/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/110703.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, July 3, 2011, Vol. 15, No. 182 Headlines ABACUS 2006-NS1: S&P Lowers Ratings on 7 Classes to 'CC' ACA ABS: Fitch Affirms Ratings on 5 Classes of Notes ARES X: S&P Raises Ratings on 2 Classes of Notes to 'B+' AXIS EQUIPMENT: DBRS Puts 'BB' Provisional Rating on Class D BANC OF AMERICA: Moody's Affirms 23 CMBS Classes of BACM 2006-1 BEAR STEARNS: Fitch Affirms Ratings on All Classes of Certs. BEAR STEARNS: Moody's Affirms 18 CMBS Classes of BSCMS 2004-PWR5 BEAR STEARNS: S&P Lowers Rating on Class V-A-2 Certs. to 'D' BLC CAPITAL: S&P Lowers Rating on Class B Notes to 'B+' C-BASS MORTGAGE: Fitch Affirms Asset-Backed Certificates CABELA'S CREDIT CARD: DBRS Puts 'BB' Provisional Rating on Class D CANADIAN CAPITAL: Moody's Assigns Definitive Ratings to Notes CAPITAL AUTO: S&P Raises Ratings on 8 Classes of Notes From 'BB' CAPITAL TRUST: Mood's Downgrades Rating of Housing Revenue Bonds CASTLE GARDEN: S&P Affirms Ratings on 2 Classes of Notes at 'B+' CDC COMM'L: Moody's Upgrades Three and Affirms 12 CMBS Classes CGCMT 2010-RR2: Moody's Affirms Ratings of Four CRE CDO Classes CITIGROUP COMMERCIAL: Fitch Takes Various Rating Actions COLLEGE LOAN TRUST-I: Fitch Affirms Sr., Upgrades Sub Bonds CREDIT SUISSE: Fitch Takes Various Rating Actions on CSFB 2001-CF2 CREDIT SUISSE: Fitch Downgrades Classes of CSFB 2001-CK1 CREDIT SUISSE: Fitch Takes Various Actions on CSFB 2004-C2 CS FIRST: Moody's Downgrades Two and Affirms Nine CMBS Classes CSFB MORTGAGE: Moody's Affirms 19 CMBS Classes of CSFB 2005-C1 CSFB MORTGAGE: S&P Lowers Ratings on 4 Classes of Certs. to 'D' CW CAPITAL: Moody's Affirms Nine and Downgrades Five CRE CDO Notes CWHEQ REVOLVING: Moody's Downgrades Rating of $1.1 Bil. RMBS DBUBS 2011-LC2: Moody's Assigns Definitive Ratings to 15 CMBS DEUTSCHE MORTGAGE: S&P Lowers Ratings on 9 Classes to 'B-' DLJ MTG: Moody's Withdraws Ratings on Two Transactions DUANE STREET: S&P Raises Rating on Class E Notes to 'BB-' EIRLES TWO: Moody's Upgrades Rating of Class C Notes to 'Ba1' EMPORIA PREFERRED: S&P Affirms Ratings on 2 Classes at 'BB' FORD CREDIT: Moody's Assigns Definitive Ratings to Notes FRANKLIN AUTO: Moody's Reviews Rating for Possible Upgrade G-STAR 2002-1: Fitch Affirms Ratings on 5 Classes GE CAPITAL: Moody's Affirms 14 CMBS Classes of GECMC 2001-2 GE COMMERCIAL: Moody's Affirms 17 CMBS Classes of GECMC 2003-C1 GLACIER FUNDING: Fitch Affirms Ratings on 4 Classes of Notes GMAC COMMERCIAL: Fitch Affirms & Upgrades GMAC 2000-C1 GMAC COMMERCIAL: Fitch Cuts Ratings on 2 Classes of GMAC 2001-C1 GMAC COMMERCIAL: Moody's Affirms 15 CMBS Classes of GMAC 2002-C2 GS MORTGAGE: Moody's Affirms 22 CMBS Classes of GSMS 2005-GG4 HELLER FINANCIAL: Moody's Affirms Rating of Five CMBS Classes HOMETOWN COMMERCIAL: Fitch Takes Various Rating Actions INDYMAC NIM: S&P Lowers Rating on Class NIM to 'CC' INDYMAC RESIDENTIAL: Moody's downgrades $133.7 Mil. Lot Loans RMBS INGRESS I LTD: Fitch Affirms Junior Notes at 'Csf' JER CRE CDO: Moody's Affirms Rating of Seven Classes of Notes JP MORGAN: Fitch Affirms Ratings on 9 Classes JP MORGAN: Moody's Affirms 11 CMBS Classes of SOVC 2007-C1 JP MORGAN: Moody's Affirms 15 CMBS Classes of JPMCC 2004-LN2 JP MORGAN: Moody's Affirms 22 CMBS Classes of JPMCC 2004-C2 JP MORGAN: S&P Gives 'B' Rating on Class H Certificates KEY COMMERCIAL: Fitch Takes Various Rating Actions MARIAH RE: S&P Lowers Rating on Series 2010-1 Notes to 'CCC+' MARQUETTE US/EUROPEAN: S&P Raises Ratings on 2 Classes to 'B' MASTER CREDIT: Moody's Puts Definitive Ratings on Class D Notes MASTR ASSET: Moody's Downgrades Rating of $80 Mil. Subprime RMBS MERRILL LYNCH: Fitch Affirms ML 1997-C2 Ratings MERRILL LYNCH: Fitch Takes Various Rating Actions MERRILL LYNCH: Moody's Upgrades Six Classes of MLMT 2004-MKB1 MEZZ CAP COMMERCIAL: Fitch Takes Various Rating Actions MORGAN STANLEY: Fitch Upgrades Capital I Trust 1999-RM1 Certs. MORGAN STANLEY: Fitch Rates Capital I Trust 2011-C1 Certificates MORGAN STANLEY: Fitch Rates Capital I Trust 2011-C2 Certificates MORGAN STANLEY: Fitch Takes Various Rating Actions MORGAN STANLEY: Moody's Affirms Eight CMBS Classes of 2007-XLF MORGAN STANLEY: Moody's Assigns Definitive Ratings to 11 CMBS MORGAN STANLEY: Moody's Downgrades Rating of Three CMBS Classes MORGAN STANLEY: S&P Withdraws 'CCC+' Ratings on 2 Classes of Notes MORTGAGE LOAN: S&P Raises Ratings on 7 Classes of Notes From 'CCC' MORTGAGES PLC: Fitch Affirms Ratings on All Tranches NELNET STUDENT LOAN: Fitch Removes Sub Note from Watch Neg. PAGE FIVE: S&P Gives 'B+' Rating on Class D Asset-Backed Notes PARKRIDGE LANE: Moody's Upgrades Ratings on Two Classes of Notes PROVIDENT FINANCING: Fitch Holds BB+ Rating on Jr. Sub. Securities RESI FINANCE LTD: Fitch Withdraws Ratings on All Classes SANTANDER DRIVE: DBRS Puts 'BB' Provisional Rating on Class E SOLAR INVESTMENT: Fitch Upgrades 3, Affirms 3 Classes SOLAR TRUST: DBRS Confirms Class G Rating at 'BB' SOVEREIGN COMM'L: Moody's Affirms 11 CMBS Classes of SOVC 2007-C1 STRUCTURED ASSET: Moody's Downgrades Ratings of 39 Tranches SUTTER CBO: S&P Raises Ratings on 2 Classes of Notes to 'B' TIAA REAL ESTATE: Fitch Downgrades 2, Affirms 3 Classes VENTURE III: S&P Raises Rating on Class C Notes to 'BB-' VERMEER FUNDING: Fitch Affirms Ratings on 4 Classes of Notes WACHOVIA BANK: Fitch Downgrades Two Non Pooled Classes ********* ABACUS 2006-NS1: S&P Lowers Ratings on 7 Classes to 'CC' -------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on 66 tranches from 50 corporate-backed synthetic collateralized debt obligation (CDO) transactions and removed 62 of them from CreditWatch with positive implications. "At the same time, we lowered our ratings on eight tranches from six corporate-backed synthetic CDO transactions, 51 tranches from 17 synthetic CDO transactions backed by commercial mortgage backed securities (CMBS), and seven tranches from two synthetic CDO transactions backed by residential mortgage-backed securities (RMBS). We removed 26 of the downgraded ratings from CreditWatch negative, and one rating remains on CreditWatch negative. In addition, we affirmed our ratings on 31 tranches from 14 corporate-backed synthetic CDOs," S&P related. "We raised our ratings on synthetic CDOs that experienced a combination of upward rating migration in their underlying reference portfolios, seasoning of their underlying reference obligations, and increases in their synthetic rated overcollateralization (SROC) ratios above 100% (at higher rating levels as of the June review and at our projection of the SROC ratios in 90 days assuming no credit migration)," S&P noted. "We lowered our ratings on synthetic CDOs that had experienced negative rating migration in their underlying reference portfolios," S&P related. "The affirmations reflect our opinion of the availability of sufficient credit support at the current rating levels," S&P said. "The rating actions followed our monthly review of U.S. synthetic CDO transactions," S&P added. Rating Actions ABACUS 2006-NS1 Ltd. Rating Class To From D CC (sf) CCC- (sf) E CC (sf) CCC- (sf) F CC (sf) CCC- (sf) G CC (sf) CCC- (sf) H CC (sf) CCC- (sf) J CC (sf) CCC- (sf) K CC (sf) CCC- (sf) ABACUS 2006-NS2 Ltd. Rating Class To From L CC (sf) CCC- (sf) M CC (sf) CCC- (sf) Alpha Financial Products Ltd. Series 1 Rating Class To From Series 1 B-p (sf) CCCp (sf)/Watch Pos Aphex Capital NSCR 2006-1 Ltd. Rating Class To From Notes B (sf) BB (sf)/Watch Neg Aphex Capital NSCR 2007-5 Ltd. Rating Class To From A-1FL CCC+ (sf) B- (sf)/Watch Neg A-1FX CCC+ (sf) B- (sf)/Watch Neg A-2 CCC- (sf) CCC (sf)/Watch Neg Arch One Finance Ltd. 2005-5 Rating Class To From ABBA B+ (sf) B (sf)/Watch Pos Bear Stearns High Grade Structured Credit Strategies Master Fund Ltd. Rating Class To From Unf Cr Def AA+ (sf) A (sf)/Watch Pos Calculus CMBS Resecuritization Trust Series 2007-1 Rating Class To From Units CCC- (sf) CCC (sf)/Watch Neg Calculus CMBS Resecuritization Trust Series 2007-2 Rating Class To From V Units CCC- (sf) CCC (sf)/Watch Neg Castle Finance I Ltd. Series 1 Rating Class To From Series 1 BBB+ (sf) BBB- (sf)/Watch Pos Castle Finance I Ltd. Series 2 Rating Class To From Series 2 BB (sf) B+ (sf)/Watch Pos Cloverie PLC Series 2007-25 Rating Class To From 2007-25 B- (sf) B- (sf) Cloverie PLC EUR100 mil floating-rate credit linked notes series 2007-44 Rating Class To From Notes CCC+ (sf) CCC+ (sf) Cloverie PLC EUR50 mil floating-rate credit linked notes series 2007-43 Rating Class To From Notes CCC+ (sf) CCC+ (sf) Credit and Repackaged Securities Ltd. Series 2006-4 Rating Class To From Notes B+ (sf) B- (sf)/Watch Pos Credit Default Swap $10.893 bil Swap Risk Rating - Portfolio CDS Ref No. SDB506546950 Rating Class To From Notes BB+srp (sf) BBsrp (sf)/Watch Pos Credit Default Swap $10.893 bil Swap Risk Rating - Portfolio CDS Ref No. SDB506546955 Rating Class To From Notes BB+srp (sf) BBsrp (sf)/Watch Pos Credit Default Swap $10.893 bil Swap Risk Rating - Portfolio CDS Ref No. SDB506547004 Rating Class To From Notes BB+srp (sf) BBsrp (sf)/Watch Pos Credit Default Swap $10.895 bil Swap Risk Rating - Portfolio CDS Ref No SDB506494104 Rating Class To From Notes BB+srp (sf) BBsrp (sf)/Watch Pos Credit Default Swap $10.895 bil Swap Risk Rating - Portfolio CDS Ref No. SDB506546935 Rating Class To From Notes BB+srp (sf) BBsrp (sf)/Watch Pos Credit Default Swap $10.895 bil Swap Risk Rating - Portfolio CDS Ref No. SDB506546943 Rating Class To From Notes BB+srp (sf) BBsrp (sf)/Watch Pos Credit Default Swap $10.896 bil Swap Risk Rating - Portfolio CDS Ref No. SDB506546906 Rating Class To From Notes BB+srp (sf) BBsrp (sf)/Watch Pos Credit Default Swap $187.5 mil Swap Risk Rating - Portfolio CDS Ref No. PYR_8631051_82386541_Zicavo Rating Class To From Swap Asrp (sf) BBB+srp (sf)/Watch Pos Credit Default Swap $2 bil Swap Risk Rating - Portfolio CDS Ref. No. NDG8F Rating Class To From Notes AAAsrp (sf) AAAsrp (sf) Credit Default Swap $225 mil Swap Risk Rating - "Paoli" Ref No. 64451 Rating Class To From Tranche BB+srp (sf) BBsrp (sf)/Watch Pos Credit Default Swap $300 mil Morgan Stanley Capital Services Inc. - ESP Funding I Ltd. REF: NGNGX Rating Class To From Tranche BB-srb (sf) B+srb (sf)/Watch Pos Credit Default Swap $500 mil Credit Default Swap - CRA700426 Rating Class To From Swap Asrp (sf) A-srp (sf)/Watch Pos Credit Default Swap $500 mil Credit Default Swap - CRA700436 Rating Class To From Swap Asrp (sf) A-srp (sf)/Watch Pos Credit Default Swap $561.8 mil J.P. Morgan Chase Bank N.A. - Lacrosse Financial Products LLC (Sequoia) J17558 (SEQUOIA) Rating Class To From Tranche A-srp (sf) BBB+srp (sf)/Watch Pos Credit-Linked Trust Certificates Series 2005-I Rating Class To From 2005-I-I BBB+ (sf) BBB (sf)/Watch Pos 2005-I-J BBB+ (sf) BBB- (sf)/Watch Pos Elva Funding PLC Series 2008-3 Rating Class To From Notes A- (sf) BBB+ (sf)/Watch Pos Greylock Synthetic CDO 2006 Series 1 Rating Class To From A1A-$LS BB+ (sf) BB (sf)/Watch Pos Greylock Synthetic CDO 2006 Series 4 Rating Class To From A1JPYLS BB+ (sf) BB (sf)/Watch Pos A3JPYFMS BB- (sf) B+ (sf)/Watch Pos Greylock Synthetic CDO 2006 Series 6 Rating Class To From A1A-$LMS BBB- (sf) BB+ (sf)/Watch Pos HARBOR SPC Series 2006-1 Rating Class To From B CCC (sf) CCC+ (sf)/Watch Neg C CCC- (sf) CCC (sf)/Watch Neg D CCC- (sf) CCC (sf)/Watch Neg HARBOR SPC Series 2006-2 Rating Class To From C CCC- (sf) CCC (sf)/Watch Neg D CCC- (sf) CCC (sf)/Watch Neg Jupiter Finance Ltd. Series 2007-002 Rating Class To From Port CrLkd BB- (sf) B+ (sf)/Watch Pos Landgrove Synthetic CDO SPC Series 2007-2 Rating Class To From 7A2 Sr CCC- (sf) CCC- (sf) A B (sf) B- (sf)/Watch Pos Lorally CDO Ltd. Series 2006-2 Rating Class To From 2006-2 BBB+ (sf) BBB- (sf)/Watch Pos Lorally CDO Ltd. Series 2006-4 Rating Class To From 2006-4 BBB+ (sf) BBB- (sf)/Watch Pos Lorally CDO Ltd. Series 2007-3 Rating Class To From 2007-3 BBB+ (sf) BBB (sf)/Watch Pos Maclaurin SPC 2007-2 Rating Class To From C CC (sf) CCC- (sf) D CC (sf) CCC- (sf) E CC (sf) CCC- (sf) F CC (sf) CCC- (sf) G CC (sf) CCC- (sf) H CC (sf) CCC- (sf) J CC (sf) CCC- (sf) Magnolia Finance II PLC Series 2007-5 Rating Class To From 2007-5 CC (sf) CCC- (sf) Momentum CDO (Europe) Ltd. Series 2005-9 Rating Class To From Notes B+ (sf) B (sf)/Watch Pos Morgan Stanley ACES SPC Series 2005-9 Rating Class To From Notes B (sf) CCC (sf)/Watch Pos Morgan Stanley ACES SPC Series 2006-13 Rating Class To From II CCC- (sf) CCC- (sf) Morgan Stanley ACES SPC Series 2006-35 Rating Class To From I B- (sf) CCC- (sf)/Watch Pos Morgan Stanley ACES SPC Series 2006-36 Rating Class To From A CCC- (sf) B+ (sf)/Watch Neg Morgan Stanley ACES SPC Series 2007-6 Rating Class To From IIA B (sf) BB- (sf)/Watch Neg IIIA CCC+ (sf) B+ (sf)/Watch Neg Morgan Stanley ACES SPC Series 2007-8 Rating Class To From IA CCC- (sf) CCC- (sf) Morgan Stanley ACES SPC Series 2007-35 Rating Class To From C BBB+ (sf) BBB- (sf)/Watch Pos Morgan Stanley ACES SPC Series 2008-7 Rating Class To From Notes BBB (sf)/Watch Neg BBB+ (sf)/Watch Neg Morgan Stanley ACES SPC Series 2008-8 Rating Class To From IA A (sf) A- (sf)/Watch Pos Morgan Stanley Managed ACES SPC Series 2005-1 Rating Class To From Jr Sup Sr A+ (sf) BBB+ (sf)/Watch Pos I A A- (sf) BBB (sf)/Watch Pos II A BB+ (sf) BB- (sf)/Watch Pos II B BB+ (sf) BB- (sf)/Watch Pos III A B+ (sf) B- (sf) III B B+ (sf) B- (sf) III C B+ (sf) B- (sf) III D B+ (sf) B- (sf) IV A CCC- (sf) CCC- (sf) IV B CCC- (sf) CCC- (sf) V B CCC- (sf) CCC- (sf) Morgan Stanley Managed ACES SPC Series 2006-4 Rating Class To From IA A- (sf) BBB (sf)/Watch Pos IB A- (sf) BBB- (sf)/Watch Pos II BB+ (sf) BB- (sf)/Watch Pos Morgan Stanley Managed ACES SPC Series 2006-8 Rating Class To From IA B (sf) CCC+ (sf)/Watch Pos Morgan Stanley Managed ACES SPC JPY1 bil, $225 mil Morgan Stanley Managed ACES SPC (Aviva) Series 2007-14 Rating Class To From IIIA CCC- (sf) CCC (sf)/Watch Neg Morgan Stanley Managed ACES SPC JPY1.5 bil Morgan Stanley Managed Aces SPC (Aviva) Series 2007-16 Rating Class To From IB BB- (sf) B+ (sf)/Watch Pos Morgan Stanley Managed ACES SPC $75 mil Morgan Stanley Managed ACES SPC (Aviva) Series 2007-12 Rating Class To From IIIA B- (sf) CCC- (sf)/Watch Pos Mt. Kailash Ltd. Rating Class To From Cr Link Ln BB (sf) BB- (sf)/Watch Pos Nomura International plc $1 bil NSCR 2006-1 Class A-1 Nomura Synthetic CMBS Resecuritization Rating Class To From Tranche BB- (sf) BB (sf)/Watch Neg Nomura International plc $1 bil NSCR 2006-2 2.75%-7% SCDO Rating Class To From Tranche Bsrp (sf) B+srp (sf)/Watch Neg North Street Referenced Linked Notes 2005-9 Ltd. Rating Class To From B AAA (sf) AA+ (sf)/Watch Pos C AA- (sf) AA- (sf) D BBB+ (sf) BBB+ (sf) E BB+ (sf) BB+ (sf) F CCC- (sf) CCC- (sf) North Street Referenced Linked Notes 2005-7 Ltd. Rating Class To From A CC (sf) CCC- (sf) B-1 CC (sf) CCC- (sf) B-2 CC (sf) CCC- (sf) C CC (sf) CCC- (sf) D CC (sf) CCC- (sf) E CC (sf) CCC- (sf) Omega Capital Investments PLC EUR274 mil, JPY20 mil, $160 mil Palladium CDO I Secured Floating Rate Notes Series 19 Rating Class To From S-1E BB+ (sf) BB- (sf)/Watch Pos Pegasus 2006-1 Ltd. Rating Class To From A1 BB (sf) A+ (sf)/Watch Neg A2 BB (sf) BBB+ (sf)/Watch Neg Prism Colgate Orso Trust Rating Class To From CL AA+ (sf) AA (sf)/Watch Pos REVE SPC EUR15 mil, JPY3 bil, $81 mil REVE SPC Segregated Portfolio of Dryden XVII Notes Series 34, 36, 37, 38, 39, & 40 Rating Class To From Series 37 B- (sf) B+ (sf)/Watch Neg Series 40 B (sf) B+ (sf)/Watch Neg REVE SPC EUR50 mil, JPY3 bil, $154 mil REVE SPC Dryden XVII Notes Series 2007-1 Rating Class To From JSS Ser23 BB+ (sf) BB (sf)/Watch Pos A Series 4 BB- (sf) B+ (sf)/Watch Pos A Series 7 BB- (sf) B+ (sf)/Watch Pos A Series 9 BB- (sf) B+ (sf)/Watch Pos A Series18 B+ (sf) B (sf)/Watch Pos Rutland Rated Investments Series 13 Rating Class To From Series 13 B- (sf) BB+ (sf)/Watch Neg Rutland Rated Investments EUR5 mil, $197 mil Dryden XII - IG Synthetic CDO 2006-1 Rating Class To From A1A-$LS B+ (sf) B (sf)/Watch Pos A1B-$LCS B+ (sf) B (sf)/Watch Pos A2-$LS CCC (sf) CCC (sf) A3-$FS CCC- (sf) CCC- (sf) A3-$LS CCC- (sf) CCC- (sf) A3A-$LS CCC- (sf) CCC- (sf) A3B-$LS CCC- (sf) CCC- (sf) A3C-$LS CCC- (sf) CCC- (sf) A5-$LS CCC- (sf) CCC- (sf) A7-$LS CCC- (sf) CCC- (sf) A7B-$FS CCC- (sf) CCC- (sf) A7B-$LS CCC- (sf) CCC- (sf) A7-ELS CCC- (sf) CCC- (sf) B1-$LS CCC- (sf) CCC- (sf) B1B-$LS CCC- (sf) CCC- (sf) Rutland Rated Investments $90 mil Rutland Rated Investments - Series 56 (Vertical Milbrook 2007-1) USD 90,000,000 Asset-Backed Securities Class A-1 Variable Rate Credit- Linked Notes Rating Class To From Series 56 CC (sf) CCC- (sf) SPGS SPC Series MSC 2006-SRR1-B Rating Class To From B CC (sf) CCC- (sf) B-S CC (sf) CCC- (sf) SPGS SPC Series MSC 2007-SRR4 Rating Class To From 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) H CC (sf) CCC- (sf) J CC (sf) CCC- (sf) K CC (sf) CCC- (sf) L CC (sf) CCC- (sf) M CC (sf) CCC- (sf) N CC (sf) CCC- (sf) O CC (sf) CCC- (sf) STARTS (Cayman) Ltd. Series 2006-2 Rating Class To From A1-D1 B- (sf) CCC- (sf)/Watch Pos STARTS (Cayman) Ltd. Series 2006-5 Rating Class To From A2-D2 BB+ (sf) BB (sf)/Watch Pos STARTS (Cayman) Ltd. Series 2007-5 Rating Class To From Notes B+ (sf) B (sf)/Watch Pos STARTS (Ireland) PLC Series 2006-20 Rating Class To From A1-E1 B- (sf) CCC- (sf)/Watch Pos STEERS Credit Linked Trust, Bespoke Credit Tranche Series 2005-9 Rating Class To From Trust Cert BB+ (sf) BBB (sf)/Watch Neg STEERS High-Grade CMBS Resecuritization Trust Series 2006-1 2 3 Rating Class To From 2006-1 BBB- (sf) BBB (sf)/Watch Neg 2006-2 BB- (sf) BB (sf)/Watch Neg 2006-3 BB- (sf) BB (sf)/Watch Neg Steers Lasso Trust Series 2007-1 Rating Class To From Tranche BB+ (sf) BB+ (sf) Steers Lasso Trust, Series 2007-A Rating Class To From Tranche BB (sf) BB (sf) Structured Investments Corp. III $8.1 mil USD 8,100,000 SIC III Series 2007-2 Laguna Seca Notes Due 2047 Rating Class To From 2007-2 CC (sf) CC (sf) Terra CDO SPC Ltd. Series 2007-7 Rating Class To From A-1 BB- (sf) B+ (sf)/Watch Pos White Knight Investment Trust Rating Class To From 1 B- (sf) B- (sf) ACA ABS: Fitch Affirms Ratings on 5 Classes of Notes ---------------------------------------------------- Fitch Ratings has affirmed five classes of notes issued by ACA ABS 2004-1, Ltd. (ACA ABS 2004-1) and revised an Outlook on one class. The rating actions are: -- $22,899,752 class A-1 notes affirmed at 'Asf/LS5'; Outlook revised to Stable from Negative; -- $49,500,000 class A-2 notes affirmed at 'Bsf/LS4'; Outlook Negative; -- $47,250,000 class B notes affirmed at 'Csf'; -- $15,002,866 class C-1 affirmed at 'Csf'; -- $2,449,447 class C-2 affirmed at 'Csf'. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model (SF PCM) for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis'. 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 July 2010, the credit quality of the underlying collateral has declined further, with approximately 44.7% of the portfolio downgraded a weighted average of 3.7 notches and 8.8% of the portfolio upgraded a weighted average of 4 notches. Approximately 64.9% of the current portfolio has a Fitch derived rating below investment grade and 48.9% has a rating in the 'CCC' rating category or lower, compared to 65.5% and 44.1% respectively, at last review. The affirmations of the class A-1 and class A-2 notes are due to amortization of the capital structure offsetting the deterioration in the portfolio. Since the last review, the class A-1 notes have received $12.2 million, or 34.7% of its previous review balance, in principal distributions. This has increased credit enhancement levels sufficiently to mitigate the increased risk in the underlying portfolio. Fitch has revised the Outlook to Stable on the class A-1 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. However, Fitch maintains a Negative Outlook for the class A-2 notes which is projected to be more sensitive to credit losses under Fitch's rising interest rate scenarios. The Loss Severity (LS) ratings of 'LS5' and 'LS4' for class A-1 and class A-2 respectively 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. Breakeven levels for the class B, class C-1, and class C-2 notes were below SF PCM's 'CCC' default level, the lowest level of defaults projected by SF PCM. For these classes, Fitch compared the respective credit enhancement levels of the classes to the expected losses from the distressed and defaulted assets in the portfolio (rated 'CCsf' or lower). This comparison indicates that default continues to appear inevitable for the notes at or prior to maturity. ACA ABS 2004-1 is a structured finance collateralized debt obligation (SF CDO) that closed on May 27, 2004 and is monitored by Solidus Capital, LLC. The portfolio is composed of residential mortgage-backed securities (56.2%), SF CDOs (17.3%), real estate investment trusts (11.4%), corporate collateralized debt obligations (8.4%), and asset-backed securities (6.7%), from 2002 through 2004 vintage transactions. ARES X: S&P Raises Ratings on 2 Classes of Notes to 'B+' -------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on all notes from Ares X CLO Ltd., a collateralized loan obligation (CLO) transaction and removed them from CreditWatch, where S&P placed them with positive implications on March 30, 2011. The CLO is in its amortization phase, and all principal proceeds are being used to pay down the notes in a sequential order. Due to paydowns, the class A-1, A-2, and A-3 notes are currently at 63.40% of their original balance. "As a result, all par value ratios (i.e., overcollateralization) increased from the levels reported in the February 2010 monthly trustee report, which we referenced when we last downgraded the class D notes in March 2010 following the application of our September 2009 corporate collateralized debt obligation (CDO) criteria," S&P said. The trustee reported these ratios in the May 20, 2011, monthly report: The class A/B par value test was 129.3%, compared with a reported ratio of 117.6% in February 2010; The class C par value test was 118.3%, compared with a reported ratio of 110.5% in February 2010; and The class D par value test was 105.7%, compared with a reported ratio of 101.9% in February 2010. In addition, the May 2011 monthly report indicates that the transaction's defaulted assets declined to $3.4 million par, down from $11.158 million in February 2010. "Due to the increase in credit support, we raised all the ratings of all tranches and removed them from CreditWatch. 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," S&P added. Rating and CreditWatch Actions Ares X CLO Ltd. Rating Class To From A-1 AAA (sf) AA (sf)/Watch Pos A-2 AAA (sf) AA (sf)/Watch Pos A-3 AAA (sf) AA (sf)/Watch Pos B AA+ (sf) A+ (sf)/Watch Pos C-1 A (sf) BBB- (sf)/Watch Pos C-2 A (sf) BBB- (sf)/Watch Pos D-1 B+ (sf) CCC- (sf)/Watch Pos D-2 B+ (sf) CCC- (sf)/Watch Pos AXIS EQUIPMENT: DBRS Puts 'BB' Provisional Rating on Class D ------------------------------------------------------------ DBRS has assigned provisional ratings to these classes issued by Axis Equipment Finance Receivables LLC: -- Class A rated AA (sf) -- Class B rated A (sf) -- Class C rated BBB (sf) -- Class D rated BB (sf) -- Class E-1 rated B (sf) BANC OF AMERICA: Moody's Affirms 23 CMBS Classes of BACM 2006-1 --------------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 23 CMBS classes of Banc of America Commercial Mortgage Inc., Commercial Pass-Through Certificates, Series 2006-1: Cl. A-2, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-3A, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-3B, 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-1A, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-SBFL, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-M, Affirmed at Aa1 (sf); previously on Nov 4, 2010 Downgraded to Aa1 (sf) Cl. A-J, Affirmed at Baa1 (sf); previously on Nov 4, 2010 Downgraded to Baa1 (sf) Cl. B, Affirmed at Baa2 (sf); previously on Nov 4, 2010 Downgraded to Baa2 (sf) Cl. C, Affirmed at Ba1 (sf); previously on Nov 4, 2010 Downgraded to Ba1 (sf) Cl. D, Affirmed at B3 (sf); previously on Nov 4, 2010 Downgraded to B3 (sf) Cl. E, Affirmed at Caa1 (sf); previously on Nov 4, 2010 Downgraded to Caa1 (sf) Cl. F, Affirmed at Caa2 (sf); previously on Nov 4, 2010 Downgraded to Caa2 (sf) Cl. G, Affirmed at Ca (sf); previously on Nov 4, 2010 Downgraded to Ca (sf) Cl. H, Affirmed at C (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) Cl. K, Affirmed at C (sf); previously on Nov 4, 2010 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Nov 4, 2010 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Nov 4, 2010 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Nov 4, 2010 Downgraded to C (sf) Cl. O, Affirmed at C (sf); previously on Nov 4, 2010 Downgraded to C (sf) Cl. XC, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. XP, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 7.9% of the current pooled balance as compared to 9.8% at last review. Although the current cumulative base expected loss is less than at last review, the pool has experienced a $37.9 million increase in realized losses since last review. The current cumulative base expected loss plus realized losses is 9.9% compared to 9.8% at last review. Moody's current base expected loss plus realized losses is 9.9% of the pooled balance as compared to 9.8% at last review. Moody's stressed scenario loss is 17.7% of the current pooled 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 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 45 compared to 50 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 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. DEAL PERFORMANCE As of the June 10, 2011 distribution date, the transaction's aggregate certificate balance has decreased by approximately 9% to $1.9 billion from $2.04 billion at securitization. The Certificates are collateralized by 186 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 37% of the pool. Two loans, representing 10% of the pool, have an investment grade credit estimate. The pool does not contain any defeased loans. Fifty loans, representing 18% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Four loans have been liquidated from the pool resulting in an aggregate $40 million realized loss (67% average severity). Twenty-three loans, representing 13% of the pool, are currently in special servicing. The largest specially serviced loan is the Fairmont Sonoma Mission Inn & Spa Loan ($55 million -- 3.0% of the pool), which is secured by a 226 room full service hotel located in Sonoma, California. The loan transferred to special servicing in November 2010 ahead of its February 2011 maturity. The property was appraised for $85.1 million in January 2011, however, the borrower was unable to secure refinancing with reasonable terms. The servicer and borrower are negotiating a loan modification, which is expected to close in July. The servicer has not recognized an appraisal reduction for this asset and Moody's does not currently estimate a loss. The remaining specially serviced loans are secured by a mix of commercial and multifamily properties. The servicer has recognized an aggregate $58 million appraisal reduction for the specially serviced loans. Moody's estimated a $70 million loss (40% expected loss based on a 81% probability of default) for the specially serviced loans. Moody's has assumed a high default probability for twenty-two poorly performing loans representing 10% of the pool and has estimated an aggregate $27 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Based on the most recent remittance statement, Classes J through NR have experienced cumulative interest shortfalls totaling $4.6 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the exposure to specially serviced and troubled 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 full or partial year 2010 operating results for 88% and 78% of the pool's loans, respectively. Excluding specially serviced and troubled loans, Moody's conduit weighted average LTV is 101% compared to 104% at Moody's last review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Excluding specially serviced and troubled loans, Moody's actual and stressed conduit DSCR are 1.32X and 1.31X, respectively, compared to 1.03X and 1.06X 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 Kinder Care Portfolio Loan ($141 million -- 7.6% of the pool), which is secured by 713 childcare facilities located in 37 states. The portfolio is geographically diverse as no state accounts for more than 12% of the portfolio. The loan represents a pari passu interest in a $623 million first mortgage loan. Moody's current credit estimate and stressed DSCR are A3 and 1.89X, respectively, compared to A3 and 1.86X at Moody's last full review. The second largest loan with a credit estimate is the Torre Mayor Loan ($52 million -- 2.8% of the pool), which is secured by an 829,000 SF Class A office building located in Mexico City, Mexico. The collateral is the second tallest building in Latin America. The loan represents a 50% pari passu interest in a $105 million senior note. There is also a subordinate $20 million note held outside the trust. The property was 99% leased as of February 2011. Moody's current credit estimate and stressed DSCR are A1 and 2.43X, respectively, compared to A1 and 1.94X at last review. The top three performing conduit loans represent 15% of the pool balance. The largest loan is the Miracle Mile Shops Loan ($128 million -- 6.9% of the pool), which was formerly known as the Desert Passage Loan. The loan is secured by a 500,000 SF specialty retail and entertainment center and is adjoined to the Planet Hollywood Resort and Casino in Las Vegas, Nevada. The loan represents a 33% pari passu interest in a $383 million first mortgage loan. The property was 92.5% leased as of February 2011 compared to 91% at last review. Moody's LTV and stressed DSCR are 97% and 0.98X, respectively, compared to 108% and 0.90X at last review. The second largest loan is the Waterfront at Port Chester Loan ($104 million -- 5.6% of the pool), which is secured by the borrower's interest in a 500,000 SF retail center located in Port Chester, New York. The collateral was 93% leased according to a July 2010 property inspection, compared to 100% at last review. Moody's was not provided updated financial information for this loan. Moody's analysis utilized a stressed cash flow to the 2009 financials to account for the lack of current financial information. Moody's LTV and stressed DSCR are 113% and 0.79X, respectively, compared to 113% and 0.81X at last review. The third largest conduit loan is the Medical Mutual Headquarters Loan ($51 million -- 2.8% of the pool), which is secured by a 381,000 SF office in Cleveland, Ohio. Medical Mutual of Ohio (MMO) has been a tenant at the collateral since 1947. In 1990 a $21 million renovation was completed to convert the office from multi-tenant to single tenant use. The property has served as MMO's headquarters since 1990. MMO leases the space through September 2020. Moody's LTV and stressed DSCR are 106% and .92X, respectively, compared to 110% and .91X at last review. BEAR STEARNS: Fitch Affirms Ratings on All Classes of Certs. ------------------------------------------------------------ Fitch Ratings has affirmed the ratings for Bear Stearns Commercial Mortgage Securities Trust's commercial mortgage pass-through certificates, series 1998-C1. In addition, Fitch has revised the Loss Severity (LS) ratings and assigned Ratings Outlooks as applicable. The affirmations are a result of the pool's stable performance. As of the June 2011 distribution date, the pool's certificate balance has paid down 79.88% to $143.8 million from $714.7 million at issuance. There are 28 of the original 149 loans remaining in the transaction. Thirteen loans (57.9% of the pool balance) are defeased, including six (47.9%) of the top 10 loans. There are no specially serviced loans as of the June 2011 remittance report. Fitch expects minimal losses to the remaining pool balance. Any incurred losses are expected to be absorbed by the non-rated class I. Fitch has identified one Loan of Concern. The loan (1.06%) is secured by a 29,343 square foot (sf) office property in Walnut Creek, CA. The property has experienced cash flow issues due to occupancy declines. The April 2011 rent roll reported occupancy at 67%, compared to 95% at issuance. In addition, lease rollover in 2011 reports at 27% of the rentable square footage. Debt service coverage ratio as of year end December 2010 was 1.58 times (x). Fitch stressed the cash flow of the remaining non-defeased loans by applying a 5% reduction to 2010 fiscal YE net operating income, and applying an adjusted market cap rate between 8.0% and 9.5% to determine value. The non-defeased loans also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. All five of the non-defeased loans are considered to pay off at maturity, and could refinance to a DSCR above 1.25x. The current weighted average DSCR for the fifteen non-defeased loans is 2.03x. Of the 28 remaining loans in the pool, one (6.1%) is scheduled to mature in 2012, and 27 (93.9%) in 2013. Fitch affirms these classes, and assigns Outlooks and Loss Severity (LS) ratings: -- $32.1 million class B at 'AAA/LS1'; Outlook Stable; -- $32.2 million class C at 'AAA/LS1'; Outlook Stable; -- $32.2 million class D at 'AAA/LS1'; Outlook Stable; -- $8.9 million class E at 'AAA'; LS to 'LS2' from 'LS5'; Outlook Stable; -- $12.5 million class F at 'A'; LS to 'LS2' from 'LS5'; Outlook Stable from Negative; -- $5.4 million class H at 'BB+/LS5'; Outlook Stable from Negative. Classes G, I, J and K are not rated by Fitch. Due to realized losses classes J and K have been reduced to zero, and class I has been reduced to $8.0 million from $16.9 million at issuance. Classes A-1 and A-2 have paid in full. Fitch withdraws the rating on the interest-only class X. BEAR STEARNS: Moody's Affirms 18 CMBS Classes of BSCMS 2004-PWR5 ---------------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 18 classes of Bear Stearns Commercial Mortgage Securities Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-PWR5: Cl. A-3, Affirmed at Aaa (sf); previously on Nov 8, 2004 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Nov 8, 2004 Definitive Rating Assigned Aaa (sf) Cl. A-5, Affirmed at Aaa (sf); previously on Nov 8, 2004 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Nov 8, 2004 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed at Aa3 (sf); previously on Nov 8, 2004 Definitive Rating Assigned Aa3 (sf) Cl. D, Affirmed at A2 (sf); previously on Nov 8, 2004 Definitive Rating Assigned A2 (sf) Cl. E, Affirmed at A3 (sf); previously on Nov 8, 2004 Definitive Rating Assigned A3 (sf) Cl. F, Affirmed at Baa3 (sf); previously on Apr 28, 2010 Downgraded to Baa3 (sf) Cl. G, Affirmed at Ba1 (sf); previously on Apr 28, 2010 Downgraded to Ba1 (sf) Cl. H, Affirmed at Ba3 (sf); previously on Apr 28, 2010 Downgraded to Ba3 (sf) Cl. J, Affirmed at B2 (sf); previously on Apr 28, 2010 Downgraded to B2 (sf) Cl. K, Affirmed at B3 (sf); previously on Apr 28, 2010 Downgraded to B3 (sf) Cl. L, Affirmed at Caa1 (sf); previously on Apr 28, 2010 Downgraded to Caa1 (sf) Cl. M, Affirmed at Caa2 (sf); previously on Apr 28, 2010 Downgraded to Caa2 (sf) Cl. N, Affirmed at Caa3 (sf); previously on Apr 28, 2010 Downgraded to Caa3 (sf) Cl. P, Affirmed at Ca (sf); previously on Apr 28, 2010 Downgraded to Ca (sf) Cl. X-1, Affirmed at Aaa (sf); previously on Nov 8, 2004 Definitive Rating Assigned Aaa (sf) Cl. X-2, Affirmed at Aaa (sf); previously on Nov 8, 2004 Definitive Rating Assigned Aaa (sf) RATINGS RATIONALE 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 2.8% of the current balance. At last review, Moody's cumulative base expected loss was 2.5%. Moody's stressed scenario loss is 7.4% 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 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 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 March 9, 2011. 