriate action as necessary. Ty Cobb Healthcare System consists of two hospitals (153 operated beds) and three long-term care facilities (350 operated beds). The two hospitals hold a dominant inpatient market share of approximately 65%-68% of admissions in the service area. In 2010 (unaudited) the system had $58.2 million in total operating revenue. DISCLOSURE: There is no covenant to regularly disseminate disclosure information in their bonds documents, but management does disclose to EMMA on a quarterly and year-end basis. VERTICAL MILLBROOK: Moody's Affirms Ratings on Two Note Classes --------------------------------------------------------------- Moody's has affirmed two classes of notes issued by Vertical Millbrook. Two transactions are affected: Vertical Millbrook 2007-1 - Series 56 (Series 56) and Vertical Millbrook 2007-1 - Series 57 (Series 57). The key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation are all within levels commensurate with the existing ratings levels The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Moody's prior full review is summarized in a press release dated February 10, 2010. Moody's rating action is: Issuer: Vertical Millbrook 2007-1 - Series 56 -- US$90,000,000 Class A-1 Variable Floating Rate Credit- Linked Notes Due October 12, 2052, Affirmed at Ca (sf); previously on Feb. 10, 2010 Downgraded to Ca (sf) Issuer: Vertical Millbrook 2007-1 - Series 57 -- US$40,000,000 Class A-1A Veriable Rate Credit-Linked Notes due August 25, 2037, Affirmed at Ca (sf); previously on Feb. 10, 2010 Downgraded to Ca (sf) The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. WACHOVIA BANK: Moody's Downgrades Ratings on Four 2004-C14 Certs. ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of four classes and affirmed 17 classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2004- C14: -- Cl. A-2, Affirmed at Aaa (sf); previously on Sept. 15, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Sept. 15, 2004 Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Sept. 15, 2004 Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Sept. 15, 2004 Assigned Aaa (sf) -- Cl. B, Affirmed at Aa2 (sf); previously on Sept. 15, 2004 Definitive Rating Assigned Aa2 (sf) -- Cl. C, Affirmed at Aa3 (sf); previously on Sept. 15, 2004 Definitive Rating Assigned Aa3 (sf) -- Cl. D, Affirmed at A2 (sf); previously on Sept. 15, 2004 Definitive Rating Assigned A2 (sf) -- Cl. E, Affirmed at A3 (sf); previously on Sept. 15, 2004 Definitive Rating Assigned A3 (sf) -- Cl. F, Affirmed at Baa1 (sf); previously on Sept. 15, 2004 Definitive Rating Assigned Baa1 (sf) -- Cl. G, Affirmed at Baa2 (sf); previously on Sept. 15, 2004 Definitive Rating Assigned Baa2 (sf) -- Cl. H, Affirmed at Baa3 (sf); previously on Sept. 15, 2004 Definitive Rating Assigned Baa3 (sf) -- Cl. J, Affirmed at Ba1 (sf); previously on Sept. 15, 2004 Definitive Rating Assigned Ba1 (sf) -- Cl. K, Affirmed at Ba2 (sf); previously on Sept. 15, 2004 Definitive Rating Assigned Ba2 (sf) -- Cl. L, Downgraded to B1 (sf); previously on Sept. 15, 2004 Definitive Rating Assigned Ba3 (sf) -- Cl. M, Downgraded to B3 (sf); previously on Sept. 15, 2004 Definitive Rating Assigned B1 (sf) -- Cl. N, Downgraded to Caa1 (sf); previously on Sept. 15, 2004 Definitive Rating Assigned B2 (sf) -- Cl. O, Downgraded to Caa2 (sf); previously on Sept. 15, 2004 Definitive Rating Assigned B3 (sf) -- Cl. X-P, Affirmed at Aaa (sf); previously on Sept. 15, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X-C, Affirmed at Aaa (sf); previously on Sept. 15, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. MAD, Affirmed at Aaa (sf); previously on May 4, 2007 Upgraded to Aaa (sf) -- Cl. PP, Affirmed at B2 (sf); previously on March 25, 2010 Downgraded to B2 (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 higher credit quality dispersion. 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 2.6% of the current balance. At last full review, Moody's cumulative base expected loss was 1.7%. Moody's stressed scenario loss is 10.0% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 19 compared to 35 at Moody's prior full review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities 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 4, 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 6 months. Deal Performance As of the February 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 20% to $875.6 million from $1.1 billion at securitization. The Certificates are collateralized by 67 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans representing 57% of the pool. Six loans, representing 12% of the pool, have defeased and are collateralized with U.S. Government securities, compared to 10% at last review. One loan, representing 15% of the pool, has an investment grade credit estimate. At last full review, the Independence Plaza Loan had an investment grade credit estimate. The loan has since matured and is no longer part of the pool. Fifteen 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. Three loans have been liquidated from the pool since securitization, resulting in an aggregate $1.7 million loss (11% loss severity on average). Currently 3 loans, representing 7% of the pool, are in special servicing. The master servicer has recognized an aggregate $6.4 million appraisal reduction for 2 of the specially serviced loans. Moody's has estimated an aggregate loss of $11 million (52% expected loss on average) for all of 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 $1.9 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% and 84% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 92% compared to 94% at last full review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCR is 1.32X and 1.08X, compared to 1.05X and 1.05X, respectively, 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 Park Place Mall Loan ($134.4 million -- 15.1% of the pool), which is secured by a 1.0 million square foot (SF) regional mall located in Tucson, Arizona. The mall is anchored by Sears, Dillard's and Macy's. Property performance has been stable since securitization with occupancy at 99% compared to 92% at last review. The property is also encumbered by a $38.4 million B Note which serves as the collateral for non-pooled Class PP. Moody's credit estimate and stressed DSCR are Baa3 and 1.39X, respectively, compared to Baa3 and 1.25X at last review. The top three performing conduit loans represent 22% of the pool balance. The largest loan is the BJB Portfolio II Loan ($91.6 million -- 10.3% of the pool), which originally consisted of 10 cross-collateralized loans secured by multifamily properties located in Chicago, Illinois. Four out of the ten loans have matured and have been paid off, leaving six loans remaining. Five of the six remaining loans are currently on the master servicer's watchlist due to an upcoming their anticipated repayment date (ARD) of May 11, 2011. The loan has paid down 14% since last full review. Property performance remains stable. Moody's LTV and stressed DSCR are 75% and 1.16X, respectively, compared to 99% and 0.87X at last full review. The second largest loan is the 444 North Michigan Avenue Loan ($71.5 million -- 8% of the pool), which is secured by a 511,000 SF office property located in Chicago, Illinois. The property was 76% leased as of September 2010, compared to 86% at last review. Performance has declined due to an increase in vacancy in occupancy to 76% as of September 2010. This loan is currently on the master servicer's watchlist due to a low DSCR. Moody's LTV and stressed DSCR are 127% and 0.77X, respectively, compared to 117% and 0.85X at last full review. The third largest loan is the FBI Field Office Loan ($38.9 million -- 4.4% of the pool), which is secured by a 156,000 SF Class A office property located approximately seven miles northwest of Baltimore in Woodlawn, Maryland. The property is 100.0% occupied by the FBI through July 2014. The loan transferred into special servicing in February 2010 due to the parent of the borrower filing for Chapter 11. Bankruptcy filings have concluded and the loan is pending return to the master servicer. The loan has paid down 5% since last full review. Moody's LTV and stressed DSCR are 88% and 1.14X, respectively, compared to 89% and 1.12X at last review. WACHOVIA BANK: S&P Downgrades Ratings on 2007-WHALE8 Certs. to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on the class J and K commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust's series 2007-WHALE8 to 'D (sf)' from 'CCC- (sf)'. The downgrades reflect interest shortfalls S&P determined are recurring primarily due to special servicing fees and other related expenses for the real estate owned Four Seasons Nevis asset. Although the accumulated interest shortfalls on class J were partially repaid according to the Feb. 17, 2011 trustee remittance report, classes J and K have had accumulated interest shortfalls outstanding for 13 months. S&P expects the interest shortfalls to the class J and K certificates will be outstanding for the foreseeable future. S&P previously lowered its ratings on the transaction's class L and "FSN" raked certificates to 'D (sf)' on Dec. 4, 2009, due to recurring interest shortfalls from special servicing fees related to this asset. The Four Seasons Nevis asset, a 196-room full-service hotel in Charlestown, Nevis, West Indies, has a senior pooled balance of $51.0 million (3.1% of the pooled trust balance according to the February 2011 trustee remittance report), a $7.4 million subordinate nonpooled component that supports the "FSN" raked certificates, and nontrust junior participation interests totaling $68.3 million held by three different investors. The property became REO on May 27, 2010. The hotel incurred significant flood damage from Hurricane Omar on Oct. 16, 2008. The special servicer, Wells Fargo Bank N.A., informed us that the renovation work has been completed, and the hotel reopened on Dec. 15, 2010. Wells Fargo stated that it plans to stabilize the property before marketing it for sale. An appraisal reduction amount of $6.2 million is in effect against the total trust exposure of $96.4 million. Ratings Lowered Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2007-WHALE8 