/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/110619.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, June 19, 2011, Vol. 15, No. 168 Headlines ABACUS 2006-17: S&P Lowers Ratings on 7 Classes to 'CC' ACAS BUSINESS: Moody's Upgrades Ratings of SME CLO Notes ACAS BUSINESS: Moody's Upgrades SME CLO Notes Rating to 'A2' AMERICAN HOME: Moody's Downgrades Rating of $14 Million of RMBS ARES VR CLO: Moody's Upgrades Ratings of Six Classes of CLO Notes ATRIUM V: S&P Raises Rating on Class D Notes From 'B+' to 'BB' ATTENTUS CDO: Moody's Downgrades Rating of Combo Note to 'C' BANC OF AMERICA: Moody's Upgrades One and Affirms Six CMBS Classes BANC OF AMERICA: S&P Lowers Rating on Class E Certs. to 'D' BANK OF INTERNET: S&P Lowers Ratings on 3 Classes to 'B-' BEAR STEARNS: Fitch Downgrades 1 Class of BSCM 2003-TOP12 BEAR STEARNS: Fitch Ratings Affirms Bear Stearns 2000-WF1 BEAR STEARNS: Moody's Affirms 13 CMBS Classes of BSCMS 2002-TOP6 BLACKROCK SENIOR: S&P Raises Rating on Class D Notes to 'BB+' BMI CLO: S&P Gives 'BB' Rating on Class D Floating-Rate Notes C-BASS CBO: Fitch Ratings Affirms 3 Classes of Notes CD 2006-3: S&P Cuts Ratings on 3 Classes of Certs. to 'D' CD 2006-CD2: S&P Lowers Rating on Class E Certs. to 'D' CENTERLINE 2007-1: S&P Lowers Ratings on 2 Classes to 'D' CITIGROUP COMMERCIAL: S&P Withdraws 'CCC-' Rating on Class MLA-1 COLDWATER CDO: S&P Lowers Rating on Class A-1 Note to 'D' COMM 2006-C7: S&P Lowers Ratings on 8 Classes of Certs. to 'D' CONNECTICUT VALLEY: Moody's Upgrades Ratings of 2 Classes of Notes CSFB COMMERCIAL: Moody's Affirms 19 CMBS Classes of CSFB 2005-C4 CSFB COMMERCIAL: Moody's Affirms 20 CMBS Classes of CSFB 2005-C6 CSFB MORTGAGE: Moody's Cuts Down Ratings of $35 Million RMBS CSFB MORTGAGE: Moody's Withdraws Ratings of $4 Million RMBS CWMBS INC: Moody's Downgrades Ratings of 18 Tranches DBUBS 2011-LC2: Moody's Assigns Provisional Ratings to 13 CMBS DRYDEN XXI: Upgrades Ratings of Class D Floating Rate Notes to Ba1 GE COMMERCIAL: S&P Affirms Ratings on 2 Classes at 'CCC-' GIA INVESTMENT: Moody's Upgrades Ratings of 3 Classes of CBO Notes GMAC COMMERCIAL: Moody's Downgrades One & Affirms Nine CMBS GMAC COMMERCIAL: S&P Cuts Rating on Class G Certs. to 'D' GRAYSON CDO: S&P Affirms Rating on Class D Notes at 'CCC-' GREENWICH CAPITAL: Moody's Affirms Three CMBS Rake Classes GS MORTGAGE: S&P Gives 'BB-' Ratings on 2 Classes of Certs. IMPAC SECURED: Moody's Reviews Ratings of $1.67 Bil. Alt-A RMBS JEFFERIES RESECURITIZATION: S&P Cuts Ratings on 4 Classes to 'CCC' JERSEY STREET: S&P Raises Rating on Class D Notes to 'BB+' JP MORGAN CHASE: Moody's Confirms Ratings of Ten CMBS Classes JPMORGAN CHASE: S&P Lowers Ratings on 5 Classes of Certs. to 'D' LB-UBS COMMERCIAL: S&P Lowers Rating on Class J Certs. to 'CCC+' MARIAH RE: S&P Puts 'B' Rating on Series 2010-1 Notes on Watch Neg MERRILL LYNCH: Moody's Upgrades Rating of One CMBS Class MILLION AIR: Moody's Assigns Ba3 Rating to Projects Revenue Bonds MONTANA RE: S&P Lowers Rating on Class E Notes to 'CCC' MORGAN STANLEY: Fitch Takes Various Actions on MSCI 2003-IQ4 MORGAN STANLEY: Fitch Takes Actions on MSCI 2007-XLF MORGAN STANLEY: S&P Lowers Rating on Class L Certs. to 'D' ONE NEWCASTLE: S&P Retains 'D' Ratings on 3 Classes of Notes PREFERREDPLUS TRUST: S&P Raises Rating on $8.75MM Certs. to 'BB' PREFERREDPLUS TRUST: S&P Raises Rating on $40MM Certs. to 'BB' SALOMON BROTHERS: Moody's Upgrades Rating of Four CMBS Classes SILVER MARLIN: S&P Lowers Rating on Class A-1 Notes to 'D' SLM PRIVATE: Moody's Cuts Down Rating of 43 Student Loan Tranches TOYS R US: S&P Affirms Rating on Debentures-Backed Certs. at 'B' WACHOVIA BANK: Moody's Affirms 16 CMBS Classes of WBCMT 2005-C21 WACHOVIA BANK: S&P Lowers Rating on Class N Certs. to 'CCC+' WELLS FARGO: Fitch Assigns Final Ratings to WFRBS Trust WFRBS COMMERCIAL: Moody's Assigns Ratings to Twelve CMBS Classes WG HORIZONS: Moody's Cuts Down Ratings of Five Classes of Notes * Fitch Ratings Withdraws Ratings on 11 U.S. NIM Classes ********* ABACUS 2006-17: S&P Lowers Ratings on 7 Classes to 'CC' ------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on eight tranches from eight synthetic corporate-backed collateralized debt obligation (CDO) transactions on CreditWatch positive. "At the same time, we placed our ratings on six tranches from four synthetic CDO transactions backed by commercial mortgage-backed securities (CMBS) on CreditWatch negative. In addition, we lowered our ratings on 21 tranches from eight CMBS-related synthetic CDOs and one tranche from one synthetic CDO transaction referencing a residential mortgage-backed securities (RMBS) tranche. The rating actions followed our monthly review of U.S. synthetic CDO transactions," S&P said. The CreditWatch positive placements reflect the transactions' seasoning, the obligors' rating stability in the underlying reference portfolios over the past few months, and synthetic rated overcollateralization (SROC) ratios that had risen above 100% at the next highest rating level. The CreditWatch negative placements and downgrades reflect negative rating migration in the respective portfolios and SROC ratios that had fallen below 100% as of the May month-end run. Rating Actions ABACUS 2006-17 Ltd Rating Class To From A-2 CC (sf) CCC- (sf) B CC (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) Bear Stearns High Grade Structured Credit Strategies Master Fund, Ltd. Rating Class To From Unf Cr Def A (sf)/Watch Pos A (sf) Castle Finance I Ltd. 1 Rating Class To From Series 1 BBB- (sf)/Watch Pos BBB- (sf) Credit Default Swap US$187.5 mil Swap Risk Rating - Portfolio CDS Ref No. PYR_8631051_82386541_Zicavo Rating Class To From Swap BBB+srp (sf)/Watch Pos BBB+srp (sf) Credit Default Swap US$225 mil Swap Risk Rating - "Paoli" Ref No. 64451 Rating Class To From Tranche BBsrp (sf)/Watch Pos BBsrp (sf) Elva Funding PLC 2008-3 Rating Class To From Notes BBB+ (sf)/Watch Pos BBB+ (sf) HARBOR SPC 2006-1 Rating Class To From C CCC (sf)/Watch Neg CCC (sf) Nomura International plc US$1 bil NSCR 2006-2 2.75%-7% SCDO Rating Class To From Tranche B+srp (sf)/Watch Neg B+srp (sf) Omega Capital Investments PLC EUR274 mil, ť20 mil, US$160 mil Palladium CDO I Secured Floating Rate Notes Series 19 Rating Class To From S-1E BB- (sf)/Watch Pos BB- (sf) PARCS-R Master Trust 2007-16 Rating Class To From Trust Unit D (sf) CCC (sf) Pegasus 2006-1, Ltd. Rating Class To From A1 A+ (sf)/Watch Neg A+ (sf) A2 BBB+ (sf)/Watch Neg BBB+ (sf) Prism Colgate Orso Trust Rating Class To From CL AA (sf)/Watch Pos AA (sf) SCORE SPC acting for the account of MSC 2006-SRR1-BIG Segregated Portfolio Rating Class To From G CC (sf) CCC- (sf) H CC (sf) CCC- (sf) J CC (sf) CCC- (sf) Seawall SPC 2008 CMBS CDO-10 Rating Class To From Notes CCC+ (sf) BBB- (sf) SPGS SPC MSC 2006-SRR1-C Rating Class To From C CC (sf) CCC- (sf) C-S CC (sf) CCC- (sf) SPGS SPC MSC 2006-SRR1-D Rating Class To From D CC (sf) CCC- (sf) D-S CC (sf) CCC- (sf) SPGS SPC MSC 2006-SRR1-E Rating Class To From E CC (sf) CCC- (sf) E-S CC (sf) CCC- (sf) SPGS SPC MSC 2006-SRR1-F Rating Class To From F CC (sf) CCC- (sf) F-S CC (sf) CCC- (sf) SPGS SPC MSC2007-SRR3 Rating Class To From M CC (sf) CCC- (sf) N CC (sf) CCC- (sf) STEERS High-Grade CMBS Resecuritization Trust 2006-1 2 3 Rating Class To From 2006-2 BB (sf)/Watch Neg BB (sf) 2006-3 BB (sf)/Watch Neg BB (sf) Terra CDO SPC Ltd. 2007-7 Rating Class To From A-1 B+ (sf)/Watch Pos B+ (sf) ACAS BUSINESS: Moody's Upgrades Ratings of SME CLO Notes -------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by ACAS Business Loan Trust 2005-1: -- US$435,000,000 Class A-1 Floating Rate Asset Backed Notes, Series 2005-1 (current balance of $113,257,804), Upgraded to Aaa (sf); previously on July 9, 2010 Downgraded to A1 (sf); -- US$50,000,000 Class A-2b Floating Rate Asset Backed Notes, Series 2005-1, Upgraded to Aaa (sf); previously on July 9, 2010 Downgraded to A2 (sf); -- US$50,000,000 Class B Floating Rate Deferrable Asset Backed Notes, Series 2005-1, Upgraded to Aa2 (sf); previously July 9, 2010 Downgraded to Ba1 (sf); -- US$145,000,000 Class C Floating Rate Deferrable Asset Backed Notes, Series 2005-1, Upgraded to Baa3 (sf); previously on July 9, 2010 Downgraded to Caa1 (sf). RATINGS RATIONALE According to Moody's, the rating actions taken on the notes result primarily from the delevering of the Class A Notes, which have been paid down by approximately 62% or $268 million since the rating action in July 2010. In addition to principal pay downs, excess spread is being diverted to pay down Class A Notes. Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since the rating action in July 2010. Based on the April 2011 servicer report, the weighted average rating factor is 4268 compared to 4728 in April 2010. Moody's also notes that the Additional Principal Amount has decreased substantially since the last rating action. The Additional Principal Amount is the excess of the aggregate outstanding principal balance over the sum of (1) the aggregate outstanding loan balance plus (2) principal collections on deposit. This amount decreases as defaults decrease and excess spread is diverted to delever the notes, decreasing the difference between the liabilities and assets. Since last April, the Additional Principal Amount of the transaction has decreased from $124 million to $60.9 million. 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 million, a weighted average default probability of 40.40% (implying a WARF of 6594), a weighted average recovery rate upon default of 21.16%, and a diversity score of 22. 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. ACAS Business Loan Trust 2005-1, issued in October 2005, is a collateralized loan obligation backed primarily by a portfolio of non-senior secured middle-market loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations"published in August 2009. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website. 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, due to the low diversity of the collateral pool, CDOROM 2.8 was used to simulate a default distribution that was then applied as an input in the cash flow model. Moody's also supplemented its modeling with individual scenario analysis to assess the ratings impact of jump- to-default by certain large obligors. For securities whose default probabilities are assessed through credit estimates ("CEs"), Moody's applied additional default probability stresses by assuming a 0.5 notch-equivalent assumed downgrade for CEs last updated between 6-12 months ago. For each CE where the related exposure constitutes more than 3% of the collateral pool, Moody's applied a 2-notch equivalent assumed downgrade (but only on the CEs representing in aggregate the largest 30% of the pool) in lieu of the aforementioned stresses, outlined in the publication "Updated Approach to the Usage of Credit Estimates in Rated Transactions" published in October 2009. Notwithstanding the foregoing, in all cases the lowest assumed rating equivalent is Caa3. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (5275) Class A1: 0 Class A2a: 0 Class A2b: 0 Class B: +1 Class C: +4 Moody's Adjusted WARF + 20% (7913) Class A1: 0 Class A2a: 0 Class A2b: 0 Class B: -4 Class C: -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. 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 collateral sales by the manager, which may have significant impact on the notes' ratings. 2. Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. 3. Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability stresses Moody's may assume in lieu of updated credit estimates. Moody's also conducted stress tests to assess the collateral pool's concentration risk in obligors bearing a credit estimate that constitute more than 3% of the collateral pool. 4. Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors that are rated Caa1 or lower, especially when they experience jump to default. Due to the deal's low diversity score and lack of granularity, Moody's supplemented its typical Binomial Expansion Technique analysis with a simulated default distribution using Moody's CDOROM software and individual scenario analysis. ACAS BUSINESS: Moody's Upgrades SME CLO Notes Rating to 'A2' ------------------------------------------------------------ Moody's Investors Service has upgraded the rating of these notes issued by ACAS Business Loan Trust 2004-1: -- US$73,750,000 Class C Floating Rate Asset Backed Notes, Series 2004-1 Due 2018 (current outstanding balance of $54,106,770), Upgraded to A2 (sf); previously on July 9, 2010 Downgraded to Ba1 (sf). RATINGS RATIONALE According to Moody's, the rating action taken on the notes results primarily from the delevering of the Class A, Class B and Class C Notes, which have been paid down by approximately $105.6 million since the rating action in July 2010. The Class A and Class B Notes have been paid in full. In addition to principal pay downs, excess spread is being diverted to pay down the Class C Notes. Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since the rating action in July 2010. Based on the April 2011 servicer report, the weighted average rating factor is 3975 compared to 4237 in April 2010. Moody's also notes that the Additional Principal Amount has decreased substantially since the last rating action. The Additional Principal Amount is the excess of the aggregate outstanding principal balance over the sum of (1) the aggregate outstanding loan balance plus (2) principal collections on deposit. This amount decreases as defaults decrease and excess spread is diverted to delever the notes, decreasing the difference between the liabilities and assets. Since last April, the Additional Principal Amount of the transaction has decreased from $36.6 million to $21.97 million. 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 $122 million, a weighted average default probability of 37.56% (implying a WARF of 6540), a weighted average recovery rate upon default of 18.90%, and a diversity score of 10. 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. ACAS Business Loan Trust 2004-1, issued in December 2004, is a collateralized loan obligation backed primarily by a portfolio of non-senior secured middle-market loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009. Other considerations incorporated in this rating are outlined in "Updated Approach to the Usage of Credit Estimates in Rated Transactions" published in October 2009. For each credit estimate where the related exposure constitutes more than 3% of the collateral pool, Moody's applied a 2-notch equivalent assumed downgrade (but only on the credit estimates representing in aggregate the largest 30% of the pool). In all cases the lowest assumed rating equivalent is Caa3. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website. 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, due to the low diversity of the collateral pool, CDOROM 2.8 was used to simulate a default distribution that was then applied as an input in the cash flow model. Moody's also supplemented its modeling with individual scenario analysis to assess the ratings impact of jump- to-default by certain large obligors. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (5232) Class C: +2 Moody's Adjusted WARF + 20% (7848) Class C: -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. 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 collateral sales by the manager, which may have significant impact on the notes' ratings. 2. Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. 3. Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability stresses Moody's may assume in lieu of updated credit estimates. Moody's also conducted stress tests to assess the collateral pool's concentration risk in obligors bearing a credit estimate that constitute more than 3% of the collateral pool. 4. Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors that are rated Caa1 or lower, especially when they experience jump to default. Due to the deal's low diversity score and lack of granularity, Moody's supplemented its typical Binomial Expansion Technique analysis with a simulated default distribution using Moody's CDOROM software and individual scenario analysis. AMERICAN HOME: Moody's Downgrades Rating of $14 Million of RMBS --------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one tranche from American Home Mortgage Investment Trust 2005-SD1. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate "scratch and dent" residential mortgages. Scratch and Dent deals are classified outside of Moody's primary categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for a number of reasons. The pools may include mortgages that have been originated outside an originator's program guidelines in some way, or mortgages where borrowers missed payments in the past. These pools may also include loans with document defects at origination that have since been rectified. Due to the varied content of Scratch and Dent mortgage pools, which can range from seasoned prime-like loans to non-prime loans that were seriously delinquent at the time of securitization, credit quality of these pools varies considerably. RATINGS RATIONALE The actions are a result of deteriorating performance of Scratch and Dent pools under stressed housing and macroeconomic conditions. The actions reflect Moody's updated loss expectations on Scratch and Dent pools. The principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other methodologies used include "US RMBS Surveillance Methodology for Scratch and Dent" published in May 2011, which accounts for the deteriorating performance and outlook. Moody's final rating actions are based on current levels of credit enhancement, collateral performance and updated pool-level loss expectations. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: American Home Mortgage Investment Trust 2005-SD1 -- Cl. I-A1, Downgraded to Caa2 (sf); previously on Apr 21, 2010 Downgraded to B3 (sf) and Placed Under Review for Possible Downgrade ARES VR CLO: Moody's Upgrades Ratings of Six Classes of CLO Notes ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Ares VR CLO, Ltd. -- US$35,000,000 Class A-1 Revolving Floating Rate Notes (current outstanding balance of $28,546,957.43), Upgraded to Aa1 (sf); previously on June 12, 2009 Downgraded to A1 (sf); -- US$100,000,000 Class A-2 Delayed Drawdown Floating Rate Notes (current outstanding balance of $81,562,735.57), Upgraded to Aa1 (sf); previously on June 12, 2009 Downgraded to A1 (sf); -- US$333,700,000 Class A-3 Floating Rate Notes (current outstanding balance of $272,174,848.55), Upgraded to Aa1 (sf); previously on June 12, 2009 Downgraded to A1 (sf); -- US$22,100,000 Class B Floating Rate Notes, Upgraded to A2 (sf); previously on June 12, 2009 Downgraded to Baa2 (sf); -- US$23,400,000 Class C Deferrable Floating Rate Notes, Upgraded to Baa2 (sf); previously on June 12, 2009 Confirmed at Ba1 (sf); -- US$56,200,000 Class D Deferrable Floating Rate Notes (current outstanding balance of $ 49,698,996.08), Upgraded to B2 (sf); previously on June 12, 2009 Downgraded to Caa3 (sf). 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, and improvement in the credit quality of the underlying portfolio since the rating action in June 2009. The overcollateralization ratios of the rated notes have improved since the rating action in June 2009. As per the May 2011 trustee report, the Class A/B, Class C, and Class D overcollateralization ratios are reported at 119.7%, 114.1%, and 103.8% respectively, versus April 2009 levels of 112.4%, 107.3%, and 96.6% respectively. The Class D Notes are no longer deferring interest, and the deferred interest had been repaid. 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. Based on the May 2011 trustee report, the weighted average rating factor is 2496 compared to 3108 in April 2009, and securities rated Caa1 and below make up approximately 3.23% of the underlying portfolio versus 15.6% in April 2009. The deal also experienced a decrease in defaulted securities. The dollar amount of defaulted securities has decreased from $16.5 million in April 2009 to $7.2 million in May 2011. 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 $501 million, defaulted par of $8.5 million, weighted average default probability of 22.4% (implying a WARF of 3255), a weighted average recovery rate upon default of 41.0 %, and a diversity score of 55.0. 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. Ares VR CLO, Ltd., issued on March 9, 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans and high yield bonds. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition to the base case analysis, Moody's also performed 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% (2604) Class A-1: +1 Class A-2: +1 Class A-3: +1 Class B: +2 Class C: +2 Class D: +2 Moody's Adjusted WARF +20% (3906) Class A-1: -2 Class A-2: -2 Class A-3: -2 Class B: -1 Class C: -2 Class D: -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 collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's' overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus selling defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) 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. ATRIUM V: S&P Raises Rating on Class D Notes From 'B+' to 'BB' -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2b, A-3b, A-4, B, C, and D notes from Atrium V, a collateralized loan obligation (CLO) transaction managed by CSFB Alternative Capital Inc. "We also affirmed our ratings on the class A-2a and A-3a notes. At the same time, we removed our ratings on the A-1, A-2b, A-3a, A-3b, A-4, B, C, and D notes from CreditWatch, where we placed them with positive implications on March 1, 2011," S&P said. "The upgrades reflect improved performance we have observed in the deal's underlying asset portfolio since our Dec. 23, 2009, rating actions where we downgraded all except the A-2a notes following the application of our September 2009 CDO criteria for corporate backed securities," S&P said. As per the May 2011, trustee report, the transaction had $8.9 million in defaulted assets. "This was down from $53.7 million as reflected in the November 2009 trustee report, which we referenced for our December 2009 rating actions. Additionally, the transaction had $33.2 million in assets rated 'CCC+' or lower according to the April 2011 trustee report, was down from $89.3 million according to the November 2009 report," S&P said. The transaction has also benefited from an increase in overcollateralization (O/C) available to support the rated notes. The May 2011 trustee report detailed these O/C ratios: The class A O/C ratio was 124.07%, compared with a reported ratio of 118.68% in November 2009; The class B O/C ratio was 115.82%, compared with a reported ratio of 110.79% in November 2009; The class C O/C ratio was 111.16%, compared with a reported ratio of 106.33% in November 2009; and The class D O/C ratio was 108.56%, compared with a reported ratio of 103.84% in November 2009. The affirmations of the class A-2a and A-3a 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 assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating and CreditWatch Actions Atrium V Rating Class To From A-1 AA (sf) A+ (sf)/Watch Pos A-2b AA (sf) A+ (sf)/Watch Pos A-3a AA+ (sf) AA+ (sf)/Watch Pos A-3b AA (sf) A+ (sf)/Watch Pos A-4 A+ (sf) A- (sf)/Watch Pos B BBB+ (sf) BB+ (sf)/Watch Pos C BB+ (sf) BB (sf)/Watch Pos D BB (sf) B+ (sf)/Watch Pos Rating Affirmed Atrium V Class Rating A-2a AAA (sf) Transaction Information Issuer: Atrium V Collateral manager: CSFB Alternative Capital Inc. Underwriter: Credit Suisse AG Indenture trustee: The Bank of New York Mellon Transaction type: Cash flow CLO ATTENTUS CDO: Moody's Downgrades Rating of Combo Note to 'C' ------------------------------------------------------------ Moody's Investors Service has downgraded the rating on this combination note security issued by Attentus CDO II, Ltd. -- US$22,000,000 Type I Composite Notes Due 2041 (current rated balance of $18,581,181), Downgraded to C (sf); previously on April 24, 2008 Downgraded to Ca (sf). RATINGS RATIONALE Attentus CDO II, Ltd., issued on September 29, 2006, is a collateral debt obligation backed by a portfolio of CMBS, CRE CDOs and REIT trust preferred securities (the 'TRUP CDO'). On March 11, 2010, the last rating action date, Moody's downgraded four classes of notes, which were the result of the application of revised and updated key modeling assumptions, as well as the deterioration in the credit quality of the transaction's underlying portfolio. The rating action on the Composite Notes is a reflection of the change in the ratings of the underlying securities backing the combination notes. The Composite Notes is composed of the Class E- 2 Notes, the Class F-2 Notes and the Subordinated Notes issued by Attentus CDO II, Ltd. Neither of these three underlying component notes is expected to receive any cash flow. The principal methodologies used in this rating were "Using the Structured Note Methodology to Rate CDO Combo-Notes" published in February 2004, and " Moody's Approach to Rating TRUP CDOs" published in May 2011. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. Moody's considers as well the structural protections in 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 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. BANC OF AMERICA: Moody's Upgrades One and Affirms Six CMBS Classes ------------------------------------------------------------------ Moody's Investors Service (Moody's) upgraded one and affirmed six classes of Banc of America Commercial Mortgage Inc. Commercial Mortgage Pass-Through Certificates, Series 2001-1: -- Cl. X, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. G, Upgraded to A3 (sf); previously on Sep 16, 2010 Downgraded to Baa2 (sf) -- Cl. H, Affirmed at B2 (sf); previously on Sep 16, 2010 Downgraded to B2 (sf) -- Cl. J, Affirmed at Caa3 (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf) -- Cl. K, Affirmed at Ca (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) -- Cl. L, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) RATINGS RATIONALE The upgrade is due to an increase in subordination from payoffs and amortization. The pool has paid down 93% since securitization and 86% since last review. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 29.5% of the current balance compared to 9.2% at last review. The current cumulative base expected loss represents a higher percentage of the pool than at last review due to significant pay downs since last review, even though the dollar amount of expected loss is less. The current cumulative base expected loss is $20.7 million compared to $46.5 million at last review. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the 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 primary methodology used in these ratings were "CMBS: Moody's Approach to Rating U.S. Conduit Transactions" published in September 2000. Moody's also considered "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 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 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's 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 compared to 25 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 (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 September 16, 2010. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Moody's Investors Service 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 May 16, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $70.17 million from $948.13 million at securitization. The Certificates are collateralized by 12 mortgage loans ranging in size from 2% to 23% of the pool, with the top ten loans representing 96% of the pool. One loan, representing 2.2% 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 (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. Thirteen loans have been liquidated from the pool since securitization, resulting in an aggregate $39.4 million loss (17% loss severity on average). Currently nine loans, representing 78% of the pool, are in special servicing. The largest specially serviced loan is the Talley Plaza Loan ($15.8 million -- 22.5% of the pool), which is secured by a 223,400 square feet (SF) office building located in Phoenix, Arizona. The loan transferred into special servicing in February 2011 due to maturity default. Strategic Financial Services (12.7% of NRA) vacated the property at the end of 2010. As a result, the property was 72% leased as of January 2011 compared to 79% at last review. The borrower has requested an extension of the maturity date. The second largest loan in special servicing is the Waretech Industrial Park Loan ($13.9 million -- 19.9% of the pool), which is secured by a 673,000 SF industrial property located in Grand Blanc, Michigan. The loan transferred into special servicing in May 2009 due to imminent default and the property was foreclosed on in July 2010. The property was 80% leased as of December 2010 compared to 38% at last review. The third largest loan in special servicing is the Willows Corporate Center Loan ($9.4 million -- 13.4% of the pool), which is secured by a 53,000 SF office complex in Redmond, Washington. The loan transferred into special servicing in October 2010 due to the borrower offering title through a deed in lieu. The master servicer has recognized an aggregate $14.1 million appraisal reduction for four of the specially serviced loans. Moody's has estimated an aggregate loss of $15.7 million (49% expected loss on average) for six of the specially serviced loans. Moody's has assumed a high default probability for one poorly performing loan representing 17.7% of the pool and has estimated a $1.9 million loss (15% expected loss based on a 50% probability default) from this troubled loan. Based on the most recent remittance statement, Classes J through P have experienced cumulative interest shortfalls totaling $4.66 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. Moody's was provided with full year 2009 and partial/full year 2010 operating results for 93% and 49% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 109% compared to 72% at last full review. Moody's net cash flow reflects a weighted average haircut of 29% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.2%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 0.95X and 1.22X, respectively, compared to 1.68X and 1.64X 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 conduit loans represent 22% of the pool balance. The largest loan is the Freeport Office Center IV Loan ($12.4 million -- 17.7% of the pool), which is secured by 159,000 SF office complex located in Irving, Texas. The loan had been in special servicing due to a maturity default but was transferred back to the master servicer April 2011 after the loan was extended to May 2012. The property had been 100% leased to the Ford Motor Company but in May 2010 the renewed the leased for five years for approximately 40% of the total leaseable area. Moody's is concerned about the near-term refinance risk associated with this loan and has recognized this as a troubled loan. Moody's LTV and stressed DSCR are 142% and 0.69X, respectively, same at last full review. BANC OF AMERICA: S&P Lowers Rating on Class E Certs. to 'D' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on five classes of commercial mortgage-backed securities (CMBS) from Banc of America Commercial Mortgage Trust 2006-5, one of which S&P lowered to 'D (sf)'. "In addition, we affirmed our ratings on eight other classes from the same transaction," S&P said. "The rating actions follow our analysis of the transaction primarily using our U.S. conduit and fusion criteria. Our analysis included a review of the credit characteristics of all of the loans in the pool, the transaction structure, and the liquidity available to the trust. In addition, accumulated interest shortfalls, primarily due to appraisal subordinate entitlement reductions (ASERs), prompted us to lower our rating on class E to 'D (sf)'. The downgrades of several certificate classes also reflect credit support erosion we anticipate will occur upon the resolution of 18 ($395.7 million, 18.9%) of the transaction's 20 ($401.8 million, 19.18%) assets with the special servicer and one ($3.4 million, 0.2%) loan we have determined to be credit- impaired," S&P stated. S&P continued, "Our analysis included a review of the credit characteristics of all of the assets in the pool. Using servicer- provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.30x and a loan-to-value (LTV) ratio of 112.7%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.89x and an LTV ratio of 148.1%. The implied defaults and loss severity under the 'AAA' scenario were 89.4% and 36.2%. All of the DSC and LTV calculations exclude 18 ($395.7 million, 18.9%) of the transaction's 20 ($401.8 million, 19.18%) assets with the special servicer and one ($3.4 million, 0.2%) loan we determined to be credit-impaired. We 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 May 10, 2011, remittance report, the trust had experienced monthly interest shortfalls totaling $225,548. The shortfalls were primarily related to ASER amounts totaling $464,966 associated with nine of the specially serviced assets, as well as special servicing fees of $80,303, workout fees of $3,265, miscellaneous fees of $1,800, and other interest losses of $827. The total interest shortfalls to the certificates were offset by recovered interest totaling $319,639 and other interest proceeds in the amount of $5,974. "Accumulated interest shortfalls on the class E certificates have been outstanding for four months, and we expect these shortfalls to remain outstanding for the foreseeable future. We expect potential interest shortfalls for the class E certificate as well. Consequently, we lowered the rating on this class to 'D (sf)'. Our ratings action on classes C and D reflect reduced liquidity support available to these classes, which makes them susceptible to future interest shortfalls," S&P related. The affirmations of the ratings on the principal and interest certificates reflect subordination levels and liquidity that is consistent with the outstanding ratings. "We affirmed our rating on the class XP and class XC interest-only (IO) certificate based on our current criteria," S&P noted. Credit Considerations As of the May 10, 2011, remittance report, 19 ($391.9 million, 18.7%) assets in the pool were with the special servicer, LNR Partners Inc. "We were also notified by the master servicer, Bank of America N.A., that the Westridge Office Center loan ($9.9 million, 0.5%) transferred to the special servicer after the transfer report date. The payment status of the specially serviced assets is: one ($15.8 million, 0.8%) is real estate owned (REO), two ($69.0 million, 3.3%) are in foreclosure, eight ($201.8 million, 9.7%) are 90-plus-days delinquent, five ($82.9 million, 4.0%) are 60-days delinquent, three ($9.6 million, 0.5%) are 30- days delinquent, and one ($21.7 million, 1.0%) is in maturity default. Appraisal reduction amounts (ARAs) totaling $103.5 million were in effect for 10 specially serviced assets," S&P stated. Details on the two largest assets with the special servicer, which are also top 10 loans, are: The Trinity Hotel Portfolio loan ($128.5 million, 6.1%) is the largest loan with the special servicer and the third-largest loan in the pool. It is secured by a portfolio of 13 cross- collateralized and cross-defaulted hotel properties in eight states, totaling 2,567 hotel rooms. The portfolio consists of 10 full-service hotels, two limited-service hotels, and one extended-stay hotel. The loan was transferred to the special servicer in November 2009, and the payment status is 90-plus-days delinquent. According to the special servicer, the lender and borrower are working to finalize a deed in lieu of foreclosure. The lender is also in discussions with the borrower to determine if a possible forbearance agreement can be reached. There is an ARA of $8.6 million in effect for this loan. The most recent reported DSC and occupancy were 0.60x and 62% as of Dec. 31, 2010. "We expect a moderate loss upon the resolution of this asset," S&P related. The Temecula Town Center loan ($66.6 million, 3.2%), the fifth- largest in the pool, is secured by an anchored retail center consisting of 14 one-story buildings containing 293,331-sq.