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 June 13, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 23% to $951.4 million from $1.23 billion at securitization. The Certificates are collateralized by 113 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 27% of the pool. The pool contains one loan with an investment grade credit estimate that represents 1% of the pool. Eight loans, representing 19% of the pool, have defeased and are collateralized with U.S. Government securities. Thirty loans, representing 26% 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 an aggregate realized loss of $2.3 million (55% loss severity overall). Two loans, representing 2% of the pool, are currently in special servicing. The master servicer has recognized a $7.5 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate $7.5 million loss (40% expected loss) for the specially serviced loans. Moody's has assumed a high default probability for nine poorly performing loans representing 4% of the pool and has estimated a $5.7 million aggregate loss (15% expected loss based on a 30% probability default) from these troubled loans. Moody's was provided with full year 2010 and partial year 2011 operating results for 92% and 40% of the pool's non-defeased performing loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 80% compared to 81% 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 9.2%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.54X and 1.35X, respectively, compared to 1.54X and 1.34X 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. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 32 compared to 35 at Moody's prior review. The loan with a credit estimate is the New Castle Marketplace Loan ($10.4 million -- 1.1% of the pool), which is secured by a 300,000 square foot (SF) retail center located in New Castle, Delaware. The loan amortizes on a 15-year schedule and has amortized 35% since securitization. Performance has been stable. Moody's current credit estimate and stressed DSCR are Aaa and 3.32X, respectively, compared to Aaa and 3.22X at last review. The top three performing loans represent 18% of the pool balance. The largest loan is the 2941 Fairview Park Drive Loan ($68.6 million -- 7.2% of the pool), which is secured by a 353,000 SF Class A office building located in Falls Church, Virginia. The property was 99% leased as of December 2010, the same as at last review. The largest tenants are General Dynamics Corporation (Moody's senior unsecured rating A2, stable outlook) which leases 49% of the net rentable area (NRA) through March 2019 and Howrey LLP, which leases 21% of the NRA through December 2016. Performance is stable. Moody's LTV and stressed DSCR are 76% and 1.21X, respectively, compared to 77% and 1.19X at last review. The second largest loan is The Summit Louisville Loan ($54.8 million -- 5.8% of the pool), which is secured by a 341,000 SF retail complex located in Louisville, Kentucky. The property was 98% leased as of December 2010, similar to at last review. The loan is on the master servicer's watchlist due to pending loan maturity. This loan is interest-only for its entire seven year term and matures in June 2011. Although property performance has been stable since securitization, Moody's analysis reflects a stressed cash flow due to a challenged refinance environment and Moody's concerns about tenant rollover. Moody's LTV and stressed DSCR are 94% and 1.04X, respectively, compared to 89% and 1.09X at last review. The third largest performing loan is the Reisterstown Plaza Loan ($45.8 million -- 4.8%), which is secured by a 800,000 SF anchored community shopping center located in Baltimore, Maryland. The center incorporates a mix of office space, big box anchors, enclosed inline retail space and outparcel pads. Performance has declined since securitization due to increased vacancy but remains stable since last review. The property was 82% leased as of September 2010. Moody's analysis reflects a stressed cash flow due to a challenged refinance environment. The Moody's LTV and stressed DSCR are 89% and 1.10X, respectively, compared to 86% and 1.14X at last review. BEAR STEARNS: S&P Lowers Rating on Class V-A-2 Certs. to 'D' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' on six classes of mortgage pass-through certificates from six U.S. residential mortgage-backed securities (RMBS) transactions issued between 2004 and 2007. "We removed our rating on one of these classes from CreditWatch negative. In addition, we placed our rating on another class from one of the affected transactions on CreditWatch negative. We also withdrew our rating on class P from Home Equity Mortgage Trust 2004-6 because it has been paid in full," S&P stated. "The six downgrades reflect our assessment of principal write downs to the affected classes during recent remittance periods. Prior to the rating actions, we had rated two of the classes 'B (sf)' and 'B- (sf)', with the remaining four downgraded classes previously rated 'CC (sf)'. Additionally, we placed one other rating on CreditWatch negative because the class is within a loan group that includes a class that defaulted from a 'B-' rating or higher," S&P noted. The defaulted classes are backed by resecuritized residential mortgage investment conduit (re-REMIC), closed-end second-lien, and Alternative-A mortgage loan collateral. A combination of subordination, excess spread, and overcollateralization provide credit enhancement. "We expect to resolve our CreditWatch placement after we complete our review of the underlying credit enhancement. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs, and it will adjust its ratings as it considers appropriate in accordance with its criteria," S&P added. Rating Actions Bear Stearns ARM Trust 2007-1 Series 2007-1 Rating Class CUSIP To From V-A-2 073880AP1 D (sf) CC (sf) Bear Stearns Structured Products Inc. Trust 2007-R8 Series 2007-R8 Rating Class CUSIP To From IV-A-2 07402PAH6 D (sf) CC (sf) Home Equity Mortgage Trust 2004-6 Series 2004-6 Rating Class CUSIP To From M-2 22541S3C0 A+ (sf)/Watch Neg A+ (sf) M-3 22541S3D8 D (sf) B (sf) P 22541S3J5 NR AAA (sf) HomeBanc Mortgage Trust 2006-1 Series 2006-1 Rating Class CUSIP To From 4-A-2 43739ECU9 D (sf) B- (sf)/Watch Neg Merrill Lynch Alternative Note Asset Trust Series 2007-OAR5 Series 2007-OAR5 Rating Class CUSIP To From M-1 590227AD6 D (sf) CC (sf) Residential Asset Securitization Trust 2006-A14CB Series 2006-A14CB Rating Class CUSIP To From PO 76114BAM0 D (sf) CC (sf) NR -- Not rated. BLC CAPITAL: S&P Lowers Rating on Class B Notes to 'B+' ------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 10 tranches from BLC Capital Corp.'s series 2002-A, Business Loan Express Business Loan Backed Notes Series 2004-A, Business Loan Express Business Loan Backed Notes Series 2005-A, and Business Loan Express Business Loan Trust 2003-A. "At the same time, we removed all of the ratings from CreditWatch with negative implications, where we had initially placed them on April 4, 2011," S&P said. "Our downgrades reflect our view that the 10 tranches can no longer withstand our stress tests at the previous rating levels as a result of deteriorating credit performance. This is evidenced by a combination of rising delinquencies, increasing cumulative net losses, and decreasing recoveries in the loan portfolios. Consequently, we lowered our ratings to levels that, in our opinion, are commensurate with the stresses they can withstand," S&P noted. All four deals are asset-backed securities transactions that are collateralized primarily by a pool of small business development loans that are not insured or guaranteed by any governmental agency. The vast majority of the loans are secured by first-lien, multipurpose commercial real estate. BLC Capital Corp. series 2002-A The credit support for the class A and B notes is provided by a combination of subordination, a reserve account, and excess spread. As of April 20, 2011, BLC 2002-A's loan pool had a pool factor of 10.62%; the securitized loan balance was $10.62 million; the class A note balance was $9.56 million and the class B note balance was $1.06 million; and the reserve account balance was $2.01 million, which was lower than the reserve account requirement (approximately $6.17 million). Between April 2010 and April 2011, the total delinquency (as a percentage of the then-current pool balance) increased to 39.29% from 38.24%; the 90-plus-day delinquency (as a percentage of the then-current pool balance) increased to 39.29% from 21.01%; the cumulative gross default (as a percentage of the original pool balance) increased to 19.82% from 19.07%; the cumulative net loss (as a percentage of the original pool balance) increased to 1.93% from 1.17%; and the cumulative recovery decreased to 84.31% from 89.81%. Business Loan Express Business-Loan-Backed Notes Series 2004-A The credit support for the class A, B, and C notes is provided by a combination of subordination, a reserve account, and excess spread. As of April 20, 2011, BLX 2004-A's loan pool had a pool factor of 19.09%; the securitized loan balance was $38.17 million; the class A note balance was $33.40 million, the class B note balance was $3.82 million, and the class C note balance was $0.95 million; and the reserve account balance was $3.1 million, which was lower than the reserve account requirement (approximately $10.96 million). Between April 2010 and April 2011, the total delinquency (as a percentage of the then-current pool balance) decreased to 21.74% from 28.49%; the 90-plus-day delinquency (as a percentage of the then-current pool balance) decreased to 21.74% from 28.49%; the cumulative gross default (as a percentage of the original pool balance) increased to 25.31% from 21.36%; the cumulative net loss (as a percentage of the original pool balance) increased to 7.61% from 4.20%; and the cumulative recovery decreased to 57.39% from 69.76%. Business Loan Express Business-Loan-Backed Notes Series 2005-A The credit support for the class A, B, and C is provided by a combination of subordination, a reserve account, and excess spread. As of April 20, 2011, BLX 2005-A's loan pool had a pool factor of 29.26%; the securitized loan balance was $73.16 million; the class A note balance was $64.38 million, the class B note balance was $6.22 million, and the class C note balance was $2.56 million; and the reserve account balance was $5.66 million, which is lower than the reserve account requirement ($19.06 million). Between April 2010 and April 2011, the total delinquency (as a percentage of the then-current pool balance) increased to 27.03% from 26.15%; the 90-plus-day delinquency (as a percentage of the then-current pool balance) decreased to 20.94% from 22.03%; the cumulative gross default (as a percentage of the original pool balance) increased to 24.63% from 18.05%; the cumulative net loss (as a percentage of the original pool balance) increased to 8.73% from 3.53%; and the cumulative recovery decreased to 49.16% from 66.64%. Business Loan Express Business Loan Trust 2003-A The credit support for the class A, B, and C notes is provided by a combination of subordination, a reserve account, and excess spread. As of April 20, 2011, BLX 2003-A's loan pool had a pool factor of 9.05%; the securitized loan balance was $13.58 million; the class A note balance was $11.83 million, the class B note balance was $1.35 million, and the class C note balance was $0.54 million; and the reserve account balance was $1.69 million, which is lower than the reserve account requirement ($5.85 million). Between April 2010 and April 2011, the total delinquency (as a percentage of the then-current pool balance) decreased to 40.24% from 49.93%; the 90-plus-day delinquency (as a percentage of the then-current pool balance) decreased to 26.54% from 28.43%; the cumulative gross default (as a percentage of the original pool balance) increased to 16.49% from 14.70%; the cumulative net loss (as a percentage of the original pool balance) increased to 4.02% from 1.59%; and the cumulative recovery decreased to 55.98% from 76.16%. Standard & Poor's will continue to review outstanding ratings and take additional rating actions as appropriate. Ratings Lowered and Removed From CreditWatch Negative BLC Capital Corp. Series 2002-A Rating Class To From A BB+ (sf) BBB+ (sf)/Watch Neg B B+ (sf) BB+ (sf)/Watch Neg Business Loan Express Business Loan Backed Notes Series 2004-A Rating Class To From A AA+ (sf) AAA (sf)/Watch Neg B A- (sf) A (sf)/Watch Neg C BBB- (sf) BBB (sf)/Watch Neg Business Loan Express Business Loan Backed Notes Series 2005-A Rating Class To From A A+ (sf) AAA (sf)/Watch Neg B BBB+ (sf) A (sf)/Watch Neg C BB+ (sf) BBB (sf)/Watch Neg Business Loan Express Business Loan Trust 2003-A Rating Class To From A BB+ (sf) A+ (sf)/Watch Neg B B+ (sf) BBB+ (sf)/Watch Neg C-BASS MORTGAGE: Fitch Affirms Asset-Backed Certificates -------------------------------------------------------- Fitch Ratings has affirmed the ratings on C-Bass Mortgage Loan Asset-Backed Certificates series 2006-SC1, a small balance commercial transaction consisting of fixed and floating rate loans secured by senior liens on commercial, multifamily, and mixed-use properties and unimproved land. The rating actions reflect Fitch's analysis of expected default and loss from the collateral pool in addition to cash flow analysis of each class. To determine the projected base-case loss, Fitch used vintage average default assumptions derived from small balance commercial loans that were adjusted based on this pool's performance while the severity was derived from the actual realized severity of the loans liquidated over the past 12 months for this transaction. The base case default and severity were 18.55% and 82% respectively. Fitch then utilized Residential Mortgage Backed Securities (RMBS) cash flow assumptions due to the similarity in the collateral's historical behavior to residential mortgages. The cash flow assumptions are described in the April 28, 2010 report 'U.S. RMBS Surveillance Criteria'. Over the past year, the average 60+ day delinquencies have increased modestly from 15.7% to 16.6% of the remaining pool balance. Over the same time period, average realized cumulative losses to date as a percent of original balance have also increased from 4.3% to 7.1%. The average updated expected collateral loss as a percentage of the remaining pool balance and as a percentage of the original balance are 15.21% and 18.23% respectively. Fitch's rating actions are: -- Class A (12498SAA0) affirmed at 'AAsf'; LS revised to 'LS2' from 'LS3'; Outlook revised to Stable from Negative; -- Class M-1 (12498SAB8) affirmed at 'BBBsf;' LS revised to 'LS4' from 'LS5'; Outlook revised to Stable from Negative; -- Class M-2 (12498SAC6) affirmed at 'BBsf/LS5'; Outlook revised to Stable from Negative; -- Class M-3 (12498SAD4) affirmed at 'Bsf/LS5'; Outlook revised to Stable from Negative; -- Class M-4 (12498SAE2) affirmed at 'Bsf/LS5'; Outlook revised to Stable from Negative; -- Class M-5 (12498SAF9) affirmed at 'CCCsf'; RR revised to 'RR2' from 'RR5'; -- Class B-1 (12498SAG7) affirmed at 'CCsf' RR revised to 'RR3' from 'RR5'; -- Class B-2 (12498SAH5) affirmed at 'CCsf/RR5'; -- Class B-3 (12498SAJ1) affirmed at 'Csf' RR revised to 'RR5' from 'RR6'. These actions were reviewed by a committee of Fitch analysts. CABELA'S CREDIT CARD: DBRS Puts 'BB' Provisional Rating on Class D ------------------------------------------------------------------ DBRS has assigned provisional ratings to these classes issued by Cabela's Credit Card Master Note Trust Series 2011-II: -- Series 2011-II Notes, Class A-1 rated AAA (sf) -- Series 2011-II Notes, Class A-2 rated AAA (sf) -- Series 2011-II Notes, Class B rated A (high) (sf) -- Series 2011-II Notes, Class C rated BBB (sf) -- Series 2011-II Notes, Class D rated BB (sf) CANADIAN CAPITAL: Moody's Assigns Definitive Ratings to Notes ------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes to be issued by Canadian Capital Auto Receivables Asset Trust II (CCARAT II), Series 2011-2. CCARAT II is administered by Ally Credit Canada Limited (B1), who is also the originator and servicer of the auto loan collateral pool which supports the Series 2011-2 notes. Ally Credit Canada Limited is the Canadian subsidiary of Ally Financial Inc. (B1) The complete rating actions are: Issuer: Canadian Capital Auto Receivables Asset Trust II, Series 2011-2 $230,000,000 1.681% Class A-1 Auto Loan Receivables-Backed Notes, rated Aaa (sf) $165,000,000 2.179% Class A-2 Auto Loan Receivables-Backed Notes, rated Aaa (sf) $129,320,000 2.773% Class A-3 Auto Loan Receivables-Backed Notes, rated Aaa (sf) $11,000,000 3.520% Class B Auto Loan Receivables-Backed Notes, rated Aa3 (sf) $5,500,000 4.111% Class C Auto Loan Receivables-Backed Notes, rated A2 (sf) Ratings Rationale Moody's median cumulative net loss expectation for the CCARAT II 2011-2 pool is 1.25% and the Volatility Proxy Aaa Level is 7.50%. Moody's net loss expectation and Volatility Proxy Aaa Level for the CCARAT II 2011-2 transaction are derived from an analysis of the credit quality of the underlying pool of fixed rate retail installment sales contracts, the collateral's historical performance, the servicing ability of Ally Credit Canada Limited, the performance guarantee provided by parent company Ally Financial Inc., and expectations for future economic conditions. All classes of notes are enhanced by 1.75% overcollateralization, a 1.0% cash reserve account and the minimum 2.0% in excess spread. The Class A Notes are further enhanced by subordinate Class B and Class C Notes which constitute 2.00% and 1.00% respectively of the net discounted pool balance of receivables. Ally Credit Canada Limited (formerly General Motors Acceptance Corporation of Canada Limited) has issued 10 previous publicly registered retail loan transactions and has securitization experience that dates back to 1993 in Canada. This transaction is Ally Credit Canada's second public retail loan ABS issuance of the year. The most notable difference between the two CCARAT II transactions closed in 2011 (Series 2011-1 and 2011-2) and previous CCARAT II series is the higher percentage of contracts with original terms greater than 60 months (38% in this Series 2011-2 compared to 22% for Series 2010-1). A higher percentage of contracts with original terms greater than 60 months typically has a negative impact on pool performance. Nonetheless, a weighted average FICO score of 763 for the Series 2011-2 securitized pool is indicative of a prime quality obligor base. In addition, historical performance of Ally Credit Canada's retail loan securitizations have been favorable and were an important rating consideration along with conducting a deal-by-deal comparison of collateral. 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. Principal Methodology The principal methodology used in rating the CCARAT II, Series 2011-2 notes was Moody's Approach to Rating U.S. Auto Loan-Backed Securities, rating methodology published in May 2011. Parameter Sensitivity If the net loss expectation used in determining the initial rating was changed from 1.25% to 2.75% the initial model-indicated output might change from Aaa to Aa1 for the Class A Notes, from Aa3 to Baa3 for the Class B Notes and from A2 to Ba3 for the Class C notes. If the net loss was changed to 3.50% the initial model- indicated output might change to Aa2 for the Class A Notes, to Baa3 for the Class B Notes and to B3 for the Class C Notes. If the net loss was changed to 5.25% the initial model-indicated output might change to A2 for the Class A Notes and below B3 for the Class B and Class C Notes. 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. Additional Research Additional research including a pre-sale report for this transaction is available at www.moodys.com. 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. CAPITAL AUTO: S&P Raises Ratings on 8 Classes of Notes From 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B, C, and D notes from Capital Auto Receivables Asset Trust's (CARAT's) series 2007-2, 2007-3, 2007-4, 2007-A, 2007-B, 2008-1, 2008-2, and 2008-A. "We also raised our rating on the class C notes from Ally Auto Receivables Trust's (AART's) series 2009-B. We also placed our ratings on the class B and C notes from AART's series 2010-1 on CreditWatch with positive implications. Lastly, we affirmed our ratings on the remaining 19 classes from 12 CARAT transactions and 25 classes from six Ally transactions," S&P said. "The rating actions reflect the transactions' collateral performance to date, our views regarding future collateral performance, the transactions' structure, and the credit enhancement available. In addition, our analysis incorporated secondary credit factors such as credit stability, payment priorities under certain scenarios, and sector- and issuer- specific analysis," S&P said. "We analyzed the existing loss-coverage levels and other factors such as the current economic forecast, the auto sector outlook, and issuer-specific issues. The rating actions reflect our view that the creditworthiness of the notes is consistent with the raised and affirmed ratings," according to S&P. "The transactions in this review have exhibited performance that is in-line or show improvement when compared with our prior expectations, and as such, have been factored into our revised loss expectations," S&P added. "In our view, many of the transactions have benefited from stronger recovery values, as well as improved default and delinquency performance, due to better macroeconomic conditions," S&P said. Table 1 Collateral Performance (%) As of June 2011 distribution month Issuer/ Pool 60+ day Current Current Series Mo. factor delinq. CRR CNL CARAT 2006-2 54 1.95 0.64 56.80 0.98 2007-2 46 8.87 0.82 58.29 2.43 2007-3 45 11.24 0.77 57.67 2.72 2007-A 45 8.80 0.68 57.92 2.37 2007-B 44 12.21 0.93 57.77 3.00 2007-4 43 14.58 0.78 56.82 3.35 2008-CPA 41 18.93 0.60 58.79 2.87 2008-1 40 18.39 0.85 57.70 3.27 2008-CPB 39 23.46 0.66 60.10 2.85 2008-CPC 39 23.29 0.91 58.98 2.97 2008-2 37 22.54 0.57 59.67 2.38 2008-A 36 24.39 0.71 57.98 2.97 AART 2009-A 21 38.36 0.18 67.41 0.39 2009-B 19 52.14 0.11 68.11 0.26 2010-1 15 57.65 0.11 70.02 0.17 2010-3 10 71.46 0.04 75.04 0.07 2010-4 7 79.76 0.05 73.50 0.04 2010-5 6 81.06 0.05 71.60 0.02 CRR--cumulative recovery rate. CNL--cumulative net loss. Table 2 Cumulative net loss expectations (%) Initial Former Revised Issuer/ Pool lifetime lifetime lifetime Series Mo. factor CNL exp. CNL exp. CNL exp. CARAT 2006-2 56 1.95 1.90-2.00 1.00-1.10 1.00-1.10 2007-2 46 8.87 1.90-2.10 2.85-3.00 2.55-2.70 2007-3 45 11.24 1.90-2.10 3.10-3.25 2.95-3.10 2007-A 45 8.80 1.90-2.10 3.00-3.15 2.45-2.60 2007-B 44 12.21 1.90-2.10 3.25-3.40 3.25-3.40 2007-4 43 14.58 1.90-2.10 3.70-3.90 3.70-3.90 2008-CPA 41 18.93 2.10-2.20 3.75-3.95 3.25-3.45 2008-1 40 18.39 2.10-2.20 3.85-4.05 3.70-3.90 2008-CPB 39 23.46 2.40-2.60 3.75-3.95 3.40-3.60 2008-CPC 39 23.29 2.40-2.60 3.75-3.95 3.50-3.70 2008-2 37 22.54 2.20-2.30 3.50-3.70 2.90-3.10 2008-A 36 24.39 2.55-2.75 4.20-4.50 3.65-3.85 AART 2009-A 21 38.36 2.30-2.50 N/A 0.90-1.05 2009-B 19 52.14 2.30-2.50 N/A 0.90-1.05 2010-1 15 57.65 3.25-3.50 N/A N/A 2010-3 10 71.46 2.40-2.60 N/A N/A 2010-4 7 79.76 2.30-2.50 N/A N/A 2010-5 6 81.06 2.10-2.30 N/A N/A CNL exp. -- cumulative net loss expectation. N/A -- Not applicable. The issuer initially structured each transaction with credit enhancement, which consisted of subordination for the higher rated tranches in senior-subordinate transactions, overcollateralization (O/C), a reserve account, and excess spread, including the contribution of yield supplement overcollateralization (YSOC). Each transaction's reserve account and O/C amount are non- amortizing. Some transactions, though, were also structured so that the O/C amount can build to a higher target level as shown in table 3. As of the June 2011 distribution month, the reserve account and O/C amounts for all the transactions reached their target amounts. Table 3 Initial and Target Reserve Account And O/C Levels (%) Initial Target and target O/C reserve Initial (Non-YSOC) Issuer/ account O/C (% of Series deposit (Non-YSOC) initial) CARAT 2006-2 0.50 0.55 0.55 2007-2 0.50 0.25 0.25 2007-3 0.50 0.25 0.25 2007-A 0.50 0.25 0.25 2007-B 0.50 0.25 0.25 2007-4 0.75 0.25 0.25 2008-1 0.75 0.25 0.25 2008-CPA 0.50 3.00 4.25 2008-CPB 0.50 4.75 6.00 2008-CPC 0.50 4.75 6.00 2008-2 0.50 0.50 0.50 2008-A 1.25 0.50 0.50 AART 2009-A 1.00 4.25 6.00 2009-B 1.00 2.00 2.75 2010-1 1.00 5.75 6.75 2010-3 1.00 3.50 4.50 2010-4 1.00 1.25 2.25 2010-5 1.00 1.25 2.25 Percentages are in terms of the initial aggregate discounted principal balance. Table 4 Hard Credit Support (%) As of the June 2011 distribution month Current Total hard total hard Issuer/ Pool credit support credit support(i) Series Class factor at issuance(i) (% of current) CARAT 2006-2 C 1.95 1.41 72.12 2007-2 A 8.87 5.38 60.68 2007-2 B 8.87 2.47 27.81 2007-2 C 8.87 1.12 12.64 2007-2 D 8.87 0.67 7.59 2007-3 A 11.24 5.48 48.75 2007-3 B 11.24 2.51 22.34 2007-3 C 11.24 1.14 10.16 2007-3 D 11.24 0.69 6.09 2007-A A 8.80 5.42 61.54 2007-A B 8.80 2.48 28.20 2007-A C 8.80 1.13 12.82 2007-A D 8.80 0.68 7.69 2007-B A 12.21 5.55 45.41 2007-B B 12.21 2.54 20.81 2007-B C 12.21 1.16 9.46 2007-B D 13.21 0.69 5.68 2007-4 A 14.58 5.77 39.58 2007-4 B 14.58 2.77 19.00 2007-4 C 14.58 1.38 9.50 2007-4 D 14.58 0.92 6.33 2008-CPA A 18.93 3.01 21.60 2008-1 A 18.39 5.70 30.98 2008-1 B 18.39 2.73 14.87 2008-1 C 18.39 1.37 7.44 2008-1 D 18.39 0.91 4.96 2008-CPB A 23.46 4.63 24.43 2008-CPC A 23.29 4.63 24.60 2008-2 A 22.54 5.53 24.55 2008-2 B 22.54 2.66 11.78 2008-2 C 22.54 1.33 5.89 2008-2 D 22.54 0.89 3.93 2008-A A 24.31 6.65 27.28 2008-A B 24.31 3.33 13.64 2008-A C 24.31 2.00 8.18 2008-A D 24.31 1.55 6.36 AART 2009-A A 38.36 4.62 16.05 2009-B A 52.14 6.18 13.12 2009-B B 52.14 4.41 9.73 2009-B C 52.14 2.65 6.35 2010-1 A 57.65 11.24 21.10 2010-1 B 57.65 8.60 16.52 2010-1 C 57.65 6.27 12.48 2010-3 A 71.46 8.38 13.05 2010-3 B 71.46 6.12 9.88 2010-3 C 71.46 4.24 7.25 2010-4 A 79.76 7.30 10.33 2010-4 B 79.76 4.76 7.14 2010-4 C 79.76 2.12 3.84 2010-5 A 81.06 7.31 10.19 2010-5 B 81.06 4.77 7.04 2010-5 C 81.06 2.12 3.78 (i)Percentages are in terms of the total principal balance. Total hard credit support consists of a reserve account, O/C, and subordination where applicable, and excludes excess spread, created by the YSOC amount, which also provides additional enhancement. "Despite loss coverage levels that are typically consistent with higher ratings for some of the subordinate tranches, we considered the subordinate class' legal and structural subordination to the more senior classes in determining our revised ratings," S&P related. "Our review of these transactions included cash flow analysis, for which we used current and historical performance to estimate future performance. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given the transactions' current performances. We also performed sensitivity analysis which showed that under a moderate stress scenario, increasing our expected losses and keeping all else equal, the loss coverage levels are sufficient for the ratings to remain within the outer bounds of credit deterioration as outlined in our credit stability criteria. Furthermore, for those transactions with class A floating-rate tranches, we evaluated the interest rate swaps in place provided by their respective hedge counterparty. If they did not conform to our revised counterparty criteria, where appropriate, we performed cash flow analysis without the benefit of the swap. The results of the overall cash flow analysis demonstrated, in our view, that all the outstanding classes have adequate credit enhancement available at the raised or affirmed rating levels," S&P related. "We will continue to monitor the performance of these transactions to assess whether the credit enhancement available remains sufficient, along with other factors, in our view, to support the ratings on each class under various stress scenarios," S&P added. Ratings Raised Capital Auto Receivables Asset Trust Rating Series Class To From 2007-2 B AA+ (sf) A (sf) 2007-2 C AA (sf) BBB (sf) 2007-2 D A+ (sf) BB (sf) 2007-3 B AA+ (sf) A (sf) 2007-3 C AA- (sf) BBB (sf) 2007-3 D A- (sf) BB (sf) 2007-4 B AA+ (sf) A (sf) 2007-4 C AA- (sf) BBB (sf) 2007-4 D A- (sf) BB (sf) 2007-A B AA+ (sf) A (sf) 2007-A C AA (sf) BBB (sf) 2007-A D AA- (sf) BB (sf) 2007-B B AA+ (sf) A (sf) 2007-B C AA- (sf) BBB (sf) 2007-B D BBB+ (sf) BB (sf) 2008-1 B AA (sf) A (sf) 2008-1 C A (sf) BBB (sf) 2008-1 D BBB (sf) BB (sf) 2008-2 B AA (sf) A (sf) 2008-2 C A (sf) BBB (sf) 2008-2 D BBB (sf) BB (sf) 2008-A B AA (sf) A (sf) 2008-A C A+ (sf) BBB (sf) 2008-A D A- (sf) BB (sf) Ally Auto Receivables Trust Rating Series Class To From 2009-B C AA (sf) A+ (sf) Ratings Placed on CreditWatch Positive Ally Auto Receivables Trust Rating Series Class To From 2010-1 B AA (sf)/Watch Pos AA (sf) 2010-1 C A+ (sf)/Watch Pos A+ (sf) Ratings Affirmed Capital Auto Receivables Asset Trust Series Class Rating 2006-2 C AAA (sf) 2007-2 A-PT AAA (sf) 2007-2 A-4a AAA (sf) 2007-2 A-4b AAA (sf) 2007-3 A-4 AAA (sf) 2007-4 A-4 AAA (sf) 2007-A A AAA (sf) 2007-B A AAA (sf) 2008-1 A-3a AAA (sf) 2008-1 A-3b AAA (sf) 2008-1 A-4a AAA (sf) 2008-1 A-4b AAA (sf) 2008-2 A-3a AAA (sf) 2008-2 A-3b AAA (sf) 2008-2 A-4 AAA (sf) 2008-A A AAA (sf) 2008-CPA A-1 AAA (sf) 2008-CPB A-1 AAA (sf) 2008-CPC A-1 AAA (sf) Ally Auto Receivables Trust Series Class Rating 2009-A A-3 AAA (sf) 2009-A A-4 AAA (sf) 2009-B A-2 AAA (sf) 2009-B A-3 AAA (sf) 2009-B A-4 AAA (sf) 2009-B B AA+ (sf) 2010-1 A-2 AAA (sf) 2010-1 A-3 AAA (sf) 2010-1 A-4 AAA (sf) 2010-3 A-2 AAA (sf) 2010-3 A-3 AAA (sf) 2010-3 A-4 AAA (sf) 2010-3 B AA+ (sf) 2010-3 C AA- (sf) 2010-4 A-1 A-1+ (sf) 2010-4 A-2 AAA (sf) 2010-4 A-3 AAA (sf) 2010-4 A-4 AAA (sf) 2010-4 B AA (sf) 2010-4 C A (sf) 2010-5 A-2 AAA (sf) 2010-5 A-3 AAA (sf) 2010-5 A-4 AAA (sf) 2010-5 B AA+ (sf) 2010-5 C A+ (sf) CAPITAL TRUST: Mood's Downgrades Rating of Housing Revenue Bonds ---------------------------------------------------------------- Moody's Investors Service has downgraded to Ca from Caa3 the rating on the Senior Series 2003A and affirms the C rating on Subordinate Series 2003C Capital Trust Agency's Multifamily Housing Revenue Bonds (American Opportunities for Housing - Golf Villas, Rivermill and Village Square Apartments). This rating action affects $14,140,000 of Senior Bonds and $940,000 of Subordinate Bonds outstanding. The rating outlook on the bonds remains negative for the Senior bonds.. The downgrade is based on the trustee's decision not to use funds available in the debt service reserve fund for the Senior Series or any funds available under other accounts in the trust indenture to pay interest due on June 1, 2011 as described in the trustee's notice dated June 13, 2011. In such notice, the trustee cited that project revenues will not be sufficient for the project's scheduled interest payments. The failure to pay debt service constitutes a monetary default under the trust indenture. Outlook The outlook on the bonds remains negative, as Moody's believes the declines in project occupancy rates and poor financial performance may continue over the near to medium term. What could change the rating -- Up * Sustained, improved physical and economic occupancy rates and financial performance along with a stabilization of the local real estate market. What could change the rating -- Down * For Senior Bonds, lower recoveries upon liquidation The principal methodology used in this rating was "Global Housing Projects", published in July 2010. CASTLE GARDEN: S&P Affirms Ratings on 2 Classes of Notes at 'B+' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, A-3b, B-1, B-2, C-1, and C-2 notes from Castle Garden Funding, a collateralized loan obligation (CLO) transaction managed by CSFB Alternative Capital Inc. At the same time, we affirmed our ratings on the class A-3a, A-4, D-1, and D-2 notes, and removed our ratings on all of the notes from CreditWatch, where we placed them with positive implications on March 30, 2011," S&P related. "The upgrades reflect improved performance we have observed in the deal's underlying asset portfolio since we lowered our ratings on the rated notes on Dec. 8, 2009, following the application of our September 2009 corporate collateralized debt obligation (CDO) criteria. As of the May 24, 2011, trustee report, the transaction had $9.26 million in defaulted obligations and approximately $56.65 million in assets from obligors with a Standard & Poor's rating in the 'CCC' range. This was down from $57.20 million in defaulted obligations and approximately $64.99 million in assets from obligors with a Standard & Poor's rating in the 'CCC' range noted in the Oct. 23, 2009, trustee report, which was used for our December 2009 rating actions," S&P said. "We also observed an increase in the overcollateralization (O/C) available to support the rated notes," S&P said. The trustee reported these ratios in the May 24, 2011, monthly report: The class A par value (O/C) ratio test was 122.85%, compared with a reported ratio of 119.37% in October 2009; The class B par value (O/C) ratio test was 115.20%, compared with a reported ratio of 111.94% in October 2009; The class C par value (O/C) ratio test was 109.94%, compared with a reported ratio of 106.82% in October 2009; and The class D par value (O/C) ratio test was 107.69%, compared with a reported ratio of 104.64% in October 2009. "The affirmation of the ratings on the class A-3a, A-4, D-1, and D-2 notes reflects our belief that the credit support available is commensurate with the current rating level," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating and CreditWatch Actions Castle Garden Funding Rating Class To From A-1 AA+ (sf) AA (sf)/Watch Pos A-2 AA+ (sf) AA (sf)/Watch Pos A-3a AA+ (sf) AA+ (sf)/Watch Pos A-3b AA+ (sf) AA (sf)/Watch Pos A-4 A+ (sf) A+ (sf)/Watch Pos B-1 BBB+ (sf) BBB- (sf)/Watch Pos B-2 BBB+ (sf) BBB- (sf)/Watch Pos C-1 BB+ (sf) BB- (sf)/Watch Pos C-2 BB+ (sf) BB- (sf)/Watch Pos D-1 B+ (sf) B+ (sf)/Watch Pos D-2 B+ (sf) B+ (sf)/Watch Pos CDC COMM'L: Moody's Upgrades Three and Affirms 12 CMBS Classes -------------------------------------------------------------- Moody's Investors Service (Moody's) upgraded the ratings of three classes and affirmed 12 classes of CDC Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2002-FX1: Cl. A-2, Affirmed at Aaa (sf); previously on Jun 27, 2002 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Nov 11, 2005 Upgraded to Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Nov 11, 2005 Upgraded to Aaa (sf) Cl. D, Affirmed at Aaa (sf); previously on Nov 11, 2005 Upgraded to Aaa (sf) Cl. E, Affirmed at Aaa (sf); previously on Apr 18, 2007 Upgraded to Aaa (sf) Cl. F, Affirmed at Aaa (sf); previously on May 14, 2008 Upgraded to Aaa (sf) Cl. G, Affirmed at Aaa (sf); previously on Dec 2, 2010 Upgraded to Aaa (sf) Cl. H, Upgraded to Aaa (sf); previously on Dec 2, 2010 Upgraded to Aa1 (sf) Cl. J, Upgraded to Aa3 (sf); previously on Dec 2, 2010 Upgraded to A2 (sf) Cl. K, Upgraded to Baa2 (sf); previously on Dec 2, 2010 Upgraded to Ba1 (sf) Cl. L, Affirmed at Ba3 (sf); previously on Jun 27, 2002 Definitive Rating Assigned Ba3 (sf) Cl. M, Affirmed at B1 (sf); previously on Jun 27, 2002 Definitive Rating Assigned B1 (sf) Cl. N, Affirmed at B2 (sf); previously on Jun 27, 2002 Definitive Rating Assigned B2 (sf) Cl. P, Affirmed at Caa1 (sf); previously on Dec 2, 2010 Downgraded to Caa1 (sf) Cl. X-CL, Affirmed at Aaa (sf); previously on Jun 27, 2002 Definitive Rating Assigned Aaa (sf) RATINGS RATIONALE The upgrades are due to increased subordination from loan payoffs and amortization. The transaction's aggregate certificate balance has decreased by 40% since the last review in December 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 5.8% of the current balance. At last review, Moody's cumulative base expected loss was 3.1%. Moody's stressed scenario loss is 8.8% 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. Due to the high level of credit subordination and defeasance, it is unlikely that investment grade classes would be downgraded even if losses are higher than Moody's expected base. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The primary methodology used in this rating was "CMBS: Moody's Approach to Rating U.S. Conduit Transactions" published in September 2000. Moody's also considered in its analysis "Moody's Approach to Rating Large Loan/Single Borrower 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 and the CMBS Large Loan Model v 8.0. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's 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 3 at Moody's prior review. In cases where the Herf falls below 20, Moody's employs the large loan/single borrower methodology. This methodology uses the excel- based Large Loan Model v 8.0. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (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 2, 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 June 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 63% to $236.7 million from $637.5 million at securitization. The Certificates are collateralized by 13 mortgage loans ranging in size from less than 1% to 23% of the pool, with the top ten loans representing 43% of the pool. Six loans, representing 57% of the pool, have defeased and are collateralized with U.S. Government securities. Three loans, totaling 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. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated from the pool, resulting in a realized loss of $756,881 (38% loss severity). One loan, representing 0.6% of the pool, is currently in special servicing. Moody's has estimated a $534,998 loss (40% expected loss) for this loan. Moody's has assumed a high default probability for two poorly performing loans representing 11% of the pool and has estimated a $11.2 million loss (41% expected loss based on a 100% probability default) from these troubled loans. Moody's was provided with full year 2010 operating results for 100% for the non-defeased pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 99% compared to 78% at last review. Moody's net cash flow reflects a weighted average haircut of 15% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.25%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.23X and 1.1.39X, respectively, compared to 1.28X and 1.41X 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 non-defeased loans represent 37% of the pool balance. The largest loan is the Seattle Supermall Loan ($54.9 million -- 23% of the pool), which is secured by a 935,000 square foot retail center located in Auburn, Washington. As of April 2011, the property was 90% leased compared to 92% at last review. Major tenants include Sam's Club and Burlington Coat Factory. Moody's LTV and stressed DSCR are 80% and 1.34X, essentially the same as at last review. The second largest loan is the Marriott Islandia Loan ($23.4 million -- 10% of the pool), which is secured by a 278-room full service hotel located in Islandia (Suffolk County), New York. Overall, performance has declined since 2008 due to the decline in business and tourist travel resulting from the economic recession. Revenue per available room (RevPAR) for full-year 2010 was $76.47 compared $74.99 in 2009 and $91.10 in 2008. The loan is on the master servicer's watchlist due to low DSCR. The loan has passed its anticipated repayment date (ARD) of February 11, 2011. Moody's considers this loan a high default risk and has identified it as a troubled loan. Moody's LTV and stressed DSCR are 168% and 0.72X, respectively, compared to 133% and 0.91X at last review. The third largest loan is the Village Marketplace Shopping Center Loan ($8.55 million -- 3.6% of the pool), which is secured by a 129,000 square foot grocery-anchored center located five miles south-west of Richmond, Virginia. The center is anchored by a 36,804 square foot Food Lion Supermarket through March 2019. As of December 2010, the property was 80% leased compared to 87% in 2009. Moody's LTV and stressed DSCR are 81% and 1.30X, respectively, compared to 79% and 1.32X at last review. CGCMT 2010-RR2: Moody's Affirms Ratings of Four CRE CDO Classes --------------------------------------------------------------- Moody's affirmed four classes of Certificates issued by CGCMT 2010-RR2 Trust, Resecuritization Pass-Through Certificates, Series 2010-RR2. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. Cl. CS-A3A, Affirmed at Aaa (sf); previously on Apr 22, 2010 Assigned Aaa (sf) Cl. CS-A3B, Affirmed at Aa1 (sf); previously on Apr 22, 2010 Assigned Aa1 (sf) Cl. JP-A4A, Affirmed at Aa3 (sf); previously on Aug 13, 2010 Downgraded to Aa3 (sf) Cl. JP-A4B, Affirmed at Ba3 (sf); previously on Aug 13, 2010 Downgraded to Ba3 (sf) Ratings Rationale CGCMT 2010-RR2 Trust, Resecuritization Pass-Through Certificates, Series 2010-RR2 is a Re-REMIC Pass Through Trust backed by two commercial mortgage backed securities (CMBS) Certificates: the Group I P&I Certificates are backed by $47.6 million, or 4.0% of the aggregate class principal balance, of the super senior Class A-3 issued by Credit Suisse Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-C5 (the "Group I Underlying Certificate"); the Group II P&I Certificates are backed by $30.0 million, or 8.5% of the aggregate class principal balance, of the super senior Class A-4 issued by J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass- Through Certificates, Series 2008-C2 (the "Group II Underlying Certificate"). The current performance of the Certificate is commensurate with current ratings levels. Since the ratings of the CRE CDO Certificates are linked to the rating of the underlying CMBS certificate which in turn are linked to the performance of the underlying commercial mortgage pool's performance, any rating action on the underlying certificate may trigger a review of the ratings of the certificates. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The methodology used when assigning and monitoring the ratings is as follows: Moody's applied ratings-specific cash flow scenarios assuming different loss timing, recovery and prepayment assumptions on the underlying pool of mortgages that are the collateral for the underlying CMBS transaction through Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. The analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, tranche average life, current tranche balance and future cash flows under expected and stressed scenarios. In each scenario, cash flows and losses from the underlying collateral were analyzed applying different stresses at each rating level. The resulting ratings specific stressed cash flows were then input into the structure of the resecuritization to determine expected losses for each class. The expected losses were then compared to the idealized expected loss for each class to gauge the appropriateness of the existing rating. The stressed assumptions considered, among other factors, the underlying transaction's collateral attributes, past and current performance, and Moody's current negative performance outlook for commercial real estate. The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. CITIGROUP COMMERCIAL: Fitch Takes Various Rating Actions -------------------------------------------------------- Fitch Ratings has taken various rating actions on Citigroup Commercial Mortgage Trust, series 2007-FL3, due to revised loss expectations. Fitch's performance expectation incorporates prospective views regarding the outlook of the commercial real estate market. Negative Rating Outlooks on two of the rated classes reflect concerns with the ability of certain loans to refinance. The remaining loans which have not been modified are maturing over the next 12-18 months; the loans had an average loan term of five years (including extensions). As lending standards have changed considerably from the time these loans were originated, there is uncertainty as to whether or not the loans will have any issues securing financing at final maturity. Positive Rating Outlooks and upgrades on several classes reflect improved property performance and potential increases to credit enhancement from maturing loans that are expected to pay off. Under Fitch's methodology, approximately 67.1% of the pooled balance 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 12.9% and pooled expected losses are 7.7%. To determine a sustainable Fitch cash flow and stressed value, Fitch analyzed servicer-reported operating statements and STR reports, updated property valuations, and recent sales comparisons. Fitch estimates that average recoveries will be strong, with an approximate base case recovery in excess of 92%. The transaction is collateralized by eight loans, all of which are secured by hotels. The transaction faces near-term maturity risk. Four loans mature in the next 18 months. One loan (13.2%) has its final maturity in October 2011, and three (36.1%) mature in 2012. Four loans (50.7%) defaulted at maturity and were subsequently modified and extended. Of these four loans, one (18.8%) has a maturity in September 2012, one (28.8%) has a final maturity in 2015, and two (3.1%) have final maturities in 2014. Three loans were modeled to take a loss in the base case: Hudson Hotel (18.8%), Avalon Hotel (2.1%) and Maison 140 (1%). The Hudson Hotel is secured by the fee and leasehold interest in an 805-room full-service hotel located in midtown Manhattan, NY, on the south side of West 58th Street between Eighth and Ninth Avenues. The loan transferred to the special servicer in May 2010 due to imminent maturity default. The property was originally constructed in 1928 and underwent a three-year, $125 million ($155,279 per key) renovation following the purchase in 1997 by Morgan Hotels. The renovation was Ian Schrager's first New York City hotel in over 10 years. At issuance, the loan was underwritten with the expectation that continued strength in the New York City market would continue to drive average daily rate (ADR) and higher cash flows. The property failed to achieve the projected increases, due in large part to the difficulty the economy has experienced. As of TTM April 2011 servicer-reported NOI had declined by approximately 62% from YE 2008 and 65% from issuance underwriting. The decline is primarily driven by erosion in room revenue as a result of the economic downturn. Property performance is now trending positively with April TTM NOI up 30% from YE 2009. The loan is in special servicing due to a maturity default. The loan has been modified and extended and is pending return to the master servicer. The special servicer reports that the loan is scheduled to pay off in the next few months. The Avalon hotel is collateralized by an 84 room full-service hotel located in Beverly Hills, CA. The property is approximately four blocks south from Rodeo Drive and five miles south of Hollywood. The property was originally built in 1949 as a luxury apartment house, school and community center. The property was purchased in 1997 by the KOR Hotel Group (KOR) and was completely renovated and reopened in 2000 as a Fifties retro-style hotel. The loan transferred to special servicing in September 2009 due to imminent maturity default. The loan has been modified, extended and returned to the master servicer. The modification de-levered the property such that the debt stack was reduced to the trust balance of $11.75 million. Fitch modeled the loan as a term default with losses based on the recent appraised value. The Maison 140 loan is collateralized by a 44-room limited-service hotel located in Beverly Hills, CA. The property is just south of the Golden Triangle between Wilshire and Little Santa Monica Boulevards, within walking distance of Rodeo Drive. Built in 1939, the brick facade building was originally a residential apartment. The property was completely redesigned and reopened in August 2000 as Maison 140. The loan transferred to special servicing in September 2009 due to imminent maturity default. It was subsequently modified, extended and returned to the master servicer. As part of the modification the loan maturity was extended to Jan. 9, 2012 with three additional one-year extension options. The trust portion of the loan was also paid down by $350,000. The hotel is in the final stages of a $600,000 ($14,634/key) expected to be completed by third quarter 2011. At issuance the loan was underwritten to a stabilized cash flow which anticipated continued increases in ADR in the Los Angeles market. Performance never achieved underwritten assumptions. As of YE 2010, NOI had declined of 38% from YE 2008 and 82% from issuance underwriting. Property performance has improved with YE 2010 NOI up 63% from YE 2009. Fitch modeled the loan as a term default with losses based on the recent appraised value. Fitch has downgraded and assigned Recovery Ratings to these non- pooled classes: -- $1.9 million class AVA to 'CCCsf/RR3' from 'B-sf/LS5'; -- $0.8 million class MOF to 'Dsf/RR1' from 'BB-sf/LS5' due to realized losses. Fitch has upgraded and assigned Rating Outlooks and Loss Severity Ratings for these classes: -- $12 million class G to 'Bsf/LS4' from 'CCCsf/RR2'; Outlook Stable; -- $3.5 million class THH-1 to 'CCCsf/RR6' from 'CCsf/RR6'. Fitch has affirmed these classes and revised Rating Outlooks, Loss Severity and Recovery Ratings: -- $158.5 million class A-1 at 'AAAsf/LS2' from 'LS1'; Outlook Stable; -- $164.6 million class A-2 at 'Asf/LS2'; Outlook to Positive from Negative; -- $24.9 million class B at 'BBBsf/LS3'; Outlook to Positive from Negative; -- $19.9 million class C at 'BBBsf/LS4 from LS5'; Outlook to Positive from Negative; -- $12.9 million class D at 'BBsf/LS4' from 'LS5'; Outlook to Stable from Negative; -- $12 million class E at 'BBsf/LS4' from 'LS5'; Outlook to Stable from Negative; -- $13 million class F at 'Bsf/LS4' from 'LS5'; Outlook to Stable from Negative; -- $12 million class H at 'CCCsf to 'RR1' from 'RR6'; -- $12 million class J at 'CCCsf to 'RR3' from 'RR6'; -- $20 million class K at 'CCsf/RR6'; -- $1.9 million class HTT-1 at 'BBsf/LS5'; Outlook Negative; -- $2.9 million class INM at 'B-sf/LS5'; Outlook Negative. Classes X-1, HOA-1, HOA-2, MLA-1, HFS-1, HFS-2, HFS-3, RSI-1 and RSI-2 have paid in full. Fitch does not rate classes THH-2 and HTT-2. Classes MLA-2, VSM-1, VSM-2, all remain at 'D/RR6', and class WES remains at 'D/RR1' due to realized losses. Fitch withdrew the rating of the interest-only class X-2. COLLEGE LOAN TRUST-I: Fitch Affirms Sr., Upgrades Sub Bonds ----------------------------------------------------------- Fitch Ratings affirms the senior student loan bonds at 'AAAsf' and upgrades the subordinate bonds to 'BBBsf' issued by College Loan Trust-I Amended and Restated 2003 Indenture of Trust (2002). The Rating Outlook remains Stable on the senior and subordinate bonds. Fitch's Global Structured Finance Rating Criteria and FFELP student loan ABS rating criteria, as well as the refined basis risk criteria outlined in the press release 'Fitch to Gauge Basis Risk in Auction- Rate U.S. FFELP SLABS Review Appling Updated Criteria' dated Sept. 22, 2010 were used to review the ratings. The ratings on the senior bonds are affirmed based on the sufficient level of credit enhancement to cover the applicable risk factor stresses. The ratings on the subordinate notes are upgraded based on the sufficient level of credit enhancement consisting of overcollateralization and projected minimum excess spread to cover the applicable risk factor stresses. Although the trust parity is reported to be at 102.48%, Fitch applied the release level parity of 100.50% to the analysis. Fitch has affirmed these ratings: -- Series 2002-1 A-4 at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-1 A-5 at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-11 at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-12 at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-13 at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-16 at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-21 at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-22 at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-23 at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-24 at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-25 at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-26 at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-27 at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-28 at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-29 at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-30 at 'AAAsf/LS1'; Outlook Stable; -- Series 2003-1 A-2 at 'AAAsf/LS1'; Outlook Stable; -- Series 2003-1 A-3 at 'AAAsf/LS1'; Outlook Stable; -- Series 2003-1 A-4 at 'AAAsf/LS1'; Outlook Stable; -- Series 2003-1 A-5 at 'AAAsf/LS1'; Outlook Stable; -- Series 2003-1 A-6 at 'AAAsf/LS1'; Outlook Stable; -- Series 2003-1 A-7 at 'AAAsf/LS1'; Outlook Stable; -- Series 2003-1 A-8 at 'AAAsf/LS1'; Outlook Stable; -- Series 2004-1 A-3 at 'AAAsf/LS1'; Outlook Stable; -- Series 2004-1 A-4 at 'AAAsf/LS1'; Outlook Stable; -- Series 2005-1 A-2 at 'AAAsf/LS1'; Outlook Stable; -- Series 2005-1 A-3 at 'AAAsf/LS1'; Outlook Stable; -- Series 2005-1 A-4 at 'AAAsf/LS1'; Outlook Stable; -- Series 2005-1 A-5 at 'AAAsf/LS1'; Outlook Stable; -- Series 2006-1 A-3 at 'AAAsf/LS1'; Outlook Stable; -- Series 2006-1 A-4 at 'AAAsf/LS1'; Outlook Stable; -- Series 2006-1 A-5 at 'AAAsf/LS1'; Outlook Stable; -- Series 2006-1 A-6 at 'AAAsf/LS1'; Outlook Stable; -- Series 2006-1 A-7A at 'AAAsf/LS1'; Outlook Stable; -- Series 2006-1 A-7B at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-1 at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-2 at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-3 at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-4 at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-5 at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-6 at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-7 at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-8 at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-9 at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-10 at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-11 at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-12 at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-13 at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-14 at 'AAAsf/LS1'; Outlook Stable. Fitch has upgraded these ratings: -- Series 2002-1 B-1 to 'BBBsf/LS3' from 'BBsf/LS3'; Outlook Stable; -- Series 2002-2 B-3 to 'BBBsf/LS3' from 'BBsf/LS3' ; Outlook Stable; -- Series 2002-2 B-4 to 'BBBsf/LS3' from 'BBsf/LS3'; Outlook Stable; -- Series 2003-1 B-1 to 'BBBsf/LS3' from 'BBsf/LS3'; Outlook Stable; -- Series 2003-1 B-2 to 'BBBsf/LS3' from 'BBsf/LS3'; Outlook Stable; -- Series 2004-1 B-1 to 'BBBsf/LS3' from 'BBsf/LS3'; Outlook Stable; -- Series 2005-1 B-1 to 'BBBsf/LS3' from 'BBsf/LS3'; Outlook Stable; -- Series 2006-1 B to 'BBBsf/LS3' from 'BBsf/LS3'; Outlook Stable; -- Series 2007-2 B-1 to 'BBBsf/LS3' from 'BBsf/LS3'; Outlook Stable. CREDIT SUISSE: Fitch Takes Various Rating Actions on CSFB 2001-CF2 ------------------------------------------------------------------ Fitch Ratings has downgraded three and affirmed eight classes of Credit Suisse First Boston Mortgage Securities Corp., series 2001- CF2 (CSFB 2001-CF2). The downgrades are the result of Fitch's revised loss estimates for the transaction. Fitch modeled losses of 19.4% of the remaining pool; modeled losses of the original pool are at 4.9%, including losses already incurred to date. The pool has become extremely concentrated with only 29 loans remaining. As of the June 2011 distribution date, the pool's certificate balance has been reduced by 88.4% (to $131.3 million from $1.13 billion at issuance), of which 85.7% were due to paydowns and 2.7% were due to realized losses. Interest shortfalls totaling $5.6 million are currently affecting classes H through O. Fitch has identified 22 Fitch Loans of Concern (91.3%), 18 of which are specially-serviced (60.7%). Fitch expects the losses associated with the specially-serviced loans to impact classes J through M. Classes N and O have been reduced to zero due to realized losses. The largest contributor to modeled losses is a specially-serviced loan secured by a 184,000 square foot (sf) office property located in Oak Brook, IL. The lease for the property's largest tenant (70% of total space) expires in April 2012. Renewal negotiations between the borrower and the tenant remain ongoing. It is expected that the negotiations will result in significant rent concessions. The next largest contributor to modeled losses is a specially- serviced loan secured by a 115-room hotel located in Gorton, CT. The asset is currently real-estate owned (REO). A receiver was appointed in July 2010 and remains in place as property manager. Fitch stressed the cash flow of the remaining non-defeased loans by applying a 5% reduction to 2009 or 2010 fiscal year-end net operating income, and applying an adjusted market cap rate between 8.1% and 11% to determine value. The non-defeased and non-specially-serviced loans also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Under this scenario, only one loan is not expected to pay off at maturity and incurs a loss when compared to Fitch's stressed value. The current weighted average debt service coverage ratio (DSCR) for the non- defeased and non-specially-serviced loans is 1.15 times (x). Fitch downgrades these classes: -- $16.4 million class H to 'BBB/LS5' from 'A-/LS5'; Outlook Negative; -- $21.9 million class J to 'C/RR3' from 'CCC/RR1'; -- $8.2 million class K to 'C/RR6' from 'CC/RR1'. Additionally, Fitch affirms and revises the LS rating on these classes: -- $12.4 million class C at 'AAA', loss severity to 'LS5' from 'LS4'; Outlook Stable; -- $10.9 million class D at 'AAA/LS5'; Outlook Stable; -- $16.4 million class E at 'AAA/LS5'; Outlook Stable; -- $18.9 million class F at 'AA/LS5'; Outlook Stable; -- $14 million class G at 'A+/LS5'; Outlook Negative; -- $9.3 million class L at 'C/RR6'; -- $1.9 million class M at 'D/RR6'; -- $0 class N at 'D/RR6'. Classes A-1, A-2, A-3, A-4, and B have paid in full. Classes O, NM-1, NM-2, and RA are not rated by Fitch. CREDIT SUISSE: Fitch Downgrades Classes of CSFB 2001-CK1 -------------------------------------------------------- Fitch Ratings downgrades three classes of Credit Suisse First Boston Mortgage Securities Corp. (CSFB), commercial mortgage pass- through certificates, series 2001-CK due to further deterioration of performance. The downgrades are the result of increased loss expectations by Fitch across the pool. Fitch modeled losses of 21.5% of the remaining pool; expected losses of the original pool are at 4.4%, including losses already incurred to date. Fitch has designated nine loans (69.1%) as Fitch Loans of Concern, which includes seven specially serviced loans (55.8%). Fitch expects losses associated with specially serviced loans to deplete classes L and M and impair class K. As of the June 2011 distribution date, the pool's aggregate principal balance has been paid down by approximately 91.7% to $82.4 million from $997.1 million at issuance. Interest shortfalls are affecting classes J through O with cumulative unpaid interest totaling $2.4 million. Fitch stressed the cash flow of the remaining loans by applying a 5% reduction to 2009 or 2010 fiscal year-end net operating income, and applying an adjusted market cap rate between 8.10% and 9.5 % to determine value. All the loans also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. All of the loans are modeled to pay off at maturity, and could refinance to a debt-service coverage ratio (DSCR) above 1.25 times (x). The current weighted average DSCR is 1.49x. The largest contributor to Fitch modeled losses is a 173,787 square foot (sf) office property located in Detroit, MI. The property became a real estate owned asset (REO) on June 4, 2010 and will be listed for sale shortly. Recent property valuations indicate losses upon liquidation. The second largest contributor to Fitch modeled losses is a 322- unit multifamily property located in Dallas, TX. The loan transferred to special servicing on May 4, 2010 due to monetary default. The borrower filed for Chapter 11 bankruptcy protection prior to foreclosure in December 2010. The special servicer has filed motion for release from stay. The third largest contributor to Fitch modeled losses is a 126,627 sf retail property located in Albuquerque, NM. The property became REO on March 30, 2011 and is currently 49.7% occupied. The special servicer is working to stabilize the property by actively marketing the vacant spaces with reduced rents and concessions. Recent property valuations obtained by the servicer indicate losses upon liquidation. Fitch has downgraded these classes: -- $27.4 million class J to 'B-/LS4' from 'BB/LS4'; Outlook to Stable from Negative; -- $7.5 million class K to 'C/RR3' from 'B-/LS5'; -- $7.5 million class L to 'C/RR6' from 'CCC/RR2' . Fitch also affirms these classes: -- $16.6 million class G at 'AA+/LS5'; Outlook Stable; -- $17.5 million class H at 'A-/LS5'; Outlook Stable. Classes A-1 through F have paid in full. Fitch does not rate the $6 million class M certificates. Fitch has withdrawn the ratings on the interest-only classes A-CP and A-X. CREDIT SUISSE: Fitch Takes Various Actions on CSFB 2004-C2 ---------------------------------------------------------- Fitch Ratings has upgraded one and affirmed 14 classes Credit Suisse First Boston Mortgage Securities Corp., commercial mortgage pass-through certificates, series 2004-C2 (CSFB 2004-C2). Fitch modeled losses of 2.1% of the remaining pool; modeled losses of the original pool are at 2.6%, including losses already incurred to date. The upgrade to class B reflects the defeased collateral within the pool. Ten loans, representing 17.8% of the pool, have been defeased. The affirmation to the other classes reflects stable pool performance. The Negative Outlooks on classes K and L reflect upcoming loan maturities over the next two years and the smaller-than-average class sizes which continue to make those bonds susceptible to downgrade. As of the June 2011 distribution date, the pool's certificate balance has been reduced by 22.7% (to $747.7 million from $966.8 million), of which 22.3% were due to paydowns and 0.4% were due to realized losses. Fitch has designated 18 loans (22.2%) as Fitch Loans of Concern, which includes five specially serviced loans (3.9%). Fitch expects the losses associated with the specially-serviced loans to impact the non-rated class P. The largest contributor to Fitch-modeled losses is a specially- serviced loan (1.6%) secured by a 400-unit multifamily property located in Houston, TX. The loan transferred to special servicing in February 2011 due to payment default. The loan sponsor has defaulted on other multifamily properties within other commercial- mortgage backed transactions. In addition, two other specially- serviced loans within the pool have this common sponsor. The borrower is marketing these properties for sale while the special servicer prepares to file foreclosure. The second largest contributor to Fitch-modeled losses is a loan (2.7%) secured by a portfolio of three multifamily properties (totaling 912 units) located in Melbourne, FL; Charlotte, NC; and Corpus Christi, TX. The servicer-reported debt-service coverage ratio for the portfolio has been declining due to a decrease in base rents and an increase in operating expenses. The portfolio DSCR was 1.67 times (x) at year-end (YE) 2010, on a net operating income (NOI) basis, down from 1.72x and 1.94x, respectively, at YE 2009 and YE 2008. Current occupancy at the underlying properties ranged from 90% to 98%. The third largest contributor to Fitch-modeled losses is a loan (1%) secured by a portfolio of four retail properties located in Greensboro, NC. The servicer-reported debt-service coverage ratio for the portfolio was 0.86x at YE 2010, on a NOI basis. Three of the underlying properties are underperforming. Occupancy at the underlying properties ranged from 60% to 100%. Approximately 1.5% of the pool matures in 2011, 26.2% in 2013, and 54.2% in 2014. Fitch upgrades this class: -- $26.6 million class B to 'AAAsf/LS3' from 'AA+sf/LS1'; Outlook Stable. In addition, Fitch affirms these classes and revises Rating Outlooks and Loss Severity ratings: -- $59.3 million class A-1 at 'AAAsf/LS1'; Outlook Stable; -- $166.3 million class A-1-A at 'AAAsf/LS1'; Outlook Stable; -- $392.8 million class A-2 at 'AAAsf/LS1'; Outlook Stable; -- $10.9 million class C at 'AAsf'; Loss Severity to 'LS4' from 'LS1'; Outlook to Positive from Stable; -- $20.5 million class D at 'Asf'; Loss Severity to 'LS4' from 'LS1'; Outlook to Positive from Stable; -- $9.7 million class E at 'A-sf'; Loss Severity to 'LS5' from 'LS3'; Outlook Stable; -- $9.7 million class F at 'BBB+sf'; Loss Severity to 'LS5' from 'LS3'; Outlook Stable; -- $9.7 million class G at 'BBBsf'; Loss Severity to 'LS5' from 'LS3'; Outlook Stable; -- $10.9 million class H at 'BB+sf'; Loss Severity to 'LS4' from 'LS3'; Outlook to Stable from Negative; -- $6 million class J at 'BB-sf'; Loss Severity to 'LS5' from 'LS4'; Outlook to Stable from Negative; -- $3.6 million class K at 'B+sf/LS5'; Outlook Negative; -- $3.6 million class L at 'B-sf/LS5'; Outlook Negative; -- $2.4 million class N at 'CCCsf/RR1'; -- $1.2 million class O at 'CCsf/RR3'. Fitch has withdrawn the rating on the interest-only classes A-X and A-SP. CS FIRST: Moody's Downgrades Two and Affirms Nine CMBS Classes -------------------------------------------------------------- Moody's Investors Service (Moody's) downgraded two and affirmed nine CMBS classes of Credit Suisse First Boston Mortgage Securities, Commercial Mortgage Pass-Through Certificates, Series 2001-CF2: Cl. C, Affirmed at Aaa (sf); previously on Dec 20, 2007 Upgraded to Aaa (sf) Cl. D, Affirmed at Aa1 (sf); previously on Mar 26, 2008 Upgraded to Aa1 (sf) Cl. E, Affirmed at Aa3 (sf); previously on Mar 26, 2008 Upgraded to Aa3 (sf) Cl. F, Affirmed at A3 (sf); previously on Mar 26, 2008 Upgraded to A3 (sf) Cl. G, Downgraded to B1 (sf); previously on May 20, 2011 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. H, Downgraded to B3 (sf); previously on May 20, 2011 B1 (sf) Placed Under Review for Possible Downgrade Cl. J, Affirmed at Caa3 (sf); previously on Oct 7, 2010 Downgraded to Caa3 (sf) Cl. K, Affirmed at C (sf); previously on Oct 7, 2010 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Oct 7, 2010 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Mar 26, 2008 Downgraded to C (sf) Cl. A-X, Affirmed at Aaa (sf); previously on Apr 23, 2001 Definitive Rating Assigned Aaa (sf) RATINGS RATIONALE The downgrades are due to anticipated increases in interest shortfalls from specially serviced loans. 