Rating ------ Class To From ----- -- ---- J D (sf) CCC- (sf) K D (sf) CCC- (sf) WACHOVIA COMMERCIAL: Moody's Upgrades Ratings on Two 2002-C1 Notes ------------------------------------------------------------------ Moody's Investors Service upgraded the ratings of two classes and affirmed 12 classes of Wachovia Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2002-C1: -- Cl. A-3, Affirmed at Aaa (sf); previously on May 23, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on May 23, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Feb. 8, 2006 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on April 12, 2007 Upgraded to Aaa (sf) -- Cl. D, Affirmed at Aaa (sf); previously on April 12, 2007 Upgraded to Aaa (sf) -- Cl. E, Affirmed at Aaa (sf); previously on Sept. 25, 2008 Upgraded to Aaa (sf) -- Cl. F, Upgraded to Aa1 (sf); previously on Sept. 25, 2008 Upgraded to Aa2 (sf) -- Cl. G, Upgraded to A1 (sf); previously on April 12, 2007 Upgraded to A2 (sf) -- Cl. H, Affirmed at Baa1 (sf); previously on April 12, 2007 Upgraded to Baa1 (sf) -- Cl. J, Affirmed at Ba1 (sf); previously on April 12, 2007 Upgraded to Ba1 (sf) -- Cl. K, Affirmed at Ba2 (sf); previously on April 12, 2007 Upgraded to Ba2 (sf) -- Cl. M, Affirmed at B2 (sf); previously on May 23, 2002 Definitive Rating Assigned B2 (sf) -- Cl. N, Affirmed at B3 (sf); previously on May 23, 2002 Definitive Rating Assigned B3 (sf) -- Cl. IO-I, Affirmed at Aaa (sf); previously on May 23, 2002 Definitive Rating Assigned Aaa (sf) Ratings Rationale The upgrades are due to an increase in subordination from payoffs and amortization and an increase in defeasance. The pool has paid down 33% since securitization and 21% since last review. 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 3.2% of the current balance. At last review, Moody's cumulative base expected loss was 1.7%. Moody's stressed scenario loss is 7.3% 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 56 compared to 77 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 April 12, 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 February 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 33% to $636.6 million from $950.0 million at securitization. The Certificates are collateralized by 119 mortgage loans ranging in size from less than 1% to 3% of the pool, with the top ten loans representing 22% of the pool. The pool includes 23 loans, representing 23% of the pool, that have been fully defeased and are secured by U.S. Government securities. Defeasance accounted for 20% of the pool at last review. Twenty-eight 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 a realized loss of $3.7 million (15% loss severity on average). There are three loans, representing 5% of the pool, in special servicing. The servicer recognized a $2.5 million appraisal reduction for one of the specially serviced loans, the Dana Corporation -- Rochester Hills Loan ($6.9 million -- 1% of the pool). Moody's has estimated a $3.4 million loss for this loan. The other two specially serviced loans mature in the next nine months. Both loans have a debt yield in excess of 10% based on the most recently available net operating income. Moody's believes both loans are refinance candidates and is not estimating a loss for them. Moody's has assumed a high default probability for seven poorly performing loans representing 6% of the pool and has estimated an aggregate $8.8 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 86% of the pool's non-defeased loans, respectively. Excluding specially serviced, troubled and defeased loans, Moody's weighted average LTV is 76% compared to 82% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Excluding specially serviced, troubled and defeased loans, Moody's actual and stressed DSCRs are 1.37X and 1.38X, respectively, compared to 1.33X and 1.25X 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 8% of the pool balance. The largest loan is the Broadmoor Towne Center Loan ($17.0 million -- 2.7% of the pool), which is secured by a 173,000 square foot community shopping center located in Colorado Springs, Colorado. Although the loan is current, it is on the watchlist due to upcoming lease expirations. However, all tenants with upcoming lease expirations have either renewed or been replaced and the center is 100% leased as of December 2010. Moody's LTV and stressed DSCR is 74% and 1.38X, respectively, compared to 80% and 1.29X at last review. The second largest loan is the 215 East 23rd Street Loan ($16.0 million -- 2.5% of the pool), which is secured by a 74-unit Class A multifamily property with street level retail located in the Gramercy Park area of New York City. The property is 100.0% leased to the School of Visual Arts for a 10-year term and is used by the school as student housing. Moody's LTV and stressed DSCR is 52% and 1.66X, respectively, compared to 61% and 1.43X at last review. The third largest loan is the Maine Crossing Loan ($15.7 million - - 2.5% of the pool), which is secured by a 149,000 SF retail center located in South Portland, Maine. The property is shadow anchored by Target. Although Maine Mall, a 1 million SF regional mall, is the dominant mall in the trade area the subject property has performed well. Moody's current LTV and stressed DSCR are 74% and 1.39X, compared to 101% and 1.01X at last review. WAMU MORTGAGE: Moody's Downgrades Ratings on 11 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 11 tranches issued by WaMu Mortgage Pass-Through Certificates, Series 2004-CB4 transaction. The collateral backing the deal primarily consists of first-lien, fixed rate Alt-A residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior to 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: WaMu Mortgage Pass-Through Certificates, Series 2004-CB4 -- Cl. I-1-A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-2-A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-1-A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2-A, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-P, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-P, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. C-X, Downgraded to Baa3 (sf); previously on April 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on April 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on April 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade WARNER CHILCOTT: S&P Raises Rating on $1.25B Notes to 'BB' ---------------------------------------------------------- Standard & Poor's Ratings Services said that it assigned its 'BBB-' issue-level rating and '1' recovery rating to Ireland-based Warner Chilcott plc's proposed $3.25 billion senior secured credit facility. At the same time, S&P raised its issue-level rating on the company's existing $1.250 billion senior unsecured notes (issued by its subsidiaries) to 'BB' from 'B+' and revised its recovery rating on the notes to '4' from '6'. In addition, S&P affirmed its 'BB' corporate credit rating on the company. The outlook is stable. "The speculative-grade rating on Warner Chilcott plc reflects Standard & Poor's view that the threat of generic competition to the company's product portfolio in light of limited internal research and development capabilities will result in additional product or company acquisitions over the next one to two years," said Standard & Poor's credit analyst Michael Berrian. S&P also believe, absent any acquisition opportunities, the company could instead increase leverage to pay another substantial dividend. In S&P's view, despite previous use of free operating cash flow to reduce leverage to less than 2x, demands to bolster the company's product portfolio or increase shareholder returns, will likely not sustain that level of leverage over the next 18 to 24 months. Instead, debt-financed acquisitions will likely keep leverage higher, at more than 3x, over that period. As a result, S&P characterizes Warner Chilcott's financial risk profile as significant. Its business risk profile is fair. The acquisition of Procter & Gamble's prescription pharmaceutical business strengthened Warner Chilcott's women's health care franchise with Actonel, for osteoporosis, and provided a new therapeutic category for revenue diversity through Asacol, for ulcerative colitis. Although franchise extensions have extended patent expirations to 2028 and 2021, respectively, the company remains exposed to patent expirations in 2014 and 2013 that could erode sales. In particular, challenges to the existing patent covering Asacol 400mg could accelerate the timing of potential generic threats to that product, while S&P expects the loss of exclusivity in Western Europe for Actonel to result in about $200 million of sales decline in 2011. Additionally, the osteoporosis market is likely to continue to decline in the U.S. as physicians shorten the duration of bisphosphonate therapy due to concerns over side effects. WASHINGTON MUTUAL: Moody's Affirms Ratings on 14 2007-SL2 Certs. ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 14 classes of Washington Mutual Commercial Mortgage Pass-Through Certificates, Series 2007-SL2: -- Cl. A, Affirmed at A1 (sf); previously on Feb. 25, 2010 Downgraded to A1 (sf) -- Cl. A-1A, Affirmed at A1 (sf); previously on Feb. 25, 2010 Downgraded to A1 (sf) -- Cl. X, Affirmed at A1 (sf); previously on Feb. 25, 2010 Downgraded to A1 (sf) -- Cl. B, Affirmed at Baa1 (sf); previously on Feb. 25, 2010 Downgraded to Baa1 (sf) -- Cl. C, Affirmed at Ba1 (sf); previously on Feb. 25, 2010 Downgraded to Ba1 (sf) -- Cl. D, Affirmed at B1 (sf); previously on Feb. 25, 2010 Downgraded to B1 (sf) -- Cl. E, Affirmed at B2 (sf); previously on Feb. 25, 2010 Downgraded to B2 (sf) -- Cl. F, Affirmed at Caa2 (sf); previously on Feb. 25, 2010 Downgraded to Caa2 (sf) -- Cl. G, Affirmed at Ca (sf); previously on Feb. 25, 2010 Downgraded to Ca (sf) -- Cl. H, Affirmed at C (sf); previously on Feb. 25, 2010 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on Feb. 25, 2010 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Feb. 25, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Feb. 25, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Feb. 25, 2010 Downgraded to C (sf) Ratings Rationale 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 6.0% of the current balance. At last review, Moody's cumulative base expected loss was 5.6%. Moody's stressed scenario loss is 17.5% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 268 compared to 296 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 February 25, 2010. 