-ft. of net rentable space. It is located in Temecula, Calif. The loan was transferred to the special servicer in August 2010 and is in foreclosure. There is an ARA of $41.2 million in effect for this loan. The most recent reported DSC was 1.29x as of Dec. 31, 2009. "We expect a significant loss upon the resolution of this asset," S&P said. The 18 remaining specially serviced assets have individual balances that represent less than 1.5% of the total pool balance. "Our expected losses for 16 of these specially serviced assets ranged from 10.0% to 76.3%. Weighted by loan balance, the average loss severity for these specially serviced assets was 36.6%. We do not expect a loss for two loans with the special servicer. The loans are secured by two cross-collateralized hotel properties in Wisconsin," according to S&P. "In addition to the specially serviced assets, we determined one loan to be credit-impaired. The Comfort Suites Yakima loan ($3.4 million, 0.2%) is secured by a 59-room limited-service hotel property in Yakima, Wash. The payment status of this loan is 30- days delinquent. The most recent reported DSC and occupancy were 1.02x and 60% as of Dec. 31, 2009. We expect a moderate loss upon the resolution of this asset," S&P added. Transaction Summary As of the May 10, 2011, trustee remittance report, the collateral pool had a trust balance of $2.1 billion, down from $2.2 billion at issuance. The pool currently includes 172 loans and one REO asset. The master servicer, Bank of America N.A., provided information for 97.1% of the nondefeased loans in the pool, all of which was for interim 2009, full-year 2009, interim 2010, or full-year 2010 data. "We calculated a weighted average DSC of 1.24x for the pool based on the reported figures. Our adjusted DSC and LTV ratio were 1.30x and 112.7%, which exclude 18 ($395.7 million, 18.9%) of the transaction's 20 ($401.8 million, 19.18%) assets with the special servicer and one ($3.4 million, 0.2%) loan we have determined to be credit-impaired. If we included these 18 specially serviced assets and one credit impaired loan, our adjusted DSC would have been 1.24x. We separately estimated losses for the excluded specially serviced and credit-impaired assets and included them in the 'AAA' scenario implied default and loss figures," S&P elaborated. To date, the trust has experienced principal losses of $48.6 million relating to ten assets. Thirty-eight ($385 million, 18.4%) loans, including two of the top 10 loans in the pool, are on the master servicers' watchlist. Thirty-five ($454.7 million, 21.7%) loans in the pool have a reported DSC of less than 1.10x, and 24 ($398.7 million, 19.0%) of these have a reported DSC below 1.00x. Summary of Top 10 Loans The top 10 loans secured by real estate have an aggregate outstanding trust balance of $855.8 million (40.9%). "Using servicer-reported numbers, we calculated a weighted average DSC of 1.16x for the top 10 real estate loans. Our adjusted DSC and LTV ratio for the top 10 loans were 1.21x and 118.4%, respectively, which exclude two loans with the special servicer referenced in the credit considerations section above. If we included these two specially serviced top 10 loans, our adjusted DSC would have been 1.15x. Two of the top 10 loans appear on the master servicer's watchlist," S&P related. The Shoreham loan ($94.2 million, 4.5%) is the fourth-largest in the pool and is secured by a 548-unit residential high-rise apartment complex in the Lakeshore East part of Chicago. According to the master servicer, the loan is on the watchlist because of the property's low reported DSC. The most recent reported DSC and occupancy were 0.98x and 91.1% as of Dec. 31, 2010. The Citizens Bank Portfolio loan ($232.0 million, 4.9%) is the seventh-largest in the pool and is secured by 52 freestanding Citizens Bank and Charter One Bank branches in 10 states on a net lease. The banks are part of RBS Citizens N.A. (A-/Stable/A-2). According to the master servicer, the loan is on the watchlist because of its anticipated repayment date in July 2011. The most recent reported DSC and occupancy were 1.25x and 100% as of Dec. 31, 2010. Standard & Poor's stressed the assets in the pool according to its criteria, and the analysis is consistent with its lowered and affirmed ratings. Ratings Lowered Banc of America Commercial Mortgage Trust 2006-5 Commercial mortgage pass-through certificates series 2006-5 Rating Class To From Credit enhancement (%) A-M BBB+ (sf) A (sf) 19.09 A-J BB- (sf) BBB (sf) 10.53 B B- (sf) BB+ (sf) 8.25 C CCC (sf) B+ (sf) 7.05 E D (sf) CCC- (sf) 4.64 Ratings Affirmed Banc of America Commercial Mortgage Trust 2006-5 Commercial mortgage pass-through certificates series 2006-5 Class Rating Credit enhancement (%) A-2 AAA (sf) 29.80 A-3 AAA (sf) 29.80 A-AB AAA (sf) 29.80 A-4 AAA (sf) 29.80 A-1A AAA (sf) 29.80 D CCC- (sf) 5.71 XP AAA (sf) N/A XC AAA (sf) N/A N/A -- Not Applicable BANK OF INTERNET: S&P Lowers Ratings on 3 Classes to 'B-' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 10 classes from Bank of Internet Resecuritization Trust 2008-1, a U.S. residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transaction, and removed all of the lowered ratings from CreditWatch negative. "In addition, we affirmed our ratings on 139 classes from three other U.S. RMBS re-REMIC transactions and removed all of them from CreditWatch negative. All four of the transactions in this review pay interest entirely on a pro rata basis," S&P related. According to S&P, "On Dec. 15, 2010, we placed our ratings on 149 classes from the four transactions within this review on CreditWatch negative, along with ratings from a group of other RMBS re-REMIC securities. On April 1, 2011, we provided an update on the CreditWatch placements and provided clarification regarding our analysis of interest payment amounts within re-REMIC transactions (see 'Standard & Poor's Provides An Update On Outstanding RMBS Re-REMIC CreditWatch Placements And Outlines Their Resolution')." "Our ratings on the re-REMIC classes are intended to address the timely payment of interest and principal. We reviewed the interest and principal amounts due on the underlying securities, which are then passed through to the applicable re-REMIC classes. When performing this analysis, we applied our loss projections, incorporating, where applicable, our recently revised loss assumptions to the underlying collateral to identify the principal and interest amounts that could be passed through from the underlying securities under our rating scenario stresses. We stressed our loss projections at various rating categories to assess whether the re-REMIC classes could withstand the stressed losses associated with their ratings while receiving timely payment of interest and principal consistent with our criteria," S&P stated. "In applying our loss projections we incorporated, where applicable, our recently revised loss assumptions as outlined in 'Revised Lifetime Loss Projections For Prime, Subprime, And Alt-A U.S. RMBS Issued In 2005-2007,' published on March 25, 2011, into our review. Such updates pertain to the 2005-2007 vintage prime, subprime, and Alternative-A (Alt-A) transactions; some of which are associated with the re-REMICs we reviewed (see tables 1 and 2 for the overall prior and revised vintage- and product-specific lifetime loss projections as percentages of the original structure balance)," S&P noted. Table 1 Lifetime Loss Projections For Prime And Subprime RMBS (Percent of original balance) Prime RMBS Subprime RMBS Aggregate Aggregate Vintage Updated Prior Updated Prior 2005 5.5 4.00 18.25 15.40 2006 9.25 6.60 38.25 35.00 2007 11.75 9.75 48.50 43.20 Table 2 Lifetime Loss Projections For Alternative-A RMBS (Percent of original balance) Fixed/ Aggregate long-reset Vintage Updated Prior Updated Prior 2005 13.75 11.25 12.75 9.60 2006 29.50 26.25 25.25 25.00 2007 36.00 31.25 31.75 26.25 Short-reset hybrid Option ARM Vintage Updated Prior Updated Prior 2005 13.25 14.75 15.50 13.25 2006 30.00 30.50 34.75 26.75 2007 41.00 40.75 43.50 37.50 "As a result of this review, we lowered our ratings on certain classes based on our assessment as to whether there were principal and interest shortfalls from the underlying securities that would impair the re-REMIC classes at the applicable rating stresses. The affirmations reflect our assessment of the likelihood that the re- REMIC classes will receive timely interest and the ultimate payment of principal under the applicable stressed assumptions," S&P related. "All transactions pay interest on a pro rata basis. We based our downgrades of the classes from Bank of Internet Resecuritization Trust 2008-1 on our projections of principal losses from the underlying security that would impair the re-REMIC class under the applicable rating stress scenarios," S&P stated. Rating Actions Bank of Internet Resecuritization Trust 2008-1 Series 2008-1 Rating Class CUSIP To From A1 06279BAA4 B+ (sf) AAA (sf)/Watch Neg A2 06279BAB2 B+ (sf) AAA (sf)/Watch Neg A3 06279BAC0 B+ (sf) AAA (sf)/Watch Neg A4 06279BAD8 B+ (sf) AAA (sf)/Watch Neg A5 06279BAE6 B+ (sf) AA (sf)/Watch Neg A6 06279BAF3 B+ (sf) AA (sf)/Watch Neg A7 06279BAG1 B+ (sf) AA (sf)/Watch Neg A8 06279BAH9 B- (sf) AA- (sf)/Watch Neg A9 06279BAJ5 B- (sf) AA- (sf)/Watch Neg A10 06279BAK2 B- (sf) AA- (sf)/Watch Neg CSMC Series 2010-4R Series 2010-4R Rating Class CUSIP To From 9-A-4 12643NMV6 BBB (sf) BBB (sf)/Watch Neg 9-A-2 12643NMR5 AA (sf) AA (sf)/Watch Neg 5-A-4 12643NFZ5 BBB (sf) BBB (sf)/Watch Neg 9-A-12 12643NNM5 BBB (sf) BBB (sf)/Watch Neg 5-A-10 12643NGM3 AA (sf) AA (sf)/Watch Neg 9-A-1 12643NMP9 AAA (sf) AAA (sf)/Watch Neg 9-A-10 12643NNH6 AA (sf) AA (sf)/Watch Neg 9-A-X 12643NNZ6 BBB (sf) BBB (sf)/Watch Neg 5-A-3 12643NFX0 A (sf) A (sf)/Watch Neg 9-A-3 12643NMT1 A (sf) A (sf)/Watch Neg 5-A-11 12643NGP6 A (sf) A (sf)/Watch Neg 5-A-12 12643NGR2 BBB (sf) BBB (sf)/Watch Neg 5-A-2 12643NFV4 AA (sf) AA (sf)/Watch Neg 5-A-1 12643NFT9 AAA (sf) AAA (sf)/Watch Neg 9-A-11 12643NNK9 A (sf) A (sf)/Watch Neg CSMC Series 2010-9R Series 2010-9R Rating Class CUSIP To From 58-A-2 12644N5P7 AA (sf) AA (sf)/Watch Neg 67-A-2 12644PDV0 AA (sf) AA (sf)/Watch Neg 57-A-3 12644N4Z6 A (sf) A (sf)/Watch Neg 68-A-8 12644PES6 AAA (sf) AAA (sf)/Watch Neg 72-A-7 12644PJD4 AAA (sf) AAA (sf)/Watch Neg 60-A-4 12644N6X9 BBB (sf) BBB (sf)/Watch Neg 72-A-4 12644PJA0 BBB (sf) BBB (sf)/Watch Neg 64-A-4 12644PCA7 BBB (sf) BBB (sf)/Watch Neg 73-A-4 12644PJR3 BBB (sf) BBB (sf)/Watch Neg 67-A-3 12644PDW8 A (sf) A (sf)/Watch Neg 65-A-4 12644PCR0 BBB (sf) BBB (sf)/Watch Neg 73-A-8 12644PJV4 AAA (sf) AAA (sf)/Watch Neg 63-A-8 12644PBP5 AAA (sf) AAA (sf)/Watch Neg 63-A-1 12644PBG5 AAA (sf) AAA (sf)/Watch Neg 59-A-9 12644N6M3 AAA (sf) AAA (sf)/Watch Neg 57-A-9 12644N5F9 AAA (sf) AAA (sf)/Watch Neg 73-A-9 12644PJW2 AAA (sf) AAA (sf)/Watch Neg 64-A-9 12644PCF6 AAA (sf) AAA (sf)/Watch Neg 58-A-8 12644N5V4 AAA (sf) AAA (sf)/Watch Neg 60-A-2 12644N6V3 AA (sf) AA (sf)/Watch Neg 65-A-9 12644PCW9 AAA (sf) AAA (sf)/Watch Neg 63-A-9 12644PBQ3 AAA (sf) AAA (sf)/Watch Neg 71-A-9 12644PGQ8 AAA (sf) AAA (sf)/Watch Neg 66-A-2 12644PDE8 AA (sf) AA (sf)/Watch Neg 73-A-2 12644PJP7 AA (sf) AA (sf)/Watch Neg 69-A-9 12644PFJ5 AAA (sf) AAA (sf)/Watch Neg 61-A-8 12644PAH4 AAA (sf) AAA (sf)/Watch Neg 68-A-7 12644PER8 AAA (sf) AAA (sf)/Watch Neg 67-A-4 12644PDX6 BBB (sf) BBB (sf)/Watch Neg 57-A-8 12644N5E2 AAA (sf) AAA (sf)/Watch Neg 58-A-7 12644N5U6 AAA (sf) AAA (sf)/Watch Neg 68-A-1 12644PEK3 AAA (sf) AAA (sf)/Watch Neg 73-A-7 12644PJU6 AAA (sf) AAA (sf)/Watch Neg 59-A-3 12644N6F8 A (sf) A (sf)/Watch Neg 59-A-2 12644N6E1 AA (sf) AA (sf)/Watch Neg 67-A-8 12644PEB3 AAA (sf) AAA (sf)/Watch Neg 65-A-8 12644PCV1 AAA (sf) AAA (sf)/Watch Neg 65-A-7 12644PCU3 AAA (sf) AAA (sf)/Watch Neg 64-A-1 12644PBX8 AAA (sf) AAA (sf)/Watch Neg 59-A-1 12644N6D3 AAA (sf) AAA (sf)/Watch Neg 71-A-1 12644PGG0 AAA (sf) AAA (sf)/Watch Neg 72-A-1 12644PGX3 AAA (sf) AAA (sf)/Watch Neg 71-A-7 12644PGN5 AAA (sf) AAA (sf)/Watch Neg 69-A-3 12644PFC0 A (sf) A (sf)/Watch Neg 60-A-9 12644N7D2 AAA (sf) AAA (sf)/Watch Neg 70-A-1 12644PFR7 AAA (sf) AAA (sf)/Watch Neg 60-A-3 12644N6W1 A (sf) A (sf)/Watch Neg 67-A-1 12644PDU2 AAA (sf) AAA (sf)/Watch Neg 64-A-7 12644PCD1 AAA (sf) AAA (sf)/Watch Neg 70-A-4 12644PFU0 BBB (sf) BBB (sf)/Watch Neg 72-A-8 12644PJE2 AAA (sf) AAA (sf)/Watch Neg 68-A-9 12644PET4 AAA (sf) AAA (sf)/Watch Neg 67-A-9 12644PEC1 AAA (sf) AAA (sf)/Watch Neg 58-A-3 12644N5Q5 A (sf) A (sf)/Watch Neg 61-A-1 12644PAA9 AAA (sf) AAA (sf)/Watch Neg 63-A-2 12644PBH3 AA (sf) AA (sf)/Watch Neg 61-A-2 12644PAB7 AA (sf) AA (sf)/Watch Neg 72-A-2 12644PGY1 AA (sf) AA (sf)/Watch Neg 65-A-1 12644PCN9 AAA (sf) AAA (sf)/Watch Neg 71-A-2 12644PGH8 AA (sf) AA (sf)/Watch Neg 65-A-3 12644PCQ2 A (sf) A (sf)/Watch Neg 70-A-7 12644PFX4 AAA (sf) AAA (sf)/Watch Neg 58-A-1 12644N5N2 AAA (sf) AAA (sf)/Watch Neg 63-A-3 12644PBJ9 A (sf) A (sf)/Watch Neg 71-A-3 12644PGJ4 A (sf) A (sf)/Watch Neg 57-A-1 12644N4X1 AAA (sf) AAA (sf)/Watch Neg 64-A-2 12644PBY6 AA (sf) AA (sf)/Watch Neg 59-A-8 12644N6L5 AAA (sf) AAA (sf)/Watch Neg 73-A-3 12644PJQ5 A (sf) A (sf)/Watch Neg 66-A-4 12644PDG3 BBB (sf) BBB (sf)/Watch Neg 70-A-3 12644PFT3 A (sf) A (sf)/Watch Neg 64-A-3 12644PBZ3 A (sf) A (sf)/Watch Neg 70-A-8 12644PFY2 AAA (sf) AAA (sf)/Watch Neg 66-A-9 12644PDM0 AAA (sf) AAA (sf)/Watch Neg 69-A-1 12644PFA4 AAA (sf) AAA (sf)/Watch Neg 66-A-1 12644PDD0 AAA (sf) AAA (sf)/Watch Neg 72-A-3 12644PGZ8 A (sf) A (sf)/Watch Neg 57-A-2 12644N4Y9 AA (sf) AA (sf)/Watch Neg 64-A-8 12644PCE9 AAA (sf) AAA (sf)/Watch Neg 69-A-2 12644PFB2 AA (sf) AA (sf)/Watch Neg 63-A-7 12644PBN0 AAA (sf) AAA (sf)/Watch Neg 69-A-4 12644PFD8 BBB (sf) BBB (sf)/Watch Neg 69-A-7 12644PFG1 AAA (sf) AAA (sf)/Watch Neg 63-A-4 12644PBK6 BBB (sf) BBB (sf)/Watch Neg 66-A-8 12644PDL2 AAA (sf) AAA (sf)/Watch Neg 68-A-2 12644PEL1 AA (sf) AA (sf)/Watch Neg 60-A-1 12644N6U5 AAA (sf) AAA (sf)/Watch Neg 61-A-7 12644PAG6 AAA (sf) AAA (sf)/Watch Neg 61-A-4 12644PAD3 BBB (sf) BBB (sf)/Watch Neg 59-A-4 12644N6G6 BBB (sf) BBB (sf)/Watch Neg 67-A-7 12644PEA5 AAA (sf) AAA (sf)/Watch Neg 60-A-7 12644N7B6 AAA (sf) AAA (sf)/Watch Neg 70-A-9 12644PFZ9 AAA (sf) AAA (sf)/Watch Neg 57-A-7 12644N5D4 AAA (sf) AAA (sf)/Watch Neg 71-A-8 12644PGP0 AAA (sf) AAA (sf)/Watch Neg 58-A-9 12644N5W2 AAA (sf) AAA (sf)/Watch Neg 65-A-2 12644PCP4 AA (sf) AA (sf)/Watch Neg 69-A-8 12644PFH9 AAA (sf) AAA (sf)/Watch Neg 72-A-9 12644PJF9 AAA (sf) AAA (sf)/Watch Neg 66-A-7 12644PDK4 AAA (sf) AAA (sf)/Watch Neg 58-A-4 12644N5R3 BBB (sf) BBB (sf)/Watch Neg 66-A-3 12644PDF5 A (sf) A (sf)/Watch Neg 60-A-8 12644N7C4 AAA (sf) AAA (sf)/Watch Neg 71-A-4 12644PGK1 BBB (sf) BBB (sf)/Watch Neg 68-A-3 12644PEM9 A (sf) A (sf)/Watch Neg 57-A-4 12644N5A0 BBB (sf) BBB (sf)/Watch Neg 59-A-7 12644N6K7 AAA (sf) AAA (sf)/Watch Neg 61-A-9 12644PAJ0 AAA (sf) AAA (sf)/Watch Neg 61-A-3 12644PAC5 A (sf) A (sf)/Watch Neg 73-A-1 12644PJN2 AAA (sf) AAA (sf)/Watch Neg 68-A-4 12644PEN7 BBB (sf) BBB (sf)/Watch Neg 70-A-2 12644PFS5 AA (sf) AA (sf)/Watch Neg JMAC Master Resecuritization Trust I Series 2009-B Series 2009-B Rating Class CUSIP To From 17-A 46633WAS6 AAA (sf) AAA (sf)/Watch Neg 50-A 46633WCB1 A (sf) A (sf)/Watch Neg 25-A 46633WBA4 AAA (sf) AAA (sf)/Watch Neg 37-A 46633WBN6 AAA (sf) AAA (sf)/Watch Neg 33-A 46633WBJ5 AAA (sf) AAA (sf)/Watch Neg 40-A 46633WBR7 AAA (sf) AAA (sf)/Watch Neg 34-A 46633WBK2 AA (sf) AA (sf)/Watch Neg 18-A 46633WAT4 AAA (sf) AAA (sf)/Watch Neg 1-A 46633WAA5 BB (sf) BB (sf)/Watch Neg 35-A 46633WBL0 AAA (sf) AAA (sf)/Watch Neg 26-A 46633WBB2 AAA (sf) AAA (sf)/Watch Neg 19-A 46633WAU1 AAA (sf) AAA (sf)/Watch Neg BEAR STEARNS: Fitch Downgrades 1 Class of BSCM 2003-TOP12 --------------------------------------------------------- Fitch Ratings has affirmed 13 and downgraded one class of Bear Stearns Commercial Mortgage Securities Trust, series 2003-TOP12 (BSCM 2003-TOP12). The downgrade to class N reflects an increase in Fitch modeled losses across the pool. Fitch modeled losses of 1.8% of the remaining pool; modeled losses of the original pool are at 1.3%, including losses already incurred to date. Fitch expects the modeled losses associated with the specially-serviced loan to impact the non-rated class O. The Negative Outlooks reflect the smaller-than-average class sizes which continue to make those bonds susceptible to downgrade. As of the May 2011 distribution date, the pool's aggregate principal balance has been reduced by 40.3% to $639.45 million from $1.161 billion at issuance, due to a combination of paydown (40%) and realized losses (0.3%). Interest shortfalls totaling $123,138 are currently affecting class O. Fitch has identified 15 loans (21.8%) as Fitch Loans of Concern, which includes one specially-serviced loan (0.8%) that is in foreclosure. The largest contributor to modeled losses is a specially-serviced loan (0.8%) secured by a 50,300 square foot (sf) retail property located in Delray Beach, Florida. The loan was transferred to special servicing in January 2011 for payment default. The special servicer is moving forward with foreclosure. The second largest contributor to modeled losses is a loan secured by a 30,284 sf industrial property located in Irvine, CA. The sole tenant's lease expired during 2010 and did not renew. As of the December 2010 rent roll, the property was fully vacant. The third largest contributor to modeled losses is a loan secured by a 27,600 sf retail property located in Las Vegas, Nevada. Performance at the property remains below issuance levels. For year-end (YE) 2010, the debt-service coverage was 0.81 times (x), on a net-operating income (NOI) basis, up slightly from 0.65x at YE 2009. Occupancy has declined to 63% at YE 2010 from 95.7% at issuance. Fitch has downgraded and assigned Recovery Rating (RRs) to this class: -- $2.9 million class N to 'CCCsf/RR1' from 'B-sf/LS5'. Additionally, Fitch has affirmed and revised Loss Severity (LS) ratings and Outlooks for these classes: -- $69.6 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- $487.3 million class A-4 at 'AAAsf/LS1'; Outlook Stable; -- $30.5 million class B to 'AAAsf/LS3' from 'AAAsf/LS2'; Outlook Stable; -- $31.9 million class C to 'AA+sf/LS3' from 'AA+sf/LS2'; Outlook Stable; -- $13.1 million class D to 'AAsf/LS4' from 'AAsf/LS3'; Outlook Stable; -- $14.5 million class E to 'Asf/LS4' from 'Asf/LS3'; Outlook Stable; -- $7.3 million class F to 'A-sf/LS5' from 'A-sf/LS4'; revise Outlook to Negative from Stable; -- $7.3 million class G to 'BBB+sf/LS5' from 'BBB+sf/LS4'; revise Outlook to Negative from Stable; -- $5.8 million class H to 'BBBsf/LS5' from 'BBBsf/LS4'; revise Outlook to Negative from Stable; -- $5.8 million class J to 'BB+sf/LS5' from 'BB+sf/LS4'; revise Outlook to Negative from Stable; -- $2.9 million class K at 'BBsf/LS5'; revise Outlook to Negative from Stable; -- $2.9 million class L at 'BB-sf/LS5'; revise Outlook to Negative from Stable; -- $2.9 million class M at 'Bsf/LS5'; revise Outlook to Negative from Stable. Classes A-1 and A-2 have paid in full. Fitch has withdrawn the rating on the interest-only classes X-1 and X-2. BEAR STEARNS: Fitch Ratings Affirms Bear Stearns 2000-WF1 -------------------------------------------------------- Fitch Ratings affirms two classes and downgrades one class of Bear Stearns Commercial Mortgage Securities Trust commercial mortgage pass through certificates, series 2000-WF1. The affirmations are due to sufficient credit enhancement after consideration for both defeased loans and expected losses on the specially serviced loans. The downgrades are due to expectation of losses on specially serviced loans and the increased concentration of the pool as only 16 non-defeased loans remain in the pool. As of the May 2011 distribution date, the pool's certificate balance has paid down 95.6% to $39.4 million from $888.3 million at issuance. There are 28 remaining loans from the original 181 loans at issuance. Of the remaining loans, nine loans (31.3%) have defeased. There are three specially serviced assets (36.8%) in the pool. Of the three assets, one loan (10.8%) is current and two assets (26.0%) are real estate owned (REO). Fitch expects losses of 12.9% or $5.1 million from loans in special servicing and loans that cannot refinance at maturity based on Fitch's refinance test. These losses will be absorbed by the rated class I. The largest contributor to losses is the REO IDC Petaluma asset which is a 86,486 square foot (sf) industrial property in Petaluma, CA, in the San Francisco metropolitan statistical area (MSA). The subject is a vacant industrial building that was foreclosed upon in July 2010 and subsequently sold in May 2011. The second largest contributor to losses is the REO Northwest Executive Center asset which is a 29,772 sf suburban office property in Las Vegas, NV. Foreclosure occurred in March 2010 and the property is anticipated to be marketed for sale. Fitch stressed the cash flow of the non-defeased loans by applying a 5% reduction to the most recent year-end net operating income and applying an adjusted market cap rate to determine value. Fitch affirms and revises the Loss Severity (LS) ratings for these classes: -- $5.1 million class F at 'AAAsf'; LS to 'LS1' from 'LS5'; Outlook Stable; -- $15.5 million class G at 'A+sf'; LS to 'LS1' from 'LS5'; Outlook to Stable from Negative. Additionally, Fitch downgrades this class: -- $13.3 million class H to 'CCCsf/RR6' from 'B-sf/LS5'. Fitch does not rate class M. Classes A-1, A-2, B, C, D and E have paid in full. Fitch maintains the rating of 'D/RR5' on class I and 'D/RR6' on classes J, K and L. Additionally, Fitch withdraws the ratings of the interest only class X. BEAR STEARNS: Moody's Affirms 13 CMBS Classes of BSCMS 2002-TOP6 ---------------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 13 classes of Bear Stearns Commercial Mortgage Securities Trust 2002- TOP6, Commercial Mortgage Pass-Through Certificates, Series 2002- TOP6: -- Cl. A-2, Affirmed at Aaa (sf); previously on Mar 20, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Mar 20, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on May 4, 2007 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aa2 (sf); previously on Sep 25, 2008 Upgraded to Aa2 (sf) -- Cl. D, Affirmed at A2 (sf); previously on May 4, 2007 Upgraded to A2 (sf) -- Cl. E, Affirmed at Baa2 (sf); previously on Nov 28, 2005 Confirmed at Baa2 (sf) -- Cl. F, Affirmed at Baa3 (sf); previously on Nov 28, 2005 Confirmed at Baa3 (sf) -- Cl. G, Affirmed at Ba2 (sf); previously on Aug 26, 2010 Downgraded to Ba2 (sf) -- Cl. H, Affirmed at Ba3 (sf); previously on Aug 26, 2010 Downgraded to Ba3 (sf) -- Cl. J, Affirmed at B3 (sf); previously on Aug 26, 2010 Downgraded to B3 (sf) -- Cl. K, Affirmed at Caa3 (sf); previously on Aug 26, 2010 Downgraded to Caa3 (sf) -- Cl. L, Affirmed at C (sf); previously on Aug 26, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Aug 26, 2010 Downgraded to C (sf) The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 1.8% of the current balance. At last full review, Moody's cumulative base expected loss was 1.7%. Moody's stressed scenario loss is 5.3% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodology used in this rating was: "Moody's Approach to Rating Fusion Transactions" published in April 2005. 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 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 20 compared to 24 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through 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 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 May 16, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 39% to $685.7 million from $1.12 billion at securitization. The Certificates are collateralized by 113 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 46% of the pool. The pool contains two loans, representing 11% of the pool with investment grade credit estimates. Nineteen loans, representing 19% of the pool, have defeased and are collateralized with U.S. Government securities. Seventeen loans, representing 7% 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. Two loans have been liquidated from the pool, resulting in a $13.1 million loss (42% loss severity on average). Currently five loans, representing 2% of the pool, are in special servicing. The master servicer has recognized an aggregate $2.7 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate loss of $4.1 million (32% expected loss on average) for the specially serviced loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 96% and 95%, respectively, of the non- defeased pool. Excluding specially serviced loans, Moody's weighted average LTV is 69%, the same as 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 9.9%. Excluding specially serviced loans, Moody's actual and stressed DSCRs are 1.70X and 1.79X, respectively, compared to 1.64X and 1.75X 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 largest loan with a credit estimate is the Regent Court Loan ($49.3 million -- 7.2% of the pool), which is secured by a 567,000 square foot (SF) Class A office building located in Dearborn, Michigan. The property is 100% leased to the Ford Motor Company (Moody's senior unsecured rating Ba3, positive outlook) through December 2016. The loan is co-terminus with the lease and amortizes over a 15-year period. The loan has amortized by approximately 9% since last review. Despite amortization, Moody's value reflect Moody's concerns about single tenant exposure and weak Detroit economic conditions. Moody's current underlying rating and stressed DSCR are Baa3 and 1.94X, respectively, compared to Baa3 and 1.69X at last review. The second loan with a credit estimate is the Best Buy Portfolio Loan ($23.7 million -- 3.5% of the pool), which is secured by a portfolio of 12 retail properties totaling 481,000 SF and located in seven states. All of the properties are 100% leased to Best Buy Co, Inc. (Moody's senior unsecured rating Baa2, stable outlook) under a master lease through April 2018. Moody's underlying rating and stressed DSCR are Baa1 and 1.70X, respectively, compared to Baa1 and 1.67X at last review. The top three performing loans represent 25% of the pool balance. The largest performing loan is the Coliseum Centre Loan ($63.5 million -- 9.3% of the pool), which is secured by six Class A suburban office buildings totaling 974,000 SF. The buildings are situated in an office park located approximately five miles from downtown Charlotte, North Carolina. The largest tenants are Compass Group USA (20% of the net rentable area (NRA); lease expires in 12/2013), Linsco Private Ledger (15% of the NRA; lease expires in 10/2016) and Goodrich Corp. (12% of the NRA; lease expires in 5/2018). As of November 2010, the portfolio was 80% leased compared to 84% at last review. Financial performance has deteriorated since last review due to decreased rental income from the increased vacancy. Moody's LTV and stressed DSCR are 92% and 1.18X, respectively, compared to 86% and 1.26X at last review. The second largest performing loan is the Bank One Center Loan ($57.6 million -- 8.4% of the pool), which is secured by a 1.0 million SF Class A office building located in the New Orleans, Louisiana. The largest tenants are Capital One Bank (Moody's senior unsecured rating Baa1, stable outlook; 24% of the NRA; lease expires in 12/2015), Jones Walker LLP (14% of the NRA; lease expires in 12/2015) and JPMorgan Chase & Co. (Moody's senior unsecured rating Aa3, negative outlook; 6% of the NRA; lease expires in 1/2021). As of September 2010, the property was 94% leased, essentially the same since last review. Despite unchanged occupancy, performance has slightly declined due to decreases in rental income. Moody's LTV and stressed DSCR are 92% and 1.29X, respectively, compared to 88% and 1.35X at last review. The third largest performing loan is the Capital City Mall Loan ($48.5 million -- 7.1% of the pool), which is secured by the borrower's interest in a 608,000 SF regional mall located in suburban Harrisburg, Pennsylvania. The property is anchored by JC Penney, Sears and Macy's (not part of the collateral). As of December 2010, in-line shop occupancy was 95% compared to 92% at last review. Total occupancy was 98%, essentially the same since last review. Moody's LTV and stressed DSCR are 66% and 1.46X, respectively, the same as at last review. BLACKROCK SENIOR: S&P Raises Rating on Class D Notes to 'BB+' ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2b, A-3, B, C, and D notes from BlackRock Senior Income Series V Ltd. and affirmed its rating on the class A-2a notes. "At the same time, we removed our ratings on the class A-1, A-2a, A-2b, A-3, and B notes from CreditWatch, where we placed them with positive implications on March 1, 2011," S&P said. BlackRock Senior Income Series V Ltd. is a collateralized loan obligation (CLO) transaction managed by BlackRock Financial Management Inc. The portfolio primarily consists of senior secured leverage loans denominated in U.S. dollars, euros, and British pounds. The class A-1 multi-currency revolver can be issued in any one of three currencies (USD, EUR, GBP). "The upgrades reflect the improved performance we have observed in the transaction's underlying asset portfolio since our last rating action in March 2010. The affirmation reflects the sufficient credit support available at the current rating level," S&P said. According to the May 5, 2011, trustee report, the transaction held $2.2 million in defaulted assets and about $9 million in 'CCC' rated assets. This was down from $7.5 million in defaulted assets and $13 million in 'CCC' rated assets as of the Feb. 5, 2010, trustee report. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating and CreditWatch Actions BlackRock Senior Income Series V Ltd. Rating Class To From A-1 AA- (sf) A+ (sf)/Watch Pos A-2a AA+ (sf) AA+ (sf)/Watch Pos A-2b AA- (sf) A+ (sf)/Watch Pos A-3 AA- (sf) A+ (sf)/Watch Pos B A+ (sf) A- (sf)/Watch Pos C BBB+ (sf) BBB- (sf) D BB+ (sf) CCC- (sf) BMI CLO: S&P Gives 'BB' Rating on Class D Floating-Rate Notes ------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to BMI CLO I/BMI CLO I Corp.'s $366 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 credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria, (see 'Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs,' published Sept. 17, 2009). The transaction's legal structure, which is expected to be bankruptcy remote. The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. The investment manager's experienced management team. "Our projections regarding the timely interest and ultimate principal payments on the rated notes, which we assessed using our cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.30%-12.35%," S&P related. 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 BMI CLO I/BMI CLO I Corp. Class Rating Amount (mil. $) A-1 AAA (sf) 259.0 A-2 AA (sf) 27.0 B (deferrable) A (sf) 35.0 C (deferrable) BBB (sf) 22.0 D (deferrable) BB (sf) 23.0 Subordinated notes NR 42.4 NR -- Not rated. C-BASS CBO: Fitch Ratings Affirms 3 Classes of Notes ---------------------------------------------------- Fitch Ratings has affirmed three classes of notes issued by C-BASS CBO VII, Ltd./Corp. (C-BASS VII): -- $13,117,409 class B notes at 'AAsf/LS5'; Outlook revised to Stable from Negative; -- $20,000,000 class C notes at 'BBsf/LS5'; Outlook revised to Stable from Negative; -- $14,575,580 class D notes at 'CCCsf'. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model (SF PCM) for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also considered additional qualitative factors into its analysis to conclude the rating actions for the rated notes. Since Fitch's last rating action in June 2010, the credit quality of the underlying collateral has declined further, with approximately 36.9% of the portfolio downgraded a weighted average of 3.3 notches. Approximately 70.8% of the current portfolio has a Fitch derived rating below investment grade and 57% has a rating in the 'CCC' rating category or lower, compared to 62.9% and 48.7% respectively, at last review. The affirmations of the class B, class C and class D notes are due to amortization of the capital structure offsetting the deterioration in the portfolio. The class A notes were paid in full on the February 2011 distribution date and the class B notes have received $6.9 million, or approximately 34.4% of their original balance. While all the coverage tests are passing their respective covenants, a portion of the principal repayment has been due to interest collections because interest proceeds from defaulted assets are reclassified as principal collections. This has increased credit enhancement levels sufficiently to mitigate the increased risk in the underlying portfolio. Fitch has revised the Outlook to Stable for the class B and class C notes reflecting its view that the notes have sufficient credit enhancement to offset potential further deterioration in the underlying portfolio over the next one to two years. Fitch does not assign Rating Outlooks to classes rated 'CCC' or below. The Loss Severity (LS) rating of 'LS5' for the class B and class C 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' or below. C-BASS VII is a cash flow structured finance collateralized debt obligation (SF CDO) that closed on July 30, 2003. 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 78.3% residential mortgage-backed securities, 14% commercial and consumer asset- backed securities, and 7.8% SF CDOs from 1998 through 2003 vintage transactions. CD 2006-3: S&P Cuts Ratings on 3 Classes of Certs. to 'D' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 10 classes of commercial mortgage-backed securities (CMBS) from CD 2006-CD3 Mortgage Trust. "In addition, we affirmed our ratings on nine other classes from the same transaction," S&P said. "Our rating actions follow our analysis of the transaction primarily using our U.S. CMBS conduit/fusion criteria. Our rating actions also reflect the transaction structure and available liquidity support to the rated certificates," S&P noted. Using servicer-provided financial information, Standard & Poor's calculated an adjusted debt service coverage (DSC) of 1.34x and an adjusted loan-to-value (LTV) ratio of 114.3%. "We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.86x and an LTV ratio of 163.8%. The implied defaults and loss severity under the 'AAA' scenario were 79.9% and 38.0%. The DSC and LTV calculations exclude 26 ($526.1 million, 15.4%) of the 31 ($635.1 million, 18.6%) specially serviced assets, and seven loans ($53.1 million, 1.6%) we determined to be credit-impaired. We separately estimated losses for these 33 excluded assets and included them in our 'AAA' scenario implied default and loss figures," S&P said. As of the May 17, 2011, remittance report, the trust experienced $1,424,366 in interest shortfalls, primarily due to appraisal subordinate entitlement reductions (ASERs) that are generating monthly shortfalls of $1,215,284. There are accumulated interest shortfalls affecting class D and all of the classes subordinate to it. "We expect interest shortfalls affecting classes G, H, and J, which have experienced shortfalls for the past four, four, and five consecutive months respectively, to continue for the foreseeable future. As a result, we lowered our ratings on classes G, H, and J to 'D (sf)'," S&P related. "The affirmations of the ratings on the principal and interest classes reflect subordination and liquidity support levels that we consider to be consistent with the outstanding ratings. We affirmed our ratings on the class XP and XS interest-only (IO) certificates based on our current criteria," S&P added. Credit Considerations As of the May 17, 2011, trustee remittance report, 31 assets ($635.1 million, 18.6%) in the pool were with the special servicer, J.E. Robert Co. Inc. The reported payment status of the specially serviced assets is: four ($63.6 million, 1.9%) are real estate owned (REO), six ($57.4 million, 1.7%) are in foreclosure, 13 ($332.5 million, 9.8%) are 90-plus days delinquent, two ($10.6 million, 0.3%) are 60 days delinquent, one ($55.0 million, 1.6%) is 30 days delinquent, three ($76.9 million, 2.3%) are late but less than 30 days delinquent, and two ($39.1 million, 1.2%) are current. Twenty-five of the specially serviced assets ($493.2 million, 14.5%) have appraisal reduction amounts (ARAs) in effect totaling $215.4 million. Details of the largest specially serviced assets are: The High Point Furniture Mart loan ($188.6 million, 5.5%) is the third-largest loan in the pool, and the largest asset with the special servicer. The loan is secured by eight home trade mart showroom properties totaling 2,030,379 sq. ft. on 15.6 acres in High Point, N.C. According to the special servicer, the properties were sold by the receiver subject to assumption of the loan on modified terms, which include a $52.0 million principal write- down, and a $27.9 million principal paydown. The 660 South Figueroa Tower loan ($62.0 million, 1.8%) is the 10th-largest loan in the pool and the second-largest asset with the special servicer. The loan is secured by a 278,900-sq.