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. On May 20, 2011 Moody's placed two classes on review for possible downgrade due to an anticipated increase in interest shortfalls. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 19.9% of the current pooled balance compared to 8.3% 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 current dollar estimate of expected loss ($30.0 million) is less than the previous estimate ($32.0 million). Moody's current base expected dollar loss plus realized losses is $56 million, which is similar to the $62 million base expected dollar loss plus realized losses at last review. Moody's stressed scenario loss is 22.4% of the current pooled 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 Fusion U.S. CMBS Transactions" published in April 2005. Another methodology considered 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 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's 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 11 compared to 19 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 October 7, 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 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 June 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 88% to $131 million from $1.09 billion at securitization. The Certificates are collateralized by 33 mortgage loans ranging in size from less than 1% to 21% of the pool, with the top ten loans representing 73% of the pool. The pool does not contain any loans with a credit estimate or any defeased loans. The pool has significant refinance risk as loans representing 90% of the pool have either passed their anticipated repayment or maturity dates or mature within the next six months. Three loans, representing 24% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. In this deal, the key criteria triggering the watchlist include occupancy concerns, financial performance and low DSCR. Twenty-one loans have been liquidated from the pool since securitization, resulting in an aggregate $30 million loss (40% average loss severity). Currently, 18 loans, representing 61% of the pool, are in special servicing. The largest specially serviced loan is the 2001 York Road Loan ($28 million -- 21% of the pool), which is secured by a 5-story, Class A office building located 25 miles west of downtown Chicago, Illinois. The loan is not currently delinquent and the servicer has not recognized an appraisal reduction for this asset. However, Moody's is concerned with the borrower's ability to refinance the loan by its October 2011 extended loan maturity. Comcast (Moody's senior unsecured rating Baa1, stable outlook) leases 70% of the net rentable area (NRA) through April 2012. Comcast has not yet indicated if it will renew or vacate at lease expiration. Moody's believes it will be difficult to refinance the loan without a Comcast renewal or replacement tenant. The remaining 17 specially serviced loans are secured by a mix of commercial and multifamily properties. The servicer has recognized an aggregate $13 million appraisal reduction for nine of the 18 specially serviced loans. Moody's has estimated a $22 million loss (29% expected loss) for 17 of the 18 specially serviced loans. Moody's has assumed a high default probability for one poorly performing loan representing 11% of the pool and has estimated a $2 million loss (15% expected loss based on a 75% probability default) from this troubled loan. Moody's was provided with full year 2009 and 2010 operating results for 76% and 67% of the pool's loans, respectively. Excluding specially serviced loans and the troubled loan, Moody's weighted average LTV for the conduit component is 91% compared to 72% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11.1% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10%. Excluding specially serviced loans and the troubled loan, Moody's actual and stressed DSCRs for the conduit component are 1.03X and 1.24X, respectively, compared to 1.64X and 1.55X 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. Moody's stressed DSCR is higher than the actual DSCR because most loans in the pool are at or near loan maturity and the debt constant is higher than Moody's stressed 9.25% rate. As of the most recent remittance statement date, Classed H though O have experienced accumulated interest shortfalls totaling $5.6 million. Interest shortfalls were contained to Classes J through O when the deal was put on review last month. 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 increase due to the pool's large exposure to specially serviced loans and loans on the watchlist. Currently, 85% of the pool is on the watchlist or in special servicing. The servicer has only recognized an appraisal reduction for nine of the 18 specially serviced loans. Moody's expects that the servicer will recognize additional appraisal reductions, which would lead to more interest shortfalls. The aggregate balance of all conduit loans is $39 million or 30% of the pooled balance. The largest conduit loan is the Jenkins Court Loan ($14 million -- 11%), which is secured by a 172,000 SF office building located in Jenkintown, Pennsylvania. The loan is current, but is on the servicer's watchlist because of a low DSCR. The property is currently 87% leased, but because of the weak market the landlord has made rent concessions to retain the existing tenant base. Moody's LTV and stressed DSCR are 114% and 0.95X, respectively, compared to from 111% and 0.97X at last review. The remaining conduit loans are all performing and are each less than $10 million. CSFB MORTGAGE: Moody's Affirms 19 CMBS Classes of CSFB 2005-C1 -------------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 19 classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates 2005-C1: Cl. A-3, Affirmed at Aaa (sf); previously on Apr 19, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Apr 19, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed at Aaa (sf); previously on Apr 19, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed at Aa2 (sf); previously on Oct 13, 2010 Downgraded to Aa2 (sf) Cl. A-SP, Affirmed at Aaa (sf); previously on Apr 19, 2005 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at A3 (sf); previously on Oct 13, 2010 Downgraded to A3 (sf) Cl. C, Affirmed at Baa2 (sf); previously on Oct 13, 2010 Downgraded to Baa2 (sf) Cl. D, Affirmed at Ba1 (sf); previously on Oct 13, 2010 Downgraded to Ba1 (sf) Cl. E, Affirmed at B1 (sf); previously on Oct 13, 2010 Downgraded to B1 (sf) Cl. F, Affirmed at B3 (sf); previously on Oct 13, 2010 Downgraded to B3 (sf) Cl. G, Affirmed at Caa1 (sf); previously on Oct 13, 2010 Downgraded to Caa1 (sf) Cl. H, Affirmed at Caa3 (sf); previously on Oct 13, 2010 Downgraded to Caa3 (sf) Cl. J, Affirmed at Ca (sf); previously on Oct 13, 2010 Downgraded to Ca (sf) Cl. K, Affirmed at C (sf); previously on Oct 13, 2010 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Oct 13, 2010 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Oct 13, 2010 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Oct 13, 2010 Downgraded to C (sf) Cl. O, Affirmed at C (sf); previously on Oct 13, 2010 Downgraded to C (sf) Cl. A-X, Affirmed at Aaa (sf); previously on Apr 19, 2005 Definitive Rating Assigned Aaa (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 6.4% of the current balance. At last review, Moody's cumulative base expected loss was 7.1%. Moody's stressed scenario loss is 17.9% 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 primary methodology used in this rating was: "CMBS: Moody's Approach to Rating Conduit Transactions" published on September 15, 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 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 37 compared to 38 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 13, 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 June 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 21% to $1.19 billion from $1.51 billion at securitization. The Certificates are collateralized by 144 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten non-defeased loans representing 40% of the pool. Thirteen loans, representing 8% of the pool, have defeased and are secured by U.S. Government securities. Forty-nine loans, representing 47% of the pool, are on the master servicer's watchlist. Two of the top three loans, representing 13% of the pool, are expected to be removed from the watchlist shortly, reducing the watchlist exposure to 33%. 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. Sixteen loans have been liquidated from the pool, resulting in a realized loss of $15.0 million (15% loss severity). Currently 14 loans, representing 10% of the pool, are in special servicing. The largest specially serviced loan is the Mall at Yuba City Loan ($34.3 million -- 2.9% of the pool), which is secured by a 300,000 square foot (SF) regional mall located in Yuba City, California. The loan was transferred to special servicing in March 2011 due to imminent payment default. The borrower is in the process of submitting a discounted payoff or loan modification proposal. Once submitted, the special servicer will review both proposals and devise a resolution strategy. The loan remains current. The remaining thirteen specially serviced properties are secured by a mix of property types. The master servicer has recognized an aggregate $30.6 million appraisal reduction on ten of the specially serviced loans. Moody's estimates an aggregate $40.9 million loss for the specially serviced loans (37% expected loss on average). Moody's has assumed a high default probability for 11 poorly performing loans representing 4% of the pool and has estimated an aggregate $7.0 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009/2010 operating results for 94% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 99% compared to 94% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.46X and 1.13X, respectively, compared to 1.47X and 1.14X 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 18% of the pool balance. The largest loan is the GGP Retail Portfolio Loan ($107.7 million -- 9.0% of the pool), which is secured by four regional malls containing 2.2 million SF, of which 1.8 million SF is collateral for the loan. The properties are located in Wyoming, Idaho, Utah and Washington. The portfolio's combined occupancy was 81% as of December 2010 compared to 94% at last review. Dillard's vacating one of the properties accounts for a majority of the decrease in occupancy. Overall, the weak performance at the one mall has been offset by strong performance at the other locations. Moody's LTV and stressed DSCR are 101% and 1.01X, respectively, compared to 106% and 1.00X at last review. The second largest loan is the Phelps Dodge Tower Loan ($54.5 million -- 4.6% of the pool), which is secured by a 409,900 SF class A office building located in Phoenix, Arizona. The property is subject to a 50-year ground lease with the City of Phoenix. The property was 91% leased as of June 2010 compared to 96% at last review. The largest tenant, Freeport McMoran, leasing 46% of the space at the building, recently vacated its space but will continue rent payments until the December 2011 lease expiration. The lease to Freeport McMoran accounts for 53% of total revenues for the building. Moody's LTV and stressed DSCR are 99% and 0.97X, respectively, compared to 84% and 1.16X at last review. The third largest loan is The Mansards Loan ($49.5 million -- 4.1% of the pool), which is secured by a 1,337-unit multifamily property located in Griffith, Indiana. The property was 90% leased as of December 2010, the same as the last review. The loan matures in January 2012. Moody's LTV and stressed DSCR are 96% and 1.02X, respectively, compared to 105% and 0.93X at last review. CSFB MORTGAGE: S&P Lowers Ratings on 4 Classes of Certs. to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes of commercial mortgage pass-through certificates from Credit Suisse First Boston Mortgage Securities Corp.'s series 2005-C5, a U.S. commercial mortgage-backed securities (CMBS) transaction. "We lowered four of the seven ratings to 'D (sf)'," S&P said. The downgrades were due to principal losses, interest shortfalls, and reduced liquidity. "We downgraded the class Q certificates because of principal losses resulting from the liquidation of two assets that were with the special servicer, CWCapital Asset Management LLC. According to the June 17, 2011 remittance report, the trust experienced $3.9 million in principal losses: the Redbird Village asset liquidated at a 40.3% loss severity based on its $5.2 million original balance and the Corner of Paradise loan liquidated at a 57.2% loss severity based on its $3.3 million original balance. The Red Bird Village was an unanchored retail property in Dallas, Texas, comprising 85,295 net-rentable-sq.-ft., which was transferred to the special servicer in January 2010. The Corner of Paradise asset was also an unanchored retail asset -- located in Peoria, Ariz. -- and was transferred to the special servicer on January 2011. Class Q experienced a loss of 28.6% on its $10.9 million original balance. The remaining principal losses affected the class S certificate (not rated)," S&P related. The downgrades of the six remaining classes reflect current and potential interest shortfalls, as well as reduced liquidity available to absorb future interest shortfalls. As of the June 17, 2011, trustee remittance report, appraisal reduction amounts (ARAs) totaling $37.2 million were in effect for 12 ($112.3 million, 4.3%) of the transaction's 16 ($152.4 million, 5.9%) specially serviced assets. The total reported ASER amount affecting the trust was offset by the recovery of accumulated interest shortfalls outstanding resulting from the two liquidated assets and the York Creek Apartments loan (which was modified on March 2011). The reported cumulative ASER amount was $752,091. Standard & Poor's considered nine ASER amounts, which were based on Member of the Appraisal Institute (MAI) appraisals, as well as current special servicing fees ($30,554), workout fees ($1,036), a nonrecoverable charge ($12,565), interest on advances ($205), and other shortfalls ($3,716) in determining its rating actions. The reported monthly interest shortfalls totaled $95,481 and affected all of the classes subordinate to, and including, class O. "The downgrade of the class N certificates to 'D (sf)' reflects four months of outstanding accumulated interest shortfalls, which we expect to remain outstanding for the foreseeable future. We downgraded classes O and P to 'D (sf)' because of interest shortfalls that have affected the classes for the past four consecutive months. Furthermore, both classes have accumulated interest shortfalls outstanding for four months. We expect interest shortfalls to affect all three classes for the foreseeable future," S&P said. The downgrades of classes K, L, and M certificates reflect increased susceptibility to future interest shortfalls due to the reduced liquidity support available to these classes. The class M certificate had two months of accumulated interest shortfalls prior to the repayment of accumulated interest shortfalls resulting from the liquidation of the two specially serviced assets as reported in the June remittance report. Ratings Lowered Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-C5 Credit Reported Rating enhancement interest shortfalls ($) Class To From (%) Current Accumulated K CCC+ (sf) B+ (sf) 1.98 0 0 L CCC (sf) B+ (sf) 1.70 0 0 M CCC- (sf) B (sf) 1.14 0 0 N D(sf) B- (sf) 0.72 0 105,040 O D (sf) CCC+ (sf) 0.58 15,290 61,159 P D (sf) CCC (sf) 0.30 30,583 122,334 Q D (sf) CCC- (sf) 0.00 45,869 411,994 CW CAPITAL: Moody's Affirms Nine and Downgrades Five CRE CDO Notes ------------------------------------------------------------------ Moody's has affirmed nine classes and downgraded five classes of Notes issued by CW Capital COBALT II, Ltd. due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor (WARF) and decrease in weighted average recovery rate (WARR). The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. Cl. A-1A, Downgraded to A2 (sf); previously on Jun 30, 2010 Downgraded to Aa3 (sf) Cl. A-1AR, Downgraded to A2 (sf); previously on Jun 30, 2010 Downgraded to Aa3 (sf) Cl. A-2A, Affirmed at Aaa (sf); previously on Jun 30, 2010 Confirmed at Aaa (sf) Cl. A-1B, Downgraded to B1 (sf); previously on Jun 30, 2010 Downgraded to Ba1 (sf) Cl. A-2B, Downgraded to Ba1 (sf); previously on Jun 30, 2010 Downgraded to Baa2 (sf) Cl. B, Downgraded to Caa2 (sf); previously on Jun 30, 2010 Downgraded to Caa1 (sf) Cl. C, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (sf) Cl. D, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (sf) Cl. E, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (sf) Cl. F, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (sf) Cl. G, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (sf) Cl. H, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (sf) Ratings Rationale CW Capital COBALT II, Ltd is a static CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (67.9% of the pool balance), whole loans (21.8%), CRE CDOs (9.0%), B-notes (0.6%), and mezzanine debt (0.7%). Fifteen CMBS assets (24.0% of the pool balance) are synthetic reference obligations. As of the May 31, 2011 Trustee report, the aggregate Note balance of the transaction has decreased to $602.5 million from $700 million at issuance, with paydowns directed to classes A-1A, A-2A and A-1AR. The revolving period ended in April 2011. Thirty-two assets with a par balance of $233 million (37.5% of the pool balance) were reported as Defaulted Securities as of the May 31, 2011 Trustee report. Twenty-two of these assets (64.5% of the defaulted balance) are either CMBS, CRE CDO, or synthetic reference obligations, ten of these assets are whole loans (32.2%), and the remaining assets are B-notes or mezzanine debt (3.3%). Moody's expects significant losses to occur from the Defaulted Securities. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), WARR, and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated collateral and reference obligations. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 5,704 compared to 5,224 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (14.6% compared to 23.1% al last review), A1-A3 (3.6% compared to 1.5% at last review), Baa1-Baa3 (12.9% compared to 11.7% at last review), Ba1-Ba3 (4.6% compared to 5.1% at last review), B1-B3 (8.0% compared to 3.4% at last review), and Caa1-C (56.2% compared to 55.2% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 3.5 years compared to 3.4 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Due to the speculative-grade collateral, Moody's modeled a fixed 31.5% WARR, compared to 37.7% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 5.3% compared to 9.5% at last review. The low MAC is due to a high level of dispersion of credit within the collateral pool. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 31.5% to 26.5% or up to 36.5% would result in average rating movement on the rated tranches of 0 to 1 notches downward or 0 to 2 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in November 2010. The other methodology used in these ratings was "CMBS: Moody's Approach to Rating Static CDOs Backed by Commercial Real Estate Securities" published in June 2004. 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. CWHEQ REVOLVING: Moody's Downgrades Rating of $1.1 Bil. RMBS ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 22 tranches issued by CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES. 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 methodology used for estimating losses on second lien pools, please refer to the methodology publication "Second Lien RMBS Loss Projection Methodology: April 2010". 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: CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES Cl. 04D-1a, Downgraded to Caa2 (sf); previously on Jun 2, 2009 Downgraded to Ba3 (sf) Cl. 04D-1b, Downgraded to Caa2 (sf); previously on Jun 2, 2009 Downgraded to Ba3 (sf) Cl. 04E-1a, Downgraded to Caa2 (sf); previously on Jun 2, 2009 Downgraded to Ba2 (sf) Cl. 04E-1b, Downgraded to Caa2 (sf); previously on Jun 2, 2009 Downgraded to Ba2 (sf) Cl. 04F-1a, Downgraded to Caa2 (sf); previously on Jun 2, 2009 Downgraded to B1 (sf) Cl. 04F-1b, Downgraded to Caa2 (sf); previously on Jun 2, 2009 Downgraded to B1 (sf) Cl. 04K-1a, Downgraded to Caa3 (sf); previously on Jun 2, 2009 Downgraded to Ba3 (sf) Cl. 04K-1b, Downgraded to Caa3 (sf); previously on Jun 2, 2009 Downgraded to Ba3 (sf) Cl. 04L-1a, Downgraded to Caa2 (sf); previously on Jun 2, 2009 Downgraded to Ba1 (sf) Cl. 04L-1b, Downgraded to Caa2 (sf); previously on Jun 2, 2009 Downgraded to Ba1 (sf) Cl. 04M-1a, Downgraded to Caa2 (sf); previously on Jun 2, 2009 Downgraded to Ba3 (sf) Cl. 04M-1b, Downgraded to Caa2 (sf); previously on Jun 2, 2009 Downgraded to Ba3 (sf) Cl. 04N-1a, Downgraded to Caa3 (sf); previously on Jun 2, 2009 Downgraded to Ba3 (sf) Cl. 04N-1b, Downgraded to Caa3 (sf); previously on Jun 2, 2009 Downgraded to Ba3 (sf) Cl. 04T-1a, Downgraded to Ca (sf); previously on Jun 2, 2009 Downgraded to Ba3 (sf) Cl. 04T-1b, Downgraded to Ca (sf); previously on Jun 2, 2009 Downgraded to Ba3 (sf) Cl. 05F-1a, Downgraded to Ca (sf); previously on Jun 2, 2009 Downgraded to Ba3 (sf) Cl. 05F-1b, Downgraded to Ca (sf); previously on Jun 2, 2009 Downgraded to Ba3 (sf) Cl. 05G-1a, Downgraded to Caa3 (sf); previously on Jun 2, 2009 Downgraded to Caa2 (sf) Cl. 05G-1b, Downgraded to Caa3 (sf); previously on Jun 2, 2009 Downgraded to Caa2 (sf) Cl. 05H-1a, Downgraded to Caa3 (sf); previously on Jun 2, 2009 Downgraded to Caa2 (sf) Cl. 05H-1b, Downgraded to Caa3 (sf); previously on Jun 2, 2009 Downgraded to Caa2 (sf) DBUBS 2011-LC2: Moody's Assigns Definitive Ratings to 15 CMBS ------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 15 classes of CMBS securities, issued by DBUBS Commercial Mortgage Trust 2011-LC2, Commercial Mortgage Pass-Through Certificates, Series 2011-LC2. US$129.056M Cl. A-1 Certificate, Definitive Rating Assigned Aaa (sf) US$129.056M Cl. A-1FL Certificate, Definitive Rating Assigned Aaa (sf) Cl. A-1C Certificate, Definitive Rating Assigned Aaa (sf) US$568.378M Cl. A-2 Certificate, Definitive Rating Assigned Aaa (sf) US$116.111M Cl. A-3FL Certificate, Definitive Rating Assigned Aaa (sf) Cl. A-3C Certificate, Definitive Rating Assigned Aaa (sf) US$831.487M Cl. A-4 Certificate, Definitive Rating Assigned Aaa (sf) US$64.317M Cl. B Certificate, Definitive Rating Assigned Aa2 (sf) US$72.357M Cl. C Certificate, Definitive Rating Assigned A2 (sf) US$112.556M Cl. D Certificate, Definitive Rating Assigned Baa3 (sf) US$45.558M Cl. E Certificate, Definitive Rating Assigned Ba3 (sf) US$26.799M Cl. F Certificate, Definitive Rating Assigned B3 (sf) Cl. FX Certificate, Definitive Rating Assigned B3 (sf) Cl. X-A Certificate, Definitive Rating Assigned Aaa (sf) Cl. X-B Certificate, Definitive Rating Assigned 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 U.S. CMBS Transactions" published in April 2005. 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. DEUTSCHE MORTGAGE: S&P Lowers Ratings on 9 Classes to 'B-' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 17 classes from the Alternative-A (Alt-A) structure of Deutsche Mortgage Securities Inc. Mortgage Loan Trust Series 2006-PR1 (DMSI 2006-PR1) and removed them from CreditWatch with negative implications. "In addition, we affirmed our ratings on 14 classes from the Alt-A structure of the same transaction. DMSI 2006-PR1 is a U.S. residential mortgage-backed securities (RMBS) transaction with one structure backed by Alternative-A (Alt-A) mortgage loan collateral from Puerto Rico, and a second structure, which is a resecuritized real estate mortgage investment conduit (re-REMIC)," S&P related. "The downgrades reflect our opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings given our current projected losses under our stress scenarios. The affirmed ratings reflect our belief that the amount of projected credit enhancement available for these classes is sufficient to cover projected losses associated with these rating levels," S&P said. "To assess the creditworthiness of each class, we reviewed the delinquency and loss trend of the transaction and the ability to withstand additional credit deterioration. In order to maintain a 'B' rating on a class, we assessed whether, in our view, a class could absorb the remaining base-case loss assumptions we used in our analysis," S&P noted. S&P's lifetime projected loss has changed for this transaction: Orig. bal. Lifetime Transaction (mil. $) exp. loss (%) DMSI 2006-PR1 1,771 6.25 A combination of subordination, excess spread, and overcollateralization (now depleted) provide credit support to this transaction. In addition, classes 3-A-F-1-C, 3-A-F-2, 4-A-F- 1-C, and 5-A-F-2 are bond-insured by Assured Guaranty Municipal Corp. (Assured; financial strength rating of 'AA+'). The long-term ratings on the bond-insured classes reflect the higher of the rating on the bond insurer and Standard & Poor's underlying ratings (SPURs) on the securities. The Alt-A structure from DMSI 2006-PR1 is backed by fixed-rate, Alt-A mortgage loans that are secured by first liens on one- to four-family residential properties in Puerto Rico. Rating Actions Deutsche Mortgage Securities Inc. Mortgage Loan Trust Series 2006- PR1 Series 2006-PR1 Rating Class CUSIP To From 1-A-1 25157GAA0 B- (sf) B (sf)/Watch Neg 2-A-F 25157GAC6 B+ (sf) BBB (sf)/Watch Neg 2-PO 25157GAE2 B+ (sf) BBB (sf)/Watch Neg 3-A-1 25157GAH5 B+ (sf) BBB (sf)/Watch Neg 3-PO 25157GAN2 B+ (sf) BBB (sf)/Watch Neg 4-A-F-2 25157GAQ5 B+ (sf) BBB (sf)/Watch Neg 4-A-I-1 25157GAR3 B+ (sf) BBB (sf)/Watch Neg 4-A-I-2 25157GAS1 B+ (sf) BBB (sf)/Watch Neg 4-PO 25157GAZ5 B+ (sf) BBB (sf)/Watch Neg 5-A-F-1 25157GBA9 B- (sf) BB (sf)/Watch Neg 5-A-F-3 25157GBC5 B- (sf) BB (sf)/Watch Neg 5-A-F-4 25157GBD3 B- (sf) BB (sf)/Watch Neg 5-A-I-1 25157GBE1 B- (sf) BBB (sf)/Watch Neg 5-A-I-2 25157GBF8 B- (sf) BBB (sf)/Watch Neg 5-A-I-3 25157GBG6 B- (sf) BBB (sf)/Watch Neg 5-A-I-4 25157GBH4 B- (sf) BBB (sf)/Watch Neg 5-PO 25157GCS9 B- (sf) BB (sf)/Watch Neg Ratings Affirmed Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006- PR1 Series 2006-PR1 Class CUSIP Rating 3-A-F-1-C 25157GAF9 AA+ (sf) 3-A-F-2 25157GAG7 AA+ (sf) 4-A-F-1-C 25157GAP7 AA+ (sf) 5-A-F-2 25157GBB7 AA+ (sf) B-1A 25157GCU4 CCC (sf) B-1B 25157GCV2 CCC (sf) B-2 25157GCY6 CCC (sf) B-3 25157GDA7 CC (sf) B-4 25157GDC3 CC (sf) B-5 25157GDE9 CC (sf) B-6 25157GDG4 CC (sf) B-7 25157GDJ8 CC (sf) B-8 25157GDL3 CC (sf) B-9 25157GDM1 CC (sf) DLJ MTG: Moody's Withdraws Ratings on Two Transactions ------------------------------------------------------ Moody's Investors Service has withdrawn the ratings of six tranches from DLJ Mtg Acpt Corp 1992-05 and DLJ Mtg Acpt Corp 1993-20 transactions. These tranches are backed by a pool of mortgage loans with a pool factor less than 5% and containing fewer than 40 loans. The transactions are supported by pool insurance provided by Genworth Mortgage Insurance Corporation and Radian Guaranty. Issuer: DLJ Mtg Acpt Corp 1992-05 A-1, Withdrawn (sf); previously on Aug 4, 2009 Downgraded to A3 (sf) A-2, Withdrawn (sf); previously on Aug 4, 2009 Downgraded to A3 (sf) A-3, Withdrawn (sf); previously on Aug 4, 2009 Downgraded to Baa1 (sf) Issuer: DLJ Mtg Acpt Corp 1993-20 I S, Withdrawn (sf); previously on Aug 4, 2009 Downgraded to Aa1 (sf) I A-1, Withdrawn (sf); previously on Aug 4, 2009 Downgraded to Aa1 (sf) I A-2, Withdrawn (sf); previously on Aug 4, 2009 Downgraded to Ba2 (sf) Ratings Rationale 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 or pool insurance). Moody's has inadequate information on the pool insurance policies for DLJ Mtg Acpt Corp 1992-05 and DLJ Mtg Acpt Corp 1993-20 respective to the amount of losses and the number of loans that are currently covered under the pool insurance policies. 