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 January 27, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 12% to $742.8 million from $842.1 million at securitization. This transaction is classified as a small balance CMBS transaction. The Certificates are collateralized by 605 mortgage loans ranging in size from less than 1% to 2% of the pool, with the top ten loans representing 10% of the pool. The pool is characterized by both geographic and property type concentration. Approximately 67% of the pool is located in California and the 49% of the pool is secured by multi-family properties. One hundred-twenty seven 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. Seven loans have been liquidated from the pool since securitization, resulting in an aggregate $3.66 million loss (41% loss severity on average). Currently, there are 34 loans, representing 5.2% of the pool in special servicing. The master servicer has recognized an aggregate $5.7 million for the loans in special servicing. Moody's has estimated an aggregate $17.8 million loss (50% expected loss on average) for the specially serviced loans. Moody's has also assumed a high default probability for 61 poorly performing loans, representing 9% of the pool, and has estimated an aggregate $10.0 million loss (15% expected loss based on a 50% probability default) for the troubled loans. Moody's was provided with full year 2009 operating results for 90% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 101% compared to 118% 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 9.3%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.29X and 1.08X, respectively, compared to 1.20X and 1.0X 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 9.2% stressed rate applied to the loan balance. WASHINGTON MUTUAL: Moody's Affirms Ratings on 14 2007-SL3 Certs. ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 14 classes of Washington Mutual Commercial Mortgage Pass-Through Certificates, Series 2007-SL3: -- Cl. O, Affirmed at C (sf); previously on Feb. 25, 2010 Downgraded to C (sf) -- Cl. A-J, Affirmed at A1 (sf); previously on Feb. 25, 2010 Downgraded to A1 (sf) -- Cl. B, Affirmed at A3 (sf); previously on Feb. 25, 2010 Downgraded to A3 (sf) -- Cl. C, Affirmed at Baa2 (sf); previously on Feb. 25, 2010 Downgraded to Baa2 (sf) -- Cl. D, Affirmed at Ba1 (sf); previously on Feb. 25, 2010 Downgraded to Ba1 (sf) -- Cl. E, Affirmed at Ba2 (sf); previously on Feb. 25, 2010 Downgraded to Ba2 (sf) -- Cl. F, Affirmed at B2 (sf); previously on Feb. 25, 2010 Downgraded to B2 (sf) -- Cl. G, Affirmed at B3 (sf); previously on Feb. 25, 2010 Downgraded to B3 (sf) -- Cl. H, Affirmed at Caa2 (sf); previously on Feb. 25, 2010 Downgraded to Caa2 (sf) -- Cl. J, Affirmed at Caa3 (sf); previously on Feb. 25, 2010 Downgraded to Caa3 (sf) -- Cl. K, Affirmed at Ca (sf); previously on Feb. 25, 2010 Downgraded to Ca (sf) -- Cl. L, Affirmed at C (sf); previously on Feb. 25, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Feb. 25, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Feb. 25, 2010 Downgraded to C (sf) Ratings Rationale Moody's rating action did not address the ratings of Classes A, A- 1A and X, which are all currently rated Aaa, on review for possible downgrade. These classes were placed on review on January 19, 2011. KeyCorp Real Estate Capital Markets, Inc. is the master servicer on this transaction and deposits collection, escrow and other accounts in KeyBank, National Association. Keybank no longer meets Moody's rating criteria for an eligible depository account institution for Aaa and Aa1 rated securities. Moody's is reviewing arrangements that Keybank has proposed, and that it may propose, to migrate the incremental risk indicated by the lower rating of the depository account institution, so as possible to allow classes on review to maintain their current ratings. 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 6.4% of the current balance. At last review, Moody's cumulative base expected loss was 5.9%. Moody's stressed scenario loss is 16.6% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 302 compared to 319 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. 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 February 23, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 10% to $1.16 billion from $1.28 billion at securitization. This transaction is classified as a small balance CMBS transaction. The Certificates are collateralized by 829 mortgage loans ranging in size from less than 1% to 1.5% of the pool, with the top ten loans representing 9% of the pool. The pool is characterized by both geographic and property type concentration. Approximately 68% of the pool is located in California and 49% of the pool is secured by multi-family properties. One hundred-seventy seven 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. Twenty-nine loans have been liquidated from the pool since securitization, resulting in an aggregate $13.97 million loss (43% loss severity on average). Currently, there are 47 loans, representing 5% of the pool in special servicing. The master servicer has recognized appraisal reductions totaling $15.5 million for the specially serviced loans. Moody's has estimated an aggregate $29.3 million loss (50% expected loss on average) for the specially serviced loans. Moody's has also assumed a high default probability for 87 poorly performing loans, representing 11% of the pool, and has estimated an aggregate $18.6 million loss (15% expected loss based on a 50% probability default) for the 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 104% compared to 110% 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 9.7%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.31X and 1.10X, respectively, compared to 1.29X and 1.07X 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 9.2% stressed rate applied to the loan balance. WAVE SPC: Moody's Affirms Ratings on 12 Classes of Notes -------------------------------------------------------- Moody's Investors Service affirmed twelve and downgraded thirteen classes of Notes issued by WAVE SPC due to deterioration in the credit quality of the underlying portfolios as evidenced by an increase in the weighted average rating factor and a decrease in the weighted average recovery rate since Moody's last review. Three transactions are affected: WAVE 2007-1, Ltd., WAVE 2007-2, Ltd. and WAVE 2007-3, Ltd. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Issuer: WAVE 2007-1 -- Cl. A-1, Downgraded to B1 (sf); previously on May 6, 2010 Downgraded to Ba1 (sf) -- Cl. A-2, Affirmed at Caa3 (sf); previously on May 6, 2010 Downgraded to Caa3 (sf) -- Cl. B, Affirmed at Ca (sf); previously on May 6, 2010 Downgraded to Ca (sf) -- Cl. C, Affirmed at Ca (sf); previously on May 6, 2010 Downgraded to Ca (sf) -- Cl. D, Affirmed at Ca (sf); previously on May 6, 2010 Downgraded to Ca (sf) -- US$1,666,666.66 Swap Transaction, Affirmed at Aaa (sf); previously on April 19, 2010 Assigned Aaa (sf) -- US$2,542,766.67 Swap Transaction, Affirmed at Aaa (sf); previously on April 19, 2010 Assigned Aaa (sf) -- US$2,690,833.33 Swap Transaction, Affirmed at Aaa (sf); previously on April 19, 2010 Assigned Aaa (sf) -- US$516,666.67 Swap Transaction, Affirmed at Aaa (sf); previously on April 19, 2010 Assigned Aaa (sf) -- US$595,591.66 Swap Transaction, Affirmed at Aaa (sf); previously on April 19, 2010 Assigned Aaa (sf) -- US$7,819,225 Swap Transaction, Affirmed at Aaa (sf); previously on April 19, 2010 Assigned Aaa (sf) Issuer: WAVE 2007-2 -- Cl. A-1, Downgraded to A1 (sf); previously on Feb. 2, 2010 Downgraded to Aa2 (sf) -- Cl. A-2, Downgraded to Ba1 (sf); previously on May 6, 2010 Downgraded to Baa3 (sf) -- Cl. B, Downgraded to Ba2 (sf); previously on May 6, 2010 Downgraded to Ba1 (sf) -- Cl. C-FL, Downgraded to Ba3 (sf); previously on May 6, 2010 Downgraded to Ba2 (sf) -- Cl. C-FX, Downgraded to Ba3 (sf); previously on May 6, 2010 Downgraded to Ba2 (sf) -- Cl. D-FL, Downgraded to B2 (sf); previously on Feb. 2, 2010 Downgraded to B1 (sf) -- Cl. D-FX, Downgraded to B2 (sf); previously on Feb. 2, 2010 Downgraded to B1 (sf) -- Cl. E-FL, Downgraded to Caa1 (sf); previously on Feb. 2, 2010 Downgraded to B3 (sf) -- Cl. E-FX, Downgraded to Caa1 (sf); previously on Feb. 2, 2010 Downgraded to B3 (sf) Issuer: WAVE 2007-3 -- Cl. A-1, Downgraded to Ba2 (sf); previously on May 6, 2010 Downgraded to Baa2 (sf) -- Cl. A-2, Downgraded to Caa2 (sf); previously on May 6, 2010 Downgraded to Caa1 (sf) -- Cl. B, Downgraded to Caa3 (sf); previously on May 6, 2010 Downgraded to Caa2 (sf) -- Cl. C, Affirmed at Ca (sf); previously on May 6, 2010 Downgraded to Ca (sf) -- Cl. D, Affirmed at Ca (sf); previously on May 6, 2010 Downgraded to Ca (sf) Ratings Rationale WAVE 2007-1, WAVE 2007-2 and WAVE 2007-3 are 100% backed by 2006 and 2007 vintage commercial mortgage backed securities. As of the February 22, 2011 trustee report date, the aggregate collateral par amount is $6.0 billion, the same as at securitization. There have been no paydowns or losses to the collateral pools. All three Wave transactions feature a pro-rata principal payment structure among the Notes with a switch to a sequential principal payment structure upon failure of their respective senior overcollateralization and/or net par value tests. WAVE 2007-1 is backed by AJ tranches (95.5%) and one AM tranche (4.5%); WAVE 2007-2 is backed by AJ tranches (33.3%), AM tranches (29.2%) and Super-Senior tranches (37.5%); and WAVE 2007-3 is backed by AJ tranches (100%). AJ tranches are the junior most tranches with an original Aaa rating at securitization, AM tranches are the mezzanine tranches, typically with an original 20% credit-enhancement level, that were rated Aaa at securitization. Super-Senior tranches are the senior-most tranches typically with an original 30% credit enhancement level, that were rated Aaa at securitization. In addition, Moody's affirmed the Aaa (sf) ratings of the six upfront swaps in the WAVE 2007-1 transaction assigned on March 31, 2010. Each of the Swaps is dated as of June 18, 2007 and each is between SMBC Capital Markets, Inc. and the Trust. The Swap Counterparty currently has a Aa2 long term rating and a P-1 short term rating by Moody's. Recent CMBS collateral downgrades have resulted in par value haircuts within each CRE CDO causing each transaction to fail its respective senior Overcollateralization Test and/or Net Par Value Test. According to the most recent Trustee reports, WAVE 2007-1 is failing its Class A-1 OC Test (17.03% actual versus a trigger of 107.40%), WAVE 2007-2 is failing its Class A-1 OC Test (57.10% actual versus a trigger of 105.72%), and WAVE 2007-3 is failing its Class A-1 OC Test (23.23% actual versus a trigger of 108.67%) as well as its Net Par Value Test (21.38% actual versus a trigger of 99.89%). Due to the failure of these tests, any principal proceeds due to the respective trusts are allocated on a sequential basis. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, WARR, and MAC. These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's have completed updated credit estimates for the entire pool and the results should be reflected in future Trustee Reports. -WAVE 2007-1: Moody's modeled a bottom-dollar WARF of 1,665 compared to 482 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (0.0% compared to 10.5% at last review), A1-A3 (6.3% compared to 21.7% at last review), Baa1-Baa3 (34.7% compared to 44.7% at last review), Ba1-Ba3 (27.4% compared to 18.3% at last review), B1-B3 (23.3% compared to 4.7% at last review), Caa1-C (8.3% compared to 0.0% at last review). -WAVE 2007-2: Moody's modeled a bottom-dollar WARF of 592 compared to 155 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (47.7% compared to 59.9% at last review), A1-A3 (17.7% compared to 23.1% at last review), Baa1-Baa3 (11.9% compared to 11.0% at last review), Ba1-Ba3 (10.1% compared to 5.2% at last review), B1-B3 (11.5% compared to 0.8% at last review). Caa1-C (1.1% compared to 0.0% at last review). -WAVE 2007-3: Moody's modeled a bottom-dollar WARF of 1,048 compared to 276 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (0.0% compared to 1.5% at last review), A1-A3 (11.9% compared to 49.5% at last review), Baa1-Baa3 (47.3% compared to 41.0% at last review), Ba1-Ba3 (24.9% compared to 8.0% at last review), B1-B3 (14.9% compared to 0.0% at last review). Caa1-C (1.0% compared to 0.0% at last review). WAL acts to adjust the credit exposure of the collateral pool. Moody's modeled to the actual WAL of 6.3 years, 6.5 years and 6.7 years for WAVE 2007-1, WAVE 2007-2 and WAVE 2007-3, respectively compared to 7.1 years, 7.3 years and 7.6 years modeled at last review, respectively. 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 28.5%, 50.0% and 30.0% for WAVE 2007-1, WAVE 2007-2 and WAVE 2007-3, respectively, compared to 36.3%, 57.8% and 39.1% at last review, respectively. MAC is a single factor that describes the pair-wise asset correlations to default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 34.0%, 32.9% and 39.9% for WAVE 2007-1, WAVE 2007-2 and WAVE 2007-3, respectively, compared to 44.1%, 46.4% and 49.2% at last review, respectively Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 WELLS FARGO: Fitch Assigns Ratings on Various 2011-C2 Certs. ------------------------------------------------------------ Fitch Ratings has assigned these ratings to Wells Fargo Bank, N.A. WF-RBS Commercial Mortgage Trust 2011-C2 commercial mortgage pass- through certificates: -- $77,703,000 class A-1 'AAAsf/LS1'; Outlook Stable; -- $383,445,000 class A-2 'AAAsf/LS1'; Outlook Stable; -- $122,397,000 class A-3 'AAAsf/LS1'; Outlook Stable; -- $493,220,000 class A-4 'AAAsf/LS1'; Outlook Stable; -- $1,076,765,000* class X-A 'AAAsf'; Outlook Stable; -- $38,978,000 class B 'AAsf/LS4'; Outlook Stable; -- $43,850,000 class C 'Asf/LS5'; Outlook Stable; -- $68,212,000 class D 'BBB-sf/LS5'; Outlook Stable; -- $21,113,000 class E 'BBsf/LS5'; Outlook Stable; -- $14,616,000 class F 'Bsf/LS5'; Outlook Stable. *Notional amount and interest only. Fitch does not rate the $222,499,677 interest-only class X-B, or the $35,730,677 class G. WMC MORTGAGE: Moody's Downgrades Ratings on 12 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 12 tranches and confirmed the rating of 1 tranche from 5 Subprime deals issued by WMC. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: WMC Mortgage Loan Trust 1998-1 -- M-1, Downgraded to A1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- B, Confirmed at Ba1 (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: WMC Mortgage Loan Trust 1998-A -- M-1, Downgraded to A1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: WMC Mortgage Pass-Through Certificates, Series 1998-B -- A-2, Downgraded to Aa3 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1, Downgraded to Ba2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to B2 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- B, Downgraded to B2 (sf); previously on April 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: WMC Mortgage Pass-Through Certificates, Series 1999-A -- Cl. M-1, Downgraded to Baa1 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B3 (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on April 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: WMC Mortgage Pass-Through Certificates, Series 2000-A -- Cl. A, Downgraded to A1 (sf); previously on April 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B2 (sf); previously on April 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade * Fitch Affirms 'BB+' Rating to California Municipal's Bonds ------------------------------------------------------------ Fitch Ratings has affirmed the 'BB+' rating on these series of educational facility revenue bonds bonds issued by the California Municipal Finance Authority on behalf of HTH Learning: -- $4.4 million (High Tech High projects), series 2008A (Media \ Arts); -- $18.5 million (High Tech High projects), series 2008B (Chula Vista); -- $350,000 (High Tech High projects), series 2008C (Chula Vista taxable). The Rating Outlook is Stable. Rating Rationale: -- The 'BB+' rating primarily reflects the limited nature of the revenue pledge protecting bondholders and the need for established institutions within the High Tech High group of schools (of which HTH is the parent) to continue to subsidize High Tech High Chula Vista High School (Chula Vista), which opened in August 2007; -- Counterbalancing the credit concerns are HTH's long operating track record and market position as demonstrated by its growing enrollments, especially at Chula Vista which has exceeded initial enrollment targets; -- HTH's financial plan remains vulnerable to unexpected changes in enrollment and fairly aggressive expansion plans which have increased its financial leverage. These concerns, however, are partially mitigated by HTH's experienced management team and continued strong demand for its schools. Key Rating Drivers: -- Maintenance of student demand and continued achievement of enrollment targets; -- Continued ability of established HTH institutions to make the annual subsidy to Chula Vista. Security: The series 2008A bonds and the series 2008B and 2008C bonds (the bonds) are separately secured. Lease payments received by HTH from High Tech High Media Arts secure the series 2008A bonds. Lease payments received by HTH Learning from Chula Vista secure the series 2008B and 2008C bonds. Upon the repayment or refinancing of outstanding senior series 2005 bonds (not rated by Fitch), which HTH covenants to effectuate by Dec. 1, 2014, the bonds will be secured on a parity, senior lien basis by gross revenues of HTH. Additional security provisions include a deed of trust over the Chula Vista facility and a cash funded debt service reserve. Credit Summary: Student demand remains strong throughout the eight schools within the High Tech High group (the Group). Since its opening at the beginning of the 2008 academic year, Chula Vista, the second newest school within the Group, and the beneficiary of the series 2008B and C bond proceeds, has continued to experience significant enrollment growth. For the 2010 academic year, Chula Vista reached 606 students, exceeding its initial projection of 530. Media Arts, which opened in 2004 and was the beneficiary of the series 2008A bond proceeds, exceeded its 2010-2011 budget of 392, with 410 students currently enrolled. The older, more established HTH schools are mostly operating at capacity, experiencing moderate to flat enrollment growth over the past few years. Overall enrollment at HTH's eight schools grew 31.5% to 3,799 in the 2010-2011 school year, from 2,890 students in 2008-2009. Enrollment growth has been driven largely by the opening of new schools, including new middle and high schools at Chula Vista and High Tech High North County (North County), as well as expansion of existing schools such as Media Arts. Strong enrollment growth enabled Chula Vista to generate a positive operating margin over the past three fiscal years. Nevertheless, the school still, as expected, requires a subsidy from the other HTH institutions (excluding Media Arts) to meet its annual lease payment obligation to HTH. HTH committed to provide up to $600,000 annually to Chula Vista, which it fully provided in fiscal years 2008 and 2009, the school's first two years of operations. As a result of the school's success to date, HTH was able to reduce the subsidy in fiscal 2010 to $550,000, with a further decrease to $500,000 expected for fiscal years 2011 and 2012. To the extent the subsidy is unavailable or insufficient, or Chula Vista experiences unexpected enrollment declines, cash flows available for lease payments may be insufficient to meet annual obligations. Fitch views this risk as manageable at the current rating level given the track record of enrollment strength and financial stability at the various HTH schools. Similar to Chula Vista, Media Arts has generated a breakeven to positive operating margin over the past several years, driven also by solid demand and modest enrollment growth. HTH relies upon conservative budgeting and financial