-ft. office in Los Angeles. The special servicer has indicated that it has gathered data for a possible note sale. Standard & Poor's expects a significant loss upon the eventual resolution of this asset. The 29 remaining specially serviced assets ($384.4 million, 11.3%) have individual balances that represent less than 1.7% of the total pool balance. "We estimated losses for 24 of these assets ($275.5 million, 8.1%) resulting in a weighted average loss severity of 44.0%. The remaining five assets, for the most part, appear to be headed for loan modification or a return to the master servicer," according to S&P. "In addition to the specially serviced assets, we determined seven loans ($53.1 million, 1.6%) to be credit-impaired. The largest of these, the Hilton - Northbrook ($21.6 million, 0.6%) loan, is secured by a 248-room lodging property in Northbrook, Ill. The loan appears on the master servicers' combined watchlist for low DSC. As of December 2010, reported DSC and occupancy were 0.11x and 55.0%, respectively. Given the weak reported performance, we consider this loan to be at an increased risk of default and loss," S&P stated. The six remaining credit-impaired loans have individual balances that represent less than 0.3% of the total pool balance. "Current reporting information was available for five of these loans, and based on this information, we calculated a weighted average DSC of 0.32x. Given the poor reported performance of these loans, we consider them to be at increased risk of default and loss," S&P noted. Transaction Summary As of the May 17, 2011, trustee remittance report, the aggregate pool balance was $3.41 billion, which represents 95.5% of the aggregate pool balance at issuance. There are 183 loans and four REO assets in the pool, down from 192 loans at issuance. The master servicers, Berkadia Commercial Mortgage LLC and Wells Fargo Commercial Mortgage Servicing, provided financial information for 87.6% of the loans in the pool, 58.1% of which was full-year 2010 or interim-2011 data, with the balance reflecting full-year 2009 data. "We calculated a weighted average DSC of 1.32x for the pool based on the reported figures. Our adjusted DSC and LTV ratio were 1.34x and 114.3%, which exclude 26 ($526.1 million, 15.4%) of the 31 ($635.1 million, 18.6%) specially serviced assets, and seven loans ($53.1 million, 1.6%) which we determined to be credit- impaired. Current financial information was available for 20 of these 33 excluded assets, which we used to calculate a weighted average reported DSC of 0.83x. Fifty-four loans ($871.0 million, 25.5%) are on the master servicers' combined watchlist. Forty- eight loans ($647.2 million, 19.0%) have reported DSC below 1.10x, 36 of which ($464.5 million, 13.6%) have reported DSC below 1.00x. The transaction has realized principal losses totaling $30.1 million," S&P stated. Summary of Top 10 Loans The top 10 loans have an aggregate pool balance of $1.46 billion (42.8%). "Using servicer-reported numbers, we calculated a weighted average DSC of 1.42x for the top 10 loans. Our adjusted DSC and LTV figures were 1.34x and 105.4%. Two of the top 10 loans are with the special servicer. Two of the top 10 loans appear on the master servicers' combined watchlist," said S&P. The Ala Moana Portfolio loan ($262.4 million, 7.7%) is the largest loan in the pool and is on the watchlist. The loan is secured by two retail properties totaling 1.62 million sq. ft. and two office properties totaling 369,280 sq. ft. in Honolulu, Hawaii. The loan appears on the watchlist due to low reported DSC, which was 1.31x as of September 2010. Reported occupancy was 94.9% as of the same period. The Hay-Adams loan ($75.0 million, 2.2%) is the ninth-largest loan in the pool and the second-largest loan on the watchlist. The loan is secured by a 145-room full-service luxury hotel in Washington D.C. (located directly across from the White House). The loan appears on the watchlist due to low reported DSC. As of March 2011, reported cash flow was insufficient to pay all property operating expenses. Reported occupancy was 70.6% as of December 2010. Standard & Poor's stressed the loans in the pool according to its criteria. The analysis is consistent with S&P's lowered and affirmed ratings. Ratings Lowered CD 2006-CD3 Mortgage Trust Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-J BB (sf) BBB- (sf) 11.42 A-1A BB (sf) BBB- (sf) 11.42 B BB- (sf) BB+ (sf) 10.76 C B+ (sf) BB (sf) 9.19 D B (sf) BB- (sf) 8.28 E CCC+ (sf) BB- (sf) 7.62 F CCC (sf) B+ (sf) 6.84 G D (sf) B+ (sf) 5.53 H D (sf) B (sf) 4.35 J D (sf) CCC- (sf) 3.17 Ratings Affirmed CD 2006-CD3 Mortgage Trust Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-2 AAA (sf) 36.31 A-3 AAA (sf) 36.31 A-AB AAA (sf) 36.31 A-4 AAA (sf) 36.31 A-5 AAA (sf) 36.31 A-1S AAA (sf) 36.31 A-M A+ (sf) 26.69 XP AAA (sf) N/A XS AAA (sf) N/A N/A -- Not applicable. CD 2006-CD2: S&P Lowers Rating on Class E Certs. to 'D' ------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes of commercial mortgage-backed securities (CMBS) from CD 2006-CD2 Mortgage Trust. "In addition, we affirmed our ratings on nine other classes from the same transaction," S&P said. "Our rating actions follow our analysis of the transaction primarily using our U.S. CMBS conduit/fusion criteria. The actions also reflect the transaction structure, credit enhancement erosion, and available liquidity support to the trust's certificates," S&P noted. Using servicer-provided financial information, Standard & Poor's calculated an adjusted debt service coverage (DSC) of 1.31x and an adjusted loan-to-value (LTV) ratio of 112.3%. "We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.88x and an LTV ratio of 146.9%. The implied defaults and loss severity under the 'AAA' scenario were 86.4% and 37.1%. The DSC and LTV calculations exclude 10 ($333.5 million, 12.1%) of the 14 ($375.1 million, 13.6%) specially serviced assets, and one loan ($6.6 million, 0.2%) that we determined to be credit-impaired. We separately estimated losses for these 11 excluded assets and included them in our 'AAA' scenario implied default and loss figures," S&P stated. As of the May 17, 2011, remittance report, the trust experienced $1,149,313 in interest shortfalls, primarily due to appraisal subordinate entitlement reductions (ASERs) that are generating monthly shortfalls of $886,172. There are accumulated interest shortfalls affecting class D and all of the classes subordinate to it. "We expect shortfalls affecting class E, which has experienced shortfalls for the past three consecutive months, to continue for the foreseeable future. As a result, we lowered our rating on class E to 'D (sf)'," S&P said. "The affirmations of the ratings on the pooled principal and interest classes reflect subordination and liquidity support levels that we consider to be consistent with the outstanding ratings. We affirmed our rating on the class X interest-only (IO) certificate based on our current criteria," S&P continued. The affirmations of the ratings on the 'VPM-1' and 'VPM-2' nonpooled (raked) certificates reflect our analysis of the Villas Parkmerced loan, the largest loan in the pool. The 'VPM-1' and 'VPM-2' raked certificates derive 100% of their cash flows from the nonpooled portion of this loan. The rating affirmations reflect the stable operating performance of the collateral property. Credit Considerations As of the May 17, 2011, trustee remittance report, 14 assets ($375.1 million, 13.6%) in the pool were with the special servicer, LNR Partners LLC. The reported payment status of the specially serviced assets is: one ($60.3 million, 2.2%) is real estate owned (REO), four ($115.8 million, 4.2%) are in foreclosure, three ($32.3 million, 1.2%) are 90-plus-days delinquent, one ($5.3 million, 0.2%) is 30 days delinquent, one ($125.0 million, 4.5% is a matured balloon loan, three ($28.2 million, 1.0%) are late but less than 30 days delinquent, and one ($8.1 million, 0.3%) is current. Seven of the specially serviced assets ($290.3 million, 10.5%) have appraisal reduction amounts (ARAs) in effect totaling $171.1 million. Details of the largest specially serviced assets are: The Valley View Center ($125.0 million, 4.5%) loan is the largest asset with the special servicer, and the second-largest loan in the pool. The loan is secured by a 733,459-sq.-ft. retail property in Dallas, Texas. The loan was transferred to the special servicer on May 24, 2010, due to imminent default and the current payment status is matured balloon. As of year-end 2009, reported DSC and occupancy were 0.68x and 54.1%. There is an ARA of $95.2 million in effect against the asset. Standard & Poor's expects a significant loss upon the eventual resolution of this asset. The Rock Pointe Corporate Center ($64.8 million, 2.4%) is the second-largest asset with the special servicer and the fourth- largest loan in the pool. The loan is secured by a 565,746-sq.-ft. office property in Spokane, Wa. The loan was transferred to the special servicer on July 15, 2009, due to payment default. According to the special servicer, the court has granted the lender's motion to proceed with foreclosure. There is a $31.1 million ARA in effect against the asset. Standard & Poor's expects a significant loss upon the eventual resolution of this asset. The Beyman Multifamily Portfolio ($60.3 million, 2.2%) is the third-largest asset with the special servicer and the fifth- largest asset in the pool. The REO asset is a 252-unit multifamily property in Germantown, Tenn., and a 399-unit multifamily property in Phoenix, Ariz. The asset was transferred to the special servicer due to monetary default. As of September 2009, the reported consolidated DSC was 0.90x. A $21.1 million ARA is in effect against the asset. Standard & Poor's expects a significant loss upon the eventual resolution of this asset. The 11 remaining specially serviced assets ($124.9 million, 4.5%) have individual balances that represent less than 0.8% of the total pool balance. "We estimated losses for six of these assets ($83.3 million, 3.0%) resulting in a weighted average loss severity of 49.2%. The remaining five assets are potential candidates for loan modifications," S&p said. S&P related, "In addition to the specially serviced assets, we determined one loan ($6.6 million, 0.2%) to be credit-impaired. The Fairfield Inn by Marriot - Chesapeake, VA loan is secured by a 105-room lodging property in Chesapeake, Va. The borrower has been delinquent in the past, and the loan is currently reported as 30 days delinquent. Reported DSC and occupancy were 0.27x and 66.0% as of March 2010 and September 2010. Given the poor reported performance, we consider this loan to be at an increased risk of default and loss." Transaction Summary As of the May 17, 2011, trustee remittance report, the aggregate pooled trust balance was $2.76 billion, which represents 90.3% of the aggregate pooled trust balance at issuance. There are 186 loans and two REO assets in the pool, down from 197 loans at issuance. The master servicers, Midland Loan Services and Wells Fargo Bank N.A., provided financial information for 98.3% of the loans in the pool, 67.6% of which was interim- or full-year 2010 data, with the balance reflecting interim- or full-year 2009 data. "We calculated a weighted average DSC of 1.33x for the pool based on the reported figures. Our adjusted DSC and LTV ratio were 1.31x of 112.3%, respectively, which exclude 10 ($333.5 million, 12.1%) of the 14 ($375.1 million, 13.6%) specially serviced assets, and one loan ($6.6 million, 0.2%), which we determined to be credit- impaired. Forty-one loans ($578.8 million, 20.9%) are on the master servicers' combined watchlist. Thirty-six loans ($655.0 million, 23.7%) have reported DSC below 1.10x, 27 of which ($565.3 million, 20.4%) have reported DSC below 1.00x. The transaction has realized five principal losses totaling $41.5 million," S&P related. Summary of Top 10 Assets Secured by Real Estate The top 10 assets secured by real estate have an aggregate outstanding pooled balance of $878.8 million (31.8%). "Using servicer-reported numbers, we calculated a weighted average DSC of 1.30x for the top 10 assets. Our adjusted DSC and LTV figures were 1.24x and 118.8%. Three of the top 10 assets are with the special servicer. Two of the top 10 assets appear on the master servicers' combined watchlist and are discussed below," S&P said. The largest loan in the pool, the Villas Parkmerced loan, has a trust and whole-loan balance of $540.0 million, which consists of a $291.4 million senior pooled component that makes up 12.1% of the pooled trust balance and a $48.6 million subordinate nonpooled component, and the remaining $200 million held outside the trust. The class "VPM" certificates derive 100% of their cash flows from the subordinate nonpooled component of the whole loan. The loan is secured by a 3,221-unit multifamily property in San Francisco, Calif., built in 1944. The loan was transferred to the special servicer in May 2010 because the borrower was unable to refinance the loan. The special servicer subsequently modified the loan, and the maturity date has been extended to Feb. 15, 2016. The borrower also replenished the working capital reserve with $5 million. "We affirmed our ratings on the 'VPM-1' and 'VPM-2' raked certificates based on the property's stable operating performance. The reported occupancy was 93.5% as of Sept. 30, 2010, and DSC was 1.50x as of year-end 2009," S&P related. The Harrisburg Portfolio ($59.7 million, 2.2%) is the sixth- largest asset in the pool, and the largest loan on the watchlist. The loan is secured by 16 one-story office buildings comprising 671,759 sq. ft. in Harrisburg and Mechanicsburg, Pa. The loan appears on the watchlist due to low reported DSC, which was 0.99x as of December 2010. Per the watchlist comments, S&P attributes the decline in performance to increased vacancy at two of the buildings. The Sunset Media Tower ($54.7 million, 2.0%) is the seventh- largest asset in the pool, and the second-largest loan on the watchlist. The loan is secured by a 314,435-sq.-ft. office building in Hollywood, Calif. The loan appears on the watchlist due to low reported occupancy, which was 68.0% as of December 2010. According to the watchlist comments, a new lease for 9.5% of the property's net rentable area (NRA) has been signed. As of December 2010, reported DSC was 1.37x. Standard & Poor's stressed the loans in the pool according to its criteria. The analysis is consistent with its lowered and affirmed ratings. Ratings Lowered (Pooled Certificates) CD 2006-CD2 Mortgage Trust Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-M A- (sf) A+ (sf) 20.64 A-J BB (sf) BBB+(sf) 12.75 B BB- (sf) BBB (sf) 11.92 C B (sf) BBB-(sf) 10.67 D CCC-(sf) B+ (sf) 9.29 E D (sf) CCC-(sf) 7.49 Ratings Affirmed (Pooled Certificates) CD 2006-CD2 Mortgage Trust Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-2 AAA (sf) 31.70 A-3 AAA (sf) 31.70 A-AB AAA (sf) 31.70 A-4 AAA (sf) 31.70 A-1A AAA (sf) 31.70 A-1B AAA (sf) 31.70 X AAA (sf) N/A Ratings Affirmed (Nonpooled Certificate) CD 2006-CD2 Mortgage Trust Commercial mortgage pass-through certificates Class Rating VPM-1 BBB (sf) VPM-2 BBB- (sf) N/A -- Not applicable. CENTERLINE 2007-1: S&P Lowers Ratings on 2 Classes to 'D' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on classes K and L from Centerline 2007-1 Resecuritization Trust (Centerline 2007-1), a commercial real estate collateralized debt obligation (CRE CDO) transaction, to 'D (sf)' from 'CC (sf)'. "At the same time, we affirmed eight 'CC (sf)' ratings from the same transaction," S&P stated. The downgrades reflect principal losses of $53.8 million as detailed in the May 20, 2011, remittance report. As a result of the principal losses, the principal balance of class K was reduced to $37.0 million from $44.4 million at issuance. Class L lost 100% of its issuance balances ($29.6 million) according to the May remittance report. "We affirmed our 'CC (sf)' ratings on classes B through J to reflect our 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," S&P related. According to the most recent trustee report, the principal loss was due to losses on the underlying commercial mortgage-backed securities (CMBS) collateral. Six distinct transactions experienced aggregate principal losses in the amount of $53.8 million. These CMBS classes experienced significant principal losses in the current trustee report: Bear Stearns Commercial Mortgage Securities 2007-PWR15 (classes N, O, and P; $19.9 million loss); Bear Stearns Commercial Mortgage Securities 2006-TOP24 (classes J through M; $14.5 million loss); and JP Morgan Chase Commercial Mortgage Securities Corp. 2007 -CIBC18 (classes L and M; $14.2 million loss). According to the remittance report, Centerline 2007-1 was collateralized by 92 CMBS and three resecuritized real estate mortgage investment conduit (re-REMIC) certificates ($656.8 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. Ratings Lowered Centerline 2007-1 Resecuritization Trust Rating Class To From K D (sf) CC (sf) L D (sf) CC (sf) Ratings Affirmed Centerline 2007-1 Resecuritization Trust Rating Class B CC (sf) C CC (sf) D CC (sf) E CC (sf) F CC (sf) G CC (sf) H CC (sf) J CC (sf) CITIGROUP COMMERCIAL: S&P Withdraws 'CCC-' Rating on Class MLA-1 ---------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on 92 classes from 38 commercial mortgage-backed securities (CMBS) and commercial real estate collateralized debt obligation (CRE CDO) transactions. "We withdrew our ratings on 83 classes from 35 CMBS and CRE CDO transactions following the repayment of each class's principal balance, as noted in each transaction's trustee remittance report. We withdrew our ratings on seven interest-only (IO) classes from three additional transactions following the reductions of the classes' notional balances as noted in each transaction's trustee remittance reports," S&P said. "We also withdrew our ratings on two additional IO classes following the repayment of all principal and interest paying classes rated 'AA- (sf)' or higher from the CMBS transaction, in accordance with our criteria for rating interest-only securities," S&P said. Ratings Withdrawn Following Repayment or Reduction of Notional Balance ACGS 2004, LLC Secured notes series 2004-1 Rating Class To From C NR A (sf) Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2004-3 Rating Class To From A-4 NR AAA (sf) Banc of America Commercial Mortgage Trust 2006-1 Commercial mortgage pass-through certificates series 2006-1 Rating Class To From A-1 NR AAA (sf) Banc of America Commercial Mortgage Trust 2006-6 Commercial mortgage pass-through certificates, series 2006-6 Rating Class To From A-1 NR AAA (sf) Bear Stearns Commercial Mortgage Securities Inc. Trust certificates series 2003-GMZ1 Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) CR NR AA+ (sf) Capital Trust Re CDO 2004-1 Ltd. Collateralized debt obligations series 2004-1 Rating Class To From A-1 NR BBB (sf) Citigroup Commercial Mortgage Trust 2007-FL3 Commercial mortgage pass-through certificates, series 2007-FL3 Rating Class To From MLA-1 NR CCC- (sf) COMM 2001-CITI Commercial mortgage pass-through certificates series 2001-1CITI Rating Class To From B NR AA+ (sf) C NR AA (sf) D NR AA- (sf) COMM 2006-CNL2 Commercial mortgage-backed certificates, series 2006-CNL2 Rating Class To From X-1 NR A (sf) COMM 2007-C9 Commercial mortgage pass-though certificates series 2007-C9 Rating Class To From A-1 NR AAA (sf) Credit Suisse Commercial Mortgage Trust Series 2006-C3 Commercial mortgage pass-through certificates series 2006-C3 Rating Class To From A-1 NR AAA (sf) Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2001-CP4 Rating Class To From A-4 NR AAA (sf) Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2001-SPG1 Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) A-X NR AAA (sf) B NR AAA (sf) C NR A (sf) D NR BBB+ (sf) E NR BBB- (sf) F NR BB+ (sf) G NR BB (sf) Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2004-TFL2 Rating Class To From A-X NR AAA (sf) G NR AAA (sf) H NR AAA (sf) J NR AAA (sf) K NR A (sf) L NR BB+ (sf) Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-TFL2 Rating Class To From J NR A+ (sf) K NR BBB+ (sf) L NR B (sf) CSMS 2006-HC1 Commercial mortgage pass-through certificates series 2006-HC1 Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) A-X-1 NR AAA (sf) A-X-2 NR AAA (sf) B NR AA+ (sf) C NR AA (sf) D NR AA- (sf) E NR A+ (sf) F NR A (sf) G NR A- (sf) H NR BBB+ (sf) J NR BBB (sf) K NR BBB- (sf) L NR BB+ (sf) DLJ Commercial Mortgage Corp. Comm mtg pass-thru certs ser 1998-CG1 Rating Class To From B-1 NR AAA (sf) First Union National Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2001-C3 Rating Class To From A-3 NR AAA (sf) B NR AAA (sf) C NR AAA (sf) Fortress GSA Securities LLC Lease-backed & commercial mortgage pass-through certificates series 1999-GSA1 Rating Class To From A-4 NR AAA (sf) B-1 NR AAA (sf) B-2 NR AAA (sf) B-3 NR AAA (sf) GMAC Commercial Mortgage Securities, Inc. Commercial mortgage pass-through certificates series 2004-C3 Rating Class To From A-3 NR AAA (sf) Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2003-C1 Rating Class To From A-3 NR AAA (sf) Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2004-GG1 Rating Class To From XP NR AAA (sf) GS Mortgage Securities Trust 2007-GG10 Commercial mortgage pass-through certificates series 2007-GG10 Rating Class To From A-1 NR AAA (sf) JPMorgan Chase Commercial Mortgage Securities Corp. Mortgage pass-through certificates series 2001-CIBC1 Rating Class To From D NR AA+ (sf) JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2003-CIBC7 Rating Class To From A-3 NR AAA (sf) LB-UBS Commercial Mortgage Trust 2006-C4 Commercial mortgage pass-through certificates series 2006-C4 Rating Class To From SBC-1 NR AA (sf) SBC-2 NR AA- (sf) SBC-3 NR A+ (sf) SBC-4 NR A (sf) SBC-5 NR A- (sf) SBC-6 NR BBB+ (sf) SBC-7 NR BBB (sf) SBC-8 NR BBB- (sf) SBC-9 NR BB+ (sf) SBC-10 NR BB (sf) SBC-11 NR BB- (sf) SBC-12 NR B+ (sf) SBC-13 NR B (sf) SBC-14 NR B- (sf) LB-UBS Commercial Mortgage Trust 2006-C6 Commercial mortgage pass-through certificates series 2006-C6 Rating Class To From A-1 NR AAA (sf) Merrill Lynch Financial Assets Inc. Commercial mortgage pass-through certificates series 2004-CANADA 12 Rating Class To From XP-1 NR AAA (sf) Merrill Lynch Financial Assets Inc. Commercial mortgage pass through-certificates, series 2006-CANADA 19 Rating Class To From A-1 NR AAA (sf) Morgan Stanley Capital I Trust 2004-TOP15 Commercial mortgage pass-through certificates, series 2004 TOP15 Rating Class To From A-2 NR AAA (sf) Morgan Stanley Capital I Trust 2006-HQ9 Commercial mortgage pass-through certificates series 2006-HQ9 Rating Class To From A-1 NR AAA (sf) Prudential Securities Secured Financing Corp. Commercial mortgage pass-through certificates series 1999-C2 Rating Class To From F NR AAA (sf) Salomon Brothers Commercial Mortgage Trust 2001-C1 Commercial mortgage pass-through certificates series 2001-C1 Rating Class To From C NR AA (sf) D NR A (sf) Salomon Brothers Mortgage Securities VII Inc. Commercial mortgage pass through certificates series 2000-C1 Rating Class To From F NR A (sf) UBS Commercial Mortgage Trust 2007-FL1 Commercial mortgage pass-through certificates series 2007-FL1 Rating Class To From O-BH NR B- (sf) Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2004-C10 Rating Class To From A-3 NR AAA (sf) Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-C26 Rating Class To From WM NR BBB- (sf) Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates, series 2007-WHALE8 Rating Class To From MH-1 NR CCC- (sf) MH-2 NR CCC- (sf) Ratings Withdrawn Following Application of Criteria for IO Securities JPMorgan Chase Commercial Mortgage Securities Corp. Mortgage pass-through certificates series 2001-CIBC1 Rating Class To From X-1 NR AAA (sf) Salomon Brothers Commercial Mortgage Trust 2001-C1 Commercial mortgage pass-through certificates series 2001-C1 Rating Class To From X-1 NR AAA (sf) COLDWATER CDO: S&P Lowers Rating on Class A-1 Note to 'D' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class A-1 notes from Coldwater CDO Ltd., a collateralized debt obligation (CDO) transaction backed primarily by residential mortgage-backed securities (RMBS) and managed by Metropolitan West Asset Management LLC. "In addition, we affirmed our ratings on the class B and C notes," S&P said. The lowered rating reflects a default in the payment of the interest due on the transaction's June 6, 2011, distribution date. "The missed payment follows a notice we received from the trustee on June 2, 2011, indicating that the holders of the controlling class of notes and swap counterparties voted to liquidate the collateral. The notice from the trustee further indicated that the transaction was not going to make any payments on June 6, 2011, payment date, or on any subsequent regularly scheduled payment date, until it completes the sale and liquidation of the collateral," S&P said. "The affirmations of the ratings on the class B and C notes reflect our opinion of the sufficient credit support available at the current rating levels," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating and CreditWatch Actions Coldwater CDO Ltd. Rating Class To From A-1 D (sf) CC (sf) Ratings Affirmed Coldwater CDO Ltd. Class Rating B CC (sf) C CC (sf) Other Ratings Outstanding Coldwater CDO Ltd. Class Rating A-2 D (sf) A-3 D (sf) COMM 2006-C7: S&P Lowers Ratings on 8 Classes of Certs. to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 15 classes of commercial mortgage pass-through certificates from COMM 2006-C7, a U.S. commercial mortgage-backed securities (CMBS) transaction. "Concurrently, we affirmed our 'AAA (sf)' ratings on six other classes from the same transaction," S&P said. "Our rating actions follow our analysis of the transaction using our U.S. conduit and fusion CMBS criteria. The downgrades also reflect credit support erosion that we anticipate will occur upon the resolution of the 11 specially serviced assets ($364.7 million, 16.3%), and seven additional loans ($184.6 million, 8.2%) that we determined to be credit-impaired. We also considered the monthly interest shortfalls that are affecting the trust. We lowered our ratings to 'D (sf)' on the class G, H, J, K, L, M, N, and O certificates because we expect these interest shortfalls to continue and believe the accumulated interest shortfalls will remain outstanding for the foreseeable future," S&P related. According to S&P, "Our analysis included a review of the credit characteristics of all the remaining loans in the pool. Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.44x and a loan-to-value (LTV) ratio of 105.5%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.96x and an LTV ratio of 148.9%. The implied defaults and loss severity under the 'AAA' scenario were 84.4% and 37.7%. The DSC and LTV calculations exclude the transaction's 11 specially serviced assets ($364.7 million, 16.3%) and seven loans that we determined to be credit-impaired ($184.6 million, 8.2%). We separately estimated losses for the specially serviced assets and credit- impaired loans and included them in our 'AAA' scenario implied default and loss severity figures." "As of the May 10, 2011, trustee remittance report, the trust experienced monthly interest shortfalls totaling $446,242 primarily related to appraisal subordinate entitlement reduction (ASER) amounts of $564,593 and special servicing fees of $79,745. The total interest shortfalls were offset during this period by ASER recoveries of $312,191. The interest shortfalls affected all classes subordinate to and including class G. Classes G through O experienced cumulative interest shortfalls for three consecutive months, and we expect these interest shortfalls to continue in the near term. Consequently, we downgraded these classes to 'D (sf)'," S&P stated. "The rating affirmations on the principal and interest certificates reflect subordination and liquidity support levels that we consider to be consistent with our outstanding ratings on these classes. We affirmed our rating on the class X interest-only (IO) certificate based on our current criteria," S&P added. Credit Considerations As of the May 10, 2011, trustee remittance report, 11 assets ($364.7 million, 16.3%) in the pool were with the special servicer, CWCapital Asset Management LLC (CWCapital). The reported payment status of the specially serviced assets is as follows: three are 90-plus-days delinquent ($44.5 million, 2.0%); two are 60-plus-days delinquent ($168.4 million, 7.5%); three are matured balloon loans ($63.1 million, 2.8%); and three are in their grace periods ($88.7 million, 4.0%). Appraisal reduction amounts (ARAs) totaling $109.4 million are in effect against six of the specially serviced assets ($213.1 million, 9.5%). Details on the three largest assets with special servicer, which are also top 10 loans, are: The Granite Run Mall loan ($114.0 million, 5.1%) is the largest specially serviced asset and the fourth-largest loan in the pool. The loan was transferred to special servicing on Oct. 25, 2010, due to payment default and the payment status is reported as 60- plus-days delinquent. The loan is secured by a leasehold interest in a 691,966-sq.-ft. regional mall in Media, Pa. An ARA of $71.5 million is in effect. CWCapital closed on a deed-in-lieu of foreclosure in April 2011. The reported DSC and occupancy were 0.93x and 82.6% for the annualized nine months ended Sept. 30, 2010. Standard & Poor's anticipates a significant loss upon the eventual resolution of this asset. The North Charlotte Office/Flex Portfolio loan ($54.4 million, 2.4%) is the second-largest specially serviced asset and the seventh-largest loan in the pool. The loan was transferred to special servicing on March 9, 2011, due to imminent default and the payment status is 60-plus-days delinquent. The loan is secured by five office/flex properties totaling 746,337 sq. ft. in Charlotte, N.C. and Huntersville, N.C. According to CWCapital, the borrower has indicated that it will not be making any further loan payments. The reported combined DSC and occupancy were 1.31x and 77.3%, respectively, as of year-end 2010. Standard & Poor's anticipates a significant loss upon the eventual resolution of this asset. The Galleria Corporate Centre loan ($54.2 million, 2.4%) is the third-largest specially serviced asset and the eighth-largest loan in the pool. The loan was transferred to special servicing on March 3, 2011, due to imminent default and the reported payment status is in its grace period. The loan is secured by a 536,522- sq.-ft. mixed-use retail/office complex in Scottsdale, Ariz. CWCapital is currently evaluating various workout strategies. The reported DSC and occupancy were 1.33x and 87.8%, respectively, for the annualized six months ended June 30, 2010. According to the Sept. 30, 2010, rent roll, approximately 31.0% of the leased space have lease expiration dates during 2011. Standard & Poor's expects a moderate loss upon the eventual disposition of this asset. The remaining eight specially serviced assets have individual balances representing less than 1.8% of the pool balance. ARAs totaling $37.9 million were in effect against five of the remaining eight specially serviced assets ($99.1 million, 4.4%). Standard & Poor's estimated losses for six of the remaining eight specially serviced assets, representing a weighted average loss severity of 35.5%. One of the two remaining loans has been corrected and CWCapital expects to return the loan back to the master servicer, while the remaining loan was recently transferred due to a maturity default. "In addition to the specially serviced assets, we determined seven other loans in the pool to be credit-impaired ($184.6 million, 8.2%). The larger of these is the Fiddler's Green Center loan, which is the sixth-largest loan in the pool. The loan is secured by a 413,514-sq.-ft. office complex in Greenwood Village, Colo. The loan has a $61.1 million balance representing 2.7% of the pool balance. There is also a $1.5 million mezzanine loan secured by the equity interests in the borrower. The parent of the borrower filed for bankruptcy in January 2010. The loan is also on the master servicer's watchlist due to a low reported DSC. As of December 2010, reported DSC and occupancy were 0.99x and 79.0%. Given the poor reported performance, we consider this loan to be at an increased risk of default and loss," S&P related. The second-largest loan we deemed to be credit-impaired is the 1400 Eye Street NW loan ($37.0 million, 1.6%) which is secured by a 167,233-sq.-ft. office building in Washington, D.C. The loan appears on the master servicer's watchlist for low reported DSC. As of December 2010, reported DSC was 0.46x. A major tenant, representing 22.4% of net rentable area, moved out in early 2008 and has not been replaced. As a result, S&P considers this loan to be at an increased risk of default and loss. "The third-largest loan we deemed to be credit-impaired is the Meadowood Napa Valley loan ($34.1 million, 1.5%). It is secured by a 99-room luxury resort hotel in St. Helena, Calif. The loan appears on the master servicer's watchlist due to a low reported DSC, which, as of Dec. 31, 2010, was 0.00x. The hotel's occupancy decreased to 59% in 2010 from 73% in 2008. We consider this loan to be at an increased risk of default and loss," S&P related. The fourth-largest loan we deemed to be credit-impaired is the Heyman Properties - LGA loan ($25.9 million, 1.2%). This loan is secured by a 288-room Courtyard by Marriott hotel and a 90,170- sq.