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. DUANE STREET: S&P Raises Rating on Class E Notes to 'BB-' --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on all classes of notes from Duane Street CLO IV Ltd., a collateralized loan obligation (CLO) transaction managed by DiMaio Ahmad Capital LLC. "At the same time, we removed our ratings on the class A-1R and A-1T notes from CreditWatch, where we placed them with positive implications on March 30, 2011," S&P said. The upgrades reflect the increased credit support available to the tranches. "Our March 2011 CreditWatch placements reflected the transaction's improved performance since December 2009, when we downgraded the notes following the application of our September 2009 corporate collateralized debt obligation (CDO) criteria," S&P related. "According to the May 2011 monthly trustee report, the transaction's collateral pool has one defaulted asset -- for $2 million par -- compared with $41.98 million in defaulted assets as of the November 2009 trustee report, which we used for the December 2009 downgrades. Some of the assets reported as defaults in November 2009 later returned to performing status; however, the collateral manager also sold some defaulted positions at prices that were higher than their assumed recovery values. This contributed to an increase in the overcollateralization (O/C) available to support the rated notes," S&P said. The trustee reported these O/C ratios in the May 2011 monthly report: The class A O/C ratio was 132.60%, up from the reported ratio of 127.91% in November 2009; The class B O/C ratio was 124.08%, up from the reported ratio of 119.70% in November 2009; The class C O/C ratio was 116.13%, up from the reported ratio of 112.04% in November 2009; The class D O/C ratio was 109.96%, up from the reported ratio of 106.09% in November 2009; and The class E O/C ratio was 106.72%, up from the reported ratio of 102.85% in November 2009. The transaction is currently passing its class D and E O/C ratios; both were failing in November 2009. Standard & Poor's also notes that the transaction has paid off the previous deferred interest balance on the class E notes. In addition, the credit quality of the underlying collateral has also improved since November 2009. Based on the May 2011 monthly report, the transaction currently has 3.77% of assets rated 'CCC+' and below (excluding defaults), down from 7.88% in November 2009. 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 Duane Street CLO IV Ltd. Rating Class To From A-1R AA+ (sf) A+ (sf)/Watch Pos A-1T AA+ (sf) A+ (sf)/Watch Pos B A+ (sf) BBB+ (sf) C BBB+ (sf) BB+ (sf) D BB+ (sf) B- (sf) E BB- (sf) CCC- (sf) EIRLES TWO: Moody's Upgrades Rating of Class C Notes to 'Ba1' ------------------------------------------------------------- Moody's Investors Service has upgraded the rating of notes issued by Eirles Two - Series 216. The notes affected by the rating action are: Class C, Upgraded to Ba1 (sf); previously on March 24, 2009 Downgraded to Ba2 (sf); Eirles Two - Series 216 is a collateralized debt obligation issuance backed by a portfolio of US$ denominated RMBS reference obligations which originated between 2004 and 2005. Ratings Rationale According to Moody's, the rating upgrade is the result of improvement in the credit quality of the underlying portfolio. Moody's notes that in arriving at its ratings of SF CDOs, there exist a number of sources of uncertainty, operating both on a macro level and on a transaction-specific level. Among the general macro uncertainties are those surrounding future housing prices, pace of residential mortgage foreclosures, loan modification and refinancing, unemployment rate and interest rates. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. 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. In deriving its ratings, Moody's uses the collateral instrument's current rating-based expected loss, Moody's recovery rate table, and the original rating of the instrument along with its average life to infer an unadjusted default probability. The approach Moody's takes to defining the default distribution for the SF CDO collateral depends on the structure of the CDO itself. 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 the correlation between recovery values. Together, the simulated defaults across each of the Monte Carlo scenarios define the loss distribution for the reference pool. The capital structure is incorporated into CDOROM by specifying the attachment point and the thickness of the tranche. 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 discount rate used to present value is the current swap rate plus the promised spread on the tranche based on its remaining maturity. Solely for the purpose of discounting losses, Moody's assumes that losses on the tranche occur 60% of the way through the maturity of the tranche. The final EL of the synthetic SF CDO tranche is the discounted average of the tranche loss across all the scenarios simulated in CDOROM. Since the EL is based on a simulation process, the convergence of the simulation will depend, in part, on the number of iterations chosen for the simulation. Moody's applies a 99% confidence interval to the EL result using a Standard Error equal to the square root of the EL Variance divided by the number of Monte Carlo simulations. If this confidence interval adjustment is significant, a larger number of iterations may be used to reduce the standard error. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in November 2010. 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. EMPORIA PREFERRED: S&P Affirms Ratings on 2 Classes at 'BB' ----------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on the class A, B-1, B-2, C, D, E-1, and E-2 notes from Emporia Preferred Funding I Ltd., a collateralized loan obligation (CLO) transaction managed by A.C. Corp. "At the same time, we removed our ratings on the class B-1, B-2, and C notes from CreditWatch, where we placed them with positive implications on March 30, 2011," S&P said. "The affirmation of our ratings on the class A, B-1, B-2, C, D, E- 1, and E-2 notes reflects the availability of credit support at the current rating levels. We previously downgraded some of the rated notes on Dec. 11, 2009, following the application of our September 2009 corporate CDO criteria. As of the May 2011 trustee report, the transaction had $8.64 million of defaulted assets. This was down from $16.41 million noted in the October 2009 trustee report, which we referenced for our December 2009 rating actions," S&P related. The trustee reported these overcollateralization (O/C) ratios in the May 2, 2011 monthly report: The class A/B O/C ratio was 127.03%, compared with a reported ratio of 121.18% in October 2009; The class C O/C ratio was 117.95%, compared with a reported ratio of 112.57% in October 2009; The class D O/C ratio was 110.07%, compared with a reported ratio of 105.11% in October 2009; and The class E O/C ratio was 106.23%, compared with a reported ratio of 101.46% in October 2009. "While the transaction's credit quality and O/C ratios have improved some, in our opinion the ratings assigned to the notes remain consistent with the credit enhancement available to support the notes. We will continue to take rating actions as we deem necessary," S&P said. Rating and CreditWatch Actions Emporia Preferred Funding I Ltd. Rating Class To From B-1 AA- (sf) AA- (sf)/Watch Pos B-2 AA- (sf) AA- (sf)/Watch Pos C A- (sf) A- (sf)/Watch Pos Ratings Affirmed Emporia Preferred Funding I Ltd. Class Rating A AA+ (sf) D BB+ (sf) E-1 BB (sf) E-2 BB (sf) Transaction Information Issuer: Emporia Preferred Funding I Ltd. Coissuer: Emporia Preferred Funding I Corp. Collateral manager: A.C. Corp. Underwriter: Merrill Lynch & Co. Trustee: U.S. Bank National Association Transaction type: Cash flow CLO FORD CREDIT: Moody's Assigns Definitive Ratings to Notes -------------------------------------------------------- Moody's Investors Service has assigned definitive ratings of A2 (sf) to the ABS notes issued by Ford Credit Auto Owner Trust 2011- SRR2 (Ford 2011-SRR2). The transaction is backed by a revolving pool of prime auto loans originated by Ford Motor Credit Co. (Ford Credit, Ba2), who is also the transaction sponsor and servicer of the loans. The complete rating action is: Issuer: Ford Credit Auto Owner Trust 2011-SRR2 $1,000,000,000 ABS Notes, rated A2 (sf) Ratings Rationale The principal methodology used in rating the transaction was Moody's Approach to Rating U.S. Auto Loan-Backed Securities published in May 2011. Moody's median cumulative net loss expectation and the Aaa Volatility Proxy Level for the Ford 2011-SRR2 collateral pool are 3.50% and 17.50%, respectively. Moody's net loss expectation for the Ford 2011-SRR2 transaction is based on an analysis of the credit quality of the underlying collateral, historical performance trends, the ability of Ford Credit to perform the servicing functions, and expectations for future economic conditions. The V Score for this transaction is Low/Medium, which is consistent with the Low/Medium V score assigned for the U.S. Prime Retail Auto Loan ABS sector. The V Score indicates "Low/Medium" uncertainty about critical assumptions. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If the net loss used in determining the initial rating were changed to 4.75%, 6.50%, or 8.50%, the initial model-indicated output for the Class A notes might change from A2 to Baa2, Ba2, and B2, 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 did not receive or take into account a third party due diligence report on the underlying assets or financial instruments in this transaction. Additional research including a pre-sale report for this transaction is available at www.moodys.com. The special reports, "Updated Report on V Scores and Parameter Sensitivities for Structured Finance Securities" and "V Scores and Parameter Sensitivities in the U.S. Vehicle ABS Sector" are also available on moodys.com. FRANKLIN AUTO: Moody's Reviews Rating for Possible Upgrade ---------------------------------------------------------- Moody's has placed on review for possible upgrade five tranches from three transactions sponsored by Franklin Capital Corporation (Franklin) between 2006 and 2008. RATINGS Issuer: Franklin Auto Trust 2006-1 Cl. C, Baa3 (sf) Placed Under Review for Possible Upgrade; previously on Sep 21, 2010 Upgraded to Baa3 (sf) Issuer: Franklin Auto Trust 2007-1 Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 21, 2010 Upgraded to Aa1 (sf) Cl. C, B2 (sf) Placed Under Review for Possible Upgrade; previously on Feb 27, 2009 Downgraded to B2 (sf) Issuer: Franklin Auto Trust 2008-A Cl. C, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 21, 2010 Upgraded to Aa1 (sf) Cl. D, B1 (sf) Placed Under Review for Possible Upgrade; previously on Feb 27, 2009 Downgraded to B1 (sf) RATINGS RATIONALE The reviews for upgrade were prompted by the further accretion of credit enhancement and a downward revision of collateral loss expectations. Despite weaker than originally expected performance, credit support for the tranches has increased due to sequential payment and the letter of credit (LOC) floor. The higher degree of deterioration in these transactions reflects the impact of the economic downturn during the term of these transactions, heightened by a higher concentration of loans originated in weaker economies of Nevada, Arizona, New Mexico and California. The LOC floor for the 2006 and 2007 transactions is 1.50% of the original balance. Given the prior poor performance of these transactions, the LOC balances are currently below their floor. However, it still represents approximately 15% and 8% of the current pool balance of the 2006-1 and 2007-1 transactions respectively. The LOC of the 2008-A transaction is at its target level of 10.25%. Below are key performance metrics and credit assumptions for each affected transaction. Credit assumptions include Moody's expected lifetime CNL expectation which is expressed as a percentage of the original pool balance. Performance metrics include pool factor which is the ratio of the current collateral balance and the original collateral balance at closing; total credit enhancement (expressed as a percentage of the outstanding collateral pool balance) which consists of subordination and a LOC; and per annum excess spread. Issuer: Franklin Auto Trust 2006-1 Pool factor -- 7.32% CNL Range - 6.75% to 7.00%, prior expectation (September 2010) was 7.25% Total hard credit enhancement (excluding excess spread): Class C - - 14.7% Excess Spread -- Approximately 2.00% Issuer: Franklin Auto Trust 2007-1 Pool factor -- 13.93% CNL Range - 8.25% to 8.75%, prior expectation (September 2010) was 9.00% Total hard credit enhancement (excluding excess spread): Class B - - 40.9%; Class C -- 8.6% Excess Spread -- Approximately 3.00% Issuer: Franklin Auto Trust 2008-A Pool factor -- 25.84% CNL Range - 9.25% to 9.75%, prior expectation (September 2010) was 11.00% Total hard credit enhancement (excluding excess spread): Class C - - 42.23%; Class D -- 10.25% Excess Spread -- Approximately 2.00% The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current macroeconomic environment, in which unemployment continues to rise, and weakness in the used vehicle market. Moody's currently views the used vehicle market as stronger now than it was a year ago, when the uncertainty relating to the economy as well as the future of the U.S auto manufacturers was significantly greater. Overall, Moody's central global scenario remains "Hook-shaped" for 2011; Moody's expects overall a sluggish recovery in most of the world largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. The principal methodology used in these notes was "Moody's Approach to Rating U.S. Auto Loan Backed Securities (2011)" rating methodology published in May 2011. Other methodologies and factors that may have been considered in the process of rating these notes 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 6 months. G-STAR 2002-1: Fitch Affirms Ratings on 5 Classes ------------------------------------------------- Fitch Ratings has affirmed five classes issued by G-Star 2002-1 Ltd./Corp.(G-Star 2002-1)as a result of amortization of the capital structure offsetting the deterioration in the portfolio. Since Fitch's last rating action in July 2010, 26.8% of the portfolio has been downgraded. Currently, 60.7% of the portfolio has a Fitch derived rating below investment grade and 25.6% has a rating in the 'CCC' rating category or lower, compared to 43.4% and 15.5%, respectively, at last review. In addition, the class A notes have received $43.3 million in paydowns since the last review. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in Corporate CDOs'. Based on this analysis, the class A and B notes' breakeven rates are generally consistent with the ratings assigned. For the class C notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class C notes have been affirmed at 'Csf', indicating that default is inevitable. On the December 30, 2010 payment date, the class C notes began receiving interest paid in kind (PIK) whereby the principal amount of the notes is written up by the amount of interest due. Currently, the notes have an outstanding deferred interest balance of $0.46 million. The Stable Outlook of the class A-1MM notes reflects Fitch's view that the notes will continue to delever. The Negative Outlook on the class A-2 notes reflects the concentration risk of the underlying collateral. The Loss Severity (LS) rating indicates a tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the probability of default for tranches. Fitch does not assign LS ratings or Outlooks to classes rated 'CCC' and below. G-Star 2002-1 is a cash flow commercial real estate collateralized debt obligation (CRE CDO) which closed on April 16, 2002. The collateral is composed of 83.9% commercial mortgage backed securities (CMBS), 15% real estate investment trusts, and 1.1% asset backed securities. Fitch has affirmed these classes: -- $28,613,781 class A-1MM at 'BBBsf'; Outlook to Stable from Negative; LS to 'LS4' from 'LS3'; -- $29,693,896 class A-2 at 'BBBsf'; Outlook Negative; LS to 'LS4' from 'LS3'; -- $15,759,835 class B-FL at 'CCCsf'; -- $18,702,403 class B-FX at 'CCCsf'; -- $11,736,553 class C at 'Csf'. GE CAPITAL: Moody's Affirms 14 CMBS Classes of GECMC 2001-2 ----------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 14 classes of GE Capital Commercial Mortgage Corporation, Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2001-2: Cl. A-4, Affirmed at Aaa (sf); previously on Aug 9, 2001 Assigned Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Aug 2, 2006 Upgraded to Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Aug 16, 2007 Upgraded to Aaa (sf) Cl. D, Affirmed at Aaa (sf); previously on Sep 25, 2008 Upgraded to Aaa (sf) Cl. E, Affirmed at Aaa (sf); previously on Oct 9, 2008 Upgraded to Aaa (sf) Cl. F, Affirmed at Aa2 (sf); previously on Nov 18, 2010 Upgraded to Aa2 (sf) Cl. G, Affirmed at A2 (sf); previously on Oct 9, 2008 Upgraded to A2 (sf) Cl. H, Affirmed at Baa2 (sf); previously on Oct 9, 2008 Upgraded to Baa2 (sf) Cl. I, Affirmed at B3 (sf); previously on Nov 18, 2010 Downgraded to B3 (sf) Cl. J, Affirmed at Caa2 (sf); previously on Nov 18, 2010 Downgraded to Caa2 (sf) Cl. K, Affirmed at Ca (sf); previously on Nov 18, 2010 Downgraded to Ca (sf) Cl. L, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. X-1, Affirmed at Aaa (sf); previously on Aug 9, 2001 Definitive Rating Assigned Aaa (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 8.9% of the current balance compared to 4.5% 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 current cumulative expected loss ($19.6 million )is less than at last review ($30.4 million). Moody's stressed scenario loss is 12.8% 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. Due to the high level of credit subordination and defeasance, it is unlikely that investment grade classes would be downgraded even if losses are higher than Moody's expected base. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The primary methodology used in this rating was "CMBS: Moody's Approach to Rating U.S. Conduit Transactions" published in September 2000. Moody's also considered in its analysis, "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 and the CMBS Large Loan Model v 8.0. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's 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 14 compared to 39 at Moody's prior review. In cases where the Herf falls below 20, Moody's employs the large loan/single borrower methodology. This methodology uses the excel- based Large Loan Model v 8.0. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (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 June 13, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 78% to $220.1 million from $1.0 billion at securitization. The Certificates are collateralized by 31 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 49% of the pool. Four loans, representing 26% of the pool, have defeased and are collateralized with U.S. Government securities. The pool faces significant near term refinancing risk, as loans representing 74% of the pool have either passed their anticipated repayment or maturity dates or mature within the next six months. Nineteen loans, totaling 48% 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. Eleven loans have been liquidated from the pool, resulting in a realized loss of $28.7 million (39% loss severity). Eight loans, representing 26% of the pool, are currently in special servicing. The largest specially serviced loan is the One Capital Loan ($24.7 million -- 11.2% of the pool), which is secured by two office buildings totaling 201,700 square feet (SF) located in downtown Sacramento, California. The loan matured on May1, 2011 and was transferred to special servicing due to maturity default. The Borrower has requested a three year extension period. The largest tenant is the California Parks and Recreation which leases 32% of the net rentable area (NRA) through April 2011. As of April 2011, the property was 72% leased compared to 84% at last review. Moody's is not currently estimating a loss on this loan. The remaining seven specially serviced loans are secured by a mix of property types. Moody's has estimated a $13.4 million loss (40% expected loss) for these specially serviced loans. Moody's has assumed a high default probability for three poorly performing loans representing 7% of the pool and has estimated a $3.16 million loss (20% expected loss based on a 50% probability default) from these troubled loans. The pool has experienced significant interest shortfalls. Classes J through N have experienced cumulative interest shortfalls totaling approximately $1.0 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. Moody's was provided with full year 2010 and 2009 operating results for 71% and 100% for the non-defeased pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 84% compared to 76% at last review. Moody's net cash flow reflects a weighted average haircut of 14% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.24X and 1.32X, respectively, compared to 1.33X and 1.38X 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 non-defeased loans represent 16% of the pool balance. The largest loan is the 33 East 17th Street Loan ($12.6 million -- 5.7% of the pool), which is secured by a 103,000 SF, seven-story office/retail building that is 100% leased to Barnes & Noble through April 2036. The property is located to the north of Union Square Park on 17th Street in New York City. For full year 2010, net operating income was 8% lower than in 2009 due to an increase in real estate taxes. The loan is on the watch list and has an anticipated repayment date (ARD) of July 1, 2011. However, the Borrower has indicated that re- financing negotiations are underway. Moody's LTV and stressed DSCR are 74%% and 1.38X, respectively, compared to 67% and 1.53X at last review. The second largest loan is the 2701 Ocean Park Plaza Loan ($12.2 million -- 5.6% of the pool), which is secured by a 95,000 SF office building located in downtown Santa Monica, California. As of March 2011, the property was 80% leased compared to 76% in 2009. The loan matured on June 1, 2011 and is on the master's servicer's watch list. The borrower has indicated that it is working with a lender to secure re-financing. Moody's LTV and stressed DSCR are 91% and 1.20X, respectively, compared to 78% and 1.39X at last review. The third largest loan is the Kraft Foods Loan ($9.7 million -- 4.4% of the pool), which is secured by a 345,000 SF warehouse distribution center located in Winchester, Virginia. The property is 100% leased to Kraft Foods through May 2016. The loan matures in August 2011 and is on the master servicer's watch list. Moody's LTV and stressed DSCR are 67% and 1.53X, respectively, compared to 69% and 1.50X at last review. GE COMMERCIAL: Moody's Affirms 17 CMBS Classes of GECMC 2003-C1 --------------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 17 classes of GE Capital Commercial Mortgage Corporation, Commercial Mortgage Pass-Through Certificates, Series 2003-C1as: Cl. A-3, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-1A, 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. B, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. D, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. E, Affirmed at Aa1 (sf); previously on Mar 9, 2011 Confirmed at Aa1 (sf) Cl. F, Affirmed at Aa2 (sf); previously on Dec 9, 2010 Upgraded to Aa2 (sf) Cl. G, Affirmed at A1 (sf); previously on Dec 9, 2010 Upgraded to A1 (sf) Cl. H, Affirmed at Baa1 (sf); previously on Dec 9, 2010 Confirmed at Baa1 (sf) Cl. J, Affirmed at Ba1 (sf); previously on Dec 9, 2010 Confirmed at Ba1 (sf) Cl. K, Affirmed at Ba2 (sf); previously on Dec 9, 2010 Confirmed at Ba2 (sf) Cl. L, Affirmed at B3 (sf); previously on Dec 9, 2010 Downgraded to B3 (sf) Cl. M, Affirmed at Caa1 (sf); previously on Dec 9, 2010 Downgraded to Caa1 (sf) Cl. N, Affirmed at Caa3 (sf); previously on Dec 9, 2010 Downgraded to Caa3 (sf) Cl. O, Affirmed at Ca (sf); previously on Dec 9, 2010 Downgraded to Ca (sf) Cl. X-1, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 2.9% of the current balance. At last review, Moody's cumulative base expected loss was 4.1%. Moody's stressed scenario loss is 8.2% 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. 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 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 9, 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 June 10, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 38% to $737.2 million from $1.2 billion at securitization. The Certificates are collateralized by 103 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans representing 33% of the pool. Twenty-two loans, representing 32% of the pool, have defeased and are collateralized with U.S. Government securities. Twenty-two loans, representing 25% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (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 an aggregate realized loss of $16.9 million (34% loss severity overall). Two loans, representing 1% of the pool, are currently in special servicing. The master servicer has recognized a $4.6 million appraisal reduction for one of the specially serviced loans. Moody's has estimated an aggregate $5.2 million loss (53% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for ten poorly performing loans representing 7% of the pool and has estimated a $7.3 million aggregate loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial and full year 2010 operating results for 89% and 83% of the of the pool's non- defeased loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 84% compared to 81% 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 9.4%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.38X and 1.29X, respectively, compared to 1.73X and 1.22X 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. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 35 compared to 41 at Moody's prior review. The top three performing conduit loans represent 13% of the pool balance. The largest loan is the 801 Market Street Loan ($38.9 million -- 5.3% of the pool), which is secured by a 370,000 square foot (SF) office condominium situated within a 1.0 million SF office building located in Philadelphia, Pennsylvania. The condominium includes part of the basement, ground floor retail and all of floors seven through 13. The office building was built in 1928 and renovated in 2002. The building is located in the Market Street East office market of Center City Philadelphia. The property was 99% leased as of December 2010, the same as of December 2009. Leases representing 83% of the net rentable area (NRA) expire before the end of the loan term. Moody's LTV and stressed DSCR are 79% and 1.36X, respectively, compared to 82% and 1.32X at last review. The second largest loan is the Centennial Center I Loan ($36.9 million -- 5.0% of the pool), which is secured by a 355,000 SF community shopping center located in Las Vegas, Nevada. The collateral is anchored by The Home Depot and Ross Stores and shadow-anchored by Wal-Mart and Sam's Club. The property was 84% leased as of May 2011 compared to the same level as of June 2010 and 96% at securitization. Moody's LTV and stressed DSCR are 112% and 0.87X, respectively, compared to 91% and 1.07X at last review. The third largest loan is the Laguna Gateway Loan ($22.0 million - - 3.0% of the pool), which is secured by a 270,500 SF retail center located in Elk Grove, California. The collateral is anchored by T.J. Maxx, Best Buy and Bed Bath & Beyond and shadow- anchored by The Home Depot. The property was 97% leased as of February 2011, essentially the same as of June 2010. Moody's LTV and stressed DSCR are 78% and 1.28X, respectively, compared to 79% and 1.26X at last review. GLACIER FUNDING: Fitch Affirms Ratings on 4 Classes of Notes ------------------------------------------------------------ Fitch Ratings has downgraded one class and affirmed four classes of notes issued by Glacier Funding CDO II, Ltd. (Glacier Funding II). The rating actions are: -- $84,803,098 class A-1 notes downgraded to 'CCCsf' from 'Bsf/LS3'; -- $70,000,000 class A-2 notes affirmed at 'Csf'; -- $65,750,000 class B notes affirmed at 'Csf'; -- $21,540,302 class C notes affirmed at 'Csf'; -- $5,499,607 class D notes affirmed at 'Csf'. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model (SF PCM) for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs' for the class A-1 notes. 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 July 2010, the credit quality of the underlying collateral has declined further, with approximately 53.1% of the portfolio downgraded a weighted average of 5.5 notches. Approximately 72.3% of the current portfolio has a Fitch derived rating below investment grade and 62.8% has a rating in the 'CCC' rating category or lower, compared to 59.5% and 41.2% respectively, at last review. The class A-1 notes are downgraded to 'CCCsf' due to the significant deterioration in the credit quality of the portfolio. In addition to the downgrades, $5.9 million of collateral has been written down since the last review. While there is excess spread being used to redeem class A-1 due to the failing class A/B overcollateralization test, the amount is minimal and insufficient to compensate for the extent of deterioration. As such, the class A-1 notes are no longer able to withstand a 'Bsf' rating stress. Breakeven levels for the class A-2, B, C and D notes were below SF PCM's 'CCC' default level, the lowest level of defaults projected by SF PCM. For these classes, Fitch compared the respective credit enhancement levels of the classes to the expected losses from the distressed and defaulted assets in the portfolio (rated 'CCsf' or lower). This comparison indicates that default continues to appear inevitable for the class A-2 notes at or prior to maturity. The class B, class C, and class D notes are already undercollateralized by Glacier Funding II's portfolio indicating that default in principal repayment at or prior to maturity is inevitable for these classes. Glacier Funding II is a structured finance collateralized debt obligation (SF CDO) that closed on October 12, 2004 and is monitored by Aventine Hill Capital, LLC. The portfolio is comprised of residential mortgage-backed securities (73.1%), commercial mortgage-backed securities (19.8%), structured finance collateralized debt obligations (3.4%), real estate investment trusts (1.6%), consumer and commercial asset-backed securities (1.4%), and corporate CDOs (.8%), from 2001 through 2005 vintage transactions. GMAC COMMERCIAL: Fitch Affirms & Upgrades GMAC 2000-C1 ------------------------------------------------------ Fitch Ratings upgrades one class and downgrades one class of GMAC Commercial Mortgages Securities, Inc. commercial mortgage pass through certificates, series 2000-C1. The upgrade is due to sufficient protection against losses due to defeased loans, and the downgrade reflects the expected losses on the specially serviced loans. As of the May 2011 distribution date, the pool's certificate balance has paid down 98.1% to $16.4 million from $880 million at issuance. Fitch modeled losses of 27.1% of the remaining pool; expected losses based on the original pool are 3.2%, reflecting losses already incurred to date. Fitch expects the losses associated with the specially serviced loans to be absorbed by the rated class L. There are six remaining loans from the original 136 loans at issuance. Of the remaining loans, one loan (5%) has defeased. There are five specially serviced loans (95%) in the pool. Of the five loans, one loan (18.2%) is in foreclosure, three loans (59.6%) are REO, and one loan (17.3%) is current. The largest contributor to losses is the Executive Airport Business Office asset which is an office property totaling 73,149 square feet in Ft. Lauderdale, FL. The property was foreclosed upon in January 2011 and has since been marketed for sale. Lease renewals are under consideration to retain tenants 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 Recovery Rating for this: -- $8.8 million class K at 'CCsf'; RR to 'RR5' from 'RR2'. Additionally, Fitch upgrades and revises the Loss Severity and Outlook for this class: -- $0.53 million class J to 'Asf/LS5' from 'BB+/LS4'; Outlook to Stable from Negative. Fitch does not rate class O. Classes A-1, A-2, B, C, D, E, F, G and H have paid in full. Fitch maintains the rating of 'D/RR5' on class L. Fitch has withdrawn the rating of classes M and N and has also withdrawn the rating of the interest only class X. GMAC COMMERCIAL: Fitch Cuts Ratings on 2 Classes of GMAC 2001-C1 ---------------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed seven classes of GMAC Commercial Mortgage Securities Inc.'s commercial mortgage pass-through certificates, series 2001-C1. In addition, Fitch has affirmed Rating Outlooks and revised Loss Severity (LS) ratings and Recovery Ratings (RR) as applicable. The downgrades reflect Fitch expected losses across the pool. Fitch modeled potential losses of 26.46% of the remaining pool; expected losses based on the original pool size are 7.82%, reflecting losses already incurred to date. The pool has become extremely concentrated with only 14 loans remaining. As of the June 2011 distribution date, the pool's certificate balance has been reduced by 87.33% (to $109.5 million from $864.1 million), of which 82.86% were due to paydowns and 4.47% were due to realized losses. Fitch has designated all 14 loans in the pool as Fitch Loans of Concern, which include 13 specially serviced loans (96.65%). Fitch expects the losses associated with the specially-serviced loans to impact classes H through L. Classes M through P have been reduced to zero due to realized losses. The largest contributor to Fitch-modeled losses (32.44%) is a specially-serviced 357,237 square foot (sf) office building located in Grand Rapids, MI. The loan was transferred to special servicing effective April 16, 2010 due to maturity default. The property was foreclosed on Jan. 26, 2011 and is currently real estate owned (REO). Property occupancy is currently 70%. The property is not currently being marketed for sale, pending the expiration of Michigan's statutory six-month redemption period on July 26, 2011. The second largest contributor to Fitch-modeled losses (8.77%) is a two specially-serviced office buildings located in Norristown, PA. The loan was transferred to special servicing effective March 26, 2010, due to payment default. The property converted to REO via foreclosure on April 27, 2011. The property is completely vacant. The third largest contributor to Fitch-modeled losses (9.38%) is a specially-serviced loan secured by a 141,000 sf retail center located in Hoover, AL. The loan was transferred to special servicing effective May 14, 2009 due to imminent payment default. The property is scheduled for a July 2011 foreclosure sale. Fitch downgrades these classes: -- $17.3 million class E to 'Asf/LS4' from 'AAsf/LS5'; Outlook Negative; -- $25.9 million class H to 'Csf/RR6' from 'CCsf/RR2'. In addition, Fitch affirms these classes and Outlooks and revises the Loss Severity (LS) and Recovery Ratings (RR): -- $14.2 million class C at 'AAAsf', loss severity to 'LS5' from 'LS4'; Outlook Stable; -- $12.9 million class D at 'AAAsf/LS5'; Outlook Stable; -- $12.9 million class F at 'BBB-sf/LS5'; Outlook Negative; -- $12.9 million class G at 'Bsf/LS5'; Outlook Negative; -- $6.5 million class J at 'Csf/RR6'; -- $6.5 million class K at 'Csf/RR6'; -- $0.2 million class L at 'Dsf/RR6'. Classes A-1, A-2 and B have repaid in full. Classes M through P have been reduced to zero due to realized losses. Fitch does not rate class P. GMAC COMMERCIAL: Moody's Affirms 15 CMBS Classes of GMAC 2002-C2 ---------------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 15 classes of GMAC Commercial Mortgage Securities, Inc., Commercial Mortgage Pass-Through Certificates, Series 2002-C2: Cl. A-3, Affirmed at Aaa (sf); previously on Jun 27, 2002 Assigned Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Feb 1, 2006 Upgraded to Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Feb 1, 2006 Upgraded to Aaa (sf) Cl. D, Affirmed at Aaa (sf); previously on Jul 9, 2007 Upgraded to Aaa (sf) Cl. E, Affirmed at Aaa (sf); previously on Aug 28, 2007 Upgraded to Aaa (sf) Cl. F, Affirmed at Aaa (sf); previously on Dec 2, 2010 Upgraded to Aaa (sf) Cl. G, Affirmed at Aa3 (sf); previously on Dec 2, 2010 Upgraded to Aa3 (sf) Cl. H, Affirmed at A2 (sf); previously on Dec 2, 2010 Upgraded to A2 (sf) Cl. J, Affirmed at Baa3 (sf); previously on Feb 1, 2006 Upgraded to Baa3 (sf) Cl. K, Affirmed at Ba2 (sf); previously on Jun 27, 2002 Definitive Rating Assigned Ba2 (sf) Cl. L, Affirmed at Ba3 (sf); previously on Jun 27, 2002 Definitive Rating Assigned Ba3 (sf) Cl. M, Affirmed at B3 (sf); previously on Dec 2, 2010 Downgraded to B3 (sf) Cl. N, Affirmed at Caa1 (sf); previously on Dec 2, 2010 Downgraded to Caa1 (sf) Cl. O, Affirmed at Caa2 (sf); previously on Dec 2, 2010 Downgraded to Caa2 (sf) Cl. X-1, Affirmed at Aaa (sf); previously on Jun 27, 2002 Assigned Aaa (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 1.8% of the current balance. At last review, Moody's cumulative base expected loss was 3.3%. Moody's stressed scenario loss is 4.2% 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. 