management practices to mitigate the impact of recent and expected future reductions in per pupil operating revenues from the state of California (general obligation bonds rated 'A-' by Fitch). As is typical for charter schools, PPOR represents the largest funding source for all Group schools, including both Chula Vista and Media Arts where PPOR represented approximately two thirds of each school's fiscal 2010 operating revenue. Among other measures undertaken to offset declines in PPOR (between 7%-12% depending on grade level) during fiscal 2010, HTH management implemented salary freezes, reduced contributions to health benefits, and initiated staff reductions across the Group. In addition, most of the HTH schools utilized their extensive waiting lists to add additional students to generate higher revenues. Consequently, debt service coverage for the bonds continues to be basically in line with projections. The lease payment paid by Media Arts to HTH provides adequate coverage for its related debt service obligation. As discussed above, Chula Vista requires a subsidy to meet its lease payment obligation. Per the series 2008 loan agreement, HTH covered total debt service on the bonds by a solid 1.56 times in fiscal 2010, well above the 1.20x minimum rate covenant HTH's expansion plans over the past few years were fairly aggressive and significantly increased its financial leverage. Debt currently outstanding totals $68.4 million, up from just $13.3 million in fiscal 2006. It is currently constructing new elementary and middle schools on the Chula Vista campus, which are scheduled to open in August 2011. To date, these schools have received substantial interest, with applications exceeding available spaces. HTH also added the new North County high school and middle school, which are located in San Marcos, California, in 2008 and 2009, respectively. The middle school is currently operating in a temporary facility, and HTH intends to begin construction on a permanent facility later this year. The Chula Vista project is being financed with $12 million of qualified school construction bonds (QSCBs, included in the $68.4 million debt figure above) and gifts, which have already been raised. The North County project is anticipated to be financed in the same manner, with $3.95 million of QSCBs expected to be issued later this year and $4.5 million in gifts. HTH Learning is the parent of the four-member HTH Group: High Tech High, High Tech High Foundation, High Tech High Graduate School of Education, and Explorer Elementary Charter School. High Tech High operates eight public charter schools in San Diego County, California, including Chula Vista and Media Arts. * Fitch Downgrades Ratings on Four Tranches of European CDO Deals ----------------------------------------------------------------- Fitch Ratings has downgraded four tranches of European synthetic corporate collateralized debt obligation transactions. Simultaneously, the agency has affirmed 105 tranches. The downgrades affect two public ratings and two private ratings and the affirmations affect 63 public ratings and 42 private ratings from a total of 72 transactions. The synthetic corporate CDO transactions have largely performed in line with Fitch's expectations since its last review in 2010. However, negative portfolio migration and credit events in some transactions, resulting in decreased available credit enhancement, has resulted in downgrades. The affirmation of the vast majority of the transactions reflects sufficient support for the ratings driven by an adequate level of available credit enhancement, relatively stable performance of the low rated assets in portfolios and decreased time to maturity date. In terms of outlook, Fitch expects to see an increasing default rate for tranches rated 'CCC'. These tranches have limited remaining credit support and any further underlying credit events will push these tranches closer to default. * Moody's Puts Ratings on Irvington Township's $5.564 Mil. Bonds ---------------------------------------------------------------- Moody's Investors Service has assigned a MIG 1 to the Irvington (NJ) township's $5.564 million of Refunding Bond Anticipation Note. The note constitutes general obligations of the township as the full faith and credit and unlimited taxing power of the township are pledged to the payment of principal and interest. The note and subsequent bond will finance a legal settlement. The MIG 1 rating reflects the strengths of the state Municipal Qualified Bond program, through which the bonds retiring the notes will be issued. Concurrently, Moody's has affirmed the Ba1 rating and negative outlook on the township's $115.39 million of general obligation debt. Rating Rationale The Ba1 rating reflects the township's extremely narrow financial position as reflected in reserves which are less than 1% of revenues and negative net of deferred charges, resulting from years of structurally imbalanced operations. The rating also encompasses the moderately-sized tax base nearby New York City (G.O. rated Aa2/stable) with low wealth levels and an elevated debt burden. The negative outlook reflects immediate risks to the township's financial position, including the dependency on additional cash flow borrowing, although likely to a lesser degree over the near term. The highest quality short term rating, MIG1, reflects the township's ability and documented intent to permanently finance the notes with Municipal Qualified Bonds (rated Aa3/negative). Strengths Of Long-Term Underlying Credit -- Moderately sized tax base with proximity to Newark and New York City -- High tax collections due to annual accelerated sales Challenges Of Long-Term Underlying Credit -- Narrow financial position, negative net of deferred charges -- Socioeconomics lower than state and national averages -- Debt burden higher than average Detailed Credit Discussion Highest Short Term Rating Reflects Access To State Enhancements For Take Out Bonds The highest quality short term rating reflects the township's ability and documented intent to permanently finance the notes with Municipal Qualified Bonds (rated Aa3/negative). The Local Finance Board has approved issuance of the notes and their permanent financing with Municipal Qualified Bonds. The Municipal Qualified Bond Program is an intercept program whereby the state treasurer forwards state aid otherwise payable to a municipality to a trustee to pay debt service. Moody's rates the program Aa3 with a negative outlook, reflecting the negative outlook on the State of New Jersey, which is currently rated Aa2. As such, the notes meet Moody's standards for the MIG 1 rating as defined in the recently updated methodology. Based on the premise that any bonds issued to take out the notes would be issued under the New Jersey Municipal Qualified Bond Act, Moody's believes that the township will have access to the capital markets at maturity on March 11, 2012. Very Narrow Financial Operations Persist; Cashflow Remains A Key Credit Issue The township has relied heavily on one-time revenues and deferred charges to balance the budget. Fiscal 2009 ended with a Current Fund balance of $696,000, or 0.85% of revenues; net of deferred charges the Current Fund balance would have been a significantly negative -$8.29 million, or -10.12% of revenues. The deferred charge of $4.2 million was incurred in fiscal 2009 due to an operating deficit ($8.9 million), largely the result of budgeting of $3 million for the sale of a hospital which did not materialize, revaluation expenditures ($700,000), an unbudgeted increase in the self-insurance plan ($1.5 million), and unfunded grants ($1.1 million). These operating results exacerbated the already extremely narrow liquidity position and the township ended the year with net cash equal to -$3.4 million or -4.2% of operations. During fiscal 2010 the township made progress toward closing the earlier identified $12 million budgetary gap, with solutions including $2 million of extraordinary aid from the state, furloughs ($775,000), increased sewer rates ($200,000) and other budget savings, although many of these efforts were offset by various expenditure pressures including a $3 million increase in annual pension contributions and a $2 million increase in debt service payments. The township also attempted to utilize a number of actions not completely within its control to close the remaining gap, including the $3 million sale of the hospital (budgeted and unrealized in 2009), for which the township has a $1 million deposit. When these alternatives did not materialize, the township received a levy cap waiver exemption of $11.2 million, producing a total levy increase of 17%, or $15.8 million. In addition to curing the township's budget gap, the levy waiver alleviated the need for further cashflow borrowing or state aid in fiscal 2010. Although mailed later than usual, the township was able to include the property tax increase adjustment on its final fiscal 2010 tax bills, which resulted in a nearly $1,100 per household property tax increase. Subsequent to the tax increase, officials conducted a successful tax sale, yielding approximately $3 million in one-time revenues. According to unaudited financial statements, the Current Fund generated a $4.5 million deficit in fiscal 2010; however, since the deficit was classified as a deferred charge to be raised in succeeding years, the Current Fund balance did not change, ending fiscal 2010 at $695,000 or 0.72% of revenues. In December 2010, the township issued $7.5 million in TANs for 2010 operations. The township secured a negotiated bid from its depository bank, has since paid the matured note and expects to require a smaller $3.75 million TAN in June of 2011. Moody's views the cashflow projections as optimistic, evidenced by projections of flat state aid and increased receipt of property taxes prior to note repayment and to maintain cashflow for operations. Although final budget has still not passed, fiscal 2011 includes a 4% levy increase. Despite a 50% extraordinary state aid cut to $1 million, management does not expect significant change in the Current Fund balance due to the use of a proposed $5 million deferred charge, of which $2.9 