-ft. adjacent plot of land used for AviStar LaGuardia Airport parking facility. The loan is on the master servicer's watchlist due to a low reported DSC. While the hotel has a strong location right across from LaGuardia Airport in Queens, N.Y., reported DSC as of Dec. 31, 2010, was only 0.66x. "We consider this loan to be an increased risk of default and loss due to its poor performance," S&P noted. The remaining three loans we deemed to be credit-impaired have individual balances representing less than 0.5% of the pool balance. Two of the three loans are 30-plus-days delinquent. The other loan, while current, has a reported DSC of 0.61x as of Dec. 31, 2010. Transaction Summary As of the May 10, 2011, trustee remittance report, the collateral pool balance was $2.24 billion, which is 91.4% of the balance at issuance. The pool includes 145 loans, down from 156 loans at issuance. The master servicer, Midland Loan Services (Midland), provided financial information for 97.6% of the loan balance, 86.7% of which was interim- or full-year 2010 data, with the remainder reflecting full-year 2009 data. S&P noted, "We calculated a weighted average DSC of 1.38x for the loans in the pool based on the servicer-reported figures. Our adjusted DSC and LTV ratio were 1.44x and 105.5%. Our adjusted DSC and LTV figures excluded the transaction's 11 specially serviced assets and seven loans that we determined to be credit-impaired. We separately estimated losses for the specially serviced assets and credit-impaired loans and included them in our 'AAA' scenario implied default and loss severity figures. The transaction has experienced $14.8 million in principal losses. Forty-three loans ($680.7 million, 30.4%) in the pool are on the master servicer's watchlist, including three of the top 10 loans ($228.9 million, 10.2%). Thirty-six loans ($611.7 million, 27.3%) have reported DSC of less than 1.10x, 28 of which ($516.2 million, 23.1%) have reported DSC below 1.00x." Summary of the Top 10 Loans The top 10 loans have an aggregate outstanding balance of $858.8 million (38.4%). "Using servicer-reported numbers, we calculated a weighted average DSC of 1.51x for the top 10 loans. Our adjusted DSC and LTV ratio for the top 10 loans were 1.40x and 95.0%. Three of the top 10 loans ($222.6 million, 9.9%) are in special servicing; three are on the master servicer's watchlist ($228.9 million, 10.2%), one of which we deemed to be credit-impaired," S&P said. The Bon-Ton Department Stores Portfolio loan ($117.7 million, 5.3%) is the third-largest real estate loan in the pool and is on Midland's watchlist due to low reported earnings before interest, taxes, depreciation, and amortization expenses (EBITDA). The loan is secured by 11 single-tenant retail department stores and one distribution center totaling 2,003,186 sq. ft. Five of the properties are in Wisconsin; three are situated in Illinois; and there is one property each in Indiana, Ohio, Minnesota, and North Dakota. Midland reported a DSC of 1.23x and 100% occupancy as of Dec. 31, 2010. The Indianapolis North Marriott loan ($49.6 million, 2.2%), the 10th-largest loan in the pool, is on the master servicer's watchlist due to declining cash flow. The loan is secured by a 315-room hotel in Indianapolis, Ind. Midland reported a DSC of 1.15x and 63.4% occupancy as of year-end 2010. Standard & Poor's stressed the loans in the pool according to its current criteria. The resultant credit enhancement levels are consistent with S&P's rating actions. Rating Lowered COMM 2006-C7 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-M BBB+ (sf) A (sf) 21.21 A-J BB- (sf) BBB (sf) 12.73 B B (sf) BBB- (sf) 10.41 C CCC (sf) BB+ (sf) 9.32 D CCC- (sf) BB (sf) 7.68 E CCC- (sf) BB- (sf) 6.72 F CCC- (sf) B+ (sf) 5.35 G D (sf) B+ (sf) 4.26 H D (sf) B (sf) 2.89 J D (sf) B (sf) 2.34 K D (sf) B- (sf) 2.07 L D (sf) B- (sf) 1.66 M D (sf) B- (sf) 1.52 N D (sf) B-(sf) 1.25 O D (sf) CCC+ (sf) 0.84 Ratings Affirmed COMM 2006-C7 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-2 AAA (sf) 32.15 A-3 AAA (sf) 32.15 A-AB AAA (sf) 32.15 A-4 AAA (sf) 32.15 A-1A AAA (sf) 32.15 X AAA (sf) N/A CONNECTICUT VALLEY: Moody's Upgrades Ratings of 2 Classes of Notes ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of two classes of notes issued by Connecticut Valley CLO Funding IV, LTD. The notes affected by the rating action are: -- US$225,000,000 Class A-1 Floating Rate Notes Due 2027, (current balance of $193,622,238) Upgraded to B3 (sf); previously on 12/24/2009 Downgraded to Caa2 (sf); -- US$43,000,000 Class A-2 Floating Rate Notes Due 2027, Upgraded to Caa3 (sf); previously on 12/24/2009 Downgraded to Ca (sf). RATINGS RATIONALE According to Moody's, the rating action taken on the notes results primarily from the improvement in Class A Par Value Ratio since the last rating action due to delevering of the Class A-1 Notes and upgrades of Ca-rated collateral. On the most recent payment date in May 2011 the Class A-1 Notes received a principal payment of $ $4,629,987. Since the last rating action in December 2009, the Class A-1 Notes have been paid down by approximately $20mm. As a result of the paydown, as well as upgrades of roughly $26mm of Ca-rated collateral, the Class A Par Value Ratio has increased from 72.75% to 84.54%. Connecticut Valley CLO Funding IV, LTD. is a collateralized debt obligation issuance backed by a portfolio of CLO tranches which originated between 1999 and 2007, with the majority originated in 2006 and 2007. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in November 2010. Moody's applied the Monte Carlo simulation framework within CDOROMv2.8 to model the loss distribution for SF CDOs. Within this framework, defaults are generated so that they occur with the frequency indicated by the adjusted default probability pool (the default probability associated with the current rating multiplied by the Resecuritization Stress) for each credit in the reference. Specifically, correlated defaults are simulated using a normal (or "Gaussian") copula model that applies the asset correlation framework. Recovery rates for defaulted credits are generated by applying within the simulation the distributional assumptions, including correlation between recovery values. Together, the simulated defaults and recoveries across each of the Monte Carlo scenarios define the loss distribution for the reference pool. Once the loss distribution for the collateral has been calculated, each collateral loss scenario derived through the CDOROM loss distribution is associated with the interest and principal received by the rated liability classes via the CDOEdge cash-flow model. The cash flow model takes into account: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss (EL) for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's rating action factors in a number of sensitivity analyses and stress scenarios, discussed below. Results are shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss, assuming that all other factors are held equal: Moody's Caa bucket upgraded by two notches: Class A-1: +1 Class A-2: +1 Class A-3: +1 Class B: 0 Class C: 0 Moody's Caa bucket downgraded by 2 notches: Class A-1: -2 Class A-2: -1 Class A-3: 0 Class B: 0 Class C: 0 CSFB COMMERCIAL: Moody's Affirms 19 CMBS Classes of CSFB 2005-C4 ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 19 classes of Credit Suisse First Boston Mortgage Securities Corp., Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2005- C4: -- Cl. A-3, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-5M, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-1-A, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A5, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-X, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-SP, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-J, Affirmed at A3 (sf); previously on Oct 21, 2010 Downgraded to A3 (sf) -- Cl. B, Affirmed at Baa2 (sf); previously on Oct 21, 2010 Downgraded to Baa2 (sf) -- Cl. C, Affirmed at Baa3 (sf); previously on Oct 21, 2010 Downgraded to Baa3 (sf) -- Cl. D, Affirmed at Ba3 (sf); previously on Oct 21, 2010 Downgraded to Ba3 (sf) -- Cl. E, Affirmed at B2 (sf); previously on Oct 21, 2010 Downgraded to B2 (sf) -- Cl. F, Affirmed at Caa2 (sf); previously on Oct 21, 2010 Downgraded to Caa2 (sf) -- Cl. G, Affirmed at Caa3 (sf); previously on Oct 21, 2010 Downgraded to Caa3 (sf) -- Cl. H, Affirmed at Ca (sf); previously on Oct 21, 2010 Downgraded to Ca (sf) -- Cl. J, Affirmed at C (sf); previously on Oct 21, 2010 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Oct 21, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Oct 21, 2010 Downgraded to C (sf) RATINGS RATIONALE The affirmations are due to key rating parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 5.6% of the current balance. At last review, Moody's cumulative base expected loss was 7.1%. Moody's stressed scenario loss is 15.5% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the 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 (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 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 47 compared to 48 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through 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 21, 2010. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Moody's Investors Service 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 May 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 20% to $1.07 billion from $1.33 billion at securitization. The Certificates are collateralized by 142 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans representing 35% of the pool. Six loans, representing 8% of the pool, have defeased and are collateralized with U.S. Government securities. Twenty-two 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 (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. Nine loans have been liquidated from the pool since securitization, resulting in an aggregate $35.6 million loss (66% loss severity on average). There are currently eight loans, representing 5% of the pool, in special servicing. The largest specially serviced loan is the 301 Yamato Loan ($26.7 million - 2.5% of the pool), which is secured by a 206,500 square foot office building located in Boca Raton, Florida. The loan was transferred to special servicing in August 2010. The borrower had requested the loan modification which was denied by the servicer. On May 9th the loan was returned to the master servicer, which should be reflected in the next remittance statement. The remaining seven specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $8.0 million appraisal reduction for six of the specially serviced loans. Moody's has estimated an aggregate loss of $15.8 million (30% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 12 poorly performing loans representing 10% of the pool. Moody's has estimated a $22.3 million loss (20% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 and full year or partial year 2010 operating results for 99% and 95% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 100% compared to 104% 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 1.42X and 1.05X, respectively, compared to 1.40X and 1.02X 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 15% of the pool. The largest conduit loan is the Hilton Gaslamp Quarter Hotel Loan ($59.6 million - 5.6% of the pool), which is secured by a 282-room full service hotel located in San Diego, California. For the 12- month period ending December 2010, revenue per available room (RevPAR) and occupancy were $143.6 and 88%, respectively, compared to $140.9 and 88% at last review. Performance has been stable. Moody's LTV and stressed DSCR are 107% and 1.08X compared to 110% and 1.06X at last review. The second largest conduit loan is the Och Ziff Hotel Portfolio Loan ($52.3 million - 4.8% of the pool), which is secured by a portfolio of nine limited service hotels totaling 929 rooms and located throughout Ohio. The hotels are Marriot-affiliated and operate under the Courtyard Suites, TownePlace Suites and Springhill Suite flags. For the 12-month period ending December 2010, RevPAR and occupancy were $54.6 and 68%, respectively, compared to $50.4 and 48% at last review. The loan matures in May 2012. Performance has declined significantly since securitization. Although, the loan is current, with a current DSCR at 1.12X, Moody's is concerned about near term refinancing risk and has recognized this loan as a troubled loan. Moody's LTV and stressed DSCR are 143% and 0.85X compared to 180% and 0.67X at last review. The third largest conduit loan is the Mansion at Coyote Ridge ($45.9 million - 4.3% of the pool), which is secured by 528-unit, luxury garden-style multi-family complex located in Carrolton, Texas. As of December 2010, the property was 95% leased compared 92% at last review. Performance has been stable. Moody's LTV and stressed DSCR are 101% and 0.91X, respectively, the same as last review. CSFB COMMERCIAL: Moody's Affirms 20 CMBS Classes of CSFB 2005-C6 ---------------------------------------------------------------- Moody's Investors Service (Moody's) affirmed 20 classes of Credit Suisse First Boston Mortgage Securities Corp., Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2005-C6: -- Cl. A-2FL, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-2FX, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-1-A, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-M, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-X, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-SP, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-J, Affirmed at A2 (sf); previously on Oct 28, 2010 Downgraded to A2 (sf) -- Cl. B, Affirmed at Baa1 (sf); previously on Oct 28, 2010 Downgraded to Baa1 (sf) -- Cl. C, Affirmed at Baa2 (sf); previously on Oct 28, 2010 Downgraded to Baa2 (sf) -- Cl. D, Affirmed at Ba1 (sf); previously on Oct 28, 2010 Downgraded to Ba1 (sf) -- Cl. E, Affirmed at Ba2 (sf); previously on Oct 28, 2010 Downgraded to Ba2 (sf) -- Cl. F, Affirmed at B2 (sf); previously on Oct 28, 2010 Downgraded to B2 (sf) -- Cl. G, Affirmed at Caa1 (sf); previously on Oct 28, 2010 Downgraded to Caa1 (sf) -- Cl. H, Affirmed at Caa2 (sf); previously on Oct 28, 2010 Downgraded to Caa2 (sf) -- Cl. J, Affirmed at Caa3 (sf); previously on Oct 28, 2010 Downgraded to Caa3 (sf) -- Cl. K, Affirmed at C (sf); previously on Oct 28, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Oct 28, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Oct 28, 2010 Downgraded to C (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 7.0% of the current balance. At last full review, Moody's cumulative base expected loss was 7.2%. Moody's stressed scenario loss is 19.3% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the 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 primary methodology used in this rating was "CMBS: Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. 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 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 42 compared to 45 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 (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 October 28, 2010. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Moody's Investors Service 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 May 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 13% to $2.17 billion from $2.50 billion at securitization. The Certificates are collateralized by 215 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 33% of the pool. Four loans, representing 2% of the pool, have defeased and are collateralized with U.S. Government securities, the same as at last review. One loan, representing 5% of the pool, has an investment grade credit estimate. Sixty-nine loans, representing 28% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (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. Ten loans have been liquidated from the pool since securitization, resulting in an aggregate $14.5 million loss (9% loss severity on average). Currently 15 loans, representing 6% of the pool, are in special servicing. The master servicer has recognized an aggregate $33.1 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate loss of $55.1 million (42% expected loss on average) for all of the specially serviced loans. Moody's has assumed a high default probability for 12 poorly performing loans representing 8% of the pool and has estimated a $25.0 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial/full year 2010 operating results for 98% and 91% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 105% compared to 102% 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 8.9%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.31X and 0.95X, respectively, compared to 1.31X and 0.97X 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 loan with the credit estimate is the One Madison Avenue Loan ($102.0 million -- 5% of the pool), which is secured by a 1.2 million square foot office (SF) building located in the East Midtown South submarket of Manhattan. The property is also encumbered by a subordinate $50.0 million B-Note. Credit Suisse (USA) Inc. (senior unsecured rating of Aa2, negative outlook) is the anchor tenant, leasing approximately 95% of the net rentable area (NRA) through December 31, 2020 with three successive five- year renewal options. As of December 2010, the property was 99% leased, essentially the same as last review. Moody's current credit estimate and stressed DSCR are Aaa and >4.00X, respectively, compared to Aaa and 3.69X at last review. The top three performing conduit loans represent 17% of the pool balance. The largest loan is the 450 Park Avenue Loan ($175.0 million -- 8% of the pool), which is secured by a 313,135 SF office building located on 57th Street and Park Avenue in midtown Manhattan. The loan is interest only for its entire term. As of March 2011, the property was 86% leased compared to 88% at last review. The largest tenant is Phillips De Pury & Company LLC (8% of the NRA; lease expiration in December 2014). Property performance remains stable. Moody's LTV and stressed DSCR are 115% and 0.80X, respectively, compared to 119% and 0.77X at last full review. The second largest loan is The Fashion Place Mall Loan ($139.3 million -- 6% of the pool), which is secured by a 890,000 SF super regional mall located in Murray, Utah. As of December 2010, the mall was 97% leased compared to 92% at last review. The mall is anchored by Sears, Dillard's, Nordstrom and Macy's. Moody's LTV and stressed DSCR are 86% and 1.10X, respectively, compared to 92% and 1.03X at last full review. The third largest loan is the Crestview Hills Town Center Loan ($54.3 million -- 2% of the pool), which is secured by a 283,000 SF lifestyle shopping center located in Crestview Hills, Kentucky. The largest tenant is Bed Bath & Beyond (10% of the NRA; lease expiration in January 2016). As of February 2011, the property was 99% leased, compared to 95% at last review. Moody's LTV and stressed DSCR are 85% and 1.08X, respectively, compared to 83% and 1.11X at last review. CSFB MORTGAGE: Moody's Cuts Down Ratings of $35 Million RMBS ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of two tranches issued by CSFB 2005-CF1. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate "scratch and dent" residential mortgages. Scratch and Dent deals are classified outside of Moody's primary categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for a number of reasons. The pools may include mortgages that have been originated outside an originator's program guidelines in some way, or mortgages where borrowers missed payments in the past. These pools may also include loans with document defects at origination that were since rectified. Due to the varied content of Scratch and Dent mortgage pools, which can range from seasoned prime-like loans to non-prime loans that were seriously delinquent at the time of securitization, credit quality of these pools varies considerably. RATINGS RATIONALE The actions are a result of deteriorating performance of Scratch and Dent pools under stressed housing and macroeconomic conditions. The actions reflect Moody's updated loss expectations on Scratch and Dent pools. The principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other methodologies used include "US RMBS Surveillance Methodology for Scratch and Dent" published in May 2011, which accounts for the deteriorating performance and outlook. Moody's final rating actions are based on current levels of credit enhancement, collateral performance and updated pool-level loss expectations. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: CSFB Mortgage Pass-Through Certificates, Series 2005-CF1 Cl. M-1, Downgraded to A1 (sf); previously on Sep 30, 2005 Assigned Aa2 (sf) Cl. M-2, Downgraded to Ba1 (sf); previously on Mar 30, 2009 Downgraded to Baa1 (sf) CSFB MORTGAGE: Moody's Withdraws Ratings of $4 Million RMBS ----------------------------------------------------------- Moody's Investors Service has withdrawn the ratings of two tranches issued by CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-19. These tranches are backed by a pool of mortgage loans with a pool factor less than 5% and containing fewer than 40 loans. RATINGS RATIONALE Moody's Investors Service has withdrawn the credit rating pursuant to published credit rating methodologies that allow for the withdrawal of the credit rating if the size of the pool outstanding at the time of the withdrawal has fallen below a specified level. Please refer to Moody's Investors Service Withdrawal Policy, which can be found on Moody's website, www.moodys.com. 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). Complete rating are: Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-19 -- Cl. II-M-1, Withdrawn (sf); previously on May 15, 2009 Downgraded to B3 (sf) -- Cl. II-M-2, Withdrawn (sf); previously on Jul 13, 2005 Downgraded to C (sf) Moody's adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process. The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on Moody's website www.moodys.com for further information. CWMBS INC: Moody's Downgrades Ratings of 18 Tranches ---------------------------------------------------- Moody's Investors Service has downgraded the ratings of 18 tranches and has confirmed the ratings of two tranches issued by six RMBS resecuritization transactions. RATINGS RATIONALE The actions are a result of the bonds not having sufficient credit enhancement to maintain the current ratings when compared to the revised loss expectations on the pools of mortgages backing the underlying certificates. The principal methodology used in these ratings is described in the "Surveillance Approach for Resecuritized transactions" section in "Moody's Approach to Rating US Resecuritized Residential Mortgage-Backed Securities" published in February 2011. Moody's ratings on the resecuritization notes are based on: (i) The updated expected loss on the pools of loans backing the underlying certificates and the updated ratings on the underlying certificates. (ii) The credit enhancement available to the underlying certificates, and (iii) The structure of the resecuritization transaction. Moody's first updated its loss assumptions on the underlying pools of mortgage loans backing the underlying certificates and then arrived at updated ratings on the underlying certificates. The principal methodology used in determining the underlying ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage- Backed Securities" published in December 2008 . For other methodologies used for estimating losses on 2005-2008 vintage Alt- A/Option Arm, Subprime, and Prime Jumbo pools, please refer to the methodology publication " Alt-A RMBS Loss Projection Update: February 2010", " Subprime RMBS Loss Projection Update: February 2010", and "Prime Jumbo RMBS Loss Projection Update: January 2010", available on Moodys.com . For other methodologies used for estimating losses on pre-2005 vintage RMBS pools, please refer to the methodology publication "Pre-2005 US RMBS Surveillance Methodology" published in January 2011, available on Moodys.com. 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 a third party due diligence report on the underlying assets or financial instruments in this transaction and the due diligence report had a neutral impact on the ratings. Complete rating actions are: Issuer: CWMBS, Inc. Resecuritization Mortgage Pass-Through Certificates, Series 2004-28R -- Cl. A-1, Downgraded to A1 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A3 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa1 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Baa3 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Baa1 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche ALT-A Securities, Inc. Re-Remic Trust Certificates, Series 2007-RS1 -- Cl. A-1, Downgraded to Caa2 (sf); previously on Jan 29, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-2, Downgraded to C (sf); previously on Apr 16, 2010 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-3, Confirmed at Ca (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: MASTR Resecuritization 2005-4CI -- Cl. N-2, Downgraded to Ca (sf); previously on Mar 12, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. N-3, Downgraded to C (sf); previously on Mar 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. N-4, Downgraded to C (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: MASTR Resecuritization 2006-1CI -- Cl. N3, Confirmed at B3 (sf); previously on Mar 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QR13 Trust -- Cl. A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QR1 Trust -- Cl. A-1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade DBUBS 2011-LC2: Moody's Assigns Provisional Ratings to 13 CMBS -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 13 classes of CMBS securities, issued by DBUBS Commercial Mortgage Trust 2011-LC2, Commercial Mortgage Pass-Through Certificates, Series 2011-LC2. -- Cl. A-1, Assigned (P)Aaa (sf) -- Cl. A-2, Assigned (P)Aaa (sf) -- Cl. A-3FL, Assigned (P)Aaa (sf) -- Cl. A-4, Assigned (P)Aaa (sf) -- Cl. X-A, Assigned (P)Aaa (sf) -- Cl. X-B, Assigned (P)Aaa (sf) -- Cl. B, Assigned (P)Aa2 (sf) -- Cl. C, Assigned (P)A2 (sf) -- Cl. D, Assigned (P)Baa3 (sf) -- Cl. E, Assigned (P)Ba3 (sf) -- Cl. F, Assigned (P)B3 (sf) -- Cl. FX, Assigned (P)B3 (sf) -- Cl. A-3FX, Assigned (P)Aaa (sf) RATINGS RATIONALE The Certificates are collateralized by 67 fixed rate loans secured by 132 properties. The ratings are based on the collateral and the structure of the transaction. Moody's CMBS ratings methodology combines both commercial real estate and structured finance analysis. Based on commercial real estate analysis, Moody's determines the credit quality of each mortgage loan and calculates an expected loss on a loan specific basis. Under structured finance, the credit enhancement for each certificate typically depends on the expected frequency, severity, and timing of future losses. Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's LTV ratio. The Moody's Actual DSCR of 1.49X is higher than the 2007 conduit/fusion transaction average of 1.31X. The Moody's Stressed DSCR of 1.08X is low relative to the other multi- borrower transactions issued since 2009, but higher than the 2007 conduit/fusion transaction average of 0.92X. Moody's Trust LTV ratio of 93.6% is lower than the 2007 conduit/fusion transaction average of 110.6%. . Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. With respect to loan level diversity, the pool's loan level (includes cross collateralized and cross defaulted loans) Herfindahl score is 21.9. With respect to property level diversity, the pool's property level Herfindahl score is 24.7. The transaction's diversity is in line with previously rated conduit and fusion transactions. Moody's grades properties on a scale of 1 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. Properties situated in major markets tend to exhibit more cash flow and capitalization rate stability over time compared to assets located in tertiary markets. Properties located in major markets represent approximately 81.0% of the pool balance. The tertiary market share of 19.0% is low relative to other recently rated conduit and fusion transactions. The factors considered when assigning a quality grade include market, property age, quality of construction, location, and tenancy. The pool's weighted average property quality grade is 1.95, which is lower than the average of recently rated conduit deals. The low weighted average grade is indicative of the strong market composition of the pool and the stability of the cash flows underlying the assets. Eighteen loans (26.2% of the pool balance) are secured by multiple properties which are cross-collateralized and cross-defaulted. Loans secured by multiple properties benefit from lower cash flow volatility given that excess cash flow from one property can be used to augment another's cash flow to meet debt service requirements. These loans also benefit from the pooling of equity from each underlying property. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating Fusion Transactions" published in April 2005. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website. Moody's analysis employs the excel-based CMBS Conduit Model v2.50 which derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level DSCR and LTV ratios. Major adjustments to determining proceeds include loan structure, property type, sponsorship and diversity. The V Score for this transaction is assessed as Low/Medium, the same as the V score assigned to the U.S. Conduit and CMBS sector. This reflects typical volatility with respect to the critical assumptions used in the rating process as well as an average disclosure of securitization collateral and ongoing performance. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling, and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 17%, or 29%, the model-indicated rating for the currently rated Aaa classes would be Aa1, Aa3, A1, respectively. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. 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. DRYDEN XXI: Upgrades Ratings of Class D Floating Rate Notes to Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of these notes issued by Dryden XXI Leveraged Loan CDO: US$20,000,000 Class C Third Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2020, Upgraded to Baa1 (sf); previously on September 29, 2009 Upgraded to Baa2 (sf) US$18,750,000 Class D Forth Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2020, Upgraded to Ba1 (sf); previously on September 29, 2009 Confirmed at Ba3 (sf) 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 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 May 2011, the weighted average rating factor is currently 2334 compared to 2615 in the August 2009 report, and securities rated Caa1 or lower make up approximately 4.01% of the underlying portfolio versus 15.72% in August 2009. Additionally, there are no defaulted securities in the underlying portfolio compared to $14.1 million in August 2009. The overcollateralization ratios of the rated notes have improved since the rating action in September 2009. The Class A/B, Class C, and Class D overcollateralization ratios are reported at 130.41%, 123.97%, and 118.48%, respectively, versus August 2009 levels of 124.86%, 118.69%, and 113.44%, 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 balance, including principal proceeds, of $502 million, defaulted par of $0.3 million, a weighted average default probability of 26.1% (implying a WARF of 3134), a weighted average recovery rate upon default of 43.2%, 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. Dryden XXI Leveraged Loan CDO, issued in August 2008, 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, Moody's also performed a number of 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% (2512) Class A: +1 Class B: +2 Class C: +2 Class D: +1 Moody's Adjusted WARF + 20% (3767) Class A: -3 Class B: -3 Class C: -2 Class D: -3 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance.CDO notes' performance may also be impacted by 1) the managers' investment strategies and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1. Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus selling defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2. Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 3. Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming worse 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 COMMERCIAL: S&P Affirms Ratings on 2 Classes at 'CCC-' --------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on 18 classes of U.S. commercial mortgage-backed securities (CMBS) from GE Commercial Mortgage Corp.'s series 2005-C2. "Our affirmations follow our analysis of the transaction primarily using our U.S. CMBS conduit/fusion criteria. Our analysis included a review of the credit characteristics of all of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. The affirmed ratings reflect subordination and liquidity support levels that are consistent with the outstanding ratings," S&P related. S&P noted, "In addition, our affirmations also reflect the volume of nondefeased, nonspecially serviced loans that have anticipated repayment dates (ARDs) or final maturities scheduled through November 2012 (seven loans; $155.4 million; 11.9% of the trust balance), as well as the 17.7% of the pool reporting debt service coverages (DSCs) below 1.10x. These seven loans, which have either matured or have near-term maturities, have a weighted average DSC of 1.36x and include three loans ($38.1 million; 2.9%) that have DSCs below 1.00x. The largest of these near-term maturing loans is the largest asset in the pool, the Fountain Place Office loan ($105.9 million; 8.1%), which matures on Dec. 1, 2011. Some of these loans could face refinancing challenges given current market conditions. Therefore, we believe that some of these loans could be at an increased risk of being transferred to special servicing if they are not able to be refinanced at maturity." "Using servicer-provided financial information, we calculated an adjusted DSC of 1.52x and a loan-to-value (LTV) ratio of 97.4%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 1.01x and a LTV ratio of 125.2%. The implied defaults and loss severity under the 'AAA' scenario were 65.4% and 30.2%. The DSC and LTV calculations exclude eight ($146.2 million; 11.2%) of the 10 specially serviced assets ($160.7 million, 12.3%) and 11 defeased loans ($88.1 million; 6.7%). We separately estimated losses for the eight specially serviced assets, which we included in our 'AAA' scenario implied default and loss severity figures," S&P explained. "We affirmed our 'AAA (sf)' ratings on the class X-C and X-P interest-only (IO) certificates based on our current criteria," S&P said. Transaction Summary As of the May 10, 2011, remittance report, the transaction had an aggregate trust balance of $1.31 billion (113 loans and two real estate owned [REO] assets), compared with $1.86 billion (142 loans) at issuance. GEMSA Loan Services L.P. (GEMSA), the master servicer, provided financial information for 99.2% of the pool (by balance), of which 74.8% was partial- or full-year 2010 information, and the remainder was partial- or full-year 2009 data. "We calculated a weighted-average DSC of 1.42x for the loans in the pool based on the reported figures. Our adjusted DSC and LTV were 1.52x and 97.4%, which exclude 11 defeased loans ($88.1 million; 6.7%) and eight ($146.2 million; 11.2%) of the 10 specially serviced assets ($160.7 million, 12.3%). If we include the reported DSCs for these eight assets, our adjusted DSC is 1.46x. The trust has experienced eight principal losses to date totaling $12.0 million. Twenty-five loans ($449.3 million; 34.3%) are on the master servicer's watchlist, including three of the top 10 loans secured by real estate. One loan ($4.9 million, 0.4%) has a reported DSC between 1.00x and 1.10x, and 19 loans ($227.0 million, 17.3%) have reported DSCs of less than 1.00x," according to S&P. Credit Considerations As of the May 10, 2011, remittance report, 10 assets ($160.7 million; 12.3%) in the pool were with the special servicer, LNR Partners LLC (LNR). The reported payment status of these assets is: two are REO ($37.2 million; 2.8%); one is in foreclosure ($10.4 million; 0.8%); three are matured balloon loans ($46.3 million; 3.6%); one is 90-plus days delinquent ($16.9 million; 1.3%); one is 60 days delinquent ($35.5 million; 2.7%); one is 30 days delinquent ($4.5 million; 0.3%); and one is current ($9.9 million; 0.8%). Six assets ($108.7 million; 8.3%) have appraisal reduction amounts (ARAs) in effect totaling $38.5 million. Three of the top 10 assets secured by real estate are with the special servicer. The Wellington Meadows Apartments loan ($35.5 million; 2.7%) is the fifth-largest asset secured by real estate in the pool and the largest specially serviced asset. The loan is secured by a 322- unit multifamily property built in 1998 in Las Vegas. The loan was transferred to special servicing on Jan. 20, 2011, due to imminent default, and the current payment status of the loan is 60 days delinquent. For the nine months ended April 30, 2010, the reported DSC and occupancy were 0.88x and 93.1%. The special servicer reports that it is proceeding with foreclosure. Standard & Poor's anticipates a moderate loss upon the eventual resolution of this loan. According to the master servicer, GEMSA, the loan was sold subsequent to the May 10, 2011, trustee remittance report on June 3, 2011, with the trust recovering $28.4 million and a principal write-off of $7.0 million. The Chatsworth Business Park loan ($31.8 million; 2.4%) is the sixth-largest asset in the pool secured by real estate and the second-largest specially serviced asset. The loan is secured by a 231,770-sq.