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 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 2, 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 June 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 31% to $507.5 million from $737.7 million at securitization. The Certificates are collateralized by 91 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans representing 34% of the pool. Thirty-four loans, representing 41% of the pool, have defeased and are collateralized with U.S. Government securities. Twenty-one loans, representing 18% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $11.3 million (49% loss severity overall). One loan, representing less than 1% of the pool, is currently in special servicing. Moody's has estimated a $747 thousand loss (21% expected loss on average) for the specially serviced loan. Moody's has assumed a high default probability for three poorly performing loans representing 3% of the pool and has estimated a $1.9 million aggregate loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 and 2010 operating results for 87% and 54% of the pool's non-defeased loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 77%, essentially the same 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 9.8%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.38X and 1.48X, respectively, compared to 1.42X and 1.50X 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. 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 30 compared to 33 at Moody's prior review. The top three conduit loans represent 12% of the pool balance. The largest loan is the Sovran Self-Storage Loan ($27.4 million -- 5.4%), which is secured by 11 self storage properties located in six states: Michigan (3), Florida (2), Texas (2), Ohio (2), New York and Massachusetts. The portfolio includes 6,583 units and approximately 23% of the units are climate controlled. Overall occupancy as of December 2010 was 77%, essentially the same as of December 2009. Moody's LTV and stressed DSCR are 81% and 1.34X, respectively, compared to 78% and 1.39X at last review. The second largest loan is Northway Mall Loan ($18.3 million -- 3.6%), which is secured by a 209,600 square foot (SF) retail center located in Colonie, New York. The largest tenants are JoAnn's, Marshalls and Staples; the center is shadow-anchored by Sears, Boscov's and Macy's. The property was 100% leased as of January 2011 compared to 89% as of December 2009. Moody's LTV and stressed DSCR are 106% and 0.97X, respectively, compared to 136% and 0.75X at last review. The third largest loan is the Pierside Pavilion Loan ($13.4 million -- 2.6%), which is secured by a 79,000 SF mixed-use retail and office property located in Huntington Beach, California. The property was 79% leased as of May 2011 compared to 64% as of December 2009. Performance has improved due to the decline in vacancy. Moody's LTV and stressed DSCR are 83% and 1.40X, respectively, compared to 97% and 1.05X at last review. GS MORTGAGE: Moody's Affirms 22 CMBS Classes of GSMS 2005-GG4 ------------------------------------------------------------- Moody's Investors Service (Moody's) upgraded the ratings of three class and affirmed 22 classes of GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2005-GG4: Cl. A-DP, Affirmed at Aaa (sf); previously on Jul 15, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Jul 15, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Jul 15, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-ABA, Affirmed at Aaa (sf); previously on Jul 15, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-ABB, Affirmed at Aaa (sf); previously on Jul 15, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aa1 (sf); previously on Oct 27, 2010 Downgraded to Aa1 (sf) Cl. A-4A, Affirmed at Aaa (sf); previously on Jul 15, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-4B, Affirmed at Aa1 (sf); previously on Oct 27, 2010 Downgraded to Aa1 (sf) Cl. A-1A, Affirmed at Aa1 (sf); previously on Oct 27, 2010 Downgraded to Aa1 (sf) Cl. A-J, Affirmed at Baa1 (sf); previously on Oct 27, 2010 Downgraded to Baa1 (sf) Cl. B, Affirmed at Baa3 (sf); previously on Oct 27, 2010 Downgraded to Baa3 (sf) Cl. C, Affirmed at B1 (sf); previously on Oct 27, 2010 Downgraded to B1 (sf) Cl. D, Upgraded to Caa1 (sf); previously on Oct 27, 2010 Downgraded to Caa2 (sf) Cl. E, Upgraded to Caa2 (sf); previously on Oct 27, 2010 Downgraded to Ca (sf) Cl. F, Upgraded to Caa3 (sf); previously on Oct 27, 2010 Downgraded to C (sf) Cl. G, Affirmed at C (sf); previously on Oct 27, 2010 Downgraded to C (sf) Cl. H, Affirmed at C (sf); previously on Oct 27, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. O, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. X-P, Affirmed at Aaa (sf); previously on Jul 15, 2005 Definitive Rating Assigned Aaa (sf) Cl. X-C, Affirmed at Aaa (sf); previously on Jul 15, 2005 Definitive Rating Assigned Aaa (sf) RATINGS RATIONALE The upgrades are due to lower than expected losses from troubled and specially serviced loans and overall stable pool performance. 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 9.1% of the current balance. At last review, Moody's cumulative base expected loss was 10.2%. Moody's stressed scenario loss is 17.2% 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 primary methodology used in this rating was: "CMBS: Moody's Approach to Rating Fusion Transactions" published on April 19, 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 53 compared to 54 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 27, 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 June 10, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 13% to $3.48 billion from $4.00 billion at securitization. The Certificates are collateralized by 168 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten non-defeased loans representing 32% of the pool. Seven loans, representing 7% 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. Thirty-four loans, representing 13% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (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, resulting in a realized loss of $8.6 million (4% loss severity). Currently 24 loans, representing 21% of the pool, are in special servicing. The largest specially serviced loan is the Century Centre Office Loan ($94.4 million -- 2.7% of the pool), which is secured by a 450,000 square foot (SF) office building located in Irvine, California. The loan was transferred to special servicing in February 2010 due to a non-monetary default caused by the borrower's failure to obtain lender consent on a lease termination. The borrower and special servicer are currently discussing possible solutions. Moody's is not currently estimating a loss on this loan. The second largest specially serviced loan is the Astor Crowne Plaza Loan ($77.8 million -- 2.2% of the pool), which is secured by a 707 room 4-star Hotel located in New Orleans, Louisiana. The loan was transferred to special servicing in May 2009 due to imminent payment default due to property level cash flow problems. The borrower and special servicer tried to negotiate a forbearance agreement but were unsuccessful. Subsequently, foreclosure was filed in September 2009 and rthe loan became real estate owned (REO) as of April 2011. The third largest specially serviced loan is the Kings' Shops Loan ($72.0 million -- 2.1% of the pool), which is secured by a 75,000 SF retail center managed by GGP and located in Waikoloa, Hawaii. The loan was transferred to special servicing in February 2009 due to maturity default. A foreclosure complaint was filed in November 2010 but the borrower and special servicer continue to discuss various loan modification scenarios. The remaining specially serviced properties are secured by a mix of property types. The master servicer has recognized an aggregate $165.6 million appraisal reduction for 18 of the specially serviced loans. Moody's has estimated an aggregate $161.6 million loss (34% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 15 poorly performing loans representing 7% of the pool and has estimated an aggregate $60.4 million loss (25% expected loss based on a 58% probability default) from these troubled loans. Moody's was provided with full year 2010 operating results for 91% of the pool. Excluding specially serviced and troubled loans, Moody's conduit weighted average LTV is 100% compared to 101% 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 9.2%. Excluding special serviced and troubled loans, Moody's conduit actual and stressed DSCRs are 1.46X and 1.02X, respectively, compared to 1.42X and 1.01X 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 Streets at Southpoint Loan ($153.5 million -- 4.4%), which is secured by a 1.3 million SF regional mall located in Durham, North Carolina. The center is anchored by Macy's, Nordstrom, Hudson Belk, J.C. Penney and Sears. The loan sponsor is General Growth Properties, Inc. (GGP), which filed for Chapter 11 bankruptcy protection on April 16, 2009. This property was not included in the bankruptcy filing. The in-line mall stores were 100% leased as of December 2010 compared to 96% at last review (58% of the NRA's leases expire by loan maturity in April 2012). Tenant sales were $443 psf as of December 2010 compared to $419 at last review. Overall, performance is stable and the loan is benefitting from amortization. Moody's current credit estimate and stressed DSCR are Baa3 and 1.35X, respectively, compared to Baa3 and 1.37X last review. The second loan with a credit estimate is the 200 Madison Avenue Loan ($45.0 million -- 1.3%), which is secured by a 50% pari-passu interest in a 666,200 SF office building located in the Midtown South submarket of New York City. The property was nearly 100% leased as of December 2010, essentially the same as last review. The largest tenant is the Phillips-Van Heusen Corporation (Moody's senior unsecured rating Ba3, positive outlook), which occupies 26% of the premises through October 2023. Performance remains similar to last review. The loan is interest-only for its entire term. Moody's current underlying rating and stressed DSCR are Aa3 and 1.65X, respectively, compared to Aa3 and 1.59X at prior review. The top three performing conduit loans represent 14% of the pool balance. The largest loan is the Wells Fargo Center Loan ($200.0 million -- 5.8%), which is secured by a 1.2 million SF Class A office building located in downtown Denver, Colorado. The property was 100% leased as of March 2011, the same as at last review. The largest tenant is Wells Fargo Bank, N.A. (Moody's long term bank deposits rating Aa2, on review for possible downgrade), which occupies 30% of the premises through December 2020. The loan sponsor is Maguire Properties. Despite an in increase in real estate taxes, utilities, and G&A expenses, the property is stable with little upcoming lease rollover. The loan is interest-only for its entire ten-year term maturing in April 2015. Moody's LTV and stressed DSCR are 121% and 0.78X, respectively, compared to 124% and 0.76X at last review. The second largest loan is the Mall at Wellington Green Loan ($200.0 million -- 5.8%), which is secured by the borrower's interest in a 1.3 million SF regional mall located in West Palm Beach, Florida. The loan sponsor is the Taubman Realty Group. The mall is anchored by Dillard's, Macy's, J.C. Penney and Nordstrom (not part of the collateral). The inline occupancy as of December 2010 was 83%, essentially the same as last review. Property performance improved in 2010 due to cost savings in taxes and R&M expenses. The loan is interest-only for its entire ten-year term maturing in May 2015. Moody's LTV and stressed DSCR are 105% and 0.88X, respectively, compared to 110% and 0.83X at last review. The third largest loan is the Hyatt Regency Dallas Loan ($90.0 million -- 2.6% of the pool), which is secured 1,122-room, 30-story full service hotel located in downtown Dallas, Texas. Performance has improved since last review due to increases in occupancy and average daily rate (ADR). From YE 2009 to YE 2010, occupancy and ADR increased by 5% to 57% and $5 to $133 respectively. The loan is interest-only for its entire ten- year term maturing in January 2015. Moody's LTV and stressed DSCR are 84% and 1.41X, respectively, compared to 95% and 1.25X at last review. HELLER FINANCIAL: Moody's Affirms Rating of Five CMBS Classes ------------------------------------------------------------- Moody's Investors Service (Moody's) downgraded the rating of one class and affirmed five classes of Heller Financial Commercial Mortgage Asset Corp., Mortgage Pass-Through Certificates, Series 2000 PH-1: Cl. E, Affirmed at Aaa (sf); previously on Aug 20, 2007 Upgraded to Aaa (sf) Cl. F, Affirmed at Aaa (sf); previously on Sep 25, 2008 Upgraded to Aaa (sf) Cl. H, Affirmed at Caa3 (sf); previously on Nov 3, 2010 Downgraded to Caa3 (sf) Cl. J, Downgraded to C (sf); previously on Nov 3, 2010 Downgraded to Ca (sf) Cl. K, Affirmed at C (sf); previously on Nov 3, 2010 Downgraded to C (sf) Cl. X, Affirmed at Aaa (sf); previously on Feb 10, 2000 Definitive Rating Assigned Aaa (sf) RATINGS RATIONALE The downgrades are due to expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value (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 15.1% of the current balance. At last review, Moody's cumulative base expected loss was 15.9%. Moody's stressed scenario loss is 19.0% 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. Moody's also considered another methodology, "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions", published July 2000, in this rating. 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 8, compared to 11 at Moody's prior review. In cases where the Herf falls below 20, Moody's employs also the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated November 3, 2010. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. DEAL PERFORMANCE As of the June 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 89% to $104.1 million from $956.9 million at securitization. The Certificates are collateralized by 24 mortgage loans ranging in size from less than 1% to 23% of the pool, with the top ten loans representing 83% of the pool. One loan, representing 9% of the pool, has defeased and is collateralized with U.S. Government securities. No loans 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 $39.5 million (39% loss severity overall). Seven loans, representing 28% of the pool, are currently in special servicing. The largest specially-serviced loan is the 5000 West Roosevelt Loan ($11.4 million -- 11% of the pool), which is secured by a 1.2 million square foot (SF) industrial property located in Chicago, Illinois. The loan transferred to special servicing in October 2009 due to imminent maturity default. The remaining five specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $6.7 million appraisal reduction for four of the specially serviced loans. Moody's has estimated an aggregate $14.3 million loss (49% expected loss on average) for the specially serviced loans. Moody's was provided with full year 2009 and partial and full year 2010 operating results for 91% and 82% of the pool's non-defeased and non-specially serviced loans, respectively. Excluding specially serviced loans, Moody's weighted average LTV is 75% compared to 71% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.9%. Excluding specially serviced loans, Moody's actual and stressed DSCRs are 1.24X and 1.50X, respectively, compared to 1.32X and 1.56X 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 44% of the pool balance. The largest loan is the Valencia Marketplace Loan ($24.0 million -- 23.1% of the pool), which is secured by a 179,000 SF community retail center located in Valenica, California. The property is anchored by Vons (32% of the net rentable area (NRA), lease expiration in December 2017). Occupancy as of March 2011 was 85% compared to 94% as of December 2009. Moody's LTV and stressed DSCR are 67% and 1.50X, respectively, compared to 64% and 1.58X at last review. The second largest loan is the Montara Properties Loan ($12.6 million -- 11.9% of the pool), which is secured by a 511-unit duplex and single-family home community located in Topeka, Kansas. The collateral is part of a larger 1,053-unit subdivision adjacent to Forbes Air Force Base. The property was 83% leased as of February 2011 compared to 88% as of August 2009. Moody's LTV and stressed DSCR are 92% and 1.21X, respectively, compared to 140% and 0.75X at last review. The loan had an anticipated repayment date of January 1, 2010. It is currently accruing deferred interest and has a final maturity date of January 1, 2024. The third largest loan is the United Copper Industries Loan ($8.9 million -- 8.5% of the pool), which is secured by a 374,000 SF industrial building located in Denton, Texas. The property is fully leased to United Copper Industries through November 4, 2014. The loan had an anticipated repayment date of December 1, 2009. It matures on December 15, 2011. Moody's LTV and stressed DSCR are 100% and 1.05X, respectively, compared to 91% and 1.15X at last review. HOMETOWN COMMERCIAL: Fitch Takes Various Rating Actions ------------------------------------------------------- Fitch Ratings downgrades one class and withdraws interest-only (IO) classes in two Hometown Commercial Trust transactions. The transactions are small balance commercial mortgage transactions, both of which have higher than average losses and delinquencies. The downgrades are the result of losses incurred and future expectations for loss. As of the June 2011 distribution date, the Hometown 2006-1 has incurred losses of $13.4 million or 9% of the original transaction balance. The Hometown 2007-1 has incurred losses of $32.2 million or 22% of the original transaction balance. Rating actions for the Hometown 2006-1 transaction are: -- $96.3 million class A downgraded to 'C/RR4 from 'CC/RR4'; -- $1.3 million class B remains at 'D/RR6'. Classes C through N remain at 'D/RR6' as they have been reduced to zero due to realized losses. Fitch withdraws the IO Class X. Rating actions for the Hometown 2007-1 transaction are: -- $96.7 million class A remains at 'D/RR3' due to realized losses occurring on the class. Classes B through M remain at 'D/RR6' as they have been reduced to zero due to realized losses. Fitch withdraws the IO Class X. INDYMAC NIM: S&P Lowers Rating on Class NIM to 'CC' --------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on the NIM class from IndyMac NIM Trust INABS 2006-E (bond-insured by Radian Insurance Inc. {not rated}), by reinstating it to 'BB (sf)/Watch Neg'. "We simultaneously lowered the rating to 'CC (sf)' and removed it from CreditWatch negative," S&P said. "On March 25, 2010, we incorrectly withdrew our rating on the NIM class," S&P said. "The corrected rating reflects our current analysis of the projected credit support for this class as of the April 2011 remittance report relative to the projected base-case loss. The rating also reflects the higher of the rating on the insurer and Standard & Poor's underlying rating (SPUR) on the security," S&P added. Rating Corrected IndyMac NIM Trust INABS 2006-E Rating Class CUSIP Current Interim 03/25/10 Pre-03/25/10 NIM 45668MAA7 CC (sf) BB (sf)/Watch Neg NR BB (sf)/Watch Neg NR -- Not rated. INDYMAC RESIDENTIAL: Moody's downgrades $133.7 Mil. Lot Loans RMBS ------------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of three tranches from three IndyMac Residential Mortgage-Backed Trust transactions issued in 2006 and 2007. Ratings Rationale The rating actions are driven by increased expected losses on the underlying pools in relation to the available credit enhancement. The collateral backing the deal consists of first-lien adjustable- rate residential lot loans. Lot loans are used to purchase land, with the ultimate purpose of building a home on the land. Most loans have a five-year maturity with a single "balloon payment" at the maturity date. A majority of the loans have "interest only" payments. Loans paying interest and principal amortize on a thirty year schedule. Lot loans are typically refinanced into construction loans evolving into regular home mortgages. Higher loss expectations are based on the increased refinancing risk in the current depressed real estate and construction markets, lack of exit opportunities in the secondary market, a short loan tenor, and the loans' geographical concentration in California and Florida. In order to estimate losses on the pools, Moody's first estimated lifetime default rate from the current delinquency pipeline and then applied loan severity. To obtain defaults due to the current delinquency pipeline Moody's first calculated defaults by applying lifetime default frequencies ("roll rates") to the current delinquency buckets. These roll rates indicate the percentage of borrowers in each delinquency bucket that are expected to ultimately default. The lifetime roll rates that Moody's has assumed are at 75% for current loans, 90% for 30 day delinquent loans, and 100% for loans more than 30 days delinquent, in foreclosure or REO (Real Estate Owned). Severities have been estimated at 90% based on actual severities. Moody's then utilized a static analysis, wherein total credit enhancement ("CE") for a bond, including excess spread, subordination, overcollateralization was compared to expected losses on the mortgage pool(s) supporting that bond. The rating on each bond was determined by the resulting ratio of a bond's total CE to its related mortgage pool loss. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: IndyMac Residential Mortgage-Backed Trust 2006-L3 Cl. A-2, Downgraded to C (sf); previously on Apr 16, 2010 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: IndyMac Residential Mortgage-Backed Trust 2006-L4 Cl. A, Downgraded to C (sf); previously on Apr 16, 2010 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: IndyMac Residential Mortgage-Backed Trust 2007-L1 Cl. A, Downgraded to C (sf); previously on Apr 16, 2010 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) INGRESS I LTD: Fitch Affirms Junior Notes at 'Csf' -------------------------------------------------- Fitch Ratings has upgraded one and affirmed one class issued by Ingress I, Ltd. (Ingress I). The upgrade to the senior notes is a result of significant paydowns to the notes. The junior notes are affirmed at 'Csf' as default continues to appear inevitable due to the notes being undercollateralized. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs'. The ratings are not based on the Portfolio Credit Model (PCM) given the high obligor concentration and seasoning of the portfolio. Instead, an asset by asset analysis was performed for the remaining assets to determine the collateral coverage for the class B and C notes. The remaining portfolio is concentrated with eight assets from six obligors and includes two interest-only (IO) securities. Since Fitch's last rating action in July 2010, the class B notes have received $11.7 million in principal paydowns. Based on the review of the portfolio and the quantitative analysis described above, the class B notes have been upgraded to 'Asf', given that the notes are supported by high investment grade collateral. The Positive Outlook assigned to the notes reflects that the remaining collateral is sufficient to pay this class in full within the next year. The Loss Severity (LS) rating indicates a tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the probability of default for tranches. Fitch does not assign LS ratings or Outlooks to classes rated 'CCC' and below. The class C notes continue to receive interest paid in kind (PIK) whereby the principal amount of the notes is written up by the amount of interest due. Currently, $11.5 million of interest remains outstanding on the class C notes. Further, the notes are severely undercollateralized as a result of losses sustained from the sale of defaulted assets. Ingress CDO I is a collateralized debt obligation (CDO) supported by a static pool of commercial mortgage backed securities (CMBS; 37.6%), residential mortgage-backed securities (30.9%), and asset- backed securities (31.5%). Additionally, $21 million of the $39.2 million portfolio represents the notional balance of interest-only CMBS collateral, which, while rated 'AAA', has a weighted average remaining life of 18 months. Fitch has taken these actions: -- $2,129,495 class B notes upgraded to 'A/LS5' from 'BBBsf/LS3'; Outlook Positive; -- $32,741,911 class C notes affirmed at 'Csf'. JER CRE CDO: Moody's Affirms Rating of Seven Classes of Notes ------------------------------------------------------------- Moody's has downgraded one and affirmed seven classes of Notes issued by JER CRE CDO 2005-1, Limited due to an increase in Defaulted Securities and an uncured Event of Default that began in June 2010. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. Cl. A, Downgraded to C (sf); previously on Jul 16, 2010 Downgraded to Caa2 (sf) Cl. B-1, Affirmed at C (sf); previously on Jul 16, 2010 Downgraded to C (sf) Cl. B-2, Affirmed at C (sf); previously on Jul 16, 2010 Downgraded to C (sf) Cl. C, Affirmed at C (sf); previously on Jul 16, 2010 Downgraded to C (sf) Cl. D, Affirmed at C (sf); previously on Mar 17, 2010 Downgraded to C (sf) Cl. E, Affirmed at C (sf); previously on Mar 17, 2010 Downgraded to C (sf) Cl. F, Affirmed at C (sf); previously on Mar 17, 2010 Downgraded to C (sf) Cl. G, Affirmed at C (sf); previously on Mar 17, 2010 Downgraded to C (sf) Ratings Rationale JER CRE CDO 2005-1 Limited. is a CRE CDO transaction backed by a portfolioif commercial mortgage backed securities (CMBS) (95.7%) and CRE CDOs (4.3%). As of the May 17, 2011 Trustee report, the aggregate Note balance of the transaction has decreased to $282.2 million from $300.6 million at issuance, with the paydown directed to the Class A Notes, as a result of failing the Class A/B overcollateralization test and the recharacterization of interest on Defaulted Securities as principal. There are seventy-one assets with par balance of $304.4 million (91.9% of the current pool balance) that are considered Defaulted Securities as of the May 17, 2011 Trustee report. Fifty-six of these assets (95.3% of the defaulted balance) are CMBS and three assets are CRE CDOs (4.7%). There have been realized of $87.6 million to date, and Moody's does expect significantly more losses to occur once they are realized. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated reference obligations. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 9,462 compared to 7,003 at last review. The distribution of current ratings and credit estimates is as follows: Baa1-Baa3 (1.4% compared to 2.5% at last review), Ba1-Ba3 (0.0% compared to 5.0% at last review), B1-B3 (0.9% compared to 18.4% at last review), and Caa1-C (96.6% compared to 73.4% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 5.7 years compared to 6.6 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 1.2% compared to 2.6% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 12.0% compared to 100% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 8% to 18% would not result in any ratings migration. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in November 2010. Other methodologies employed were "Moody's Approach to Rating Structured Finance Securities in Default" published in November 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. JP MORGAN: Fitch Affirms Ratings on 9 Classes --------------------------------------------- Fitch Ratings has upgraded three and affirmed nine classes from J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2006-FL2, reflecting Fitch's base case loss expectation of 1.5% for the pooled classes. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. The revision to a Positive Rating Outlook from Stable reflects some positive performance; assuming performance continues to stabilize or improve, upgrades are likely. Under Fitch's methodology, approximately 45% of the pool is expected to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the average cash flow decline is 12.3% from generally year-end 2010 cash flows. In its review, Fitch analyzed servicer reported operating statements and rent rolls, updated property valuations, and recent lease and sales comparisons. Given that the loan positions within the pooled portion of the commercial mortgage backed securities (CMBS) are the lower leveraged A-notes, Fitch estimates the average recoveries on the pooled loans will be approximately 96.8% in the base case. The defaults are determined considering the total leverage of each asset, including additional B-notes and mezzanine debt. However, a default may not result in a loss to the pooled portion given its lower leverage position. The transaction is collateralized by eight loans, five of which are secured by office properties (70.2%) and three secured by hotels (29.8%). The transaction faces near-term maturity risk with all of the final extension options on the loans within the next three years, as follows: 10.9% matured, 58% in 2011, 3.4% in 2012, and 27.7% in 2013. Currently, three loans are specially serviced: Marina Village (19.1%), The Menlo Oaks Corporate Center (10.9%), and Hilton Los Cabos Beach & Golf Resort (8.6%). Marina Village and Hilton Los Cabos were modified to include new final maturities in 2013 and new terms which generally include a minor principal curtailment, cash flow sweep, and establishment of reserves. Fitch's analysis resulted in loss expectations for one of the three specially serviced loans and one loan in the 'B' stress scenario. The contributors to loss are the Marina Village loan and the RREEF Silicon Valley Office Portfolio loan. Hilton Los Cabos and Menlo Oaks, the other specially serviced loans, were not modeled with losses to the trust in the base case. The Marina Village loan is collateralized by 34 office buildings totaling 1.1 million square feet (sf) on 73 acres, and located in a 205-acre master-planned development located in Alameda, CA, within the San Francisco Bay Area. The property consists of low- rise and mid-rise office buildings (collateral), a shopping center, a hotel, 178-unit residential town-home community, and open space along the waterfront (with a 990-berth marina). As of December 2010, the occupancy at the property was 68.1%, a significant drop since issuance when occupancy was 79.6%. Average rental rate at the property was approximately $20.38 per square foot (psf), compared to $24.22 psf at issuance. Fitch modeled losses of approximately 4% in the base case reflecting a decline in value since issuance and continued rollover risk over the next several years. The RREEF Silicon Valley Office Portfolio loan is collateralized by 18 office properties, totaling 5.3 million sf, located in Silicon Valley in Northern California. Approximately 40% of the square footage is located in San Jose/Milpitas; 31% in Santa Clara; 18% in Sunnyvale; and 11% in Mountain View. The modeled loss for this loan is approximately 3% in the base case. The Menlo Oaks Corporate Center loan is secured by a class 'B' office park totaling 374,139 sf located in Silicon Valley in the city of Menlo Park, CA. The sponsor recently signed a new lease for 29% at the property bringing the occupancy to 75%. As a result, no losses are modeled to the trust portion of the A-note. The special servicer is currently negotiating a forbearance agreement. The transaction follows a prorata pay structure which may revert to sequential pay under two conditions: a) specially serviced assets in the deal account for more than 20% of the outstanding deal balance, or b) 80% of the original pool balance has been paid down. In addition, any principal distribution received from a loan in special servicing will be applied sequentially. Also, the transaction is structured so principal disbursements and interest from the underlying mortgages are combined into one account which then is used for principal and interest distributions to the bonds. The pro rata nature of the transaction combined with the commingling of principal and interest remittances have resulted in interest shortfalls, stemming from servicing fees, to result in a principal loss to the junior-most class L. The principal loss may be recoverable in future periods, similarly to an interest shortfall, if excess interest becomes available. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions' (Dec. 2, 2010). It applies stresses to property cash flows and uses debt service coverage ratio (DSCR) tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. Fitch has affirmed and revised or maintained Rating Outlooks, Loss Severity (LS) ratings, and Recovery Ratings (RR): -- $56.3 million class A-1 at 'AAA/LS3'; Outlook Stable; -- $298.2 million class A-2 at 'AAA'; LS to 'LS1' from 'LS3', Outlook Stable; -- $25.5 million class B at 'AA+'; LS to 'LS4' from 'LS5'; Outlook to Positive from Stable; -- $21.8 million class C at 'AA'; LS to 'LS4' from 'LS5'; Outlook to Positive from Stable; -- $15.1 million class D at 'AA-'; LS to 'LS4' from 'LS5'; Outlook to Positive from Negative; -- $17 million class E at 'A'; LS to 'LS4' from 'LS5'; Outlook to Positive from Negative; -- $17 million class F at 'BBB'; LS to 'LS4' from 'LS5'; Outlook to Positive from Negative; -- $22.5 million class L at 'D/RR6'. Fitch has upgraded and revised Rating Outlooks, LS ratings, and RRs: -- $15.1 million class G to 'BBB-/LS4' from 'BB/LS5'; Outlook to Positive from Negative; -- $18.9 million class H to 'B/LS4' from 'CCC/RR4'; Outlook Positive; -- $18.9 million class J to 'CCC/RR1' from 'CC/RR6'; -- $17 million class K to 'CCC/RR1' from 'CC/RR6'. JP MORGAN: Moody's Affirms 11 CMBS Classes of SOVC 2007-C1 ---------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 16 CMBS classes of J.P. Morgan Chase Commercial Mortgage Securities, Commercial Mortgage Pass-Through Certificates, Series 2005-CIBC12: Cl. A-3A1, Affirmed at Aaa (sf); previously on Jul 29, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-3B, Affirmed at Aaa (sf); previously on Jul 29, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Jul 29, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-SB, Affirmed at Aaa (sf); previously on Jul 29, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-M, Affirmed at Aa2 (sf); previously on Dec 2, 2010 Downgraded to Aa2 (sf) Cl. A-3A2, Affirmed at Aaa (sf); previously on Jul 29, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed at Baa2 (sf); previously on Dec 2, 2010 Downgraded to Baa2 (sf) Cl. X-1, Affirmed at Aaa (sf); previously on Jul 29, 2005 Definitive Rating Assigned Aaa (sf) Cl. X-2, Affirmed at Aaa (sf); previously on Jul 29, 2005 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Ba2 (sf); previously on Dec 2, 2010 Downgraded to Ba2 (sf) Cl. C, Affirmed at B1 (sf); previously on Dec 2, 2010 Downgraded to B1 (sf) Cl. D, Affirmed at B3 (sf); previously on Dec 2, 2010 Downgraded to B3 (sf) Cl. E, Affirmed at Caa1 (sf); previously on Dec 2, 2010 Downgraded to Caa1 (sf) Cl. F, Affirmed at Caa3 (sf); previously on Dec 2, 2010 Downgraded to Caa3 (sf) Cl. G, Affirmed at Ca (sf); previously on Dec 2, 2010 Downgraded to Ca (sf) Cl. H, Affirmed at C (sf); previously on Dec 2, 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 5.7% of the current pooled balance as compared to 9.0% at last review. The realized losses for this deal have increased by $60 million since Moody's last review. Moody's current base expected loss plus realized losses is 10.6% as compared to 10.0% at last review. Moody's stressed scenario loss is 22% of the current pooled 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 U.S. CMBS Transactions," published 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 61 compared to 67 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 December 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 13, 2011 distribution date, the transaction's aggregate certificate balance has decreased by approximately 23% to $1.7 billion from $2.2 billion at securitization. The Certificates are collateralized by 166 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans representing 30% of the pool. Five loans, representing 3% of the pool, have defeased and are secured by U.S. Government securities. One loan, representing 3% of the pool, has an investment grade credit estimate. Thirty loans, representing 14% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council's (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. Fifteen loans have been liquidated from the pool resulting in $81 million of realized losses (34% average severity). Nineteen loans, representing 9% of the pool, are currently in special servicing. No specially serviced loan accounts for more than 1% of the pooled balance. The servicer has recognized an aggregate $65 million appraisal reduction for the specially serviced loans. Moody's estimated a $49 million loss (39% expected loss based on a 94% probability of default) for the specially serviced loans. Moody's has assumed a high default probability for six poorly performing loans representing 3% of the pool and has estimated an aggregate $8 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Based on the most recent remittance statement, Classes G through NR have experienced cumulative interest shortfalls totaling $8.9 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the exposure to specially serviced and troubled 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 full or partial year 2010 operating results for 88% and 74% of the pool's non-defeased loans, respectively. Excluding specially serviced and troubled loans, Moody's conduit weighted average LTV is 96% compared to 98% at Moody's last review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding specially serviced and troubled loans, Moody's conduit actual and stressed DSCR are 1.44X and 1.06X, respectively, compared to 1.49X and 1.04X 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 a credit estimate is the 4250 North Fairfax Drive Loan ($45 million -- 2.7%), which is secured by a 304,500 SF office building located in Arlington, Virginia. The loan matures in June 2012 and is interest only for its entire term. The property was 100% leased as of December 2010, the same as last review. The largest tenant, Qwest Communications, leases 53% of the NRA through June 2014. Moody's current credit estimate and stressed DSCR are A3 and 1.74X, respectively, compared to A3 and 1.70X at last review. The top three performing conduit loans represent 12% of the pool balance. The largest loan is the Universal Hotel Portfolio Loan ($100 million -- 5.0%), which is a pari passu interest in a $400 million first mortgage loan secured by three full service hotel properties. The three hotels are all located in Orlando, Florida and total 2,400 guest rooms. The properties are also encumbered by a $50 million B-note which is held in the trust. The portfolio's performance has improved significantly from 2009. Occupancy and the average daily rate (ADR) have both increased. Consequently, the portfolio's revenue per available room (RevPAR) has increased 22% from $135 in 2009 to $165 in 2010. The three hotels were all constructed between 1999 and 2002. All are considered luxury hotels and are located within Orlando's Universal Theme Park. Moody's current LTV and stressed DSCR are 86% and 1.32X, respectively, compared to 102% and 1.11X at last review. The second largest loan is the Promenade at Westlake Loan ($69 million -- 4.2%), which is secured by a 201,570 SF retail center located in Thousand Oaks, California. In June 2010 the loan payments converted from interest only to principal and interest payments based on a 360 month amortization schedule. The property was 99% leased as of December 2010. Inline tenant sales have increased from $419 PSF at securitization to $457 PSF. Moody's LTV and stressed DSCR are 92% and 0.97X, respectively, compared to 98% and 0.94X at last review. The third largest loan is the LXP-ISS Loan ($42 million -- 2.5%), which is secured by three office buildings containing 289,000 SF located in Atlanta, Georgia. The buildings are 100% leased to Internet Security System (ISS) through May 2013 and serve as the company's headquarters. IBM (Moody's senior unsecured rating Aa3, stable outlook) acquired ISS in 2006. The loan matures in May 2013, coterminus with the lease expiration. Moody's analysis reflects a stressed cash flow due to the single tenant exposure and lease rollover risk. Moody's LTV and stressed DSCR are 94% and 1.07X, respectively, compared to 99% and 1.06X at last review. JP MORGAN: Moody's Affirms 15 CMBS Classes of JPMCC 2004-LN2 ------------------------------------------------------------ Moody's Investors Service (Moody's) affirmed the ratings of 15 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2004-LN2: Cl. A-1, Affirmed at Aaa (sf); previously on Aug 23, 2004 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed at Aa3 (sf); previously on Dec 2, 2010 Downgraded to Aa3 (sf) Cl. A-1A, Affirmed at Aa3 (sf); previously on Dec 2, 2010 Downgraded to Aa3 (sf) Cl. B, Affirmed at Baa1 (sf); previously on Dec 2, 2010 Downgraded to Baa1 (sf) Cl. C, Affirmed at Baa2 (sf); previously on Dec 2, 2010 Downgraded to Baa2 (sf) Cl. D, Affirmed at Ba2 (sf); previously on Dec 2, 2010 Downgraded to Ba2 (sf) Cl. E, Affirmed at B2 (sf); previously on Dec 2, 2010 Downgraded to B2 (sf) Cl. F, Affirmed at Caa1 (sf); previously on Dec 2, 2010 Downgraded to Caa1 (sf) Cl. G, Affirmed at Caa3 (sf); previously on Dec 2, 2010 Downgraded to Caa3 (sf) Cl. H, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. X-1, Affirmed at Aaa (sf); previously on Aug 23, 2004 Definitive Rating Assigned Aaa (sf) Cl. X-2, Affirmed at Aaa (sf); previously on Aug 23, 2004 Definitive Rating Assigned Aaa (sf) RATINGS RATIONALE 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 7.0% of the current balance. At last full review, Moody's cumulative base expected loss was 9.2%. The current cumulative base loss plus realized losses is 9.8%, similar to at last review. Realized losses increased approximately $17 million since last review due the liquidation of three loans. Moody's stressed scenario loss is 13.7% 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 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 (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 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 2, 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 June 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 22% to $970.4 billion from $1.25 billion at securitization. The Certificates are collateralized by 152 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 30% of the pool. Eight loans, representing 4% of the pool, have defeased and are collateralized with U.S. Government securities. Thirty-nine loans, representing 26% 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. Eleven loans have been liquidated from the pool since securitization, resulting in a $34.3 million loss (71% loss severity on average). Twelve loans, representing 11% of the pool, are currently in special servicing. The largest specially serviced loan is the Countryside Apartments Loan ($22.4 million -- 2.3% of the pool), which is secured by a 701-unit apartment complex located in St. Louis, Missouri. The subject was built in 1970. The loan was transferred to special servicing in January 2010 for maturity default and the property was foreclosed in January 2011. The remaining 11 specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $36.9 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate $34.9 million loss (36% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for ten poorly performing loans representing 6.4% of the pool and has estimated an aggregate $9.3 million loss (15% expected loss based on a 30% probability of default) from these troubled loans. Moody's was provided with full year 2009 and 2010 operating results for 99% and 78%, respectively, of the non-defeased performing pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 85% compared to 91% at last full review. Moody's net cash flow reflects a weighted average haircut of 6% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.58X and 1.35X, respectively, compared to 1.49X and 1.24X 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. 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 46, compared to 49 at Moody's prior review. The top three performing loans represent 16% of the pool balance. The largest performing loan is the World Apparel Center Loan ($69.1 million -- 7.1% of the pool), which represents a 33.3% pari passu interest in a $207.2 million first mortgage loan. The loan is secured by a 1.1 million square foot (SF) Class A office building located in the Times Square submarket of New York City. Built in 1970 and renovated in 2002, the building's principal tenants include Jones Apparel Group (Moody's senior unsecured rating Ba3, stable outlook) and JPMorgan Chase & Co. (Moody's senior unsecured rating Aa3, negative outlook). The property has increased occupancy through current tenant releasing and expansion, as well as new tenant leases. As of year-end 2010, the property was 91% leased, compared to 72% at last review. Moody's LTV and stressed DSCR are 68% and 1.39X, respectively, compared to 73% and 1.30X at last review. The second largest performing loan is the Chesapeake Square Loan ($68.3 million -- 7.0% of the pool), which is secured by an 810,305 SF (530,158 SF of collateral), single-level, enclosed regional mall located in Chesapeake, Virginia. Anchor tenants include Target (not part of the collateral), Macy's, Sears and JC Penney. As of March 2011, the in-line space was 66% leased compared to 68% at last review. Occupancy has been on the decline primarily since late 2009 when anchor tenant Dillard's vacated. However, Burlington Coat Factory has taken a portion of that space effective as of September 2010. Decreased rental income from the increased vacancy has deteriorated financial performance since securitization. Moody's considers this loan as a high default risk due to it's persistent weakness and has classified this as a troubled loan. Moody's LTV and stressed DSCR are 138% and 0.78X, respectively, the same as at last review. The third largest performing loan is the Embassy Suites - BWI Airport Loan ($20.9 million -- 2.2% of the pool), which is secured by a 251-room full service hotel located in Linthicum, Maryland. RevPAR for the 12-month period ending December 2010 was $94.50 compared to $95.86 at in the prior year. Property performance has declined from the last review as the hotel market has been impacted by the economic downturn. However, Moody's analysis incorporates an anticipated improvement in the hotel sector. Moody's LTV and stressed DSCR are 72% and 1.70X, respectively, compared to 76% and 1.59X at last review. JP MORGAN: Moody's Affirms 22 CMBS Classes of JPMCC 2004-C2 ----------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 22 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2004-C2: Cl. A-2, Affirmed at Aaa (sf); previously on Jun 2, 2004 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Jun 2, 2004 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Jun 2, 2004 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Oct 13, 2010 Confirmed at Aa2 (sf) Cl. C, Affirmed at Aa3 (sf); previously on Oct 13, 2010 Confirmed at Aa3 (sf) Cl. D, Affirmed at A3 (sf); previously on Oct 13, 2010 Downgraded to A3 (sf) Cl. E, Affirmed at Baa1 (sf); previously on Oct 13, 2010 Downgraded to Baa1 (sf) Cl. F, Affirmed at Ba1 (sf); previously on Oct 13, 2010 Downgraded to Ba1 (sf) Cl. G, Affirmed at Ba2 (sf); previously on Oct 13, 2010 Downgraded to Ba2 (sf) Cl. H, Affirmed at Ba3 (sf); previously on Oct 13, 2010 Downgraded to Ba3 (sf) Cl. J, Affirmed at B3 (sf); previously on Oct 13, 2010 Downgraded to B3 (sf) Cl. K, Affirmed at Caa2 (sf); previously on Oct 13, 2010 Downgraded to Caa2 (sf) Cl. L, Affirmed at Ca (sf); previously on Oct 13, 2010 Downgraded to Ca (sf) Cl. M, Affirmed at C (sf); previously on Oct 13, 2010 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Oct 13, 2010 Downgraded to C (sf) Cl. P, Affirmed at C (sf); previously on Oct 13, 2010 Downgraded to C (sf) Cl. X, Affirmed at Aaa (sf); previously on Jun 2, 2004 Definitive Rating Assigned Aaa (sf) Cl. RP-1, Affirmed at A1 (sf); previously on Oct 9, 2008 Upgraded to A1 (sf) Cl. RP-2, Affirmed at A2 (sf); previously on Oct 9, 2008 Upgraded to A2 (sf) Cl. RP-3, Affirmed at A3 (sf); previously on Oct 9, 2008 Upgraded to A3 (sf) Cl. RP-4, Affirmed at Baa1 (sf); previously on Oct 9, 2008 Upgraded to Baa1 (sf) Cl. RP-5, Affirmed at Baa2 (sf); previously on Oct 9, 2008 Upgraded to Baa2 (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 the existing ratings. Moody's rating action reflects a cumulative base expected loss of 2.8% of the current balance compared to 3.4% at last review. Moody's stressed scenario loss is 7.1% 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 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 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 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 13, 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 June 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 21% to $842.7 million from $1.1 billion at securitization. The Certificates are collateralized by 110 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans representing 56% of the pool. The pool contains two loans, representing 27% of the pool, which have investment grade credit estimates. Nine loans, representing 4% of the pool, have defeased or partially defeased and are collateralized with U.S. Government securities. Defeasance at last review represented 7% of the pool. Twenty-three loans, representing 17% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eight loans have been liquidated from the pool, resulting in an aggregate realized loss of $12.1 million (39% loss severity overall). At last review the pool had experienced an aggregate $4.9 million loss. One loan, representing 2% of the pool, is currently in special servicing. The master servicer recognized a $1.9 million appraisal reduction for this loan in February 2011. Moody's has estimated a $7.2 million loss (41% expected loss on average) for this loan. Moody's has assumed a high default probability for four poorly performing loans representing 3% of the pool and has estimated a $3.5 million loss (15% expected loss based on a 30% probability default) from these troubled loans. Moody's was provided with full-year 2009 and partial year 2010 operating results for 100% and 89% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 84% compared to 88% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.47X and 1.23X, respectively, compared to 1.40X and 1.16X 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. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 22 compared to 24 at last review. The largest loan with a credit estimate is the Somerset Collection Loan ($125.5 million -- 14.9% of the pool), which represents a 50% pari passu interest in a $251 million first mortgage loan. The loan is secured by a 1.4 million square foot (SF) regional mall located in Troy, Michigan. The mall is the dominant mall in its trade area and is anchored by Macy's, Nordstrom, Saks Fifth Avenue and Neiman Marcus. The center was 99% leased as of December 2010, essentially the same as at last review. The loan is interest only for its entire 10-year term. Moody's current credit estimate and stressed DSCR are A1 and 1.52X, respectively, the same as at last review. The second loan with a credit estimate is the Republic Plaza Loan ($99.3 million -- 11.6% of the pool), which represents the pooled portion of a $123.5 million first mortgage loan. Additionally, there is a non-pooled A Note ($25.6 million) in the trust that supports non-pooled Classes RP-1, RP-2, RP-3, RP-4 and RP-5. The loan is secured by a 1.3 million SF Class A office building located in downtown Denver, Colorado. The property was 98% leased as of December 2010, the same as at last review. The largest tenants include Ecana Oil & Gas (35% of the net rentable area (NRA); lease expiration April 2019) and DCP Midstream LP (11% of the NRA; lease expiration May 2016). Moody's current credit estimate and stressed DSCR for the pooled note are Aa3 and 2.20X, respectively, compared to Aa3 and 2.28X at last review. The top three performing loans represent 19% of the pool balance. The largest loan is the Hometown America Portfolio VII Loan ($89.7 million -- 10.6% of the pool), which is secured by ten manufactured housing communities located in Florida, Michigan, Massachusetts, New Jersey, Colorado and Illinois. The portfolio totals 4,055 pads. The portfolio was 91% leased as of June 2010 compared to 95% at last review. Moody's LTV and stressed DSCR are 70% and 1.38X, respectively, compared to 75% and 1.26X at last review. The second largest loan is the Robert Duncan Plaza Loan ($40.2 million -- 4.8% of the pool), which is secured by a 332,608 SF Class A office building located in Portland, Oregon. The property was 98% leased as of December 2010. The loan is currently on the master servicer's watchlist due to the September 2011 lease expiration of a GSA tenant (97% of the NRA). This tenant is expected to renew. Moody's LTV and stressed DSCR are 83% and 1.17X, respectively, compared to 81% and 1.20X at last review. The third largest loan is the Shoppes at English Village Loan ($24.3 million -- 2.9% of the pool), which is secured by a 104,014 SF lifestyle retail center located approximately 30 miles northwest of downtown Philadelphia in North Wales, Pennsylvania. The center was 99% leased as of December 2010, the same as at last review. The largest tenants are Trader Joe's and Talbot's. Performance has been stable. Moody's LTV and stressed DSCR are 97% and 1.00X, respectively, compared to 106% and 0.92X at last review. JP MORGAN: S&P Gives 'B' Rating on Class H Certificates ------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C4's $1.45 billion commercial mortgage pass-through certificates. The assigned ratings reflect the credit support provided by the subordinate classes of certificates; the liquidity provided by the trustee; and the underlying loans' economics, geographic diversity, and property type diversity. "In our analysis, we determined that, on a weighted average basis, the pool has a debt service coverage (DSC) of 1.26x based on a weighted average Standard & Poor's loan constant of 8.22%, a beginning loan-to- value (LTV) ratio of 86.6%, and an ending LTV ratio of 77.6%. (Note: Standard & Poor's excluded the Sheraton Chicago Hotel and Towers loan {$68.0 million, 4.7% of the pool balance}, which is secured by the fee interest on the land beneath the hotel, from all of our calculated DSC and LTV ratios. We analyzed this loan separately from the general pool.)," S&P said. Ratings Assigned J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C4 Class Rating Amount ($) A-1 AAA (sf) 77,861,000 A-2 AAA (sf) 336,403,000 A-3 AAA (sf) 378,150,000 A-3FL AAA (sf) 100,000,000 A-4 AAA (sf) 226,811,000 A-SB AAA (sf) 61,976,000 X-A(i) AAA (sf) 1,181,201,000(ii) X-B(i) NR 265,906,233(ii) B AA (sf) 48,840,000 C A (sf) 72,356,000 D A- (sf) 23,515,000 E BBB (sf) 48,840,000 F BB+ (sf) 14,471,000 G BB- (sf) 19,898,000 H B (sf) 18,089,000 NR NR 19,897,233 (i)Interest-only class. (ii)Notional amount. NR--Not rated. KEY COMMERCIAL: Fitch Takes Various Rating Actions -------------------------------------------------- Fitch Ratings has downgraded seven classes of Key Commercial Mortgage Securities Trust 2007-SL1 commercial mortgage pass- through certificates, due to further deterioration in performance, most of which involves increased losses on the specially serviced loans. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses are the result of Fitch's revised loss estimates for the transaction following an in-depth review. Fitch's expected losses for the transaction are 6.38% of the remaining pool; expected losses of the original pool are at 6.49%, including losses already incurred to date. Fitch has designated 37 loans (29.1%) as Fitch Loans of Concern, which includes six specially serviced loans (2.9%). Fitch expects classes K and L may be fully depleted from losses associated with the specially serviced assets and class J to be also affected. As of the May 2011 distribution date, the pool's certificate balance has paid down 16% to $199.8 million from $237.5 million at issuance. There are 138 of the original 155 loans remaining in the transaction. There are currently six specially serviced loans (2.9%) in the deal. The average loan size for the transaction is $1.4 million. To date, the transaction has incurred $2.7 million in losses, representing 1.1% of the original transaction. Fitch reviewed the workout status of the specially serviced loans and applied a haircut to the most recent property valuations based on the type and age of the valuations and information received from the special servicer. For those loans that do not have recent valuations and are delinquent, Fitch assumed a 70% loss. The average loss severity of small balance loans exceeds traditional CMBS and a 70% loss reflects recent dispositions of loans with similar characteristics. Fitch stressed the cash flow of the remaining non-liquidated loans by applying a 5% reduction to 2009 or 2010 fiscal year-end net operating income, 10% reduction to year-end 2008, and 15% reduction for all loans which did not report year-end 2008, applying slightly higher cap rates than are used in Fitch's recent vintage of fixed-rate transactions ranging from 8.1%-11% due to the small balance nature of the loans. The largest contributor to loss (0.7%) is an industrial property located in Kent, OH. The property has suffered declines in performance as a result of low occupancy due to tenant vacancies and increased expenses. The property was 49% occupied as of December 2010. The loan remains current. The largest specially serviced loan (0.6%) is secured by an office property located in Bedford Heights, OH and is currently 90 days delinquent. The loan was transferred to special servicing in January 2011 due to imminent default. As of June 2010, the property was 77.6% occupied. The special servicer is in the process of pursuing the noteholder's rights and remedies. Based on the most recent appraisal value provided by the special servicer, losses are expected. Fitch downgrades and assigns Recovery Ratings (RRs) to these classes: -- $4.8 million class D to 'CCC/RR1' from 'B-/LS5'; -- $2.1 million class E to 'CCC/RR1' from 'B-/LS5'; -- $1.8 million class F to 'CCC/RR1' from 'B-/LS5'; -- $1.2 million class G to 'CC/RR1' from 'B-/LS5'; -- $1.2 million class H to 'CC/RR5' from 'B-/LS5'; -- $891,000 class J to 'C/RR6' from 'CCC/RR1'; -- $593,000 class K to 'C/RR6' from 'CCC/RR1'. Fitch also affirms and revises Loss Severity (LS) ratings and Outlooks of these classes: -- $14.4 million class A-1 at 'A/LS1'; Outlook Stable; -- $91.7 million class A-2 at 'A/LS1'; Outlook Stable; -- $68.1 million class A-1A at 'A/LS1'; Outlook Stable; -- $5.3 million class B at 'BBB-'; LS to 'LS5' from 'LS4'; Outlook to Stable from Negative; -- $5.6 million class C at 'BB'; LS to 'LS5' from 'LS4'; Outlook Negative. The $2.1 million class L is not rated by Fitch. In addition, Fitch withdraws the rating on the interest-only class X. MARIAH RE: S&P Lowers Rating on Series 2010-1 Notes to 'CCC+' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on Mariah Re Ltd.'s Series 2010-1 notes to 'CCC+(sf)' from 'B(sf)'. "At the same time, we revised the CreditWatch status of the rating on the notes to developing from negative," S&P said. "We placed the rating on CreditWatch with negative implications on June 14 as a result of the tornado that hit Joplin, Mo. (as well as other regions) in May. We have received Property Claims Services' preliminary estimate of insured property damage related to this event. Currently, the total losses to be covered by the notes are approximately $263 million. In addition to this event, we received a similar report for Catastrophe Series Number 47. The loss amount from this event is approximately $13.3 million. The current estimate of losses from covered events through the end of May is $453 million. Modeled losses through the end of May were expected to equal $302 million," S&P related. "We revised the CreditWatch status to developing to account for the potential impact of the passage of time and the potential lack of future covered events. Based on the modeled results, June is expected to be the peak month for losses. Although covered events may have occurred during the month, PCS has not yet released an estimate of losses related to any of these events," according to S&P. "If no additional events occur over the next two months and loss estimates on existing covered events do not increase by a material amount, we would expect to raise the rating on the notes (to no higher than the initial rating of 'B(sf)'). If additional covered events occur, we could lower the rating further. As we receive updated information, we will take the appropriate rating action," S&P noted. 