million is the deficit carryover. Low Wealth Levels And Above Average Debt Burden The township's local economy has been impacted by the current recession, with unemployment at a high 10.2% (December 2010), which was above the state's unemployment level (8.7%). Wealth levels are substantially below New Jersey medians (per capita income is 62.5% of the state) and 17.37% of residents are below the poverty line. Equalized value per capita is among the lowest in New Jersey at $56,147. Township officials anticipate new development will help offset declines in assessed valuation, which dropped 1.7% from $3.2 billion in fiscal 2007 to $3.12 billion in fiscal 2010, driven by tax appeals following the 2007 tax base revaluation as well as general weakness in the real estate sector. The township issued $880,000 of BANs in March of 2010 to fund the settlements. The debt burden is well above state medians, at 3.9% of full value; however, roughly 35% of the debt was issued on behalf of Irvington's Type I school district. Furthermore, a majority of the township's debt ($56.2 million) is supported by the Municipal Qualified Bonds Act. Future rating action will factor in the township's ability to negotiate market access to place its cash flow borrowing and consequently manage its cash needs. Outlook Assignment of the negative outlook reflects the township's narrow Current Fund balance and Moody's expectation that the township will be challenged to implement strategies to improve reserve levels in an environment of expenditure pressure and revenue caps. What Could Move The Long-Term Rating Up (Remove Negative Outlook): * Restoration of structurally balanced operations * Improved Current Fund balance position net of deferred charges * Elimination of future cashflow borrowing What Could Move The Long-Term Rating Down: * Inability to regain structurally balanced operations * The need for increased cashflow borrowing * Increases in deferred charges Key Statistics: * 2000 Population: 60,695 (-0.5% since 2000) * 2009 Equalized Valuation: $3.1 billion * 2009 Equalized Value Per Capita: $89,359 * 1999 Per Capita Income (as % of NJ and US): $16,874 (62.5% and 78.2%) * 1999 Median Family Income (as % of NJ and US): $41,098 (62.9% and 82.1%) * Direct Debt Burden: 3.8% * Payout of Principal (10 years): 43.5% * 2010 Current Fund Balance (ended June 30): $696,000 (0.7% of Current Fund revenue) * Long-term G.O. Debt Outstanding: $115.4 million * Moody's Withdraws Ratings on 52 Tranches From 11 RMBS Deals ------------------------------------------------------------- Moody's Investors Service has withdrawn the ratings of 52 tranches from 11 RMBS resecuritization transactions issued between 1992 and 1999. Ratings Rationale The resecuritization tranches are backed by underlying certificates that are backed by RMBS pools with less than 40 loans and pool factors less than 5%. Moody's Investors Service published credit rating methodologies allow for the withdrawal of a credit rating if the size of the pool outstanding at the time of the withdrawal has fallen below a specified level. Moody's current RMBS surveillance methodologies apply to pools with at least 40 loans and a pool factor of greater than 5%. As a result, Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for monitoring of the transaction (such as a credit enhancement floor). Complete rating actions are: Issuer: BDC Mortgage Trust, Series 1998-A -- 1-A, Withdrawn (sf); previously on Aug. 20, 2009 Downgraded to Caa2 (sf) -- 1-B, Withdrawn (sf); previously on Aug. 20, 2009 Downgraded to Ca (sf) -- 1-C, Withdrawn (sf); previously on Aug. 20, 2009 Downgraded to C (sf) Issuer: CSFB Mortgage Securities Corp 1996-1R -- 3-A, Withdrawn (sf); previously on Oct. 4, 1996 Assigned Aaa (sf) -- 3-M1, Withdrawn (sf); previously on Oct. 4, 1996 Assigned Baa3 (sf) -- 3-B1, Withdrawn (sf); previously on Oct. 4, 1996 Assigned B3 (sf) Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series 1997-1R -- 1-M1, Withdrawn (sf); previously on May 18, 2005 Upgraded to Aaa (sf) -- 1-M2, Withdrawn (sf); previously on May 18, 2005 Upgraded to Aaa (sf) -- 1-M3, Withdrawn (sf); previously on May 18, 2005 Upgraded to Aa3 (sf) -- 1-M4, Withdrawn (sf); previously on Aug. 21, 1997 Assigned Baa2 (sf) -- 1-M5, Withdrawn (sf); previously on Aug. 21, 1997 Assigned Baa3 (sf) -- 1-B1, Withdrawn (sf); previously on Aug. 11, 2009 Downgraded to Caa2 (sf) -- 1-B2, Withdrawn (sf); previously on Aug. 11, 2009 Downgraded to C (sf) -- 1-B3, Withdrawn (sf); previously on Aug. 11, 2009 Downgraded to C (sf) -- 1-B4, Withdrawn (sf); previously on Aug. 11, 2009 Downgraded to C (sf) Issuer: GS Mortgage Securities Corp., Series 1999-1 -- II-B-2, Withdrawn (sf); previously on March 26, 1999 Assigned A2 (sf) -- II-B-3, Withdrawn (sf); previously on March 26, 1999 Assigned Baa2 (sf) -- II-B-4, Withdrawn (sf); previously on Sept. 25, 2009 Downgraded to Caa1 (sf) -- II-B-5, Withdrawn (sf); previously on Sept. 25, 2009 Downgraded to C (sf) Issuer: Prudential Home Mtg Co 1994-A -- B01-4, Withdrawn (sf); previously on July 24, 1997 Upgraded to Aaa (sf) -- B01-R, Withdrawn (sf); previously on July 24, 1997 Upgraded to Aaa (sf) Issuer: Prudential Home Mtg Co 1992-C -- B1-1, Withdrawn (sf); previously on Nov. 24, 1992 Assigned Aaa (sf) -- B1-2, Withdrawn (sf); previously on Nov. 24, 1992 Assigned Aaa (sf) -- B1-R, Withdrawn (sf); previously on Nov. 24, 1992 Assigned Aaa (sf) -- B1-LR, Withdrawn (sf); previously on Nov. 24, 1992 Assigned Aaa (sf) -- B2, Withdrawn (sf); previously on Aug. 11, 2009 Downgraded to Baa3 (sf) -- B3, Withdrawn (sf); previously on Aug. 11, 2009 Downgraded to Caa2 (sf) -- B4, Withdrawn (sf); previously on Aug. 11, 2009 Downgraded to Ca (sf) -- B5, Withdrawn (sf); previously on Aug. 11, 2009 Downgraded to C (sf) Issuer: Prudential Home Mtg Co 1992-A -- B1-4, Withdrawn (sf); previously on Nov. 24, 1992 Assigned Aaa (sf) -- B1-5, Withdrawn (sf); previously on Nov. 24, 1992 Assigned Aaa (sf) -- B1-R, Withdrawn (sf); previously on Nov. 24, 1992 Assigned Aaa (sf) -- B1-LR, Withdrawn (sf); previously on Nov. 24, 1992 Assigned Aaa (sf) -- B2-4, Withdrawn (sf); previously on Aug. 11, 2009 Downgraded to Caa2 (sf) -- B3-1, Withdrawn (sf); previously on Aug. 11, 2009 Downgraded to C (sf) -- B3-2, Withdrawn (sf); previously on Aug. 11, 2009 Downgraded to C (sf) -- B3-3, Withdrawn (sf); previously on Aug. 11, 2009 Downgraded to C (sf) -- B3-4, Withdrawn (sf); previously on Aug. 11, 2009 Downgraded to C (sf) Issuer: Resecuritization Mortgage Trust, Series 1998-B -- A, Withdrawn (sf); previously on Oct. 15, 1998 Assigned Aaa (sf) -- X, Withdrawn (sf); previously on Oct. 15, 1998 Assigned Aaa (sf) -- M-1, Withdrawn (sf); previously on Oct. 15, 1998 Assigned Aa2 (sf) -- M-2, Withdrawn (sf); previously on Oct. 15, 1998 Assigned A2 (sf) -- M-3, Withdrawn (sf); previously on Oct. 15, 1998 Assigned Baa2 (sf) -- B-1, Withdrawn (sf); previously on Oct. 15, 1998 Assigned Ba2 (sf) -- B-2, Withdrawn (sf); previously on Oct. 15, 1998 Assigned B2 (sf) Issuer: Ryland Mtg Sec 1993-A1 -- A, Withdrawn (sf); previously on July 22, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) -- R, Withdrawn (sf); previously on July 22, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) Issuer: Ryland Mtg Sec 1993-06A -- A-1, Withdrawn (sf); previously on Sept. 29, 2009 Downgraded to A3 (sf) -- B-1, Withdrawn (sf); previously on Sept. 29, 2009 Downgraded to Caa3 (sf) Issuer: Structured Mortgage Trust 1997-1 -- A, Withdrawn (sf); previously on Dec. 29, 2009 Baa3 Placed Under Review for Possible Downgrade -- B, Withdrawn (sf); previously on Dec. 29, 2009 Downgraded to Ca (sf) -- C, Withdrawn (sf); previously on Dec. 29, 2009 Downgraded to C (sf) * S&P Affirms Ratings on 36 Tranches From Five Hybrid CDO Deals --------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on 36 tranches from five U.S. cash flow and hybrid collateralized debt obligation transactions. At the same time, S&P withdrew its ratings on three tranches from two cash flow and hybrid CDO transactions. The affirmations reflect current credit support levels that S&P believes are sufficient to maintain the current ratings. Three of the transactions feature principal-protected notes, and S&P affirmed its 'AAA (sf)' ratings on these tranches. These notes are supported by additional collateral in the form of a zero- coupon bond issued by the U.S. government. The ratings on these principal-protected notes address only the payment of principal at maturity and are linked to the rating on the security pledged as additional collateral. The rating withdrawals follow the complete paydown of the notes. Ratings Affirmed ACA ABS 2007-3 Ltd. Class Rating ----- ------ X D (sf) A-1LA D (sf) A-1LB D (sf) A-2L D (sf) A-3L CC (sf) A-4L CC (sf) Combo notes AAA (sf) Kleros Preferred Funding IV Ltd. Class Rating ----- ------ A-1 CC (sf) A-2 CC (sf) A-3 CC (sf) A-4 CC (sf) B CC (sf) C CC (sf) D CC (sf) E CC (sf) F CC (sf) PrncPrtNts AAA (sf) Orchid Structured Finance CDO III Ltd. Class Rating ----- ------ A-1 CC (sf) A-2 CC (sf) B CC (sf) C CC (sf) D CC (sf) E CC (sf) Combo Nts AAA (sf) Squared CDO 2007-1 Ltd. Class Rating ----- ------ A-1 D (sf) A-2a D (sf) A-2b D (sf) B D (sf) C CC (sf) D CC (sf) E CC (sf) Vertical ABS CDO 2006-1 Ltd. Class Rating ----- ------ A-S1VF CC (sf) A-1 CC (sf) A-2 CC (sf) A-3 CC (sf) B CC (sf) Ratings Withdrawn Squared CDO 2007-1 Ltd. Rating ------ Class To From ----- -- ---- Comp Nts NR AAA (sf) Vertical ABS CDO 2006-1 Ltd. Rating ------ Class To From ----- -- ---- Cl 1 combo NR AAA (sf) Cl 2 combo NR AAA (sf) NR - Not rated. * S&P Downgrades Ratings on 109 Classes From 32 RMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 109 classes from 32 residential mortgage-backed securities transactions backed by U.S. subprime mortgage loan collateral issued in 2003 and 2004 and removed 31 of them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 129 classes from these transactions and removed 13 of them from CreditWatch negative. The downgrades reflect S&P's opinion that its projected credit support for the affected classes is insufficient to maintain the previous ratings, given S&P's current projected losses in light of increased delinquencies. To assess the creditworthiness of each