-ft. suburban office property in Los Angeles that was built in 1986 and 1998 and renovated in 1996. The loan was transferred to special servicing on March 22, 2010, due to imminent default just prior to its April 1, 2010, maturity date. For year-end 2010, the reported DSC and occupancy were 1.17x and 100%, respectively. LNR reports that counsel is proceeding with foreclosure. An ARA of $3.8 million is in effect against the loan. Standard & Poor's anticipates a minimal loss upon the eventual resolution of this loan. The Lodge at Kingwood asset ($24.0 million; 1.8%) is the ninth- largest asset in the pool secured by real estate and the third- largest specially serviced asset. The multi-family property consists of 312 units and was built in 1999 in Houston. The REO asset was transferred to special servicing on April 12, 2010, due to imminent default just prior to its May 1, 2010, maturity date. For year-end 2009, the reported DSC and occupancy were 1.12x and 94%. An ARA of $8.0 million is in effect against the asset. Standard & Poor's anticipates a moderate loss upon the eventual resolution of this asset. The remaining seven assets with the special servicer ($69.4 million; 5.4%) individually represent less than 1.3% of the total pool balance. ARAs totaling $26.7 million are in effect against four of these assets. "We estimated losses for five of the seven assets ($54.9 million; 4.2%) resulting in a weighted-average loss severity of 48.6%. For the remaining two assets, the special servicer indicated that one of them ($4.5 million; 0.3%) may be modified while it expects the other one to be returned to the master servicer," S&P related. Summary of Top 10 Assets Secured by Real Estate The top 10 assets secured by real estate have an aggregate outstanding trust balance of $466.1 million (35.6%). "Using servicer-reported information, we calculated a weighted-average DSC of 1.54x. Our adjusted DSC and LTV figures for these loans were 1.71x and 98.6%. The adjusted figures exclude three of these top 10 assets that are with the special servicer. If we include the reported DSCs for these three specially serviced assets, our adjusted DSC for the top 10 assets secured is 1.58x," S&P said. Four of the top 10 assets ($264.9 million, 20.2%) are on the master servicer's watchlist: The Fountain Place Office loan ($105.9 million; 8.1%), the largest asset in the pool and largest loan on GEMSA's watchlist, is secured by a 1.20 million-sq.-ft. office property built in 1986 in downtown Dallas. The loan was placed on the master servicer's watchlist due to a low reported occupancy and DSC. For the nine months ended Sept. 30, 2010, GEMSA reported that both the occupancy and DSC for the property have improved to 82.5% and 1.57x. GEMSA indicated that it will remove this loan from the watchlist shortly. The loan matures on Dec. 1, 2011, and according to GEMSA, the borrower has not indicated its refinancing plans yet. The Loews Miami Beach loan, the second-largest asset in the pool, is secured by a 790-key full-service resort hotel in Miami Beach, Fla. The loan has a whole loan balance of $134.8 million that is divided into three pari passu pieces; $67.4 million makes up 5.2% of the pool trust balance. The other two pari passu pieces were contributed into the GMAC 2005-C1 ($22.5 million) and COMM 2005- LDP5 ($44.9 million) transactions. The loan is on the GEMSA's watchlist due to inadequate windstorm and terrorism coverage insurance. The master servicer reports that the borrower is unwilling to cure this violation, which is a nonmonetary default under the loan documents. For year-end 2010, the reported DSC, average daily rate, and occupancy were 2.15x, $279.48, and 74.3%. The Centro Watt Georgia Retail Portfolio loan ($66.0 million; 5.0%), the third-largest asset in the pool, is secured by three anchored retail shopping centers in suburban Atlanta: a 324,081- sq.-ft. property built in 1993 in Alpharetta, Ga.; a 218,818-sq.- ft. property built in 1992 in Kennesaw, Ga.; and a 147,727-sq.-ft. property built in 1994 in Duluth, Ga. The loan is on the master servicer's watchlist because of the Circuit City and Linen N' Things bankruptcy filings and subsequent store closings. It also appears on the watchlist as a transfer of ownership and assumption of the loan to the Blackstone Group from Centro-Watt Properties is in process. For the 12 months ended June 30, 2009, the reported DSC for the portfolio was 1.85x and combined occupancy was 88.3% as of September 2010. Based on the current leasing status, S&P estimates a DSC of 1.45x. The Jefferson Commons loan ($25.6 million, 1.9%), the eighth- largest asset in the pool, is secured by a 792-unit multifamily apartment complex built in 2004 in Sacramento, Calif. The loan appears on the GEMSA's watchlist due to a low reported DSC. For year-end 2010, the DSC and occupancy were 0.69x and 78.4%. The loan matures on April 1, 2012. Standard & Poor's stressed the loans in the pool according to its U.S. CMBS conduit/fusion criteria. The resultant credit enhancement levels are consistent with S&P's affirmed ratings. Ratings Affirmed GE Commercial Mortgage Corp. Commercial mortgage pass-through certificates series 2005-C2 Class Rating Credit enhancement (%) A-2 AAA (sf) 27.57 A-3 AAA (sf) 27.57 A-AB AAA (sf) 27.57 A-4 AAA (sf) 27.57 A-1A AAA (sf) 27.57 A-J BBB+ (sf) 16.17 B BBB (sf) 15.11 C BBB- (sf) 12.79 D BB+ (sf) 11.54 E BB (sf) 9.59 F BB- (sf) 8.34 G B+ (sf) 6.74 H CCC+ (sf) 5.49 J CCC (sf) 3.89 K CCC- (sf) 3.18 L CCC- (sf) 2.64 X-C AAA (sf) N/A X-P AAA (sf) N/A N/A -- Not applicable. GIA INVESTMENT: Moody's Upgrades Ratings of 3 Classes of CBO Notes ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of these notes issued by GIA Investment Grade CDO 2001 Ltd.: -- US$381,000,000 Class A-1 Floating Rate Senior Notes Due April 1, 2013 (current balance of $91,424,269.07), Upgraded to Aaa (sf); previously on January 21, 2009 Downgraded to Aa3 (sf); -- US$17,000,000 Class A-2 Floating Rate Senior Subordinated Notes Due April 1, 2013, Upgraded to A1 (sf); previously on January 21, 2009 Downgraded to Ba3 (sf); -- US$14,000,000 Class B Floating Rate Senior Subordinated Notes Due April 1, 2013, Upgraded to B2 (sf); previously on January 21, 2009 Downgraded to Caa3 (sf). RATINGS RATIONALE According to Moody's, the rating actions taken on the notes result primarily from the deleveraging of the Class A-1 Notes, which have been paid down by approximately 67% or $186 million since the last rating action in January 2009. As a result of the deleveraging, the Class A-1 Overcollateralization Test has increased. As of the trustee report dated May 2011, The Class A-1, A-2 and B Overcollateralization Tests are reported at 140.90%, 118.80% and 105.22%, respectively compared to 114.35%, 107.75% and 102.87% in the December 2008 trustee report. The trustee-reported WARF has also improved. Currently it is 1878 compared to 2002 at the last rating action. The rating on the Class A-1 Notes reflects the actual underlying rating of the Class A-1 Notes. This underlying rating is based solely on the intrinsic credit quality of the Class A-1 Notes in the absence of the guarantee from Assured Guaranty Municipal Corp. whose insurance financial strength rating is currently Aa3. The above action on the Class A-1 Notes is a result of, and is consistent with, Moody's modified approach to rating structured finance securities wrapped by financial guarantors as described in the press release dated November 10, 2008, titled "Moody's modifies approach to rating structured finance securities wrapped by financial guarantors." 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 $109 million, defaulted par of $9 million, a weighted average default probability of 3% (implying a WARF of 1865), a weighted average recovery rate upon default of 22.5% and a diversity score of 22. 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. GIA Investment Grade CDO 2001 Ltd., issued in March 2001, is a collateralized bond obligation backed primarily by a portfolio of senior unsecured bonds. The trustee reports 40 assets and a diversity of 23. The principal methodology used in these ratings was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009. This publication incorporates rating criteria that apply to both collateralized loan obligations and collateralized bond obligations. 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, due to the low diversity of the collateral pool, CDOROM 2.8 was used to simulate a default distribution that was then applied as an input in the cash flow model. In addition to the base case analysis, 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% (1492) Class A-1: 0 Class A-2: +3 Class B: +2 Moody's Adjusted WARF +20% (2238) Class A-1: 0 Class A-2: -2 Class B: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by uncertainties of credit conditions in the general economy. 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) Deleveraging: The amount and pace of deleveraging from principal proceeds is uncertain. Deleveraging may accelerate due to high prepayment levels in the bond market and collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Lack of portfolio granularity: Due to the deal's low diversity score and lack of granularity, Moody's supplemented its typical Binomial Expansion Technique analysis with a simulated default distribution using Moody's CDOROMTM software and individual scenario analysis. 3) Long-dated assets: The presence of assets that mature beyond the CBO'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. GMAC COMMERCIAL: Moody's Downgrades One & Affirms Nine CMBS ----------------------------------------------------------- Moody's downgraded the rating of one class and affirmed nine classes of GMAC Commercial Mortgage Securities, Inc., Series 2000- C3 Mortgage Pass-Through Certificates: -- Cl. X, Affirmed at Aaa (sf); previously on Dec 14, 2000 Definitive Rating Assigned Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on Dec 8, 2006 Upgraded to Aaa (sf) -- Cl. D, Affirmed at Aaa (sf); previously on Sep 4, 2008 Upgraded to Aaa (sf) -- Cl. E, Affirmed at Aaa (sf); previously on Nov 11, 2010 Upgraded to Aaa (sf) -- Cl. F, Affirmed at Aa2 (sf); previously on Nov 11, 2010 Upgraded to Aa2 (sf) -- Cl. H, Affirmed at Baa2 (sf); previously on Sep 4, 2008 Upgraded to Baa2 (sf) -- Cl. J, Downgraded to B3 (sf); previously on Sep 30, 2004 Confirmed at Ba2 (sf) -- Cl. K, Affirmed at Caa2 (sf); previously on Nov 11, 2010 Downgraded to Caa2 (sf) -- Cl. L, Affirmed at Ca (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) -- Cl. M, Affirmed at C (sf); previously on Nov 11, 2010 Downgraded to C (sf) RATINGS RATIONALE The downgrade is due to higher expected losses for the pool resulting from interest shortfalls. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain the current ratings. Moody's rating action reflects a cumulative base expected loss of 9.8% of the current balance. At last review, Moody's cumulative base expected loss was 12.3%. Moody's stressed scenario loss is 13.3% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the 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 were "CMBS: Moody's Approach to Rating U.S. Conduit Transactions" published in September 2000. Another methodology used was "Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 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 pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 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 9 compared to 15 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 (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 November 11, 2010. Moody's Investors Service did not receive or take into account a third-party due diligence reports on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. DEAL PERFORMANCE As of the May 16, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 89% to $151.7 million from $1.32 billion at securitization. The Certificates are collateralized by 18 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 36% of the pool. Two loans, representing 18% of the pool, have defeased and are collateralized with U.S. Government securities. Three loans, representing 12% 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. In this deal, the key criteria triggering the watchlist include occupancy concerns, financial performance and low DSCR. Twenty-two loans have been liquidated from the pool since securitization, resulting in an aggregate $19.6 million loss (overall 25% average loss severity compared to a $16.3 million loss at last review. Due to realized losses, classes N, O and P have been eliminated entirely and Class M has experienced a 3% principal loss. Currently, ten loans, representing 54% of the pool, are in special servicing. The largest specially serviced loan is the Lichtenstein Retail Portfolio Loan ($25.3 million -- 16.7% of the pool), which is secured by three retail properties totaling 269,000 square feet (SF). The properties are located in Massachusetts and Connecticut. The portfolio was 83% leased as of March 2010 compared to 96% at last review. This loan is presently current and is in special servicing due to a maturity default. The borrower was granted a one-year extension to allow the borrower adequate time to sell the portfolio and repay the loan. Moody's LTV and stressed DSCR are 82% and 1.32X, respectively, compared to 81% and 1.31X, at last review. As of the most recent remittance statement date, the transaction has experienced unpaid accumulated interest shortfalls totaling $2.4 million affecting Classes J through P. Interest shortfalls are caused by special servicing fees, appraisal reductions, extraordinary trust expenses and interest payment reductions due to loan modifications. Moody's expects that interest shortfalls will continue to be significant because of the pool's large exposure to specially serviced loans. The second largest specially serviced loan is the Maryland Trade Center Loan ($16.1 million -- 10.6% of the pool), which is secured by 185,613 SF office building located in Greenbelt, Maryland. The loan was transferred to special servicing in September 2009 and is currently real estate owned (REO). The master servicer has recognized an aggregate $14.3 million appraisal reduction on eight of the specially serviced loans. Moody's has estimated an aggregate $12.8 million loss (23% expected loss on average) for the specially serviced loans. Moody's was provided with full year 2009 and 2010 operating results for 100% and 72% of the conduit pool, respectively. Excluding specially serviced loans, Moody's weighted average LTV for the conduit component is 87% compared to 82% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11.8% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.7%. Excluding specially serviced loans, Moody's actual and stressed DSCRs for the conduit component are 1.10X and 1.23X, respectively, compared to 1.17X and 1.29X 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 22% of the pool. The largest conduit loan is the A-C Development Portfolio Loan ($16.3 million -- 10.7% of the pool), which is secured by four grocery anchored retail centers located in South Carolina and Georgia. The anchor in each center is Piggly Wiggly, which leases 78% of the portfolio on long term leases. The portfolio was 99% leased as of December 2010 compared to 96% at last review. The loan failed to pay off on its September 1, 2010 anticipated repayment date (ARD) and now has a provision for a lockbox and 2% higher interest rate. Moody's LTV and stressed DSCR are 84% and 1.16X, respectively, compared to 91% and 1.07X at last review. The second largest loan is the DeZavala Oaks Apartment Loan ($11.8 million -- 7.8% of the pool), which is secured by a 352-unit apartment complex located in San Antonio, Texas. The property was 94% leased as of March 2011, significantly higher than 72% at last review. While occupancy has increased substantially, the property's reported cash flow is lower than at last review due to concessions. This loan is currently on the master servicer's watchlist due to lower DSCR and prior occupancy concerns. Moody's LTV and stressed DSCR are 96% and 1.01X, respectively, compared to 88% and 1.11X at last review. The third largest loan is the Courtyard by Marriott Loan ($5.5 million -- 3.6% of the pool), which is secured by a 113-room hotel located in Round Rock, Texas. Occupancy has been consistently reported at 51% since last review. This loan has been on the master servicer's watchlist due to lower occupancy and DSCR. Lobby renovations and the addition of a restaurant are forecast to increase performance metrics. Based on pre-renovation financial results, Moody's LTV and stressed DSCR are 123.5% and 1.05X, respectively, compared to 116% and 1.12X at last review. GMAC COMMERCIAL: S&P Cuts Rating on Class G Certs. to 'D' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four classes of commercial mortgage pass-through securities from GMAC Commercial Mortgage Securities Inc.'s series 2001-C1, a U.S. commercial mortgage-backed securities (CMBS) transaction. "The downgrades reflect current and potential interest shortfalls. We lowered our rating on class G to 'D (sf)' because of accumulated interest shortfalls that we expect to remain outstanding for the foreseeable future. Accumulated interest shortfalls on class G have been outstanding for two months," S&P said. The downgrades of classes D, E, and F reflect reduced liquidity support due to the current interest shortfalls. The downgrades further reflect the likelihood that these classes will experience interest shortfalls in the near future due to the recovery of prior advances by the master servicer, related to two ($11.5 million, 10.1%) of the 16 ($110.3 million, 96.8%) assets with the special servicer, Berkadia Commercial Mortgage LLC (Berkadia). "The master servicer, also Berkadia, has deemed the Providence Office Center ($9.6 million, 8.4%) and Alpine Market Place Shopping Center ($1.9 million, 1.7%) real estate owned (REO) assets to be nonrecoverable and has indicated to us that they intend to recover approximately $700,000 in prior advances related to these assets. According to Berkadia, the majority of the amount to be recovered will be reflected in the next three upcoming remittance reports, with the balance to be reflected in the September 2011 remittance report. Based on our discussions with Berkadia, as well as our own analysis, the resultant interest shortfalls are expected to cause the class E and F certificates to experience interest shortfalls in the near future, in turn reducing the liquidity support available to the class D certificate," according to S&P. As of the May 17, 2011 trustee remittance report, 16 of the transaction's 17 remaining assets are with the special servicer. The Providence Office Center ($9.6 million, 8.4%) REO asset was transferred to special servicing in April 2010 due to payment default. The asset is secured by two office buildings in Norristown, Pa. The asset's reported total exposure is $10.2 million. The Alpine Market Place Shopping Center ($1.9 million, 1.7%) REO asset was transferred to special servicing in July 2008. The asset is secured by a 23,965-sq.-ft. retail property in Comstock Park, Mich. The asset's reported total exposure is $2.1 million. The reported payment status of the remaining 14 specially serviced assets is: two ($41.2 million, 36.2%) are REO, one ($10.3 million, 9.0%) is in foreclosure, one ($2.2 million, 2.0%) is 90-plus days delinquent, three ($10.3 million, 9.1%) are 60 days delinquent, one ($7.9 million, 6.9%) is 30 days delinquent, four ($21.2 million, 18.6%) are in their grace period, and two ($5.7 million, 5.0%) are current. As of the May 17, 2011, trustee remittance report, the trust experienced $253,410 in monthly interest shortfalls. Two of the specially serviced assets are generating appraisal subordinate entitlement reduction (ASER) amounts totaling $89,265. The Providence Office Center and Alpine Market Place Shopping Center assets also contributed to the current interest shortfalls, primarily via interest not advanced ($73,706) and recoveries of prior advances ($67,681). The balance of the $253,410 current interest shortfalls experienced by the trust is primarily due to special servicing fees ($22,689). Rating Lowered GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2001-C1 Credit Reported Rating enhancement interest shortfalls ($) Class To From (%) Current Accumulated D BBB+ (sf) AA- (sf) 72.26 0 0 E B+ (sf) BBB- (sf) 57.09 0 0 F CCC- (sf) B+ (sf) 45.72 0 0 G D (sf) CCC- (sf) 34.35 57,673 130,939 GRAYSON CDO: S&P Affirms Rating on Class D Notes at 'CCC-' ---------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2, B, and C notes from Grayson CDO Ltd., a collateralized loan obligation (CLO) transaction managed by Highland Capital Management L.P. "We affirmed our ratings on the class A-1a, A-1b, and D notes. At the same time, we removed our ratings on the A-1b, A-2, and B notes from CreditWatch, where we placed them with positive implications on March 1, 2011," S&P said. "The upgrades reflect improved performance we have observed in the deal's underlying asset portfolio since our Feb. 4, 2010, downgrades of all the notes following the application of our September 2009 collateralized debt obligation (CDO) criteria for corporate-backed securities," S&P related. As per the April 2011 trustee report, the transaction had $132.8 million in defaulted assets. "This was down from $214.1 million as reflected in the November 2009 trustee report, which we referenced for our February 2010, rating actions. Additionally, underlying assets rated in the 'CCC' range (either by Standard & Poor's or another rating agency) as per the April 2011 trustee report equaled $128.6 million, down from $175.8 million as per the November 2009 report," S&P said. The transaction has also benefited from an increase in overcollateralization (O/C) available to support the rated notes. The trustee reported these O/C ratios in the April 2011 monthly report: The class A O/C ratio was 115.35%, compared with a reported ratio of 108.82% in November 2009; The class B O/C ratio was 108.34%, compared with a reported ratio of 102.50% in November 2009; The class C O/C ratio was 101.89%, compared with a reported ratio of 96.66% in November 2009; and The class D O/C ratio was 100.15%, compared with a reported ratio of 95.07% in November 2009. The affirmations of the class A-1a, A-1b, and D 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 it deems necessary. Rating and CreditWatch Actions Grayson CDO Ltd. Rating Class To From A-1b A+ (sf) A+ (sf) / Watch Pos A-2 A (sf) A- (sf) / Watch Pos B BB+ (sf) B+ (sf) / Watch Pos C CCC+ (sf) CCC- (sf) Ratings Affirmed Grayson CDO Ltd. Rating A-1a AA+ (sf) D CCC- (sf) Transaction Information Issuer: Grayson CDO Ltd. Co-issuer: Grayson CDO Corp. Collateral manager: Highland Capital Management L.P. Underwriter: Credit Suisse AG Indenture trustee: State Street Bank and Trust Co. Transaction type: Cash flow CLO GREENWICH CAPITAL: Moody's Affirms Three CMBS Rake Classes ---------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of three rake or non-pooled classes of Greenwich Capital Commercial Funding Corp., Commercial Mortgage Pass-Through Certificates, Series 2005- FL3. -- Cl. H-LH, Affirmed at B3 (sf); previously on Sep 2, 2010 Downgraded to B3 (sf) -- Cl. K-LH, Affirmed at Caa2 (sf); previously on Sep 2, 2010 Downgraded to Caa2 (sf) -- Cl. M-LH, Affirmed at Caa3 (sf); previously on Sep 2, 2010 Downgraded to Caa3 (sf) The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR), remaining within acceptable ranges. The single loan in the transaction is collateralized by a luxury hotel in New York City. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the previous review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodology used in this rating was "Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website. 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 (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 September 2, 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 June 7, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 94% to $43 million from $708 million at securitization as the result of the payoff of 13 loans originally in the pool. The Certificates are now collateralized by a single mortgage loan. The pool has not experienced any losses since securitization nor are there outstanding interest shortfalls. The remaining loan in the pool, the Lowell Hotel ($28.7 million pooled portion and $14.3 million rake or non-pooled portion), is secured by a first mortgage lien on a 70-room luxury boutique hotel located on the Upper East Side in New York City. The hotel has experienced stress to the net cash flow similar to other New York City luxury hotels. The property posted a RevPAR of $540.30 for 2010 down 24% from $716.62 in 2008. The loan was modified in November of 2010 which included a $2 million principal paydown and an extension through September 2011 with two additional 1-year options. Moody's weighted average pooled loan to value ("LTV") ratio is over 67% compared to 70% at last review. Moody's stressed debt service coverage ratio ("DSCR") is 1.25X. Moody's current credit estimate for the pooled balance is Ba2, the same as last review. GS MORTGAGE: S&P Gives 'BB-' Ratings on 2 Classes of Certs. ----------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to GS Mortgage Securities Trust 2011-ROCK MZ's $320 million pass-through certificates. The preliminary ratings are based on information as of June 9, 2011. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. "The preliminary ratings reflect our assessment of the underlying collateral's historical and projected performance, the sponsor's and manager's experience, the liquidity provided by the trustee, the loan's terms, existing debt, and the transaction's structure. Standard & Poor's Ratings Services determined that the loan has a debt service coverage (DSC) of 1.29x based on Standard & Poor's net cash flow (NCF) and assuming a weighted average debt service constant of 8.67% (ranging from 7.5% to 10.5%) on the total debt of $2.005 billion. We determined a beginning and ending loan-to- value (LTV) ratio of 80.5% based on Standard & Poor's valuation of the underlying real estate, with consideration given for the 49% equity interest in Rockefeller Center," S&P said. Preliminary Ratings Assigned GS Mortgage Securities Trust 2011-ROCK MZ Class Rating Amount (mil. $) A BBB- (sf) 123.75 B BB- (sf) 196.25 X* BB- (sf) 320.0 *Interest-only class. The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. IMPAC SECURED: Moody's Reviews Ratings of $1.67 Bil. Alt-A RMBS --------------------------------------------------------------- Moody's Investors Service has placed 11 tranches from Impac Secured Assets Corp., Series 2006-3, 2006-4 and 2007-1 on review with direction uncertain. Complete rating actions are: Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2006-3 Cl. A-3, Caa3 (sf) Placed Under Review Direction Uncertain; previously on Jul 22, 2010 Upgraded to Caa3 (sf) Cl. A-4, B3 (sf) Placed Under Review Direction Uncertain; previously on Jul 22, 2010 Upgraded to B3 (sf) Cl. A-5, Caa2 (sf) Placed Under Review Direction Uncertain; previously on Jul 22, 2010 Upgraded to Caa2 (sf) Cl. A-6, Ca (sf) Placed Under Review Direction Uncertain; previously on Jul 22, 2010 Confirmed at Ca (sf) Cl. A-7, Ca (sf) Placed Under Review Direction Uncertain; previously on Jul 22, 2010 Confirmed at Ca (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2006-4 Cl. A-1, Caa3 (sf) Placed Under Review Direction Uncertain; previously on Jul 22, 2010 Confirmed at Caa3 (sf) Cl. A-2B, Caa3 (sf) Placed Under Review Direction Uncertain; previously on Jul 22, 2010 Confirmed at Caa3 (sf) Cl. A-2C, Ca (sf) Placed Under Review Direction Uncertain; previously on Jul 22, 2010 Downgraded to Ca (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2007-1 Cl. A-1, B1 (sf) Placed Under Review Direction Uncertain; previously on Jul 22, 2010 Upgraded to B1 (sf) Cl. A-2, Caa3 (sf) Placed Under Review Direction Uncertain; previously on Jul 22, 2010 Confirmed at Caa3 (sf) Cl. A-3, Ca (sf) Placed Under Review Direction Uncertain; previously on Jul 22, 2010 Downgraded to Ca (sf) RATINGS RATIONALE The review action is prompted by a Trust Instruction Proceeding (TIP) filed for Impac Secured Assets Corp., Series 2006-3, 2006-4 and 2007-1 transactions, in September 2010 and the lack of resolution insofar. The Trust Instruction Proceeding, relates to the discrepancies between the payment waterfall provisions stated in the Pooling and Servicing Agreement (PSA) and the Prospectus Supplement. According to the Prospectus Supplement, the distributions to the Class A certificates in these transactions should be on a pro-rata basis after credit support depletion date (CSDD). The PSA however, does not carry this corresponding language. The distributions to the affected 12 tranches are being escrowed by the trustee pending the resolution of this TIP. Moody's prior rating action on these transactions was based on the language in the PSA which retains the sequential payment waterfall amongst the certificates after CSDD. However, as the allocation of payments and losses to the certificates are subject to the outcome of the TIP, these tranches have been placed on watch, direction uncertain. JEFFERIES RESECURITIZATION: S&P Cuts Ratings on 4 Classes to 'CCC' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 19 classes from Jefferies Resecuritization Trust 2008-R4, a U.S. residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transaction issued in August 2008. "In addition, we affirmed our ratings on 77 classes from the same transaction," S&P said. S&P continued, "On Dec. 15, 2010, we placed ratings on 16 classes from this transaction on CreditWatch negative (all of such re- REMIC classes from this transaction, we have since learned, had been previously terminated in exchange for the original underlying securities, and the related re-REMIC ratings have therefore been withdrawn and are not part of this review), along with ratings from a group of other RMBS re-REMIC securities. Additionally, on April 1, 2011, we provided an update on the CreditWatch placements and provided clarification regarding our analysis of interest payment amounts within re-REMIC transactions (see 'S&P Corrects: 1,196 Ratings on 129 U.S. RMBS Re-REMIC Transactions Placed On CreditWatch Negative')." "Our ratings on the re-REMIC classes are intended to address the timely payment of interest and principal. We reviewed the interest and principal amounts due on the underlying securities, which are then passed through to the applicable re-REMIC classes. When performing this analysis, we applied our loss projections, incorporating, where applicable, our recently revised loss assumptions to the underlying collateral to identify the principal and interest amounts that could be passed through from the underlying securities under our rating scenario stresses. We stressed our loss projections at various rating categories to assess whether the re-REMIC classes could withstand the stressed losses associated with their ratings while receiving timely payment of interest and principal consistent with our criteria," S&P related. "In applying our loss projections we incorporated, where applicable, our recently revised loss assumptions as outlined in 'Revised Loss Assumptions For 2005 Vintage Prime Jumbo U.S. RMBS Transactions,' published on March 25, 2011, into our review. Such updates pertain to the 2005-2007 vintage prime, subprime, and Alternative-A (Alt-A) transactions; some of which are associated with the re-REMICs we reviewed (see tables 1 and 2)," S&P said. Table 1 Lifetime Loss Projections For Prime And Subprime RMBS (Percent of original balance) Prime RMBS Subprime RMBS Aggregate Aggregate Vintage Updated Prior Updated Prior 2005 5.5 4.00 18.25 15.40 2006 9.25 6.60 38.25 35.00 2007 11.75 9.75 48.50 43.20 Table 2 Lifetime Loss Projections For Alternative-A RMBS (Percent of original balance) Fixed/ Aggregate long-reset Vintage Updated Prior Updated Prior 2005 13.75 11.25 12.75 9.60 2006 29.50 26.25 25.25 25.00 2007 36.00 31.25 31.75 26.25 Short-reset hybrid Option ARM Vintage Updated Prior Updated Prior 2005 13.25 14.75 15.50 13.25 2006 30.00 30.50 34.75 26.75 2007 41.00 40.75 43.50 37.50 "As a result of this review, we lowered our ratings on certain classes based on our assessment as to whether there were principal and interest shortfalls from the underlying securities that would impair the re-REMIC classes at the applicable rating stresses. The affirmations reflect our assessment of the likelihood that the re-REMIC classes will receive timely interest and principal under the applicable stressed assumptions," S&P explained. "This transaction contains a pro rata interest payment structure among the re-REMIC securities in all of the certificate groups. However, we based our downgrades on our projections of principal loss amounts, as opposed to interest shortfalls, allocated to the relevant re-REMIC classes under the applicable ratings stress scenarios," S&P noted. A total of 246 classes originally issued as part of this transaction were cancelled after being exchanged for their underlying certificates since the re-REMIC transaction closed. As a result, the ratings on these classes have been withdrawn. The remaining outstanding classes are listed. Rating Actions Jefferies Resecuritization Trust 2008-R4 Series 2008-R4 Rating Class CUSIP To From 7-A2 47232BBP0 B- (sf) AAA (sf) 8-A2 47232BBV7 B- (sf) AAA (sf) 9-A1 47232BCA2 BBB- (sf) AAA (sf) 9-A2 47232BCB0 B- (sf) AAA (sf) 9-A3 47232BCC8 AA+ (sf) AAA (sf) 9-A4 47232BCD6 BBB- (sf) AAA (sf) 9-A5 47232BCE4 A (sf) AAA (sf) 9-A6 47232BCF1 BBB- (sf) AAA (sf) 10-A1 47232BCG9 BBB- (sf) AAA (sf) 10-A2 47232BCH7 B- (sf) AAA (sf) 10-A3 47232BCJ3 AA+ (sf) AAA (sf) 10-A4 47232BCK0 BBB- (sf) AAA (sf) 10-A5 47232BCL8 A (sf) AAA (sf) 10-A6 47232BCM6 BBB- (sf) AAA (sf) 14-A2 47232BDH6 BB+ (sf) AAA (sf) 49-A2 47232BNK8 CCC (sf) AAA (sf) 50-A2 47232BNR3 CCC (sf) AAA (sf) 51-A2 47232BNX0 CCC (sf) AAA (sf) 52-A2 47232BPD2 CCC (sf) AAA (sf) Ratings Affirmed Jefferies Resecuritization Trust 2008-R4 Series 2008-R4 Class CUSIP Rating 7-A1 47232BBN5 AAA (sf) 7-A3 47232BBQ8 AAA (sf) 7-A4 47232BBR6 AAA (sf) 7-A5 47232BBS4 AAA (sf) 7-A6 47232BBT2 AAA (sf) 8-A1 47232BBU9 AAA (sf) 8-A3 47232BBW5 AAA (sf) 8-A4 47232BBX3 AAA (sf) 8-A5 47232BBY1 AAA (sf) 8-A6 47232BBZ8 AAA (sf) 12-A1 47232BCU8 AAA (sf) 12-A2 47232BCV6 AAA (sf) 12-A3 47232BCW4 AAA (sf) 12-A4 47232BCX2 AAA (sf) 12-A5 47232BCY0 AAA (sf) 12-A6 47232BCZ7 AAA (sf) 13-A1 47232BDA1 AAA (sf) 13-A2 47232BDB9 AAA (sf) 13-A3 47232BDC7 AAA (sf) 13-A4 47232BDD5 AAA (sf) 13-A5 47232BDE3 AAA (sf) 13-A6 47232BDF0 AAA (sf) 14-A1 47232BDG8 AAA (sf) 14-A3 47232BDJ2 AAA (sf) 14-A4 47232BDK9 AAA (sf) 14-A5 47232BDL7 AAA (sf) 14-A6 47232BDM5 AAA (sf) 15-A1 47232BDN3 AAA (sf) 15-A2 47232BDP8 AAA (sf) 15-A3 47232BDQ6 AAA (sf) 15-A4 47232BDR4 AAA (sf) 15-A5 47232BDS2 AAA (sf) 15-A6 47232BDT0 AAA (sf) 16-A1 47232BDU7 AAA (sf) 16-A2 47232BDV5 AAA (sf) 16-A3 47232BDW3 AAA (sf) 16-A4 47232BDX1 AAA (sf) 16-A5 47232BDY9 AAA (sf) 16-A6 47232BDZ6 AAA (sf) 25-A1 47232BGA8 AAA (sf) 25-A2 47232BGB6 AA (sf) 25-A3 47232BGC4 AAA (sf) 25-A4 47232BGD2 AAA (sf) 25-A5 47232BGE0 AAA (sf) 25-A6 47232BGF7 AAA (sf) 37-A1 47232BKJ4 AA (sf) 37-A2 47232BKK1 BBB (sf) 37-A3 47232BKL9 AA+ (sf) 37-A4 47232BKM7 AA (sf) 37-A5 47232BKN5 AA+ (sf) 37-A6 47232BKP0 AA (sf) 42-A1 47232BLQ7 AAA (sf) 42-A2 47232BLR5 AAA (sf) 42-A3 47232BLS3 AAA (sf) 42-A4 47232BLT1 AAA (sf) 42-A5 47232BLU8 AAA (sf) 42-A6 47232BLV6 AAA (sf) 49-A1 47232BNJ1 AAA (sf) 49-A3 47232BNL6 AAA (sf) 49-A4 47232BNM4 AAA (sf) 49-A5 47232BNN2 AAA (sf) 49-A6 47232BNP7 AAA (sf) 50-A1 47232BNQ5 AAA (sf) 50-A3 47232BNS1 AAA (sf) 50-A4 47232BNT9 AAA (sf) 50-A5 47232BNU6 AAA (sf) 50-A6 47232BNV4 AAA (sf) 51-A1 47232BNW2 AAA (sf) 51-A3 47232BNY8 AAA (sf) 51-A4 47232BNZ5 AAA (sf) 51-A5 47232BPA8 AAA (sf) 51-A6 47232BPB6 AAA (sf) 52-A1 47232BPC4 AAA (sf) 52-A3 47232BPE0 AAA (sf) 52-A4 47232BPF7 AAA (sf) 52-A5 47232BPG5 AAA (sf) 52-A6 47232BPH3 AAA (sf) JERSEY STREET: S&P Raises Rating on Class D Notes to 'BB+' ---------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class C and D notes from Jersey Street CLO Ltd. and removed them from CreditWatch with positive implications. "At the same time, we affirmed our ratings on the class A and B notes. Jersey Street CLO Ltd. is a collateralized loan obligation (CLO) transaction managed by MFS Investment Management," S&P said. "The upgrades reflect the improved performance we have observed in the deal since our last rating action in March 2010. The affirmations reflect the availability of sufficient credit support at the current rating levels," S&P explained. According to the April 11, 2011, trustee report, the transaction held $0.686 million in defaulted assets and $15.6 million in assets rated 'CCC', down from $6.411 million in defaulted assets and $33.3 million in assets rated 'CCC' as of the Feb. 18, 2010, trustee report. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Actions Jersey Street CLO Ltd. Rating Class To From C A (sf) BBB (sf)/Watch Pos D BB+ (sf) BB- (sf)/Watch Pos Ratings Affirmed Jersey Street CLO Ltd. Class Rating A AA+ (sf) B AA (sf) JP MORGAN CHASE: Moody's Confirms Ratings of Ten CMBS Classes ------------------------------------------------------------- Moody's Investors Service (Moody's) confirmed the ratings of ten pooled classes and affirmed the ratings of three pooled classes and seven non-pooled, or rake, classes of J.P. Morgan Chase Commercial Mortgage Securities Corp. Commercial Mortgage Pass- Through Certificates, Series 2007-FL1. -- Cl. A-1, Confirmed at Aa1 (sf); previously on Apr 28, 2011 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at Baa1 (sf); previously on Apr 28, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Confirmed at Aa1 (sf); previously on Apr 28, 2011 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Confirmed at Baa2 (sf); previously on Mar 9, 2011 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Confirmed at Baa3 (sf); previously on Mar 9, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Confirmed at Ba1 (sf); previously on Mar 9, 2011 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Confirmed at B1 (sf); previously on Mar 9, 2011 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Confirmed at B2 (sf); previously on Mar 9, 2011 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Confirmed at Caa1 (sf); previously on Mar 9, 2011 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Confirmed at Caa3 (sf); previously on Mar 9, 2011 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Affirmed at Ca (sf); previously on Dec 17, 2010 Downgraded to Ca (sf) -- Cl. K, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) -- Cl. RS-1, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) -- Cl. RS-2, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) -- Cl. RS-3, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) -- Cl. RS-4, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) -- Cl. RS-5, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) -- Cl. RS-6, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) -- Cl. RS-7, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) The confirmations and affirmations are due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR), remaining within acceptable ranges. Moody's placed seven classes on review for possible downgrade on March 9, 2011 and placed three classes on review for possible downgrade on April 28, 2011. The classes were placed on review because of an expected clawback of advances that would result in anticipated interest shortfalls. However, due to the pro-rata payment structure of this deal, interest shortfalls are paid prior to the distribution of principal per class. 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 previous review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodology used in this rating was "Moody's Approach to Rating Large Loan/Single Borrower Transactions" published on July 2000. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website. 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 (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 December 17, 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 May 16, 2011 distribution date, the transaction's certificate balance decreased by approximately 19% to $1.33 billion from $1.65 billion at securitization due to the payoff of five loans and a principal pay down of one loan. The Certificates are collateralized by 17 floating-rate loans ranging in size from 1% to 17% of the pooled trust mortgage balance. The largest three loans account for 45% of the pooled balance. The deal has a modified pro-rata structure. Interest on the pooled trust certificates are distributed first to A-1 and X-2 pro rata, and then to Classes A-2, B, C, D, E, F, G, H, J, K, and L, sequentially. Prior to a monetary or material non-monetary event of default, scheduled and unscheduled principal payments are allocated to the Pooled Classes and junior participation interests on a pro rata basis. Initially, 80% of the principal received is paid to the Class A-1 and A-2 certificates sequentially and 20% was allocated pro rata to the other certificates. Principal distributions are made sequentially from the most senior to the most junior class after the outstanding principal balance of the Pooled Trust Assets (exclusive of Trust Assets related to Specially Service Mortgage Loans) is less than 20% of the initial principal balance of the Trust Assets. All losses and shortfalls will be allocated first to the relevant junior interest, then to the Raked Classes, and then to Classes L, K, J, H, G, F, E, D, C, B, and A-2 in that order, and then to Class A-1. The pool has experienced $1,442,967 of losses to date. Currently six loans are in special servicing (24% of pooled balance) which are the Resorts International loan (9%), the Chartwell Hotel Portfolio loan (7%), the Malibu Canyon Corporate Center loan (3%), the Westin Chicago North Shore loan (3%), the Sofitel Minneapolis loan (1%) and the 321 Ellis loan (1%). The largest specially serviced loan is the Resorts International loan ($120.2 million pooled balance and $87.7 million non-pooled balance) which is secured by three hotel/casinos with a total of 1,242 rooms: Atlantic City Hilton (Atlantic City, New Jersey), Bally's Tunica (Robinsonville, Mississippi), and Resorts Tunica (Tunica, Mississippi). In July 2009, the portfolio was transferred to special servicing due to payment default. The portfolio's operating performance has continued to deteriorate since securitization. The loan collateral was appraised in August 2010 for $249 million. The Atlantic City Hilton is currently being marketed for sale. Servicer advances total almost $5 million. Moody's anticipates a loss on this loan. Non-pooled Classes RS-1, RS-2, RS-3, RS-4, RS-5, RS-6, and RS-7 are secured by the junior portion of the Resorts International Portfolio Loan. Moody's weighed average pooled loan to value (LTV) ratio is 113% compared to 108% at last review on March 19, 2009 and 62% at securitization. Moody's pooled stressed DSCR is 1.25X, compared to 1.19X at last review and 1.86X at securitization. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. Large loan transactions generally have a Herf of less than 20. The pool has a Herf of 10 compared to 11 at last review. The largest loan in the pool is the Walden Galleria loan ($232.0 million, 17.4% of the pool balance), which is secured by a dominant regional mall located in Buffalo, New York. The 1.6 million square foot mall is anchored by JC Penney, Macy's (anchor owned), Sears, Lord & Taylor (anchor owned), Dick's Sporting Goods and Regal Cinemas. The mall is managed by the Pyramid Company and collateral vacancy as of December 2010 was 16.6%, up from 8.7% at securitization. The final maturity for the loan is May 2012. Moody's current pooled LTV is 65% and stressed DSCR is 1.36X. Moody's credit estimate is A3, the same as last review. The second largest pooled exposure, the Marriott Waikiki loan ($194.4 million, 14.6%), is secured by a leasehold interest in a 1,310 room full-service hotel known as The Marriott Waikiki Beach Resort and Spa located in Honolulu, Hawaii. RevPAR for the year to date period ending December 2010 was $139.40, up 2.7% from RevPAR for the same period in 2009 of $135.78. The final maturity for the loan is May 2012. Moody's current pooled LTV is 71% and stressed DSCR is 1.61X. Moody's credit estimate is Ba1, the same as last review. The third largest loan, the PHOV Portfolio loan ($171.3 million; 12.9%), is secured by 11 full-service hotels with 3,025 guest rooms located in California (3 properties), New Jersey (2 properties), Louisiana (2 properties), Florida (2 properties), Illinois (1 property) and South Carolina (1 property). The portfolio's net cash flow has not achieved Moody's original expectations at securitization. The final extended maturity for the loan is May 2012. Moody's current pooled LTV is over 100%. Moody's credit estimate is Caa3, the same as last review. JPMORGAN CHASE: S&P Lowers Ratings on 5 Classes of Certs. to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 23 classes of commercial mortgage-backed securities (CMBS) from JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP9, five of which S&P lowered to 'D (sf)'. "In addition, we affirmed our 'AAA (sf)' ratings on six classes from the same transaction," S&P said. "The rating actions follow our analysis of the transaction using our U.S. conduit and fusion criteria. Our analysis included a review of the credit characteristics of all of the loans in the pool, the transaction structure, and the liquidity available to the trust. In addition, current and potential interest shortfalls, primarily due to appraisal subordinate entitlement reductions (ASERs) and nonrecoverable charges, prompted us to lower our ratings on classes G-S, H, H-S, J, and K to 'D (sf)'. We expect these interest shortfalls to continue for the foreseeable future. The downgrades of several certificate classes also reflect credit support erosion we anticipate will occur upon the resolution of 25 ($288.8 million, 6.1%) of the transaction's 27 ($560.1 million, 11.9%) assets with the special servicer and one ($28.5 million, 0.6%) loan we have determined to be credit-impaired," S&P related. "Our analysis included a review of the credit characteristics of all of the assets in the pool. Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.25x and a loan-to-value (LTV) ratio of 138.6%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.82x and an LTV ratio of 183.8%. The implied defaults and loss severity under the 'AAA' scenario were 89.4% and 48.4%. All of the DSC and LTV calculations exclude one ($44.0 million, 0.9%) defeased loan, one ($28.5 million, 0.6%) loan we determined to be credit-impaired, and 25 ($288.8 million, 6.1%) of the transaction's 27 ($560.1 million, 11.9%) assets with the special servicer. We separately estimated losses for the excluded specially serviced and credit-impaired assets and included them in the 'AAA' scenario implied default and loss figures," according to S&P. As of the May 16, 2011, remittance report, the trust experienced monthly interest shortfalls totaling $654,433. The shortfalls were primarily related to ASER amounts totaling $322,479 associated with 14 of the specially serviced assets, as well as special servicing fees of $119,191, nonrecoverable charges of $211,992, interest on advances of $501, workout fees of $1,182, and other shortfall charges of $724. Classes G-S and H have experienced shortfalls for five months. Classes H-S, J, and K have experienced shortfalls for nine months. "We anticipate that these shortfalls will continue for the foreseeable future. Consequently, we lowered the ratings on these classes to 'D (sf)'," S&P noted. 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 rating on the class X interest-only (IO) certificate based on its current criteria. Credit Considerations As of the May 16, 2011, remittance report, 27 ($560.1 million, 11.9%) assets in the pool were with the special servicer, LNR Partners Inc. The payment status of the specially serviced assets is as follows: six ($60.5 million, 1.3%) are real estate owned (REO), 17 ($188.8 million, 4.0%) are 90-plus-days delinquent, one ($18.5 million, 0.4%) is 30-days delinquent, two ($192.3 million, 4.1%) are less than 30-days delinquent, and one ($100.0 million, 2.1%) is within its respective grace period. Appraisal reduction amounts (ARAs) totaling $93.9 million were in effect for 20 specially serviced assets. The Colony IV Portfolio loan ($171.4 million, 3.6%) is the largest loan with the special servicer and the seventh-largest loan in the pool. It is secured by a portfolio of 24 industrial and office properties totaling over 2 million square feet of rentable area. The properties are located in Illinois, Virginia, Texas, Georgia, New Jersey, and Massachusetts. The loan is governed by a single loan agreement which covers 14 groups of mortgage assets with 24 properties. Each of the 14 groups of mortgage assets collateralizes one of three notes with maturity dates in 2011, 2013, and 2014. The loan was transferred to the special servicer in November 2010 due to imminent default from cash flow problems. The payment status of this loan is less than 30 days delinquent. According to the special servicer, the borrower has requested a modification to the loan. According to the June 30, 2010, rent rolls, the reported occupancy for the portfolio has declined to 79% because the largest asset is now vacant. The Bank of America Plaza loan ($100.0 million, 2.13%), the 10th- largest in the pool, is secured by a class A office complex comprising 1.2 million square feet in Atlanta. The loan was transferred to the special servicer in February 2011 due to imminent default from cash flow problems. The debt service payment due is within its respective grace period. LNR reported that it is in negotiations with the borrower regarding a loan modification. The most recent reported DSC and occupancy were 1.03x and 82% as of Dec. 31, 2009. The 25 remaining specially serviced assets have individual balances that represent less than 0.9% of the total pool balance. "Our expected losses from these specially serviced assets ranged from 10.0% to 75.9%. Weighted by loan balance, the average loss severity for the remaining 25 specially serviced assets was 47.3%," S&P said. "In addition to the specially serviced assets, we determined one loan to be credit-impaired. The Magellan Storage-190 Torrance Industrial loan ($28.5 million, 0.6%) is secured by a 245,133-sq.- ft. mixed-use complex in Torrance, Calif. The payment status of this loan is 60-plus days delinquent. The most recent reported DSC was 0.93x as of Dec. 31, 2010. We expect a moderate loss upon the resolution of this asset," S&P stated. Transaction Summary As of the May 16, 2011, trustee remittance report, the collateral pool had a trust balance of $4.7 billion, down from $4.8 billion at issuance. The pool currently includes 234 loans and six REO assets. The master servicers, Berkadia Commercial Mortgage LLC, Midland Loan Services, and Wells Fargo Bank N.A., provided information for 97.0% of the nondefeased loans in the pool, all of which was for interim 2009, full-year 2009, interim 2010, or full-year 2010 data. "We calculated a weighted average DSC of 1.30x for the pool based on the reported figures. Our adjusted DSC and LTV ratio were 1.25x and 138.6%, which exclude one ($44.0 million, 0.9%) defeased asset, one ($28.5 million, 0.6%) loan we determined to be credit-impaired, and 25 ($288.8 million, 6.1%) of the transaction's 27 ($560.1 million, 11.9%) specially serviced assets. We separately estimated losses for the excluded specially serviced and credit-impaired assets and included them in the 'AAA' scenario implied default and loss figures," S&P explained. The trust has experienced principal losses of $70.8 million relating to eleven assets. Seventy ($1.5 billion, 32.9%) loans, including three of the top 10 loans in the pool, are on the master servicers' watchlists. Sixty-five ($1.4 billion, 29.7%) loans in the pool have a reported DSC of less than 1.10x, and 46 ($1.0 billion, 21.5%) of these have a reported DSC below 1.00x. Summary of Top 10 Loans The top 10 loans secured by real estate have an aggregate outstanding trust balance of $2.0 billion (42.1%). "Using servicer-reported numbers, we calculated a weighted average DSC of 1.30x for the top 10 real estate loans. Our adjusted DSC and LTV ratio for the top 10 loans were 1.18x and 160.4%, respectively. Three of the top 10 loans appear on the master servicer's watchlist," S&P noted. The Belnord loan ($375.0 million, 8.0%) is the largest loan in the pool and is secured by a 215-unit apartment complex and 60,514 sq.-ft. retail space in New York City. According to the master servicer, the loan appears on the watchlist because of the property's low DSC, which is attributable to below-market rents from rent controlled units. The borrower also states it might face cash flow issues in relation to J-51 Tax Abatement. The payment status of this loan is less than 30 days delinquent. The most recent reported DSC was 0.56x as of Dec. 31, 2010. The Galleria Towers ($232.0 million, 4.9%) is the third-largest loan in the pool and is secured by three class A office buildings comprising 1,428,314 sq. ft. in Dallas. According to the master servicer, the loan is on the watchlist because of the property's low reported DSC. The most recent reported DSC and occupancy were 1.11x and 89.5% as of Dec. 31, 2010. The Americold Portfolio ($194.0 million, 4.1%) is the fifth- largest loan in the pool and is secured by four temperature controlled warehouse/distribution facilities located in four states. According to the master servicer, the loan is on the watchlist because of the property's low reported DSC. According to the master servicer, one of the warehouse/distribution centers has been closed. The most recent reported DSC was 1.11x as of Dec. 31, 2010. Standard & Poor's stressed the assets in the pool according to its criteria, and the analysis is consistent with its lowered and affirmed ratings. Ratings Lowered JPMorgan Chase Commercial Mortgage Securities Trust Commercial mortgage pass-through certificates Series 2006-LDP9 Rating Class To From Credit enhancement (%) A-3 A- (sf) A (sf) 29.46 A-3SFL A- (sf) A (sf) 29.46 A-1A A- (sf) A (sf) 29.46 A-M BB+(sf) BBB (sf) 19.14 A-MS BB+ (sf) BBB (sf) 19.14 A-J B+ (sf) BB- (sf) 10.11 A-JS B+ (sf) BB- (sf) 10.11 B B (sf) B+ (sf) 8.04 B-S B (sf) B+ (sf) 8.04 C B- (sf) B+ (sf) 7.40 C-S B- (sf) B+ (sf) 7.40 D B- (sf) B (sf) 5.98 D-S B- (sf) B (sf) 5.98 E CCC+ (sf) B (sf) 4.82 E-S CCC+ (sf) B (sf) 4.82 F CCC (sf) B- (sf) 3.66 F-S CCC (sf) B- (sf) 3.66 G CCC-(sf) B- (sf) 2.62 G-S D (sf) B- (sf) 2.62 H D (sf) CCC (sf) 1.33 H-S D (sf) CCC (sf) 1.33 J D (sf) CCC- (sf) 0.95 K D (sf) CCC- (sf) 0.56 Ratings Affirmed JPMorgan Chase Commercial Mortgage Securities Trust Commercial mortgage pass-through certificates Series 2006-LDP9 Class Rating Credit enhancement (%) A-1S AAA (sf) 29.46 A-2 AAA (sf) 29.46 A-2S AAA (sf) 29.46 A-2SFL AAA (sf) 29.46 A-2SFX AAA (sf) 29.46 X AAA (sf) N/A N/A -- Not applicable. LB-UBS COMMERCIAL: S&P Lowers Rating on Class J Certs. to 'CCC+' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on three classes of commercial mortgage pass-through certificates from LB- UBS Commercial Mortgage Trust 2004-C8, a U.S. commercial mortgage- backed securities (CMBS) transaction. "In addition, we affirmed our ratings on 11 other classes from the same transaction," S&P related. "Our rating actions reflect our analysis of the transaction primarily using our U.S. CMBS conduit/fusion criteria, the deal structure, and the liquidity available to the trust. Our analysis included a review of the credit characteristics of all of the remaining loans in the pool. Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.29x and a loan-to-value (LTV) ratio of 94.4%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 1.04x and an LTV ratio of 120.7%. The implied defaults and loss severity under the 'AAA' scenario were 42.4% and 32.7%. The DSC and LTV calculations exclude nine ($96.5 million, 11.9%) of the transaction's 10 specially serviced assets ($117.0 million, 14.5%). We separately estimated losses for these nine assets and included them in our 'AAA' scenario implied default and loss figures," S&P said. S&P continued, "The downgrades of classes G, H, and J reflect credit support erosion we anticipate will occur upon the eventual resolution of nine of the transaction's 10 specially serviced assets, as well as the liquidity available to trust." "The affirmed ratings on the principal and interest certificates reflect subordination and liquidity support levels that are consistent with the outstanding ratings. We affirmed our 'AAA (sf)' ratings on the class X-CL and X-CP interest-only (IO) certificates based on our current criteria," S&P added. Credit Considerations As of the May 17, 2011, trustee remittance report, 10 assets in the pool ($117.0 million, 14.5%) were with the special servicer, LNR Partners LLC. The payment status of the specially serviced assets is: four are real estate owned (REO) by the trust ($64.2 million, 7.9%), two are 90-plus-days delinquent ($6.3 million, 0.8%), two are matured balloon loans ($15.7 million, 1.9%), and two are less than 30 days delinquent ($30.8 million, 3.8%). Appraisal reduction amounts (ARAs) totaling $26.5 million are in effect for five of the specially serviced assets. Details of the three largest assets with the special servicer, two of which are top 10 loans, are: The Hunt Retail Portfolio ($32.0 million 4.0%) is the third- largest asset in the pool and the largest specially serviced asset. The loan was transferred to the special servicer in October 2008 and became REO in April 2009. This REO asset consists of an 11-property retail portfolio in five states, with an aggregate of 225,614 sq. ft. An ARA of $17.3 million is in effect against this asset. S&P expects a significant loss upon the eventual resolution of this asset. The Latsko Portfolio I loan ($20.6 million, 2.6%) is the eighth- largest asset in the pool and the second-largest specially serviced asset. The loan was transferred to the special servicer on July 30, 2009, due to payment default. The loan is secured by an 11-property retail portfolio in Chicago, totaling 64,895 sq. ft. Current financial information is not available for this loan. The special servicer indicated that it will return the loan to the master servicer shortly. The Houston Apartments ($13.2 million, 1.6%) is the third-largest specially serviced asset. The loan, with a $40 million original unpaid principal balance, was transferred to special servicing in November 2008 due to payment default and became REO in March 2009. This REO asset originally consisted of three multifamily properties in Houston, Texas, totaling 1,151 units. The trust sold two of the three properties in 2010, leaving a single 288-unit multifamily property. We expect a significant loss upon the eventual resolution of this asset. The remaining seven specially serviced assets have individual balances that represent less than 1.5% of the total pool balance. S&P estimated losses for all of these assets and calculated a weighted average loss severity of 22.7%. Transaction Summary As of the May 17, 2011, trustee remittance report, the total pool balance was $808.4 million or 61.6% of the pool balance at issuance. The pool includes 62 loans and four REO assets, down from 91 loans at issuance. Three loans ($214.1 million, 26.5%) are defeased. The master servicer, Wells Fargo Bank N.A. (Wells Fargo), provided financial information for 68.2% of the nondefeased balance. Most of the data was full-year 2010 data (59.6%) and the remainder (8.5%) was partial- or full-year 2009 data. "We calculated a weighted average DSC of 1.28x for the loans in the pool based on the servicer-reported figures. Our adjusted DSC and LTV ratio were 1.29x and 94.4%. Our adjusted DSC and LTV figures excluded nine of the transaction's 10 specially serviced assets. Current financial information was available for five of these excluded assets, which had a reported weighted average DSC of 0.96x. The transaction has experienced $11.4 million in principal losses in connection with 16 assets. Ten loans ($86.2 million, 10.7%) in the pool are on the master servicer's watchlist, including two of the top 10 exposures secured by real estate. Ten loans ($98.8 million, 12.2%) have a reported DSC of less than 1.10x, eight ($55.5 million, 6.9%) of which have a reported DSC less than 1.00x," S&P stated. Summary of Top 10 Assets Secured by Real Estate The top 10 assets secured by real estate have a $324.2 million (40.1%) aggregate outstanding balance. "Using servicer-reported numbers, we calculated a weighted average DSC of 1.27x for the top 10 assets. Our adjusted DSC and LTV ratio for the top 10 assets are 1.24x and 98.4%. Two of the top 10 assets are with the special servicer and two appear on the master servicer's watchlist," S&P noted. Gehr Florida Portfolio ($37.0 million, 4.6%) is the second-largest exposure secured by real estate in the pool and the largest loan on the master servicer's watchlist. The loan is secured by two retail properties and one office building in Florida, totaling 502,694 sq. ft. The loan appears on the master servicer's watchlist due to low reported DSC, which was 1.07x as of Dec. 31, 2010. Reported occupancy was 69.1% as of June 30, 2010. Western Jewelry Mart ($16.2 million, 2.0%) is the 10th-largest exposure secured by real estate in the pool and the second-largest loan on the master servicer's watchlist. The loan is secured by a 108,452-sq.-ft. retail property in Los Angeles, Calif. The loan appears on the watchlist due to low reported DSC, which was 0.79x as of Dec. 31, 2009. Reported occupancy was 100.0% as of Aug. 1, 2010. Standard & Poor's stressed the assets in the pool according to its current criteria. The resultant credit enhancement levels are consistent with S&P's rating actions. Ratings Lowered LB-UBS Commercial Mortgage Trust 2004-C8 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) G BB+ (sf) BBB- (sf) 8.53 H B+ (sf) BB+ (sf) 6.91 J CCC+ (sf) B- (sf) 5.69 Ratings Affirmed LB-UBS Commercial Mortgage Trust 2004-C8 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-4 AAA (sf) 31.04 A-5 AAA (sf) 31.04 A-6 AAA (sf) 31.04 A-J AAA (sf) 20.49 B AA (sf) 18.06 C A+ (sf) 15.63 D A (sf) 13.80 E A- (sf) 11.98 F BBB (sf) 9.95 X-CL AAA (sf) N/A X-CP AAA (sf) N/A N.A. Not applicable MARIAH RE: S&P Puts 'B' Rating on Series 2010-1 Notes on Watch Neg ------------------------------------------------------------------ Standard & Poor's Ratings Services placed its 'B (sf)' rating on Mariah Re Ltd.'s Series 2010-1 notes on CreditWatch with negative implications. "On May, 10, 2011, we indicated that the tornados that occurred in the covered area through the end of April could affect the rating on the notes. Estimated losses from Catastrophe Series Numbers 44, 45, and 46 brought the estimate of total covered losses through the end of April up to approximately $177 million. On a modeled basis, using the attachment level of $825 million, it is expected that covered events totaling $157 million have occurred through the end of April, so the estimate of total losses was approximately $20 million higher than expected. The losses related to these three events were not reported until the end of May, at which time modeled losses were expected to equal $302 million, so the estimate of covered losses was below that of expected modeled losses," S&P said. The CreditWatch placement is related to the Catastrophe Series Number 48, the tornado that affected Joplin, Mo., and other covered areas. "Although we do not have an estimate of total losses from this event, it would not be unexpected for covered losses to equal the note event limit of $300 million," S&P said. "If Catastrophe Series Number 48 were a full event limit loss, we could lower the rating by one to three notches. However, depending on when the loss amount from this event is reported, the total amount of covered losses, if the previous estimates on any of the existing covered events increase, and if there are any additional events, the rating outcome could be different. If there are no additional events over the next two months and loss estimates on existing covered events do not increase, we would expect to affirm the rating on the notes and remove it from CreditWatch. As we receive updated information, we will take the appropriate rating action," S&P related. The initial annual risk period for the notes ends Dec. 31, 2011. If covered losses do not exceed the attachment point by that date (to the extent there aren't any covered events for which a covered loss amount needs to be determined), the annual aggregate loss amount will go to zero, and the notes will be reset to a probability of attachment not greater than 2.57%. Ratings List CreditWatch Action To From Mariah Re Ltd. Series 2010-1 notes B (sf)/Watch Neg B (sf) MERRILL LYNCH: Moody's Upgrades Rating of One CMBS Class -------------------------------------------------------- Moody's Investors Service (Moody's) upgraded the ratings of four classes and affirmed one class of Merrill Lynch Mortgage Loans, Inc., Commercial Mortgage Pass-Through Certificates, Series 2000- CANADA 4: -- Cl. X, Affirmed at Aaa (sf); previously on Nov 27, 2000 Definitive Rating Assigned Aaa (sf) -- Cl. F, Upgraded to Aaa (sf); previously on Nov 18, 2010 Upgraded to Baa1 (sf) -- Cl. G, Upgraded to Aa3 (sf); previously on Nov 27, 2000 Assigned Ba3 (sf) -- Cl. H, Upgraded to Baa3 (sf); previously on Nov 27, 2000 Assigned B2 (sf) -- Cl. J, Upgraded to B1 (sf); previously on Oct 8, 2009 Downgraded to Caa1 (sf) RATINGS RATIONALE The upgrades are due to the significant increase in subordination due to loan payoffs and amortization and overall stable pool performance. The pool has paid down by 46% since Moody's last review. The affirmation is due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed DSCR remaining within acceptable ranges. The decline in loan diversity, as measured by the Herfindahl Index (Herf), has been offset by the significant increase in subordination. Based on Moody's current base expected loss, the credit enhancement level for the affirmed class is sufficient to maintain the current rating. Moody's rating action reflects a cumulative base expected loss of 2.7% of the current balance. At last review, Moody's cumulative base expected loss was 4.8%. Moody's stressed scenario loss is 9.6% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the 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. Another methodology considered was "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 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 pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 3 compared to 4 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 (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 November 18, 2010. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Moody's Investors Service 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 May 16, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 96% to $11.8 million from $287.6 million at securitization. The Certificates are collateralized by three mortgage loans ranging in size from 23% to 53% of the pool. The pool does not contain any defeased loans or loans with credit estimates. One loan, representing 53% 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 (CREFC) monthly reporting package. The single loan on the watchlist matures within three months. There have been no losses to date to the trust and currently there are no loans in special servicing. Moody's was provided with full year 2009 operating results for 100% of the pool and 33% of full- year 2010 financial results. Moody's weighted average LTV is 51% compared to 58% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed DSCRs are 1.56X and 2.07X, respectively, compared to 1.44X and 1.85X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan is the Summit Nova Scotia Loan ($6.3 million -- 52.9%), which is secured by a 152,694 square foot (SF) retail property located in Halifax, Nova Scotia. The loan matures in August 2011. Moody's LTV and stressed DSCR are 47% and 2.26X, respectively, compared to 60% and 1.75X at last review. The second largest loan is the Business Depot Loan ($2.8 million - - 23.8%), which is secured by 24,419 SF retail center located in Montreal, Quebec. The loan matures in November 2015. Moody's LTV and stressed DSCR are 56% and 1.86X, respectively, compared to 75% and 1.39X at last review. The third largest loan is the Sobeys Kincardine Loan ($2.7 million -- 23.3% of the pool), which is secured by a 35,630 SF retail center in Kincardine, Ontario. The loan matures in September 2015. Moody's LTV and stressed DSCR are 57% and 1.85X, respectively, compared to 60% and 1.75X at last review. MILLION AIR: Moody's Assigns Ba3 Rating to Projects Revenue Bonds ----------------------------------------------------------------- Moody's Investors Service has assigned a Ba3 rating to the Million Air One LLC General Aviation Facilities Projects Revenue Bonds, Series 2011 issued by the Capital Trust Agency. The rating outlook is stable. SUMMARY RATING RATIONALE The rating is based on Million Air One's competitiveness as one of the major brands in the FBO (Fixed Base Operator) industry, its diversified revenue base from three locations, at two of which Million Air One currently faces no competition, and project finance features including a debt service reserve and a supplemental reserve fund which together cover 2 years worth of debt service. The rating is also based on the FBO industry's specialized nature of service, a customer base susceptible to macroeconomic conditions, no long-term contracts, and low financial metrics. The stable outlook is based on Moody's expectation that Million Air One will continue to maintain its fuel sales profit margins and honor all rents and financial obligations pertaining to its lease agreements at the respective airports. The bonds are being issued by the Capital Trust Agency, a legal entity of the State of Florida formed through an interlocal agreement between the cities of Gulf Breeze and Century. Million Air One is an entity under Million Air Interlink (MAI), a corporation headquartered at Houston Hobby Airport. Million Air FBOs currently operate at 29 airports. USE OF PROCEEDS: Proceeds will be used to fund capital improvements at Hobby Airport, repay a promissory note used to fund purchase of Tallahassee FBO fueling rights from FlightLine Aviation, some remodeling at Tallahassee, and construction of an FBO facility at Gulfport-Biloxi Airport. The funds will also be used to fund a 12-month debt service reserve. LEGAL SECURITY: Million Air One (the company), will be obligated to make loan payments at the times and in the amounts sufficient to make timely payment of the principal of, premium, if any and interest on the Series 2011 Bonds as the same become due and payable. The Capital Trust Agency will assign and pledge a first priority security interest in the funds created by the indenture, all of the issuer's right, title, and interest in the Trust Estate established under the indenture including, without limitation, all of the Issuer's right, title and interest in the loan agreement and all revenues, payments, receipts and moneys. Each subsidiary at the three airports will assign and pledge to the bond trustee, and grant a first priority security interest in all funds held under the indenture and in all right, title and interest in the revenues and the mortgages of the facilities (pursuant to the leasehold mortgages). INTEREST RATE DERIVATIVES: None. STRENGTHS * Operations at four separate locations in Houston, Tallahassee, Fort Walton Beach, and Harrison County, MS provide revenue diversity, though approximately 50% is concentrated at the Houston location, and all four are located along the Gulf Coast * Projects have strong competitive position at each airport with little to no competition at Tallahassee, Fort Walton Beach, and Gulfport-Biloxi, and a position as a market leader among the five FBOs at Houston * Construction risk is limited at all locations in various ways, minimizing cost overrun risks CHALLENGES * The FBO industry is highly competitive and fragmented, though Million Air is one of the largest national brands * Long-term national demand for FBO services has been increasing, but it is sensitive to macroeconomic factors such as national and local economic conditions, oil price fluctuations, and federal spending priorities * Low debt service coverage reveals little resiliency to risk of unexpected events * Cross default among Million Air One and the three subsidiaries would result in indenture default if any of the projects default on its ground lease. This is mitigated by a six-month security deposit and the structure whereby lease payments are made ahead of debt service * The current leases at Tallahassee and Gulfport-Biloxi expire before the end of debt service requirements, 2 and 3 years, respectively, but each has an option period that could cover the remaining period DETAILED CREDIT DISCUSSION Cash flows to cover debt service derive from MillionAir One's operation as an FBO at four airports along the Gulf Coast, William P. Hobby Airport in Houston, Texas, Tallahassee Regional Airport in Tallahassee, Florida, Fort Walton Beach Airport in Florida, and Gulfport-Biloxi International in Harrison County, Mississippi. The major source of revenue for FBOs comes from fuel sales to general aviation and, to some extent, commercial and military aircraft. While Million Air One is one of the major brands in the FBO industry, the industry's customer base varies with customers' need and ability to engage in leisure or business travel. The industry is sensitive to macroeconomic factors such as national and local economic conditions, oil price fluctuations, and federal spending priorities. While long-term national demand for FBO services has been increasing, Million Air One's facilities have experienced decreased fuel sales since 2006, though 2010 and 2011 have seen a turnaround to growth. As Million Air One has no long- term contracts for major portions of its revenues, they will vary directly with the industry's financial fluctuations. Furthermore, while the simple operating nature of this business eliminates technological risk, it also makes possible relatively easy entrance into the business, creating a highly competitive environment. Currently, Million Air is the only fuel provider at Tallahassee and will be the only provider at Gulfport once Atlantic Aviation's contract terminates coincident with the completion of Million Air's facility at that airport expected this summer. Revenues are 50% concentrated in the Houston location, but Million Air One's history and brand competitiveness at Hobby Airport provide some revenue stability and predictability. Million Air One has been operating at Hobby since 1999, and while it competes with four other FBOs, it has been able to maintain a stable 25% market share of total fuel sales and a stable profit margin since 2005. Most recently, it has gained greater market share, currently at 30%, and should be able to maintain this given the additional improvements it will make to its current infrastructure. Revenues from the other locations are exposed to variability in military aircraft operations and limited operational history, but also benefit from the absence of competition from other fuel providers. Million Air operations at Tallahassee began in 2009 and operations at Gulfport are expected to begin mid-2011. The limited sales history makes it difficult to assess predictability of future sales. Military revenues are expected to comprise 15% of total revenues at the combination of Fort Walton Beach and Tallahassee and 33% at Gulfport, or 11% of total revenues to cover debt service. While the Gulf coast is home to numerous military bases, military operations are subject to a variety of externalities. The recent surge in military operations may be the result of current national war efforts and Hurricane Katrina's military aid and may decline as national needs cease to demand current levels of military activity. As a positive, while revenues at these two locations are more variable than those from Hobby, they are not exposed to competition. Under its Tallahassee lease, Million Air One enjoys a guarantee that the airport will not contract with additional FBOs. There is no such guarantee at Gulfport, but the airport's smaller size should limit its need to contract an additional FBO as Million Air One should fulfill its fueling service requirements. The project displays low resiliency to event risk. Management financial metrics project above 2.0x debt service coverage the first two years and an average of 1.6x coverage after debt service doubles in 2013 and levels off in 2014. However, Moody's base case, which reduces management growth assumptions by half and assumes no growth in revenues at Tallahassee results in a lower average of 1.2x coverage. Furthermore, using the average annualized debt service according to Moody's Generic Project Finance Methodology yields an average coverage of 1.46x under the Moody's case. Moody's also gives credit to the project's debt service reserve and supplemental reserve, which together provide liquidity worth two years of debt service. However, the supplemental reserve is not specifically reserved for debt service. Million Air One leases ground space at all three airports. The leases at Tallahassee and Gulfport expire 2 and 3 years, respectively, before the end of debt service requirements, but each has an option period that could cover the remaining period. While cross default among Million Air One and the three subsidiaries would result in indenture default if any of the projects default on its ground lease, Million Air One's lease obligations consist mostly of operation and capital improvements, which Moody's deems manageable. Construction risk is minimal at Tallahassee, which requires only interior renovations, and at Gulfport, which is substantially complete. The project at Houston has not begun construction, but risk is mitigated by a fixed-price contract with an experienced contractor, simple construction design, and a $1M contingency fund. Outlook The stable outlook is based on Moody's expectation that Million Air One will continue to maintain its fuel sales profit margins and honor all rents and financial obligations pertaining to its lease agreements at the respective airports. What could change the rating -- UP A continuous increase in customer base resulting in revenues that yield a sustained minimum debt service coverage above 1.75 times. What could change the rating -- DOWN A significant decrease in fuel sales, termination of any of the existing ground leases, or a reduction of reserve funds. MONTANA RE: S&P Lowers Rating on Class E Notes to 'CCC' ------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on Montana Re Ltd.'s Series 2010-1 Class E notes to 'CCC(sf)' from 'B-(sf)' and removed the rating from CreditWatch, where it had been placed on March 28, 2011, with negative implications. "We put the rating on CreditWatch when the issuer submitted an activation notice to Risk Management Solutions (RMS) related to the March 11, 2011, Tohoku earthquake. RMS, as calculation agent, has determined that the earthquake was a covered event. As a result, the noteholders are now at risk for any subsequent covered events until the initial Class E annual risk period ends on Dec. 31, 2011. If there aren't any further covered events during this time, the notes will revert back to providing coverage from second and subsequent events on an annual aggregate basis. In addition, at that time, the probability of attachment will be reset to be no greater than 6.06%, and we will likely raise the rating back to 'B-(sf)'," S&P said. Ratings List To From Montana Re Ltd. Series 2010-1 Class E notes CCC(sf) B-(sf)/Watch Neg MORGAN STANLEY: Fitch Takes Various Actions on MSCI 2003-IQ4 ------------------------------------------------------------ Fitch Ratings downgrades three classes, upgrades two classes and affirms nine classes of Morgan Stanley Capital I Trust commercial mortgage pass-through certificates, series 2003-IQ4. The downgrades are the result of an increase in Fitch expected losses of the remaining pool. Fitch modeled losses of 2.5% of the remaining pool; expected losses of the original pool are at 2.1%, including losses already incurred to date. Fitch has identified 18 loans (13.4%) as Fitch Loans of Concern, which includes four specially serviced loans (3.9%). The upgrades are due to increased credit enhancement as a result of principal paydown (5.5%) and additional defeasance (2.2%) since last review. As of the May 2011 distribution date, the pool's aggregate principal balance has been paid down by approximately 27.4% to $528.3 million from $727.8 billion at issuance. Interest shortfalls are affecting the non-rated class O, with cumulative unpaid interest totaling $0.2 million. The largest contributor to modeled loss is a 259,848 square foot (sf) mixed-use complex located in Cranford, NJ. The loan transferred to the special servicer on July 16, 2010 due to imminent default. Foreclosure proceedings have been initiated and the receiver has been appointed. Current appraisal value of the property indicates losses upon liquidation. The second largest contributor to loss is a 254 unit apartment complex located in Gainesville, FL. The property is mostly occupied by students attending The University of Florida. Year-end (YE) 2010 debt service coverage ratio (DSCR) was 0.87 times (x), compared to 1.38x at issuance. The decrease in DSCR is primarily the result of lower revenue due to lower occupancy. Occupancy has improved to 95.7% at YE 2010 compared to 81.5% at YE 2009. The third largest contributor to loss is a mixed use property in Encino, CA. The first two stories consist of retail space and the third story consists of office space. Occupancy dropped to a low of 85% in mid-2010 but has rebounded to 93% per the Jan. 25, 2011 rent roll. YE 2010 DSCR was 0.87x compared to 1.47x at issuance. Fitch downgrades and revises these recovery ratings: -- $5.4 million class L to 'CCC/RR1' from 'B-/LS5'; -- $1.8 million class M to 'CC/RR3' from 'CCC/RR2'; -- $1.8 million class N to 'C/RR6' from 'CCC/RR4'. Fitch upgrades these classes: -- $18.2 million class B to 'AAA/LS3' from 'AA+/LS3'; Outlook Stable; -- $23.7 million class C to 'AA/LS3'from 'A+/LS3; Outlook Stable. In addition, Fitch affirms and revises these recovery ratings: -- $431 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $4.5 million class D at 'A/LS5' from'A/LS4'; Outlook Stable; -- $7.3 million class E at 'A-/LS5' from'A-/LS4'; Outlook Stable; -- $7.3 million class F at 'BBB+/LS5' from'BBB+/LS4'; Outlook Stable; -- $8.2 million class G at 'BBB/LS5' from'BBB/LS4'; Outlook to Stable from Outlook Negative; -- $8.2 million class H at 'BB+/LS5' from'BB+/LS4'; Outlook to Stable from Outlook Negative; -- $3.6 million class J at 'BB/LS5'; Outlook to Stable from Outlook Negative; -- $1.8 million class K at 'BB-/LS5'; Outlook Negative. Class A-1 has paid in full. Fitch does not rate the $5.4 million class O. Fitch has withdrawn the ratings on the Interest-only classes X-1 and X-2. MORGAN STANLEY: Fitch Takes Actions on MSCI 2007-XLF ---------------------------------------------------- Fitch Ratings has downgraded three classes from the pooled portion of Morgan Stanley Capital I Trust series 2007-XLF (MSCI 2007-XLF) reflecting Fitch's increased base case loss expectation of 6.8%. Fitch's performance expectation incorporates prospective views regarding the commercial real estate market outlook. Under Fitch's methodology, approximately 51.9% of the pool 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 7.4% from generally year end 2010. To determine a sustainable Fitch cash flow and stressed value, Fitch analyzed servicer-reported operating statements and rent rolls, updated property valuations, and recent sales comparisons. Fitch estimates that average recoveries will be strong, with an approximate base case recovery of 86.8%. The transaction is collateralized by 10 loans, including three secured by hotels (44.8%), six by office (40.5%), and one by land (14.7%). The transaction faces near-term maturity risk with six loans having their final maturity in 2011 (72.8%) and three in 2012 (24%). The remaining loan has a final maturity date in 2014 (3.3%). With respect to the pooled classes, two of the loans were modeled to take a loss in the base case: Babcock Ranch (14.7%), and Le Meridien Cancun (3.3%). Babcock Ranch is secured by 17,890 acres of unimproved land situated in an environmental corridor stretching from Lake Okeechobee in the center of Florida to the Charlotte Harbor Estuary on Florida's Gulf Coast. At issuance, the subject property was expected to be developed into a 'green community'; the entitlement process is ongoing. While the loan remains current, it is scheduled to mature on Aug. 9, 2011 with no remaining extension options in place. The loan was transferred to special servicing in March 2011 to discuss a potential modification and extension of the loan. Fitch modeled a substantial decline in the property's value since issuance resulting in a significant expected loss in the base case scenario. Le Meridien Cancun is secured by a 213 room full-service hotel located in Cancun, Mexico. Property cash flow has failed to increase to levels initially anticipated at issuance with year-end 2010 cash flow negative. Fitch classified this loan as a Loan of Concern, and a term default was modeled in Fitch's base case. With respect to the non-pooled classes, Fitch upgraded classes M- STR and N-STR, which are associated with the Starco Office Portfolio, due to the significantly improved performance of the portfolio; servicer-reported NOI increased by 40% between year end 2009 and year end 2010. Fitch downgraded class M-JPM, which is associated with the JPMorgan Office Portfolio, as the bond has incurred principal losses. Fitch has affirmed the ratings and revised Loss Severity (LS) ratings and Outlooks for these pooled classes: -- $187.5 million class A-1 at 'AAAsf/LS2' from 'AAAsf/LS1'; Outlook Stable; -- $229.7 million class A-2 at 'AAAsf/LS2' from 'AAAsf/LS1'; Outlook Stable; -- $41.2 million class B at 'AAsf/LS4' from 'AAsf/LS2''; Outlook to Stable from Negative; -- $41.2 million class C at 'Asf/LS4' from 'Asf/LS2'; Outlook to Stable from Negative; -- $25.2 million class D at 'Asf/LS4' from 'Asf/LS2'; Outlook to Stable from Negative; -- $27.4 million class E at 'BBBsf/LS4' from 'BBBsf/LS2'; Outlook to Stable from Negative; -- $26.3 million class F at 'BBBsf/LS4' from 'BBBsf/LS2'; Outlook to Stable from Negative; -- $26.6 million class G at 'BBsf/LS4' from 'BBsf/LS2'; Outlook to Stable from Negative; -- $13.5 million class H at 'BBsf/LS5' from 'BBsf/LS3'; Outlook Negative. Fitch has downgraded and assigned Recovery Ratings (RRs) to these pooled classes, as indicated: -- $20.6 million class J to 'CCCsf/RR2' from 'Bsf/LS3'; -- $20.6 million class K to 'Csf/RR6' from 'Bsf/LS3'; -- $21.1 million class L to 'Csf/RR6' from 'CCCsf/RR3'. In addition, Fitch has upgraded and assigned Outlooks to these non-pooled classes: -- $2.9 million class M-STR to 'BBsf' from 'CCsf/RR6'; Outlook Stable; -- $2.6 million class N-STR to 'BBsf' from 'CCsf/RR6'; Outlook Stable. Fitch has affirmed and revised Outlooks to these non-pooled classes: -- $5.2 million class M-HRO at 'BBsf'; Outlook to Stable from Negative; -- $8 million class N-HRO at 'Dsf/RR1'. Fitch has downgraded and assigned an RR to this non-pooled class: -- $477,273 class M-JPM to 'Dsf/RR1' from 'BB-sf'. MORGAN STANLEY: S&P Lowers Rating on Class L Certs. to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 11 classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2006-TOP23, a U.S. commercial mortgage-backed securities (CMBS) transaction. "Concurrently, we affirmed our ratings on six other classes from this transaction," S&P said. "Our rating actions follow our analysis of the transaction primarily using our U.S. conduit and fusion CMBS criteria. Our analysis included a review of the credit characteristics of all of the remaining loans in the pool, the transaction structure, and the liquidity available to the trust," S&P related. "Our downgrades reflect credit support erosion that we anticipate will occur following the resolution of the six loans ($52.2 million, 3.5%) currently with the special servicer. We also considered the monthly interest shortfalls that are affecting the trust. We lowered our rating on the class L certificate to 'D (sf)' because we expect interest shortfalls to continue for the foreseeable future," S&P said. "The affirmed ratings on the principal and interest certificates reflect subordination and liquidity support levels that are consistent with our outstanding ratings. We affirmed our 'AAA (sf)' rating on the class X interest-only (IO) certificate based on our current criteria," S&P stated. According to S&P, "Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.55x and a loan-to-value (LTV) ratio of 97.9%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.96x and an LTV ratio of 129.7%. The implied defaults and loss severity under the 'AAA' scenario were 71.7% and 34.4%. The DSC and LTV calculations exclude the six ($52.2 million, 3.5%) loans currently with the special servicer. We separately estimated losses for the specially serviced loans and included them in our 'AAA' scenario implied default and loss severity figures." As of the May 12, 2011, trustee remittance report, the trust experienced monthly interest shortfalls totaling $44,625 primarily related to appraisal subordinate entitlement reduction (ASER) amounts of $30,023, special servicing and workout fees of $10,260, and interest paid on outstanding advances of $4,342. The interest shortfalls affected all classes subordinate to and including class L. "We expect class L to continue to experience interest shortfalls. Consequently, we downgraded this class to 'D (sf)'," S&P stated. Credit Considerations There are six loans ($52.2 million, 3.5%) in the pool currently with the special servicer, C-III Asset Management LLC (C-III), including one that was transferred subsequent to the May 12, 2011, trustee remittance report. The reported payment status of the specially serviced assets is: one is in foreclosure ($32.0 million, 2.2%), three are 90-plus-days delinquent ($9.5 million, 0.6%), one is 60 days delinquent ($6.0 million, 0.4%), and one is a matured balloon loan ($4.7 million, 0.3%). Appraisal reduction amounts (ARAs) totaling $6.0 million is in effect against three loans. Details on the two largest loans with the special servicer, one of which is a top 10 loan are: The Nokia Building loan ($32.0 million, 2.2%), the largest loan with the special servicer, is the eighth-largest loan in the pool. The loan, secured by a 190,837-sq.-ft. office property in San Diego, Calif., was transferred to C-III on Dec. 10, 2010, due to imminent default after the sole tenant, Nokia Corp., vacated the property following its lease expiration. According to C-III, the property is currently dark and the payment status is current from drawing down on the leasing reserve with a current balance of $1.78 million. C-III indicated that it is pursuing foreclosure, which may occur as early as in July 2011, while reviewing unsolicited offers to purchase the note. S&P expects a moderate loss upon the eventual resolution of the loan. The Merchant Square Shopping Center loan ($6.0 million, 0.4%) is secured by a 103,042-sq.-ft. anchored shopping center in Norcross, Ga. The loan was transferred to the special servicer on Feb. 5, 2010, following a payment default. The current payment status of this loan is 60 days delinquent. C-III stated that a discounted payoff is under negotiation. An ARA of $2.6 million is in effect against the loan. S&P expects a moderate loss upon the eventual resolution of the loan. The four remaining specially serviced assets have individual balances representing less then 0.4% of the pool trust balance. ARAs totaling $3.4 million are in effect against two of these loans. S&P estimated losses on these four remaining loans, arriving at a weighted-average loss severity of 55.9%. Transaction Summary As of the May 12, 2011, trustee remittance report, the collateral pool balance was $1.47 billion, which is 91.0% of the balance at issuance. The pool includes 154 loans, down from 162 loans at issuance. The master servicer, Wells Fargo Bank N.A. (Wells Fargo) provided financial information for 98.8% of the loans in the pool, 83.2% of which was partial- or full-year 2010 data, and the remainder was partial- or full-year 2009 data. "We calculated a weighted average DSC of 1.56x for the loans in the pool based on the servicer-reported figures. Our adjusted DSC and LTV ratio were 1.55x and 97.9%. Our adjusted DSC and LTV figures excluded six specially serviced loans ($52.2 million, 3.5%). We separately estimated losses for the six specially serviced loans and included them in our 'AAA' scenario implied default and loss severity figures. The transaction has experienced $18.9 million in principal losses on six assets to date. Thirty- four loans ($279.4 million, 19.0%) in the pool are on the master servicer's watchlist, including one of the top 10 loans. Nineteen loans ($78.5 million, 5.4%) have a reported DSC of less than 1.00x and nine loans ($44.4 million, 3.0%) have a reported DSC below 1.10x," S&P stated. Summary of Top 10 Loans The top 10 loans have an aggregate outstanding balance of $688.9 million (46.9%). Using servicer-reported numbers, we calculated a weighted average DSC of 1.54x for the top 10 loans. One of the top 10 loans ($32.0 million, 2.2%) is with the special servicer and one ($109.2 million, 7.4%) is one the master servicer's watchlist. "Our adjusted DSC and LTV ratio for nine of the top 10 loans (excluding the specially serviced Nokia Building loan), are 1.47x and 96.9%," S&P noted. The Hamilton Place Mall loan ($109.2 million, 7.4%) is the third- largest loan in the pool and the largest loan on the master servicer's watchlist. The loan is secured by 364,188 sq. ft. of a 1.1 million-sq.-ft. two-level regional mall in Chattanooga, Tennessee. The loan is on Wells Fargo's watchlist due to the master servicer's concern over the performance of one of the property's tenants, a book retailer, occupying 8.2% of the net rentable area. The reported DSC was 1.24x for year-end 2010, and the occupancy for the inline space was 99.0%, according to the Dec. 31, 2011, rent roll. Standard & Poor's stressed the collateral in the pool according to its current criteria. The resultant credit enhancement levels are consistent with S&P's lowered and affirmed ratings. Ratings Lowered Morgan Stanley Capital I Trust 2006-TOP23 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-J BBB- (sf) BBB+ (sf) 9.71 B BB (sf) BBB (sf) 7.51 C BB- (sf) BBB- (sf) 6.41 D B (sf) BB+ (sf) 4.62 E B- (sf) BB (sf) 3.66 F CCC+ (sf) BB- (sf) 2.84 G CCC (sf) B+ (sf) 1.87 H CCC- (sf) B (sf) 1.19 J CCC- (sf) B (sf) 0.91 K CCC- (sf) B- sf) 0.64 L D (sf) CCC- (sf) 0.22 Ratings Affirmed Morgan Stanley Capital I Trust 2006-TOP23 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-2 AAA (sf) 28.40 A-3 AAA (sf) 28.40 A-AB AAA (sf) 28.40 A-4 AAA (sf) 28.40 A-M A+ (sf) 17.40 X AAA (sf) N/A N/A -- Not applicable. ONE NEWCASTLE: S&P Retains 'D' Ratings on 3 Classes of Notes ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on the class III note from Newcastle CDO VII Ltd., a collateralized debt obligation of commercial mortgage-backed securities (CDO of CMBS) transaction. "The downgrade reflects several factors, including credit deterioration and our negative rating actions on underlying U.S. CMBS. The class is currently deferring interest payments," S&P said. "The affirmations of our ratings on the class IV-FL, IV-FX, and V notes reflect the availability of credit support at the current rating levels," S&P stated. "The rating actions reflect our criteria for ratings on CDO transactions that have triggered an event of default (EOD) and may be subject to acceleration or liquidation," S&P added. Rating and CreditWatch Action NEWCASTLE CDO VII Ltd. Rating Class To From III CC (sf) CCC- (sf)/Watch Neg Ratings Affirmed NEWCASTLE CDO VII Ltd. Class Rating IV-FL CC (sf) IV-FX CC (sf) V CC (sf) Other Ratings Outstanding NEWCASTLE CDO VII Ltd. Class Rating I-A D (sf) I-B D (sf) II D (sf) PREFERREDPLUS TRUST: S&P Raises Rating on $8.75MM Certs. to 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on PreferredPLUS Trust Series QWS-2's $38.75 million certificates to 'BB' from 'BB-'. "Our rating on the certificates is dependent on our rating on the underlying security, Qwest Capital Funding Inc.'s 7.75% notes due Feb. 15, 2031 ('BB')," S&P stated. "The rating action follows our June 9, 2011, raising of our rating on the underlying security to 'BB' from 'BB-'. We may take subsequent rating actions on the certificates due to changes in our rating assigned to the underlying security," noted S&P. PREFERREDPLUS TRUST: S&P Raises Rating on $40MM Certs. to 'BB' -------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on PreferredPLUS Trust Series QWS-1's $40 million certificates to 'BB' from 'BB-'. S&P stated, "Our rating on the certificates is dependent on our rating on the underlying security, Qwest Capital Funding Inc.'s 7.75% notes due Feb. 15, 2031 ('BB')." "The rating action follows our June 9, 2011, raising of our rating on the underlying security to 'BB' from 'BB-'. We may take subsequent rating actions on the certificates due to changes in our rating assigned to the underlying security," S&P added. SALOMON BROTHERS: Moody's Upgrades Rating of Four CMBS Classes -------------------------------------------------------------- Moody's Investors Service (Moody's) upgraded the ratings of four classes and affirmed two classes of Salomon Brothers Commercial Mortgage Trust 2001-C1, Commercial Mortgage Pass-Through Certificates, Series 2001-C1: -- Cl. X, Affirmed at Aaa (sf); previously on Jul 31, 2001 Definitive Rating Assigned Aaa (sf) -- Cl. E, Upgraded to Aa3 (sf); previously on Nov 4, 2010 Downgraded to A3 (sf) -- Cl. F, Upgraded to Baa1 (sf); previously on Nov 4, 2010 Downgraded to Ba1 (sf) -- Cl. G, Upgraded to B2 (sf); previously on Nov 4, 2010 Downgraded to Ca (sf) -- Cl. H, Upgraded to Caa2 (sf); previously on Nov 4, 2010 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on Nov 4, 2010 Downgraded to C (sf) RATINGS RATIONALE The upgrades are due to increased subordination due to loan payoffs and amortization. The transaction's aggregate certificate balance has decreased by 86% since the last review in November 2010. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain the existing ratings. Moody's rating action reflects a cumulative base expected loss of 14.5% of the current balance compared to 8.8% at last review. As measured on a percentage basis, the current cumulative base expected loss is significantly higher than at last review due to the decline in the deal's balance. However, the current cumulative base expected loss is $10.5 million compared to $46.4 million at last review. Moody's stressed scenario loss is 18.1% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the 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 primary methodology used in this rating was "CMBS: Moody's Approach to Rating U.S. Conduit Transactions" published in September 2000. Another methodology, "Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000, was also considered. 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 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings 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 underlying ratings 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 57 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 (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 November 4, 2010. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the ratings. DEAL PERFORMANCE As of the May 18, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 92% to $72.1 million from $952.7 million at securitization. The Certificates are collateralized by 24 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing 83% of the pool. There are no defeased loans. Defeasance at last review represented 20% of the pool. The pool faces significant near-term refinance risk as loans representing 58% of the pool have either matured or mature within the next six months. Five 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 (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-six loans have been liquidated from the pool, resulting in an aggregate realized loss of $53.7 million (29% loss severity overall). These losses have resulted in 100% loss for Classes L through P and a 44% principal loss for Class K. At last review the pool had experienced an aggregate $41.1 million loss. Eleven loans, representing 50% of the pool, are currently in special servicing. The largest specially serviced loan is a portfolio of three crossed loans ($7.3 million -- 10.2% of the pool), which is secured by three unanchored retail properties, totaling 45,852 square feet (SF), located in Kissimmee and Orlando, Florida. The loans were transferred to special servicing in November 2009. The master servicer recognized an aggregate $4.6 million appraisal reduction for these loans in February 2011. The second largest specially serviced loan is a portfolio of two crossed loans ($6.8 million -- 9.4% of the pool), which is secured by two industrial properties, totaling 258,676 SF, located in Brooklyn Center, Minnesota. The loans were transferred to special servicing in February 2009 due to imminent monetary default. A third loan, Shady Oaks I, was also crossed with this portfolio but was liquidated in November 2010 resulting in a loss of $497,827 (15% loss severity). The remaining specially serviced loans are secured by a mix of property types. The master servicer has recognized appraisal reductions totaling $5.1 million for four of the specially serviced loans. Moody's has estimated an aggregate $9.6 million loss (34% expected loss on average) for eight of the specially serviced loans. Based on the most recent remittance statement, Class J has experienced interest shortfalls totaling $151,299. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs) and extraordinary trust expenses. Moody's was provided with full-year 2009 and partial year 2010 operating results for 88% and 84% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 60% compared to 72% 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 9.9%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.63X and 1.94X, respectively, compared to 1.43X and 1.54X 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 loans represent 31% of the pool balance. The largest loan is the Fenton Marketplace Loan ($9.7 million -- 13.4% of the pool), which is secured by a 50,388 SF retail center located in San Diego, California. The property is shadow anchored by Ikea, Costco and Lowe's. The property was 100% leased as of December 2010. Moody's LTV and stressed DSCR are 43% and 2.40X, respectively, compared to 45% and 2.30X at last review. The second largest loan is the Regency Park Plaza Loan ($7.8 million -- 10.8% of the pool), which is secured by a 88,086 SF retail center located in Vacaville, California. The loan was previously transferred to special servicing in November 2010 due to maturity default and was later modified to extend the maturity date by 24 months. The loan is current. The property was 62% leased as of June 2010. Moody's LTV and stressed DSCR are 58% and 1.77X, respectively, compared to 66% and 1.56X at last review. The third largest loan is the Century Office Building Loan ($4.9 million -- 6.8% of the pool), which is secured by a 46,676 SF office building located in Farmington Hills, Michigan. The property was 98% leased as of February 2011. Performance has been stable. Moody's LTV and stressed DSCR are 87% and 1.24X, respectively, the same as at last review. SILVER MARLIN: S&P Lowers Rating on Class A-1 Notes to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'D (sf)' on the class A-1 notes from Silver Marlin CDO I Ltd., a U.S. collateralized debt obligation (CDO) transaction backed primarily by residential mortgage-backed securities (RMBS) and managed by Sailfish Capital Partners LLC. "We also affirmed our ratings on three other classes of notes," S&P said. The downgrade reflects a default in the interest payment due on the June 7, 2011, distribution date. "This is following a notice we received from the trustee on June 3, 2011, indicating that the holders of each class of notes and swap counterparties voted to liquidate the collateral. The notice from the trustee further indicated that the transaction was not going to make any payments on any subsequently regularly scheduled payment date, until it completes the sale and liquidation of the collateral," S&P related. "The affirmations of the ratings on the class D, E, and F notes reflect our opinion of the sufficient credit support available at the current rating levels," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Action Silver Marlin CDO I Ltd. Rating Class To From A-1 D (sf) CC (sf) Ratings Affirmed Silver Marlin CDO I Ltd. Class Rating D CC (sf) E CC (sf) F CC (sf) Other Ratings Outstanding Silver Marlin CDO I Ltd. Class Rating A-2 D (sf) A-3 D (sf) A-4 D (sf) B D (sf) C D (sf) SLM PRIVATE: Moody's Cuts Down Rating of 43 Student Loan Tranches ----------------------------------------------------------------- Moody's Investors Service downgraded 43 classes of notes from 12 SLM Private Credit Student Loan trusts sponsored, serviced and administered by Sallie Mae, Inc., a wholly-owned subsidiary of SLM Corporation. The affected notes include 24 tranches of senior notes and 19 tranches of subordinate notes. The underlying collateral backing these notes consists of private credit student loans that are not guaranteed or reinsured under the Federal Family Education Loan Program (FFELP) or any other federal student loan program. RATINGS RATIONALE The downgrades were prompted by deterioration in collateral performance and the resulting erosion of parity levels (i.e. the ratio of total assets to total liabilities) for all transactions. The performance deterioration contributed to Moody's increase of expected net losses to a range of 13%-20% from a range of 9%-15% as of the last rating action in August 2009, stated as a percentage of the original pool balance plus any prefunded amounts. As of the latest reporting date, the trusts have incurred cumulative net losses ranging from 9% to 13% of the original pool balance. In addition, delinquent loan balances remained elevated in all transactions with 90-day delinquencies accounting for 3%-5% of loans in active repayment. The delinquency pipeline is expected to contribute to additional defaults in the future. High defaults have been eroding the collateral base, causing steady declines in parity levels for most securitizations. Over the last nine months, parity has dropped by as much as 1.5 % for the affected transactions and for some transactions it decreased to a level that is below 100%. The reduction in the parity levels has eroded the trusts' excess spread, which is needed to absorb losses and build up parity. The loss of excess spread is expected to contribute to further declines in the parity levels. In addition to the parity declines, the 2003 securitizations were significantly negatively affected by the higher costs of funding associated with auction rate notes. Since the collapse of the auction rate market in the beginning 2008, the coupon rates on these notes have been reset to a "failed-auction" rate, which increases (among other things) if the ratings of the notes fall below Aaa, and increases further if the ratings fall below A3. Because Moody's is downgrading these notes below the trigger levels, their coupon rates increase to either LIBOR plus 2.5% or LIBOR plus 3.5%. These coupon rates further erode excess spread and expose the subordinated classes of notes to a significant default risk. Available credit enhancement includes overcollateralization, reserve funds, subordination, and excess spread. Significant structural features include note parity triggers, reserve fund floors, and the change in cash flow allocations among the senior classes under the occurrence of certain events. Senior notes in the trusts benefit from note parity triggers, which can redirect interest payments on the subordinate notes to principal payments on the senior notes. The principal methodology used in these rating actions was "Moody's Approach to Rating U.S. Private Student Loan-Backed Securities", published on January 6th, 2010 and is available at www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Rating Methodologies sub-directory on Moody's website. To assess rating implications of the higher expected losses, each individual transaction was run through a variety of stress scenarios using the Structured Finance Workstation(R) (SFW), a cash flow model developed by Moody's Wall Street Analytics. Our expected lifetime net losses as a percentage of original pool balance plus any loans added subsequently are approximately 12.6%, 13.8%, 14.5%, 15.8%, 17.1%, 15.4%, 19.1%, 16.4%, 17.2%, 18.4%, 20.0%, and 19.2% for the 2002-A, 2003-A, 2003-B, 2003-C, 2004-A, 2004-B, 2005-A, 2005-B, 2006-A, 2006-B, 2006-C and 2007-A trusts, respectively. Primary sources of uncertainty with regard to expected losses are the weak economic environment and the high unemployment rate, which adversely impacts the income-generating ability of the borrowers. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments in this transaction. RATINGS: Complete actions are: Issuer: SLM Private Credit Student Loan Trust 2002-A -- Class C, Downgraded to Baa1 (sf); previously on May 26, 2011 A3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Private Credit Student Loan Trust 2003-A -- Class A-2, Confirmed at Aaa (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A-3, Downgraded to A1 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A-4, Downgraded to A1 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Class B, Downgraded to Baa1 (sf); previously on May 26, 2011 Aa3 (sf) Placed Under Review for Possible Downgrade -- Class C, Downgraded to Ba3 (sf); previously on May 26, 2011 A3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Private Credit Student Loan Trust 2003-B -- Class A-2, Downgraded to Aa2 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A-3, Downgraded to A3 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A-4, Downgraded to A3 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Class B, Downgraded to Baa3 (sf); previously on May 26, 2011 Aa3 (sf) Placed Under Review for Possible Downgrade -- Class C, Downgraded to Caa1 (sf); previously on May 26, 2011 A3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Private Credit Student Loan Trust 2003-C -- Cl. A-2, Downgraded to Aa2 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa1 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Baa1 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Baa1 (sf); previously on Sep 1, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Baa3 (sf); previously on Sep 1, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Caa3 (sf); previously on Sep 1, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Private Credit Student Loan Trust 2004-A -- Cl. A-3, Downgraded to Aa1 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to A1 (sf); previously on Sep 1, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Baa3 (sf); previously on Sep 1, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Private Credit Student Loan Trust 2004-B -- Cl. A-4, Confirmed at Aaa (sf); previously on Sep 1, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B, Confirmed at Aa3 (sf); previously on Sep 1, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Baa1 (sf); previously on Sep 1, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Private Credit Student Loan Trust 2005-A -- Cl. A-3, Downgraded to Aa1 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Aa2 (sf); previously on Sep 1, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to A1 (sf); previously on Sep 1, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Baa1 (sf); previously on Sep 1, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Private Credit Student Loan Trust 2005-B -- Cl. A-2, Downgraded to Aa1 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Aa1 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Aa3 (sf); previously on Sep 1, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to A2 (sf); previously on Sep 1, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Baa2 (sf); previously on Sep 1, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Private Credit Student Loan Trust 2006-A -- Cl. A-4, Downgraded to Aa1 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Aa3 (sf); previously on Sep 1, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to A2 (sf); previously on Sep 1, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Confirmed at A3 (sf); previously on Sep 1, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Private Credit Student Loan Trust 2006-B -- Cl. A-4, Downgraded to Aa2 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Aa3 (sf); previously on Sep 1, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to A2 (sf); previously on Sep 1, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Baa1 (sf); previously on Sep 1, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Private Credit Student Loan Trust 2006-C -- Cl. A-4, Downgraded to Aa2 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to A1 (sf); previously on Sep 1, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to A2 (sf); previously on Sep 1, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Confirmed at Baa1 (sf); previously on Sep 1, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Private Credit Student Loan Trust 2007-A -- Cl. A-2, Downgraded to A1 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to A1 (sf); previously on May 26, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to A1 (sf); previously on Sep 1, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to A2 (sf); previously on Sep 1, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. C-1, Confirmed at Baa1 (sf); previously on Sep 1, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. C-2, Confirmed at Baa1 (sf); previously on Sep 1, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade TOYS R US: S&P Affirms Rating on Debentures-Backed Certs. at 'B' ---------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'B' rating on Corporate-Backed Trust Certificates Toys "R" Us Debentures-Backed Series 2001-31 Trust's $13.09 million class A-1 certificates. "At the same time, we removed our rating from CreditWatch, where we had placed it with positive implications on June 7, 2010," S&P said. "Our rating on the class A-1 certificates is dependent on our rating on the underlying security, Toys 'R' Us Delaware Inc.'s 8.75% debentures due Sept. 1, 2021 ('B')," S&P related. "The rating action follows our June 8, 2011, affirmation of our 'B' rating on the underlying security and its removal from CreditWatch with positive implications. We may take subsequent rating actions on the class A-1 certificates due to changes in our rating assigned to the underlying security," S&P added. WACHOVIA BANK: Moody's Affirms 16 CMBS Classes of WBCMT 2005-C21 ---------------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 16 classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-C21: -- Cl. A-3, Affirmed at Aaa (sf); previously on Nov 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-PB, Affirmed at Aaa (sf); previously on Nov 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Nov 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Nov 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-M, Affirmed at Aaa (sf); previously on Nov 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. IO, Affirmed at Aaa (sf); previously on Nov 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-J, Affirmed at Aa2 (sf); previously on Oct 28, 2010 Confirmed at Aa2 (sf) -- Cl. B, Affirmed at A1 (sf); previously on Oct 28, 2010 Confirmed at A1 (sf) -- Cl. C, Affirmed at A3 (sf); previously on Oct 28, 2010 Confirmed at A3 (sf) -- Cl. D, Affirmed at Baa3 (sf); previously on Oct 28, 2010 Downgraded to Baa3 (sf) -- Cl. E, Affirmed at Ba2 (sf); previously on Oct 28, 2010 Downgraded to Ba2 (sf) -- Cl. F, Affirmed at B1 (sf); previously on Oct 28, 2010 Downgraded to B1 (sf) -- Cl. G, Affirmed at Caa1 (sf); previously on Oct 28, 2010 Downgraded to Caa1 (sf) -- Cl. H, Affirmed at Caa3 (sf); previously on Oct 28, 2010 Downgraded to Caa3 (sf) -- Cl. J, Affirmed at Caa3 (sf); previously on Oct 28, 2010 Downgraded to Caa3 (sf) -- Cl. K, Affirmed at Ca (sf); previously on Oct 28, 2010 Downgraded to Ca (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 6.5% of the current balance, the same as at last review. Moody's stressed scenario loss is 18.9% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodology used in this rating was: "CMBS: Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. 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 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 34 compared to 33 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through 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. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Moody's Investors Service 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 May 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 29% to $2.32 billion from $3.25 billion at securitization. The Certificates are collateralized by 211 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 41% of the pool. Three loans, representing 2% of the pool, have defeased and are secured by U.S. Government securities. The pool contains two loans with investment grade credit estimates, representing 6% of the pool. Forty-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 (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, resulting in a realized loss of $25.6 million (43% loss severity). Currently ten loans, representing 4% of the pool, are in special servicing. The largest specially serviced loan is The Prescott Hotel & Postrio Restaurant Loan ($21.0 million -- 0.9% of the pool), which is secured by a 164-room boutique hotel located in San Francisco's Union Square neighborhood. The loan was transferred to special servicing in May 2009 due to monetary default. In March 2011, the sponsor paid all accrued principal and interest to bring the loan current. Moody's is not currently estimating a loss for the loan. The remaining nine specially serviced properties are secured by a mix of property types. Moody's estimates an aggregate $29.0 million loss for seven of the specially serviced loans (58% expected loss on average). Moody's has assumed a high default probability for two poorly performing loans representing 2% of the pool and has estimated an aggregate $9 million loss (20% expected loss based on a 50% probability default) for these troubled loans. Moody's was provided with full year 2010 operating results for 80% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 105% compared to 102% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 9% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.34X and 0.98X, respectively, compared to 1.41X and 1.00X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the Extra Space Teamsters Pool Loan ($92.4 million -- 4.0% of the pool), which is secured by 27 self-storage properties located across 16 states. The collateral is concentrated in California (23.2% of the net rentable area (NRA)), New Jersey (21.8%) and Virginia (10.1%) and has a weighted average age of 23 years. Performance has been stable since last review. Moody's credit estimate and stressed DSCR are Baa2 and 1.49X, the same as at last review. The second credit estimate in the pool is the Extra Space VRS Pool Loan ($52.1 million -- 2.2% of the pool), which is secured by 22 self storage properties located across 14 states. As of December 2010, the properties were 86% leased, compared to 82% at last review and 78% since securitization. Performance has been stable. Moody's credit estimate and stressed DSCR are Aa1 and 2.20X, compared to Aa1 and 2.10X at last review. The top three conduit loans represent 19.8% of the pool. The largest conduit loan is the NGP Rubicon GSA Pool(1) Loan ($192.2 million -- 8.3% of the pool), which represents a 50% pari passu interest in a $384.4 million 1st mortgage that is secured by 13 office properties and one distribution center. Rubicon REIT, the loan's sponsor, is now managed by an investor syndicate including Kaufman Jacobs, Starwood Capital Group and JP Morgan that recapitalized the sponsor subsequent to its January 2010 bankruptcy filing. The collateral is 90% leased to government tenants and has a strong occupancy history. Performance improved since last review due to an increase in occupancy. Moody's LTV and stressed DSCR are 98% and 0.95X, respectively, compared to 111% and 0.85X at last review. The second largest conduit loan is the Abbey Pool Loan ($141.5 million -- 6.1% of the pool), which is secured by the fee and leasehold interests in a portfolio of 20 retail, office, industrial and mixed use properties located in Southern California. The loan's amortization schedule included a 60 month interest only period that ended in June 2010. As of December 2010, the portfolio was 77% leased, compared to 85% a year earlier and 92% at securitization. Performance deteriorated due to the decrease in occupancy. Moody's LTV and stressed DSCR are 116% and 0.86X, respectively, compared to 112% and 0.89X at last review. The third largest conduit loan is the Metropolitan Square Loan ($125.5 million -- 5.4% of the pool), which is secured by a 42- story Class A tower located in the central business district of Saint Louis, Missouri. The collateral is also encumbered by a $25.5 million B-note held outside the trust. Performance of the collateral improved since last review due to an increase in occupancy to 75% in December 2010 from 70% a year earlier. Leases accounting for just 9% of the NRA expire within the next 24 months. Moody's A-note LTV and stressed DSCR are 126% and 0.77X, respectively, compared to 140% and 0.69X at last review. WACHOVIA BANK: S&P Lowers Rating on Class N Certs. to 'CCC+' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating to 'CCC+ (sf)' from 'B (sf)' on the class N commercial mortgage pass- through certificate from Wachovia Bank Commercial Mortgage Trust's series 2002-C1, a U.S. commercial mortgage-backed securities (CMBS) transaction. "Concurrently, we affirmed our ratings on 13 other classes from the same transaction," S&P said. S&P related, "Our rating actions follow our analysis, which included a review of the credit characteristics of all of the remaining loans in the transaction using our conduit/fusion CMBS criteria, the deal structure, and the liquidity available to the trust. We tempered our rating actions because, excluding the defeased loans and specially serviced assets, 10.9% and 58.2% of the loans (by balance) have anticipated repayment dates or final maturities in 2011 and 2012." "The downgrade of class N to 'CCC+ (sf)' reflects this class' susceptibility to future interest shortfalls and credit support erosion that we anticipate will occur following the resolution of the four specially serviced assets ($31.4 million, 5.2%) and two loans that we deemed to be credit-impaired ($3.4 million, 0.5%)," S&P continued. "The affirmed ratings on the 12 principal and interest certificates reflect subordination and liquidity support levels that are consistent with the outstanding ratings. We affirmed our rating on the class IO-I interest-only (IO) certificate based on our current criteria," S&P said. "Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.45x and a loan-to-value (LTV) ratio of 71.0%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 1.26x and an LTV ratio of 88.8%. The implied defaults and loss severity under the 'AAA' scenario were 20.5% and 28.3%, respectively. The DSC and LTV calculations exclude 28 defeased loans ($175.4 million, 28.8%), four specially serviced assets ($31.4 million, 5.2%), and two loans that we deemed to be credit-impaired ($3.4 million, 0.5%). We separately estimated losses for these specially serviced assets and credit-impaired loans, and included them in our 'AAA' scenario implied default and loss severity figures," noted S&P. Credit Considerations As of the May 16, 2011, trustee remittance report, four assets in the pool ($31.4 million, 5.2%) were with the special servicer, LNR Partners LLC (LNR). "One additional loan, which we deemed to be credit-impaired ($2.1 million, 0.3%), was transferred to the special servicer subsequent to the May 16, 2011, trustee remittance report. The payment status of the five specially serviced assets, is: one is a nonperforming matured balloon loan ($17.8 million, 2.9%), one is real estate owned (REO) ($6.8 million, 1.1%), and three are 30-days delinquent ($8.9 million, 1.5%). An appraisal reduction amount (ARA) of $3.9 million is in effect against one of the specially serviced assets," S&P related. Details of the five specially serviced assets, one of which is a top 10 loan secured by real estate, are: The Marketplace at Altamonte loan ($17.8 million, 2.9%) is the largest loan secured by real estate in the pool and the largest asset with the special servicer. The loan, secured by a 335,523- sq.-ft. anchored retail property in Altamonte Springs, Fla., was transferred to LNR on Oct. 13, 2010, due to payment default. In addition, the loan matured on April 1, 2011. According to LNR, the borrower has requested a principal reduction or discounted payoff. The special servicer reported a 1.14x DSC and an 88.0% occupancy for the six months ended June 30, 2010. S&P expects a moderate loss upon the eventual resolution of the loan. The Dana Corporation-Rochester Hills asset ($6.8 million, 1.1%), a 143,200-sq.-ft. industrial property in Rochester Hills, Mich., was transferred to LNR on Dec. 23, 2009, due to imminent default and became REO on Oct. 7, 2010. LNR has listed the property for sale and is currently evaluating offers. The special servicer reported a 0.82x DSC for the nine months ended Sept. 30, 2009. An ARA of $3.9 million, based on an updated Feb. 3, 2010, appraisal value of $4.2 million, is in effect against the asset's total exposure of $7.6 million. S&P expects a significant loss upon the eventual resolution of the loan. The Rustic Village Apartments loan ($5.8 million, 1.0%) is secured by a 292-unit multifamily apartment complex in Houston, Texas, and was transferred to LNR on Dec. 3, 2008, due to payment default. The reported payment status is 30 days delinquent; however, LNR indicated that the borrower is now current on its debt service payment. The borrower has requested for forbearance and LNR is currently monitoring the loan. S&P expects a moderate loss upon the eventual resolution of this loan. The 4116 Silver Star Road loan ($1.0 million, 0.2%) is secured by a 16,500-sq.-ft. industrial property in Orlando, Fla., and was transferred to LNR on Feb. 18, 2011, because the borrower failed to make payments into the tenant improvements and leasing commissions reserves. LNR indicated that it is proceeding with collections and reported DSC of 1.69x and 100% occupancy for the nine months ended Sept. 30, 2010. The reported payment status is 30 days delinquent. S&P expects a moderate loss upon the eventual resolution of the loan. The Park 2000-Building L loan ($2.1 million, 0.3%) is secured by a 29,670-sq.-ft. mixed-use property in Las Vegas. "We deemed this loan to be credit-impaired because the reported payment status is 30 days delinquent and because the loan was transferred to the special servicer subsequent to the May 16, 2011, trustee remittance report, due to imminent default. LNR is currently evaluating various workout strategies. The reported DSC and occupancy were 0.43x and a 56.0% for year-end 2010. We expect a moderate loss upon the eventual resolution of the loan," S&P noted. "In addition to the specially serviced assets, we determined the Twin Gardens Apartments loan ($1.3 million, 0.2%) to be credit- impaired. The loan is secured by a 40-unit multifamily property in Carmichael, Calif. The loan has been on the master servicer's watchlist since June 6, 2006. According to the master servicer, the property experienced a major fire at 12 of the units in the apartment complex on Aug. 25, 2010. The inspection following the fire reflects major deferred maintenance estimated to cost at least $1.4 million to remedy. The master servicer, Wells Fargo Bank N.A. (Wells Fargo), reported a 1.52x DSC for the six months ended June 30, 2010. Given the poor reported condition of the property, we consider this loan to be at an increased risk of default and loss," S&P said. Transaction Summary As of the May 16, 2011, trustee remittance report, the collateral pool balance was $609.5 million, which is 64.2% of the balance at issuance. The pool includes 115 loans and one REO asset, down from 156 loans at issuance. The master servicer, Wells Fargo, reported financial information for 65.5% of the nondefeased loans in the pool. "However, we received the operating statement analysis reports that showed 2009 or 2010 financial data for 97.0% of the nondefeased loans in the pool: 14.6% was partial- or full-year 2009 data and the remainder was partial- or full-year 2010 data. It is our understanding that the master servicer is researching this reporting discrepancy," S&P noted. According to S&P, "We calculated a weighted average DSC of 1.46x for the loans in the pool based on the servicer-reported figures. Our adjusted DSC and LTV ratio were 1.45x and 71.0%. Our adjusted DSC and LTV figures excluded 28 defeased loans ($175.4 million, 28.8%), four specially serviced assets ($31.4 million, 5.2%), and two loans that we deemed to be credit-impaired ($3.4 million, 0.5%). We separately estimated losses for these specially serviced assets and credit-impaired loans and included them in our 'AAA' scenario implied default and loss severity figures. The transaction has experienced $3.7 million in principal losses from four assets to date. Twenty-three loans ($109.3 million, 17.9%) in the pool are on the master servicer's watchlist, including two of the top 10 loans ($30.2 million, 5.0%) secured by real estate. Eight loans ($33.9 million, 5.6%) have a reported DSC of less than 1.00x. Summary of Top 10 Loans Secured by Real Estate The top 10 loans secured by real estate have an aggregate outstanding balance of $139.4 million (22.9%). "Using servicer- reported numbers, we calculated a weighted average DSC of 1.44x for the top 10 loans. Our adjusted DSC and LTV ratio for the top 10 real estate loans are 1.37x and 72.8%. While the largest loan is with the special servicer, two ($30.2 million, 5.0%) are on the master servicer's watchlist," S&P said. Details of these two loans are: The Broadmoor Towne Center loan ($16.9 million, 2.8%) is the second-largest loan in the pool and the largest loan on the master servicer's watchlist. The loan is secured by a 172,965-sq.-ft. anchored retail center in Colorado Springs, Colo. The loan was placed on the master servicer's watchlist after Borders Group Inc. (Borders), which comprised 14.1% of the net rentable area as of February 2011 filed for bankruptcy. According to the master servicer, Borders stopped paying rent in February 2011. Wells Fargo reported a 1.43x DSC for year-end 2010, and excluding Borders, 85.0% occupancy, according to the Feb. 2011, rent roll. The 19019 North 59th Avenue loan ($13.3 million, 2.2%) is the seventh-largest loan in the pool. The loan is secured by a 252,300-sq.-ft. mixed-use property in Glendale, Ariz., built in 1986. The loan is on the master servicer's watchlist because of its April 1, 2011, maturity. According to Wells Fargo, the loan was paid off on June 2, 2011. 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. Rating Lowered Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2002-C1 Rating Class To From Credit enhancement (%) N CCC+ (sf) B (sf) 3.62 Ratings Affirmed Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2002-C1 Class Rating Credit enhancement (%) A-4 AAA (sf) 34.85 B AAA (sf) 29.01 C AAA (sf) 21.99 D AAA (sf) 20.44 E AA+ (sf) 18.29 F AA (sf) 15.56 G A+ (sf) 13.42 H A- (sf) 10.89 J BBB+ (sf) 7.96 K BBB (sf) 7.19 L BB+ (sf) 5.55 M BB- (sf) 4.39 IO-I AAA (sf) N/A N/A -- Not applicable. WELLS FARGO: Fitch Assigns Final Ratings to WFRBS Trust ------------------------------------------------------- Fitch Ratings has assigned these ratings to Wells Fargo Bank, N.A. WFRBS Commercial Mortgage Trust 2011-C3 commercial mortgage pass- through certificates: -- $102,839,000 class A-1 'AAAsf/LS1'; Outlook Stable; -- $313,090,000 class A-2 'AAAsf/LS1'; Outlook Stable; -- $123,499,000 class A-3 'AAAsf/LS1'; Outlook Stable; -- $102,000,000 class A-3FL 'AAAsf/LS1'#; Outlook Stable; -- $556,955,000 class A-4 'AAAsf/LS1'; Outlook Stable; -- $1,198,383,000* class X-A 'AAAsf'; Outlook Stable; -- $41,573,000 class B 'AAsf/LS4'; Outlook Stable; -- $46,995,000 class C 'Asf/LS3'; Outlook Stable; -- $79,531,000 class D 'BBB-sf/LS3'; Outlook Stable; -- $21,690,000 class E 'BBsf/LS4'; Outlook Stable; -- $19,883,000 class F 'Bsf/LS4'; Outlook Stable. *Notional amount and interest only #Floating Rate Fitch does not rate the $247,630,393 interest-only class X-B, or the $37,958,393 class G. Since publication of the presale, the issuer created a floating rate class, A-3FL, from proceeds originally in class A-3. Wells Fargo Bank, N.A. will be the swap counterparty for the floating rate class A-3FL. In the event that any swap breakage costs are due to the swap counterparty from the trust, any breakage costs will only be paid after all payments on the class A-3FL certificates have been paid in full. WFRBS COMMERCIAL: Moody's Assigns Ratings to Twelve CMBS Classes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to twelve classes of CMBS securities, issued by WFRBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2011-C3. -- Cl. A-1, Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Definitive Rating Assigned Aaa (sf) -- Cl.A-3FL, Assigned Aaa (sf) -- Cl. A-4, Definitive Rating Assigned Aaa (sf) -- Cl. B, Definitive Rating Assigned Aa2 (sf) -- Cl. C, Definitive Rating Assigned A2 (sf) -- Cl. D, Definitive Rating Assigned Baa3 (sf) -- Cl. E, Definitive Rating Assigned Ba2 (sf) -- Cl. F, Definitive Rating Assigned B2 (sf) -- Cl. X-A, Definitive Rating Assigned Aaa (sf) -- Cl. X-B, Definitive Rating Assigned Aaa (sf) RATINGS RATIONALE The Certificates are collateralized by 73 fixed rate loans secured by 144 properties. The ratings are based on the collateral and the structure of the transaction. Moody's CMBS ratings methodology combines both commercial real estate and structured finance analysis. Based on commercial real estate analysis, Moody's determines the credit quality of each mortgage loan and calculates an expected loss on a loan specific basis. Under structured finance, the credit enhancement for each certificate typically depends on the expected frequency, severity, and timing of future losses. Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's LTV ratio. The Moody's Actual DSCR of 1.52X is higher than the 2007 conduit/fusion transaction average of 1.31X. The Moody's Stressed DSCR of 1.13X is higher than the 2007 conduit/fusion transaction average of 0.92X. Moody's Trust LTV ratio of 90.7% is lower than the 2007 conduit/fusion transaction average of 110.6%. Moody's Total LTV ratio (inclusive of subordinated debt) of 91.1% is also considered when analyzing various stress scenarios for the rated debt. Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. With respect to loan level diversity, the pool's loan level (includes cross collateralized and cross defaulted loans) Herfindahl Index is 25.7. The transaction's loan level diversity is higher than the band of Herfindahl scores found in most multi- borrower transactions issued since 2009. With respect to property level diversity, the pool's property level Herfindahl Index is 27.9. The transaction's property diversity profile is higher than the indices calculated in most multi-borrower transactions issued since 2009. Moody's also grades properties on a scale of 1 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 2.17, which is better than the indices calculated in most multi-borrower transactions since 2009. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating Fusion Transactions" published in April 2005. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website. Moody's analysis employs the excel-based CMBS Conduit Model v2.50 which derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level DSCR and LTV ratios. Major adjustments to determining proceeds include loan structure, property type, sponsorship and diversity. The V Score for this transaction is assessed as Low/Medium, the same as the V score assigned to the U.S. Conduit and CMBS sector. This reflects typical volatility with respect to the critical assumptions used in the rating process as well as an average disclosure of securitization collateral and ongoing performance. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling, and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 14%, or 23%, the model-indicated rating for the currently rated Aaa classes would be Aa1, Aa2, A1, respectively. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. 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. These ratings: (a) are based solely on information in the public domain and information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of, Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. WG HORIZONS: Moody's Cuts Down Ratings of Five Classes of Notes --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by WG Horizons CLO I: -- US$296,000,000 Class A-1 Floating Rate Notes Due 2019, Upgraded to Aa1 (sf); previously on September 28, 2009 Downgraded to Aa2 (sf); -- US$24,000,000 Class A-2 Floating Rate Notes Due 2019, Upgraded to A2 (sf); previously on September 28, 2009 Downgraded to A3 (sf); -- US$21,000,000 Class B Deferrable Floating Rate Notes Due 2019, Upgraded to Baa2 (sf); previously on September 28, 2009 Downgraded to Ba1(sf); -- US$16,000,000 Class C Floating Rate Notes Due 2019, Upgraded to Ba3 (sf); previously on September 28, 2009 Downgraded to B1(sf); -- US$12,000,000 Class D Floating Rate Notes Due 2019, Upgraded to Caa2 (sf); previously on September 28, 2009 Downgraded to Caa3 (sf). 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 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 April 20, 2011, the weighted average rating factor is currently 2372 compared to 2777 in the August 2009 report, and securities rated Caa1/CCC+ or lower make up approximately 1.6% of the underlying portfolio versus 8.0% in August 2009. Additionally, defaulted securities total about $9.1 million of the underlying portfolio compared to $16.0 million in August 2009. The overcollateralization ratios of the rated notes have also improved since the rating action in September 2009. The Class A, Class B, Class C and Class D overcollateralization ratios are reported at 119.5%, 112.1%, 107.1% and 103.6%, respectively, versus August 2009 levels of 116.6%, 109.4%, 104.5% and 101.1%, 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 $379.0 million, defaulted par of $10.7 million, a weighted average default probability of 25.2% (implying a WARF of 3183), a weighted average recovery rate upon default of 43.42%, and a diversity score of 70. 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. WG Horizons CLO I, issued on May 24, 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. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009 In addition to the base case analysis, Moody's also performed 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% (2546) Class A-1: +1 Class A-2: +3 Class B: +2 Class C: +3 Class D: +3 Moody's Adjusted WARF + 20% (3820) Class A-1: -2 Class A-2: -2 Class B: -2 Class C: -2 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 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 worse 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 level higher than the covenant levels due to the large difference between the reported and covenant levels. * Fitch Ratings Withdraws Ratings on 11 U.S. NIM Classes -------------------------------------------------------- Fitch Ratings has withdrawn the outstanding 'Csf/RR6' or 'Csf/RR5'ratings on 11 U.S. RMBS and small-balance CMBS Net Interest Margin (NIM) classes due to reduced market interest in the ratings of the affected classes. The affected NIM classes are generally receiving limited monthly interest payments and are not expected to receive any material amounts of principal in the future. All of the classes have been rated 'Csf/RR6' or 'Csf/RR5' for more than a year and, in some instances, as long as five years. NIM transactions are generally ultimate-pay structures and, as such, a default as evidenced by a principal writedown typically cannot occur until the maturity date of the underlying transaction, which is often 30 years from the closing date. All 11 classes would have been expected to remain at 'Csf/RR6' or 'Csf/RR5' until the maturity date had the ratings not been withdrawn. NIMs are securities backed by the excess cash flow that would otherwise go to the residual holder of an RMBS transaction. Excess cash flow occurs due to a higher weighted average coupon of the mortgage loans than the mortgage bonds. The excess cash flow is generally allowed to be distributed to the NIM classes when the underlying transaction's OC amount is at or above a specified target amount. In addition to excess cash flow, prepayment penalty cash flows and interest rate derivative cash flows are also often pledged to the NIM classes. Fitch has withdrawn the 'Csf/RR5' rating on this class: -- Lehman Brothers Small Balance Commercial Mortgage Trust NIM 2006-1 class N1 (CUSIP 50180EAA4). Fitch has withdrawn the 'Csf/RR6' rating on these classes: -- AMRESCO Securitized Net Interest Margin Trust 1999-1 class A (CUSIP 03216AAD3); -- New Century Home Equity Loan Trust 1999-1 class notes (CUSIP 628849AA9); -- Structured Asset Investment Loan Trust 2003-BC1 class B (CUSIP 80382QAE2); -- Lehman Brothers Small Balance Commercial Mortgage Trust NIMS 2005-2 class N2 (CUSIP 50180AAB0); -- Lehman Brothers Small Balance Commercial Mortgage Trust NIM 2006-1 class N2 (CUSIP 501802AC6); -- LBSBC NIM Company 2006-2 class N1 (CUSIP 50180GAA9); -- LBSBC NIM Company 2006-3 class N1 (CUSIP 50180YAA0); -- LBSBC NIM Company 2007-1 class N1 (CUSIP 501807AA9); -- LBSBC NIM Company 2007-2 class N1 (CUSIP 52109MAA0); -- LBSBC NIM Company 2007-3 class N1 (CUSIP 50181BAA9). These actions were reviewed by a committee of Fitch analysts. ********* 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. 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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. 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