class, S&P reviewed the individual delinquency and loss trends of each transaction for changes, if any, in risk characteristics and the ability to withstand additional credit deterioration. In order to maintain a 'B' rating on a class, S&P assessed whether, in its view, a class could absorb the remaining base-case loss assumptions S&P used in its analysis. In order to maintain a rating higher than 'B', S&P assessed whether the class could withstand additional losses exceeding its base-case loss assumptions at a percentage specific to each rating category, up to 150% for an 'AAA' rating. For example, in general, S&P would assess whether one class could withstand approximately 110% of its remaining base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 120% of its remaining base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in S&P's view, withstand approximately 150% of its base-case loss assumptions under its analysis. The affirmed ratings reflect S&P's belief that the amount of its projected credit enhancement available for these classes is sufficient to cover its projected losses associated with these rating levels. Subordination provides credit support for the reviewed transactions. In addition, some classes may also benefit from overcollateralization (prior to its depletion), excess spread, and bond insurance. Rating Actions ACE Securities Corp. Home Equity Loan Trust, Series 2003-NC1 Series 2003-NC1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 004421CQ4 A (sf) AA+ (sf)/Watch Neg M-3 004421CS0 CC (sf) CCC (sf) ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1 Series 2004-FM1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 004421DK6 AA+ (sf) AA+ (sf)/Watch Neg M-2 004421DL4 B+ (sf) BBB- (sf) ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM2 Series 2004-FM2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 004421GJ6 BB (sf) AA+ (sf)/Watch Neg M-2 004421GK3 CCC (sf) BB (sf) M-3 004421GL1 CC (sf) B- (sf) M-4 004421GM9 CC (sf) CCC (sf) M-5 004421GN7 CC (sf) CCC (sf) Ameriquest Mortgage Securities Inc. Series 2004-R5 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 03072SRX5 BBB (sf) AA- (sf)/Watch Neg M-3 03072SRZ0 CC (sf) CCC (sf) Argent Securities Inc. Series 2004-W8 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 040104JN2 AA+ (sf) AA+ (sf)/Watch Neg M-2 040104JP7 BBB (sf) A+ (sf) M-3 040104JQ5 B+ (sf) BBB- (sf) M-4 040104JR3 B- (sf) B+ (sf) M-5 040104JS1 CCC (sf) B- (sf) M-6 040104JT9 CC (sf) CCC (sf) Argent Securities Inc. Series 2004-W7 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 040104JD4 AA- (sf) AA- (sf)/Watch Neg M-4 040104JE2 A+ (sf) A+ (sf)/Watch Neg M-5 040104JF9 BB- (sf) BBB- (sf) M-6 040104JG7 B- (sf) BB- (sf) M-7 040104KB6 CCC (sf) B- (sf) M-8 040104KC4 CC (sf) CCC (sf) Asset Backed Securities Corporation Home Equity Loan Trust, Series 2003-HE4 Rating ------ Class CUSIP To From ----- ----- -- ---- M1 04541GEU2 AA (sf) AA (sf)/Watch Neg M2 04541GEV0 B- (sf) BB- (sf) Carrington Mortgage Loan Trust Series 2004-NC1 Series 2004-NC1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 144531AE0 A- (sf) AA (sf)/Watch Neg M-2 144531AF7 CCC (sf) BB- (sf) M-3 144531AG5 CCC (sf) B- (sf) M-4 144531AH3 CC (sf) CCC (sf) CHEC Loan Trust 2004-1 Series 2004-1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 162765AF8 A- (sf) AA- (sf)/Watch Neg M-4 162765AG6 BB (sf) A+ (sf)/Watch Neg M-5 162765AH4 B- (sf) A (sf)/Watch Neg M-6 162765AJ0 CCC (sf) BB+ (sf) M-7 162765AK7 CCC (sf) B (sf) M-8 162765AL5 CC (sf) B- (sf) CWABS Inc. Series 2003-BC6 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 126671W93 BBB+ (sf) AA (sf)/Watch Neg M-3 126671X27 B (sf) BBB (sf) M-4 126671X35 CCC (sf) B- (sf) M-5 126671X43 CC (sf) CCC (sf) CSFB Home Equity Asset Trust 2003-7 Series 2003-7 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 437084AE6 BBB (sf) AA (sf)/Watch Neg M-2 437084AF3 CCC (sf) B+ (sf) M-3 437084AG1 CCC (sf) B- (sf) CWABS Inc. Series 2004-3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 1266714T0 AA- (sf) AA+ (sf)/Watch Neg M-2 1266714U7 BB- (sf) AA+ (sf) M-3 1266714V5 B- (sf) A (sf) M-4 1266714W3 CCC (sf) BB+ (sf) M-5 1266714X1 CC (sf) B (sf) M-6 1266714Y9 CC (sf) CCC (sf) M-7 1266714Z6 CC (sf) CCC (sf) Equifirst Mortgage Loan Trust 2004-2 Series 2004-2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 29445FBK3 AA- (sf) AA- (sf)/Watch Neg M-4 29445FBL1 A- (sf) A+ (sf) M-5 29445FBM9 BB+ (sf) A- (sf) M-6 29445FBN7 B- (sf) BB+ (sf) M-7 29445FBP2 CCC (sf) B- (sf) M-8 29445FBQ0 CC (sf) CCC (sf) FFMLT Trust 2004-FF3 Series 2004-FF3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 36228FU61 BBB (sf) AA+ (sf)/Watch Neg M-2 36228FU79 CCC (sf) B- (sf) M-3 36228FU87 CC (sf) CCC (sf) GSAMP Trust 2003-HE2 Series 2003-HE2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 36228FVU7 A (sf) AA+ (sf)/Watch Neg M-2 36228FVV5 B (sf) BBB (sf) M-3 36228FVW3 CCC (sf) B+ (sf) M-4 36228FVX1 CC (sf) CCC (sf) Home Equity Asset Trust 2004-8 Series 2004-8 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 437084GS9 AA (sf) AA (sf)/Watch Neg M-3 437084GT7 B+ (sf) BBB (sf) M-4 437084GU4 B- (sf) B+ (sf) M-5 437084GV2 CC (sf) CCC (sf) Long Beach Mortgage Loan Trust 2003-4 Series 2003-4 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 542514EH3 BBB (sf) AA (sf)/Watch Neg M-2 542514EJ9 CCC (sf) B+ (sf) M-3 542514EK6 CCC (sf) B- (sf) Merrill Lynch Mortgage Investors Trust, Series 2003-HE1 Series 2003-HE1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 5899294W5 A (sf) AA+ (sf)/Watch Neg M-2 5899294X3 CCC (sf) BB (sf) M-3 5899294Y1 CC (sf) B- (sf) Morgan Stanley ABS Capital I Inc. Trust 2003-NC8 Series 2003-NC8 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 61746RDM0 BB+ (sf) AA+ (sf)/Watch Neg M-2 61746RDN8 CCC (sf) BB- (sf) M-3 61746RDP3 CC (sf) B- (sf) B-1 61746RDQ1 CC (sf) CCC (sf) Morgan Stanley ABS Capital I Inc. Trust 2004-HE3 Series 2004-HE3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 61744CDH6 AA (sf) AA (sf)/Watch Neg M-3 61744CDK9 B- (sf) A- (sf) B-1 61744CDL7 CCC (sf) BBB (sf) B-2 61744CDM5 CC (sf) B+ (sf) B-3 61744CDN3 CC (sf) CCC (sf) M-2 61744CDJ2 B+ (sf) A (sf) Morgan Stanley ABS Capital I Inc. Trust 2004-NC2 Series 2004-NC2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 61744CBJ4 A (sf) AA (sf)/Watch Neg M-2 61744CBK1 CCC (sf) B- (sf) B-1 61744CBM7 CC (sf) CCC (sf) Option One Mortgage Loan Trust 2003-4 Series 2003-4 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 68389FDU5 AA (sf) AA (sf)/Watch Neg M-2 68389FDV3 B+ (sf) BB+ (sf) M-5A 68389FDZ4 CC (sf) CCC (sf) M-5F 68389FEA8 CC (sf) CCC (sf) Option One Mortgage Loan Trust 2003-6 Series 2003-6 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 68389FEG5 AA+ (sf) AA+ (sf)/Watch Neg M-2 68389FEH3 B+ (sf) AA (sf)/Watch Neg M-3 68389FEJ9 B- (sf) AA- (sf) M-4 68389FEK6 CCC (sf) BB+ (sf) M-5 68389FEL4 CC (sf) B- (sf) Ownit Mortgage Loan Trust Series 2004-1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 691215AE7 AA+ (sf) AA+ (sf)/Watch Neg M-3 691215AF4 B- (sf) AA (sf)/Watch Neg B-1 691215AG2 CC (sf) BBB- (sf) B-2 691215AH0 CC (sf) B- (sf) B-3 691215AJ6 CC (sf) CCC (sf) People's Choice Home Loan Securities Trust Series 2004-1 Series 2004-1 Rating ------ Class CUSIP To From ----- ----- -- ---- M3 71085PAG8 B (sf) BBB (sf)/Watch Neg M4 71085PAH6 CCC (sf) B- (sf)/Watch Neg Structured Asset Investment Loan Trust 2003-BC12 Series 2003-BC12 Rating ------ Class CUSIP To From ----- ----- -- ---- M1 86358EFN1 B- (sf) A (sf)/Watch Neg M2 86358EFP6 CC (sf) B- (sf) M3 86358EFQ4 CC (sf) CCC (sf) Structured Asset Investment Loan Trust 2003-BC13 Series 2003-BC13 Rating ------ Class CUSIP To From ----- ----- -- ---- M1 86358EFB7 A- (sf) AA (sf)/Watch Neg M2 86358EFC5 B- (sf) BB- (sf)/Watch Neg M3 86358EFD3 CCC (sf) B- (sf) Structured Asset Investment Loan Trust 2003-BC6 Series 2003-BC6 Rating ------ Class CUSIP To From ----- ----- -- ---- M1 86358ECL8 AA (sf) AA (sf)/Watch Neg M2 86358ECM6 BB- (sf) BBB (sf)/Watch Neg Structured Asset Investment Loan Trust 2004-1 Series 2004-1 Rating ------ Class CUSIP To From ----- ----- -- ---- M1 86358EGA8 B (sf) BB- (sf)/Watch Neg Structured Asset Investment Loan Trust 2004-10 Series 2004-10 Rating ------ Class CUSIP To From ----- ----- -- ---- A10 86358EPA8 B (sf) BB+ (sf)/Watch Neg A11 86358EPB6 B (sf) BB+ (sf)/Watch Neg M1 86358EPC4 CC (sf) B- (sf) Structured Asset Investment Loan Trust 2004-4 Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- M1 86358EHR0 AA (sf) AA (sf)/Watch Neg M2 86358EHS8 BB (sf) BBB+ (sf)/Watch Neg M3 86358EHT6 B- (sf) B (sf)/Watch Neg Structured Asset Investment Loan Trust 2004-7 Series 2004-7 Rating ------ Class CUSIP To From ----- ----- -- ---- M1 86358EKL9 BBB- (sf) AA+ (sf)/Watch Neg M2 86358EKM7 B- (sf) AA (sf)/Watch Neg M3 86358EKN5 B- (sf) A (sf) M4 86358EKP0 CCC (sf) BBB- (sf) M5 86358EKQ8 CC (sf) B (sf) M6 86358EKR6 CC (sf) CCC (sf) Ratings Affirmed ACE Securities Corp. Home Equity Loan Trust, Series 2003-NC1 Series 2003-NC1 Class CUSIP Rating ----- ----- ------ A-1 004421CN1 AAA (sf) A-2A 004421CP6 AAA (sf) A-2C 004421CX9 AAA (sf) M-2 004421CR2 CCC (sf) M-4 004421CT8 CC (sf) ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1 Series 2004-FM1 Class CUSIP Rating ----- ----- ------ M-3 004421DM2 B- (sf) M-4 004421DN0 CCC (sf) M-6 004421DQ3 CC (sf) B-1A 004421DT7 CC (sf) B-1B 004421DU4 CC (sf) ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM2 Series 2004-FM2 Class CUSIP Rating ----- ----- ------ M-6 004421GP2 CC (sf) Ameriquest Mortgage Securities Inc. Series 2004-R5 Class CUSIP Rating ----- ----- ------ A-1A 03072SRS6 AAA (sf) A-1B 03072SRT4 AAA (sf) M-2 03072SRY3 CCC (sf) M-4 03072SSA4 CC (sf) M-5 03072SSB2 CC (sf) Argent Securities Inc. Series 2004-W8 Class CUSIP Rating ----- ----- ------ A-2 040104JJ1 AAA (sf) A-5 040104JM4 AAA (sf) M-7 040104JU6 CC (sf) Argent Securities Inc. Series 2004-W7 Class CUSIP Rating ----- ----- ------ A-2 040104HX2 AAA (sf) M-1 040104JB8 AA+ (sf) M-2 040104JC6 AA (sf) M-9 040104KD2 CC (sf) Asset Backed Securities Corporation Home Equity Loan Trust, Series 2003-HE4 Class CUSIP Rating ----- ----- ------ M3 04541GEW8 CCC (sf) M4 04541GEX6 CC (sf) M5-A 04541GEY4 CC (sf) Carrington Mortgage Loan Trust Series 2004-NC1 Series 2004-NC1 Class CUSIP Rating ----- ----- ------ M-5 144531AJ9 CC (sf) M-6 144531AK6 CC (sf) CHEC Loan Trust 2004-1 Series 2004-1 Class CUSIP Rating ----- ----- ------ A-3 162765AC5 AAA (sf) M-1 162765AD3 AA+ (sf) M-2 162765AE1 AA (sf) M-9 162765AM3 CC (sf) B-1 162765AN1 CC (sf) CSFB Home Equity Asset Trust 2003-7 Series 2003-7 Class CUSIP Rating ----- ----- ------ A-2 437084AB2 AAA (sf) B-1 437084AH9 CC (sf) CWABS Inc. Series 2003-BC6 Class CUSIP Rating ----- ----- ------ M-1 126671W85 AA+ (sf) CWABS Inc. Series 2004-3 Class CUSIP Rating ----- ----- ------ 1-A 1266714L7 AAA (sf) 2-A 1266714M5 AAA (sf) 3-A-3 1266714Q6 AAA (sf) 3-A-4 1266714R4 AAA (sf) A 1266714S2 AAA (sf) B 1266715A0 CC (sf) Equifirst Mortgage Loan Trust 2004-2 Series 2004-2 Class CUSIP Rating ----- ----- ------ I-A-1 29445FBD9 AAA (sf) II-A-3 29445FBG2 AAA (sf) M-1 29445FBH0 AA+ (sf) M-2 29445FBJ6 AA (sf) M-9 29445FBR8 CC (sf) FFMLT Trust 2004-FF3 Series 2004-FF3 Class CUSIP Rating ----- ----- ------ M-4 36228FU95 CC (sf) GSAMP Trust 2003-HE2 Series 2003-HE2 Class CUSIP Rating ----- ----- ------ A-1A 36228FVQ6 AAA (sf) A-1B 36228FVR4 AAA (sf) A-2 36228FVS2 AAA (sf) A-3A 36228FVT0 AAA (sf) A-3C 36228FWE2 AAA (sf) B-1 36228FVY9 CC (sf) Home Equity Asset Trust 2004-8 Series 2004-8 Class CUSIP Rating ----- ----- ------ M-1 437084GR1 AA+ (sf) M-6 437084GW0 CC (sf) Long Beach Mortgage Loan Trust 2003-4 Series 2003-4 Class CUSIP Rating ----- ----- ------ AV-1 542514EE0 AAA (sf) M-4A 542514EL4 CC (sf) M4-F 542514EM2 CC (sf) M-5A 542514EN0 CC (sf) M-5F 542514EP5 CC (sf) M-6 542514EQ3 CC (sf) Merrill Lynch Mortgage Investors Trust, Series 2003-HE1 Series 2003-HE1 Class CUSIP Rating ----- ----- ------ A-1 5899294S4 AAA (sf) A-2B 5899294U9 AAA (sf) S 5899294V7 AAA (sf) B-1 5899294Z8 CC (sf) B-2 5899295A2 CC (sf) B-3 5899295B0 CC (sf) Morgan Stanley ABS Capital I Inc. Trust 2003-NC8 Series 2003-NC8 Class CUSIP Rating ----- ----- ------ B-2 61746RDR9 CC (sf) B-3 61746RDS7 CC (sf) Morgan Stanley ABS Capital I Inc. Trust 2004-HE3 Series 2004-HE3 Class CUSIP Rating ----- ----- ------ A-2 61744CDE3 AAA (sf) A-4 61744CDG8 AAA (sf) Morgan Stanley ABS Capital I Inc. Trust 2004-NC2 Series 2004-NC2 Class CUSIP Rating ----- ----- ------ M-3 61744CBL9 CCC (sf) B-2 61744CBN5 CC (sf) Option One Mortgage Loan Trust 2003-4 Series 2003-4 Class CUSIP Rating ----- ----- ------ A-1 68389FDS0 AAA (sf) A-2 68389FDT8 AAA (sf) M-3 68389FDX9 B- (sf) M-4 68389FDY7 CCC (sf) M-6 68389FEB6 CC (sf) Option One Mortgage Loan Trust 2003-6 Series 2003-6 Class CUSIP Rating ----- ----- ------ A-1 68389FED2 AAA (sf) A-2 68389FEE0 AAA (sf) A-3 68389FEF7 AAA (sf) People's Choice Home Loan Securities Trust Series 2004-1 Series 2004-1 Class CUSIP Rating ----- ----- ------ A3 71085PAD5 AAA (sf) M1 71085PAE3 AA (sf) M2 71085PAF0 AA- (sf) M5 71085PAJ2 CC (sf) Structured Asset Investment Loan Trust 2003-BC12 Series 2003-BC12 Class CUSIP Rating ----- ----- ------ 1-A 86358EFJ0 AAA (sf) 2-A 86358EFK7 AAA (sf) 3-A 86358EFL5 AAA (sf) M4 86358EFR2 CC (sf) M5 86358EFS0 CC (sf) M6 86358EFT8 CC (sf) Structured Asset Investment Loan Trust 2003-BC13 Series 2003-BC13 Class CUSIP Rating ----- ----- ------ 1-A1 86358EET9 AAA (sf) 1-A3 86358EEV4 AAA (sf) 2-A1 86358EEW2 AAA (sf) 2-A3 86358EEY8 AAA (sf) 3-A 86358EEZ5 AAA (sf) Structured Asset Investment Loan Trust 2003-BC6 Series 2003-BC6 Class CUSIP Rating ----- ----- ------ M-4 86358ECP9 CCC (sf) B 86358ECR5 CCC (sf) Structured Asset Investment Loan Trust 2004-1 Series 2004-1 Class CUSIP Rating ----- ----- ------ 1-A3 86358EFY7 AAA (sf) M2 86358EGB6 CCC (sf) B 86358EGG5 CC (sf) Structured Asset Investment Loan Trust 2004-10 Series 2004-10 Class CUSIP Rating ----- ----- ------ A2 86358ENS1 AAA (sf) A4 86358ENU6 AAA (sf) A7 86358ENX0 AAA (sf) A9 86358ENZ5 AAA (sf) M2 86358EPD2 CC (sf) M3 86358EPE0 CC (sf) M4 86358EPF7 CC (sf) Structured Asset Investment Loan Trust 2004-4 Series 2004-4 Class CUSIP Rating ----- ----- ------ A4 86358EHQ2 AAA (sf) M4 86358EHU3 CCC (sf) M5 86358EHV1 CC (sf) M6 86358EHW9 CC (sf) Structured Asset Investment Loan Trust 2004-7 Series 2004-7 Class CUSIP Rating ----- ----- ------ A7 86358EKH8 AAA (sf) A8 86358EKJ4 AAA (sf) M7 86358EKS4 CC (sf) * S&P Withdraws Ratings on 46 Classes From 32 CMBS Transactions --------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on 46 classes from 32 North American commercial mortgage-backed securities and commercial real estate collateralized debt obligation transactions. S&P withdrew its ratings on 41 classes from 30 CMBS and CRE CDO transactions following the repayment of each class' principal balance, as noted in each transaction's January and February 2011 remittance reports. S&P withdrew its ratings on five interest- only classes from four transactions following the reduction of each class' notional balance, as noted in each transaction's February 2011 remittance reports. Ratings Withdrawn Asset Securitization Corp. Comm mtg pass-thru certs ser 1996-D2 Rating ------ Class To From ----- -- ---- A-3 NR AA- (sf) Banc of America Structured Securities Trust Commercial mortgage pass-through certificates series 2002-X1 Rating ------ Class To From ----- -- ---- K NR B (sf) Bear Stearns Commercial Mortgage Securities Trust Commercial mortgage pass through certificates series 2006- PWR12 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) Bear Stearns Commercial Mortgage Securities Trust Commercial mortgage pass through certificates series 2007- PWR15 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 1999-1 Rating ------ Class To From ----- -- ---- D NR AAA (sf) Credit Suisse Commercial Mortgage Trust Series 2006-C4 Commercial mortgage pass-through certificates series 2006-C4 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) Credit Suisse Commercial Mortgage Trust Series 2007-C2 Commercial mortgage pass-through certificates series 2007-C2 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-TFL1 Rating ------ Class To From ----- -- ---- A-X-1 NR AAA (sf) K NR AA+ (sf) L NR BB (sf) First Union National Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2000-C2 Rating ------ Class To From ----- -- ---- D NR AAA (sf) First Union National Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2001-C2 Rating ------ Class To From ----- -- ---- B NR AAA (sf) C NR AAA (sf) GE Commercial Mortgage Corp. Commercial mortgage pass-through certificates series 2004-C3 Rating ------ Class To From ----- -- ---- A-2 NR AAA (sf) GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2000-C2 Rating ------ Class To From ----- -- ---- E NR A- (sf) GMAC Commercial Mortgage Securities Inc. Mortgage pass-through certificates series 2001-C1 Rating ------ Class To From ----- -- ---- A-2 NR AAA (sf) GMAC Commercial Mortgage Securities Inc. Commercial mortgage securities 2002-C2 Rating ------ Class To From ----- -- ---- A-2 NR AAA (sf) GS Mortgage Securities Corp. II Commercial mortgage pass-through certificates series 2001-ROCK Rating ------ Class To From ----- -- ---- A-2 NR AAA (sf) A-2FL NR AAA (sf) B NR AAA (sf) B-FL NR AAA (sf) C NR AAA (sf) D NR AAA (sf) E NR AAA (sf) F NR AAA (sf) G NR AAA (sf) X-1 NR AAA (sf) X-2 NR AAA (sf) JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-LDP2 Rating ------ Class To From ----- -- ---- A-2 NR AAA (sf) JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates 2006-FL1 Rating ------ Class To From ----- -- ---- A-1B NR AAA (sf) JPMorgan Chase Commercial Mortgage Securities Trust Commercial mortgage pass-through certificates series 2007- CIBC20 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) LB-UBS Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2004-C2 Rating ------ Class To From ----- -- ---- A-2 NR AAA (sf) LB-UBS Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2004-C4 Rating ------ Class To From ----- -- ---- A-2 NR AAA (sf) LB-UBS Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2004-C6 Rating ------ Class To From ----- -- ---- A-3 NR AAA (sf) Merrill Lynch Financial Assets Inc. Commercial mortgage pass-through certificates series 2000CAN4 Rating ------ Class To From ----- -- ---- E NR BBB+ (sf) Merrill Lynch Mortgage Trust Commercial mortgage pass-through certificates series 2002-MW1 Rating ------ Class To From ----- -- ---- A-3 NR AAA (sf) ML-CFC Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2007-5 Rating ------ Class To From ----- -- ---- A-1 NR AAA (sf) Morgan Stanley Capital I Trust Commercial mortgage pass-through certificates series 2004-IQ7 Rating ------ Class To From ----- -- ---- A-2 NR AAA (sf) Morgan Stanley Dean Witter Capital I Trust Commercial mortgage pass-through certificates series 2001-TOP1 Rating ------ Class To From ----- -- ---- A-4 NR AAA (sf) Morgan Stanley Dean Witter Capital I Trust Commercial mortgage pass-through certificates series 2003-TOP9 Rating ------ Class To From ----- -- ---- X-2 NR AAA (sf) NationsLink Funding Corp. Commercial mortgage pass-through certificates series 1999-2 Rating ------ Class To From ----- -- ---- H NR BB- (sf) J NR B- (sf) Nomura Asset Securities Corp. Comm mtg pass-thru certs ser 1996-MDV Rating ------ Class To From ----- -- ---- B-2 NR AAA (sf) Protective Finance Corp. II Comm mtg FASIT certs ser 1 Rating ------ Class To From ----- -- ---- C NR AA- (sf) STRIPs CDO Ltd. STRIPs CDO notes 2002-2 Rating ------ Class To From ----- -- ---- M NR BB (sf) Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2004-C10 Rating ------ Class To From ----- -- ---- X-P NR AAA (sf) ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers" public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com by e-mail. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases by individuals and business entities estimating assets and debts or disclosing assets and liabilities at less than $1,000,000. The list includes links to freely downloadable images of the small-dollar business-related petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors" Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland, USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Denise Marie Varquez, Philline Reluya, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2011. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $775 for 6 months delivered via e- mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Christopher Beard at 240/629-3300. *** End of Transmission ***