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 of no greater than 2.57%. The rating Standard & Poor's assigns after the reset will be based on its view of the risk set forth in the Nov. 15, 2010, closing article. Ratings List Downgraded To From Mariah Re Ltd. Series 2010-1 notes CCC+(sf)/Watch Dev B(sf)/Watch Neg MARQUETTE US/EUROPEAN: S&P Raises Ratings on 2 Classes to 'B' ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1B, A-2, B-1, B-2, C-1, C-2, D-1, D-2, E-1, and E-2 notes from Marquette US/European CLO PLC. "We removed our ratings on the class A-1B, A-2, B-1, B-2, C-1, C-2, D-1, and D-2 notes from CreditWatch, where we placed them with positive implications on March 1, 2011. We also withdrew our ratings on the class F and G notes and affirmed our rating on the class A-1A notes," S&P said. Marquette US/European CLO PLC is a collateralized loan obligation (CLO) transaction with APEX credit swap feature, managed by Neuberger Berman Inc. The portfolio primarily consists of senior secured leverage loans denominated in U.S. dollars and Euros. The APEX credit swap can be drawn in U.S. dollars and Euros. "The upgrades reflect the improved performance we have observed in the transaction's underlying asset portfolio since our last rating action in April 2010. The affirmation reflects the sufficient credit support available at the current rating level. The withdrawals reflect the fact that the class F and G notes were split into their respective constituents and unwound," S&P said. According to the May 16, 2011 trustee report, the transaction held $1.25 million in defaulted assets. This was down from $10.6 million as of the Feb. 12, 2010, trustee report. The class A/B overcollateralization (O/C) ratio increased to 126.27% from 121.16% during the same time period. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating and CreditWatch Actions Marquette US/European CLO PLC Rating Class To From A-1B AA (sf) A+ (sf)/Watch Pos A-2 AA (sf) A+ (sf)/Watch Pos B-1 A+ (sf) A- (sf)/Watch Pos B-2 A+ (sf) A- (sf)/Watch Pos C-1 BBB+ (sf) BB+ (sf)/Watch Pos C-2 BBB+ (sf) BB+ (sf)/Watch Pos D-1 BB (sf) B+ (sf)/Watch Pos D-2 BB (sf) B+ (sf)/Watch Pos E-1 B (sf) CCC- (sf) E-2 B (sf) CCC- (sf) Ratings Withdrawn Marquette US/European CLO PLC Rating Class To From F NR CCC- (sf) G NR CCC- (sf) Rating Affirmed Marquette US/European CLO PLC Rating Class A-1A AA+ (sf) NR -- Not rated. MASTER CREDIT: Moody's Puts Definitive Ratings on Class D Notes --------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the Class D Notes to be issued by Master Credit Card Trust (MCCT). Bank of Montreal (Aa2, on review for possible downgrade/P-1) is the administrator of MCCT, as well as the originator and servicer of the pool of credit card receivables backing the notes. $5,815,556 Class D Notes, Series 2008-1, rated Baa3 (sf) $11,071,058 Class D Notes, Series 2008-2, rated Baa3 (sf) $11,796,175 Class D Notes, Series 2008-3, rated Ba1 (sf) $5,898,087 Class D Notes, Series 2008-4, rated Ba1 (sf) Ratings Rationale The ratings are based on the quality of the underlying pool of credit card receivables, the expertise of the seller/servicer, Bank of Montreal, the transaction's legal and structural protections, including early amortization triggers, and credit enhancement in the form of excess spread. The Class D Notes, which constitute approximately 1.00% of the total invested amount for each of the Series, provide additional credit enhancement to the Class A, Class B and Class C notes in the form of subordination. The Class D notes benefit from the excess spread. Excess spread may be retained in the series specific reserve account, which will initially be unfunded, depending on the level of excess spread for that series. If the three-month average excess spread for a series falls below specified levels that start at 4.0%, amounts retained in the series-specific reserve account would progressively increase after each level is breached. Moody's expects performance in the range of 4.0%-5.0% for gross charge-offs, 19.5%-22.5% for yield and 34.0%-40.0% for the payment rate. Moody's performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities were rated. 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. The principal methodology used in rating notes issued by Master Credit Card Trust was "Moody's Approach To Rating Credit Card Receivables-Backed Securities" rating methodology published on April 16, 2007. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments in this transaction. MASTR ASSET: Moody's Downgrades Rating of $80 Mil. Subprime RMBS ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two tranches issued by MASTR Asset Backed Securities Trust 2006-NC3 . The collateral backing this deal primarily consists of first-lien adjustable-rate subprime residential mortgages. Issuer: MASTR Asset Backed Securities Trust 2006-NC3 Cl. A-2, Downgraded to B3 (sf); previously on Apr 8, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. A-3, Downgraded to Ca (sf); previously on May 5, 2010 Downgraded to Caa3 (sf) RATINGS RATIONALE The Class A-2 is a short cash flow tranche where full receipt of principal is dependent on the timing of losses and principal payments in the related transaction. This tranche is currently first in line to receive all principal allocation from its related collateral group. However, once the supporting mezzanine tranche is fully written down due to collateral losses, the short cash flow tranche will pay pro rata with other outstanding senior tranches in the deal. Therefore, if the short cash flow tranche is not paid off by the time of mezzanine write down, it will likely experience a loss. The Class A-3 has also been downgraded to reflect the expectation that it is unlikely to receive principal payments until mezzanine depletion at which point it will pay pro- rata with other outstanding senior certificates. 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 "Moody's Approach to Rating Structured Finance Securities in Default The primary source of assumption uncertainty is the rate of realized losses reducing the balance of the mezzanine certificates, and the cash flow disruptions affecting the amount of principal that would normally be used to pay off the principal balance of the two short cash flow tranches. The ratings of these two tranches are driven by timing of loss and principal payments, and would not be changed by 10% increase in expected collateral loss. Moody's Investors Service received and took into account one or more 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 rating. MERRILL LYNCH: Fitch Affirms ML 1997-C2 Ratings ----------------------------------------------- Fitch Ratings has affirmed the ratings of three classes of Merrill Lynch Mortgage Trust's commercial mortgage pass-through certificates, series 1997-C2. In addition, Fitch has affirmed Rating Outlooks and revised Loss Severity (LS) ratings and Recovery Ratings (RR) as applicable. The affirmations reflect stable portfolio performance and significant portfolio amortization. As of the June 2011 distribution date, the pool's certificate balance has been reduced by 92.56% (to $51 million from $686.3 million), of which 89.36% were due to paydowns and 3.2% were due to realized losses. Fitch modeled losses of 3.03% of the remaining pool balance; expected losses of the original pool balance are 3.43% which includes losses already incurred to date. In total, Fitch has identified four Fitch Loans of Concern (37.24%), one of which is the specially-serviced loan. Fitch expects the loss associated with the specially-serviced loan to be absorbed by class H. The only contributor to modeled losses is the specially-serviced loan, which is secured by a 154,637 square foot (sf) retail center located in Lima, OH. The loan was transferred to special servicing effective July 30, 2010 for imminent monetary default. Property occupancy is 46% as of March 15, 2011. The borrower has been funding shortfalls out of pocket and has expressed interest in a loan modification. Fitch stressed the cash flow of the remaining loans by applying a 5% reduction to 2010 fiscal year-end (YE) net operating income, and applying an adjusted market cap rate between 8% and 11% to determine value. Each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. With the exception of the loan which contributed to modeled losses, all the loans in the pool are considered to pay off at maturity, and could refinance to a debt service coverage ratio (DSCR) above 1.25 times(x). Fitch affirms these classes and Outlooks and revises the LS) ratings and RRs: -- $33.6 million class F at 'Asf'; LS to 'LS1' from 'LS2'; Outlook Stable; -- $6.9 million class G at 'BB+sf'; LS to 'LS2' from 'LS4'; Outlook Stable; -- $10.6 million class H at 'Dsf'; RR to 'RR4' from 'RR5'. Classes A-1, A-2, B, C, D, and E have repaid in full. Classes J and K have been reduced to zero due to realized losses. Fitch does not rate class E and K. MERRILL LYNCH: Fitch Takes Various Rating Actions ------------------------------------------------- Fitch Ratings affirms classes A-1 and A-2 of Merrill Lynch Floating Rate Trust Pass-Through Certificates, Series 2006-1 at 'AAAsf'; Outlook Stable, and places the remaining classes on Rating Watch Evolving. These actions reflect the uncertainty surrounding the refinance of the two largest loans in the trust: Lord & Taylor Portfolio (56.5%), and Trizec Portfolio (30%), which together represent over 85% of the collateral balance. The Lord & Taylor Portfolio is secured by 37 of Lord & Taylor's retail properties, including 36 of the retail stores and one distribution warehouse. The portfolio is structured with a 20-year triple net (NNN) master lease agreement between the operating entity and properties. Approximately 67% of the retail portfolio's square footage is located in the New York, New Jersey, and Connecticut tri-state area. All retail stores in New Jersey are located in northern New Jersey within proximity to New York City. The collateral includes Lord & Taylor's flagship store on 5th Avenue in Manhattan. The Lord & Taylor loan represents over 50% of the collateral, and should it be able to secure proceeds for refinance, the associated paydown would significantly bolster the transaction's credit enhancement. Conversely, in the event the loan does not payoff at maturity, other workout options will likely have to be considered. At the last review, Fitch modeled a significant loss on the loan, which was the primary loss generator for the transaction. In light of the stable performance demonstrated since a modification in 2009, Fitch is awaiting additional performance information in order to determine a value that is representative of current operations. In the previous reviews, a dark value analysis was applied due to the stress the portfolio of stores was experiencing during the recession. The loan does not mature until June 2012, but given the size of the debt, it is not uncommon for borrowers to begin refinance discussions well in advance of the maturity, and Fitch expects the picture may be clearer toward to the end of 2011. The Trizec Portfolio consists of 17 properties in a number of markets across the U.S., down from 22 properties after property releases began in December 2010. The loan has paid down by approximately 35% since the last review. The portfolio, sponsored by Brookfield Properties and Blackstone Real Estate Partners, is part of a larger 47-property acquisition that was completed by the joint venture. Performance across the portfolio remains stable, with an aggregate year-end 2010 occupancy of 84%, compared with 85% in 2009. The loan matures on October 11, 2011, and details are limited at this point with respect to any discussions surrounding the refinance. Fitch expects more detail as the maturity date nears. Fitch will continue to monitor the refinance prospects of both loans, and expects to resolve the Rating Watch as details on each loan's ability to exit their respective debt obligations become clearer. Fitch places these classes on Rating Watch Evolving: -- $55.4 million class B at AAsf/LS4' Rating Watch Evolving; -- $48.9 million class C at 'Asf/LS4'; Rating Watch Evolving; -- $32.6 million class D at 'Asf/LS5'; Rating Watch Evolving; -- $75.3 million class E at 'BBBsf/LS4'; Rating Watch Evolving; -- $46.7 million class F at 'BBBsf/LS5'; Rating Watch Evolving; -- $44.3 million class G at 'BBsf/LS5'; Rating Watch Evolving; -- $40.6 million class H at 'BBsf/LS5'; Rating Watch Evolving; -- $35.9 million class J at 'Bsf/LS5'; Rating Watch Evolving; -- $36.3 million class K at 'CCCsf/RR3'; Rating Watch Evolving; -- $31.1 million class L at 'CCCsf/RR6'; Rating Watch Evolving; -- $48.2 million class M at 'CCCsf/RR6'; Rating Watch Evolving. In addition, Fitch has affirmed these classes: -- $77.6 million class A-1 at 'AAAsf/LS2'; Outlook Stable; -- $527.7 million class A-2 at 'AAAsf/LS2'; Outlook Stable. MERRILL LYNCH: Moody's Upgrades Six Classes of MLMT 2004-MKB1 ------------------------------------------------------------- Moody's Investors Service (Moody's) upgraded the ratings of six classes and affirmed 12 classes of Merrill Lynch Mortgage Trust 2004-MKB1, Commercial Mortgage Pass-Through Certificates, Series 2004-MKB1: 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-1A, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. D, Upgraded to Aa2 (sf); previously on May 14, 2004 Definitive Rating Assigned A2 (sf) Cl. E, Upgraded to Aa3 (sf); previously on May 14, 2004 Definitive Rating Assigned A3 (sf) Cl. F, Upgraded to A2 (sf); previously on May 14, 2004 Definitive Rating Assigned Baa1 (sf) Cl. G, Upgraded to Baa1 (sf); previously on May 14, 2004 Definitive Rating Assigned Baa2 (sf) Cl. H, Affirmed at Baa3 (sf); previously on May 14, 2004 Definitive Rating Assigned Baa3 (sf) Cl. J, Affirmed at Ba2 (sf); previously on Nov 4, 2010 Downgraded to Ba2 (sf) Cl. K, Affirmed at B1 (sf); previously on Nov 4, 2010 Downgraded to B1 (sf) Cl. L, Affirmed at B3 (sf); previously on Nov 4, 2010 Downgraded to B3 (sf) Cl. M, Affirmed at Caa1 (sf); previously on Nov 4, 2010 Downgraded to Caa1 (sf) Cl. N, Upgraded to Caa2 (sf); previously on Nov 4, 2010 Downgraded to C (sf) Cl. P, Upgraded to Caa3 (sf); previously on Nov 4, 2010 Downgraded to C (sf) Cl. XP, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. XC, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) RATINGS RATIONALE The upgrades are due to overall improved pool financial performance and increased credit support due to loan payoffs and amortization and a decline in Moody's estimate of expected losses from specially serviced and troubled loans. The pool has paid down by 25% since Moody's prior 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 2.6% ($10.9 million) of the current balance compared to 3.2% ($18.2 million) at last review. Moody's stressed scenario loss is 6.6% 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 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 primary methodology used in this rating was: "CMBS: Moody's Approach to Rating Conduit Transactions" published in September 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 30 compared to 25 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 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 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 June 13, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 57% to $424.9 million from $979.8 million at securitization. The Certificates are collateralized by 60 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten non-defeased loans representing 34% of the pool. Seventeen loans, representing 26% of the pool, have defeased and are secured by U.S. Government securities. Defeasance at last review represented 30% of the pool. Three loans, representing 4% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (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. Five loans have been liquidated from the pool, resulting in a realized loss of $3.6 million (10% loss severity). Currently two loans, representing 4% of the pool, are in special servicing. Moody's estimates an aggregate $3.8 million loss for the specially serviced loans (24% 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 $2 million loss (20% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2010 operating results for 90% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 83% compared to 82% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11.7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.46X and 1.33X, respectively, compared to 1.51X and 1.34X 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 14% of the pool. The largest conduit loan is the WestPoint Crossing Shopping Center Loan ($25 million -- 6% of the pool), which is secured by a 241,000 square foot retail center consisting of 11 one-story buildings located in Tucson, Arizona. The center is shadow-anchored by Home Depot and Target. The property was 97% leased as of February 2011, essentially the same as the prior review. Moody's LTV and stressed DSCR are 89% and 1.12X, respectively, compared to 94% and 1.07X at last review. The second largest loan is the GFS Marketplace Portfolio Loan ($18.4 million -- 4.3% of the pool), which is secured by 17 single-tenant retail properties with a total of 272,000 square feet located in Ohio (6), Michigan (5) Indiana (4), and Illinois (2). All the properties are leased to GFS Holdings, Inc., a foodservice distributor, under leases expiring in September 2028. Moody's LTV and stressed DSCR 50% and 2.06X, respectively, compared to 51% and 2.02X at last review. The third largest loan is the MHC Portfolio - Mariner's Cove Loan ($15.5 million -- 3.7% of the pool), which is secured by a 374-pad manufactured housing community located in Millsboro, Delaware. As of December, the property was 97% leased, the same as at last review. Moody's LTV and stressed DSCR 67% and 1.37X, respectively, compared to 72% and 1.28X at last review. MEZZ CAP COMMERCIAL: Fitch Takes Various Rating Actions ------------------------------------------------------- Fitch Ratings has downgraded, revised recovery rating, and affirmed these classes from Mezz Cap Commercial Mortgage Transactions: Mezz Cap Commercial Mortgage Trust 2004-C1 (Mezz Cap 2004-C1): -- $22.4 million class A downgraded to 'C/RR3 from 'B-/LS5'; -- $2.8 million class B downgraded to 'C/RR5' from 'CC/RR4'; -- $2.3 million class C downgraded to 'C/RR6 from 'CC/RR5'; -- $2.8 million class D affirmed at 'C/RR6'; -- $1.5 million class E affirmed at 'C/RR6' '; -- $1.6 million class F affirmed at 'C/RR6'; -- $1.1 million class G affirmed at 'C/RR6'. Classes H and J remain 'D/RR6' due to realized losses. Mezz Cap Commercial Mortgage Trust 2004-C2 (Mezz Cap 2004-C2): -- $30.2 million class A downgraded to 'C/RR3' from 'CCC/RR1'; -- $2.1 million class B downgraded to 'C/RR5' from 'CC/RR5'; -- $1.6 million class C downgraded to 'C/RR6' from 'CC/RR5'; -- $2.6 million class D affirmed at 'C/RR6'; -- $1 million class E affirmed at 'C/RR6'; -- $1.8 million class F affirmed at 'C/RR6'; -- $1.2 million class G affirmed at 'C/RR6'; -- $3.9 million class H affirmed at 'C/RR6'. Class J remains 'D/RR6' due to realized losses. Mezz Cap Commercial Mortgage Trust 2005-C3 (Mezz Cap 2005-C3): -- $40.8 million class A downgraded to 'C/RR5' from 'CC/RR3'; -- $1.8 million class B affirmed at 'C'; RR revised to 'RR6' from 'RR5'; -- $1.9 million class C affirmed at 'C/RR6'; -- $3.2 million class D affirmed at 'C/RR6'; -- $1.8 million class E affirmed at 'C/RR6'; -- $1.6 million class F affirmed at 'C/RR6' ; -- $1.7 million class G affirmed at 'C/RR6'. Classes H and J remain 'D/RR6' due to realized losses. Mezz Cap Commercial Mortgage Trust 2006-C4 (Mezz Cap 2006-C4): -- $57.9 million class A affirmed at 'C'; RR revised to 'RR4' from 'RR2'; -- $2.2 million class B affirmed at 'C/RR6'; -- $2.2 million class C affirmed at 'C/RR6'; -- $3.6 million class D affirmed at 'C/RR6'; -- $1.2 million class E affirmed at 'C/RR6'; -- $2.6 million class F affirmed at 'C/RR6'; -- $6.6 million class G downgraded to 'D/RR6' from 'C/RR6'. Class H remains 'D/RR6' due to realized losses. Mezz Cap Commercial Mortgage Trust 2007-C5 (Mezz Cap 2007-C5): -- $39.5 million class A downgraded to 'C/RR2' from 'CC/RR2'; -- $1.2 million class B downgraded to 'C/RR6' from 'CC/RR5'; -- $1.6 million class C affirmed at 'C/RR6'; -- $2.3 million class D affirmed at 'C/RR6'; -- $1.1 million class E affirmed at 'C/RR6'; -- $1.8 million class F affirmed at 'C/RR6'. Classes G and H remain 'D/RR6' due to realized losses. The downgrades are due to significant deterioration in loan performance across the pools, as evidenced by principal write- downs to the junior classes, large increases in the number of specially serviced loans, and additional interest shortfalls within the transactions since Fitch's last rating action. In most cases principal losses have not yet been realized; and only the unrated and junior-most classes of certificates have taken principal write-downs to date. However, the higher leverage on the loans, coupled with continuing term defaults and projected defaults upon maturity, make substantial future losses to the trusts likely. The current ratings are based on application of Fitch's recent- vintage U.S. commercial mortgage backed security (CMBS) methodology. The ratings are prospective in nature and reflect anticipated losses associated with the loans currently in special servicing as well as the potential for losses to occur on the performing loans having to refinance in the future. The transactions are securitized by B notes, which are subordinate to the first mortgage loans securitized in various CMBS transactions. The loans are secured by traditional commercial real estate property types and are subject to standard intercreditor agreements that limit the rights and remedies of the B note holder in the event of default and upon refinancing. Due to their subordinate positions, B notes that default and incur a loss are typically 100% non-recoverable. Advancing typically ceases once a loan becomes 30 days past due. The transactions' defaults generally far exceed the average delinquencies of typical CMBS deals. The total proportion of loans currently in special servicing for each transaction is as follows: Mezz Cap 2004-C1, 33%; Mezz Cap 2004-C2, 31%; Mezz Cap 2005-C3, 31%; Mezz Cap 2006-C4, 41%; and Mezz Cap 2007-C5, 21%. MORGAN STANLEY: Fitch Upgrades Capital I Trust 1999-RM1 Certs. -------------------------------------------------------------- Fitch Ratings upgrades one class of Morgan Stanley Capital I Trust Commercial Mortgage Pass-Through Certificates series 1999-RM1 due to stable performance since last Fitch review. The upgrade is due to increased credit enhancement due to paydown which is sufficient to offset Fitch expected losses. Fitch modeled losses of 3.5% of the remaining pool; expected losses of the original pool are at 1.9%, including losses already incurred to date. Fitch has designated seven loans (12.4%) as Fitch Loans of Concern due to poor performance. None of the remaining loans are specially serviced As of the June 2011 distribution date, the pool's aggregate principal balance has been paid down by approximately 94.6% to $46.6 million from $859.4 million at issuance. Two (18.1%) of the remaining 23 loans are defeased. Interest shortfalls are only affecting the non-rated class O with cumulative unpaid interest totaling $2.6 million. Fitch stressed the cash flow of the remaining loans by applying a 5% reduction to 2009 or 2010 fiscal year-end net operating income, and applying an adjusted market cap rate between 8.10% and 9.5 % to determine value. All the loans also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. All of the loans are modeled to pay off at maturity, and could refinance to a debt-service coverage ratio (DSCR) above 1.25 times (x). The current weighted average DSCR is 1.49x. The only contributor to Fitch modeled losses is a 20,745 square foot (SF) retail property located in Virginia Beach, VA. The property had been 100% vacant since the single tenant Regal Cinemas declared Bankruptcy and rejected the lease in January 2008. The property has signed a new lease with another movie operator which has opened May, 2011. Fitch upgrades this class: -- $8.6 million class J to 'AAA/LS3' from 'A+/LS3'; Outlook Stable. Fitch affirms these classes: -- $0.8 million class H at 'AAA/LS3'; Outlook Stable; -- $12.9 million class K at 'BBB/LS3'; Outlook Stable; -- $6.4 million class L at 'BBB-/LS3'; Outlook Stable; -- $8.6 million class M at 'B+/LS3'; Outlook Negative; -- $8.6 million class N at 'C/RR1'. Classes A-1 through G have paid in full. Fitch does not rate the $0.7 million class O certificates. Fitch withdraws the rating of interest-only class X. MORGAN STANLEY: Fitch Rates Capital I Trust 2011-C1 Certificates ---------------------------------------------------------------- Fitch Ratings has assigned these ratings on Morgan Stanley Capital I Trust 2011-C1 commercial mortgage pass-through certificates: -- $66,953,000 class A-1 'AAAsf/LS1'; Outlook Stable; -- $363,549,000 class A-2 'AAAsf/LS1'; Outlook Stable; -- $89,030,000 class A-3 'AAAsf/LS1'; Outlook Stable; -- $439,489,000 class A-4 'AAAsf/LS1'; Outlook Stable; -- $959,021,000* class X-A 'AAAsf'; Outlook Stable; -- $45,524,000 class B 'AAsf/LS3'; Outlook Stable; -- $50,075,000 class C 'Asf/LS3'; Outlook Stable; -- $31,866,000 class D 'BBB+sf/LS4'; Outlook Stable; -- $50,076,000 class E 'BBB-sf/LS3'; Outlook Stable; -- $15,174,000 class F 'BB+sf/LS5'; Outlook Stable; -- $12,140,000 class G 'BBsf/LS5'; Outlook Stable; -- $15,174,000 class H 'B-sf/LS5'; Outlook Stable. * Notional amount and interest-only. Fitch does not rate the $34.9 million class J or the interest-only class X-B. MORGAN STANLEY: Fitch Rates Capital I Trust 2011-C2 Certificates ---------------------------------------------------------------- Fitch has assigned these ratings on Morgan Stanley Capital I Trust 2011-C2 commercial mortgage pass-through certificates: -- $66,953,000 class A-1 'AAAsf/LS1'; Outlook Stable; -- $363,549,000 class A-2 'AAAsf/LS1'; Outlook Stable; -- $89,030,000 class A-3 'AAAsf/LS1'; Outlook Stable; -- $439,489,000 class A-4 'AAAsf/LS1'; Outlook Stable; -- $959,021,000* class X-A 'AAAsf'; Outlook Stable; -- $45,524,000 class B 'AAsf/LS3'; Outlook Stable; -- $50,075,000 class C 'Asf/LS3'; Outlook Stable; -- $31,866,000 class D 'BBB+sf/LS4'; Outlook Stable; -- $50,076,000 class E 'BBB-sf/LS3'; Outlook Stable; -- $15,174,000 class F 'BB+sf/LS5'; Outlook Stable; -- $12,140,000 class G 'BBsf/LS5'; Outlook Stable; -- $15,174,000 class H 'B-sf/LS5'; Outlook Stable. *Notional amount and interest only. Fitch does not rate the $34.9 million class J or the interest-only class X-B. MORGAN STANLEY: Fitch Takes Various Rating Actions -------------------------------------------------- Fitch Ratings has downgraded one and affirmed eight classes of Morgan Stanley Dean Witter Capital I Trust 2001-TOP1 (MSDW 2001- TOP1). Fitch modeled losses of 14.1% of the remaining pool; modeled losses of the original pool are at 3.6%, including losses already incurred to date. The pool has become extremely concentrated with only 30 loans remaining. As of the June 2011 distribution date, the pool's certificate balance has been reduced by 91.3% (to $101 million from $1.16 billion at issuance), of which 89% were due to paydowns and 2.3% were due to realized losses. Interest shortfalls totaling $2.9 million are currently affecting classes H through N. Fitch has identified 15 Fitch Loans of Concern (66.9%), eight of which are specially-serviced (39.4%). Fitch expects the losses associated with the specially-serviced loans to impact classes H and J. Classes K through N have been reduced to zero due to realized losses. The largest contributor to modeled losses is a specially-serviced loan secured by a 278,620 square foot (sf) office property located in downtown Hartford, CT. The asset is currently real-estate owned (REO). The property is currently being marketed for sale. The next largest contributor to modeled losses is a loan secured by an office property located in San Antonio, TX. Year-end 2010 debt-service coverage ratio (DSCR) was 0.64 times (x), on a net- operating income basis. The property also faces potential tenant turnover later in 2011 as two of the larger tenants (17% of total space) have leases expiring within the next 12 months. Fitch stressed the cash flow of the remaining non-defeased loans by applying a 5% reduction to 2009 or 2010 fiscal year-end net operating income, and applying an adjusted market cap rate between 8.1% and 10% to determine value. The non-defeased and non-specially-serviced loans also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Under this scenario, five loans not expected to pay off at maturity and four loans incur a loss when compared to Fitch's stressed value. The current weighted average DSCR for the non-defeased and non- specially-serviced loans is 1.60x. Fitch downgrades this class: -- $8.7 million class H to 'C/RR6' from 'CC/RR6'. Additionally, Fitch affirms these classes, and revises their Rating Outlooks: -- $21 million class C at 'A/LS5'; Outlook to Stable from Negative; -- $11.6 million class D at 'BBB-/LS5'; Outlook to Stable from Negative; -- $27.5 million class E at 'B-/LS5'; Outlook Negative; -- $10.1 million class F at 'CCC/RR1'; -- $18.8 million class G at 'CC/RR5'; -- $3.5 million class J at 'D/RR6'; -- $0 class K at 'D/RR6'; -- $0 class L at 'D/RR6'. Classes A-1, A-2, A-3, A-4, and B have paid in full. Class N is not rated by Fitch. MORGAN STANLEY: Moody's Affirms Eight CMBS Classes of 2007-XLF -------------------------------------------------------------- Moody's Investors Service affirmed the rating of eight classes of Morgan Stanley Mortgage Capital I Inc. Series 2007-XLF: Cl. A-1 Certificate, Affirmed at Aaa (sf); previously on Feb 23, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-2 Certificate, Affirmed at Aa3 (sf); previously on May 12, 2010 Downgraded to Aa3 (sf) Cl. B Certificate, Affirmed at A2 (sf); previously on May 12, 2010 Downgraded to A2 (sf) Cl. C Certificate, Affirmed at Baa1 (sf); previously on May 12, 2010 Downgraded to Baa1 (sf) Cl. D Certificate, Affirmed at Baa3 (sf); previously on May 12, 2010 Downgraded to Baa3 (sf) Cl. M-HRO Certificate, Affirmed at Caa2 (sf); previously on May 12, 2010 Downgraded to Caa2 (sf) Cl. N-HRO Certificate, Affirmed at Caa3 (sf); previously on May 12, 2010 Downgraded to Caa3 (sf) Cl. M-STR Certificate, Affirmed at Caa1 (sf); previously on May 12, 2010 Downgraded to Caa1 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) remaining within acceptable ranges. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the previous review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the 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. 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 review is summarized in a press release dated May 12, 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 June 15, 2011 payment date, the transaction's aggregate certificate balance has decreased by approximately 49% to $696.2 million from $1.37 billion at securitization due to the pay off of five loans and partial pay downs associated with five loans including the JP Morgan Office Portfolio Loan that has paid down by 93% to $15.0 million from $220 million at securitization. The largest three loans account for 57% of the pooled balance. The pool composition includes hotel properties (45% of the pooled balance), office properties (28%), one loan secured by vacant land (15%) and one telecommunications property (12%). Moody's weighted average loan to value (LTV) ratio for the pooled debt is 92% compared to 91% at Moody's previous review. Moody's stressed debt service coverage (DSCR) is 0.98X, compared to 0.88X at last review. Moody's stressed DSCR is based on Moody's net cash flow and a 9.25% stressed rate applied to the loan balance. The transaction has had cumulative losses to date of approximately $5,362, affecting non-pooled (rake) classes M-JPM ($2,786) and N- HRO ($2,575). Interest shortfalls in the amounts of $12,230, $40,163 and $351 affect Classes K, L and N-HRO, respectively. There are currently two loans in special servicing, the Babcock Ranch Loan ($100.0 million -- 15% of the pooled debt) and the New Boston Office Portfolio Loan ($47.4 million -- 7% of the pooled debt). The Babcock Ranch Loan is secured by a 17,890-acre parcel of vacant land located in Charlotte County and Lee County, Florida, approximately 15-miles northeast of downtown Fort Meyers. The collateral is part of the larger Babcock Ranch that totals 91,361 acres, with the remaining acres having been sold to the State of Florida for preservation. The loan sponsor, Kitson & Partners and MSREF V Domestic Funding, L.P., intends to develop the property into a planned community containing at least 17,870 residential units and 6 million square feet of commercial space with electricity provided by a to-be-constructed solar energy facility. The mortgage loan was made in order to provide the borrower with financing during the period necessary for it to obtain the approvals needed for development. The loan was transferred to special servicing on March 17, 2011, to discuss a modification/extension of the loan. The borrower had notified the master servicer that it would not be able to pay off the mortgage by the August 9, 2011 maturity date. The borrower will reimburse special servicing charges while the loan modification is being discussed. Values for undeveloped land in south Florida have fallen significantly over the past three years as home prices have fallen and the inventory of unsold homes has risen. The Cape Coral-Fort Meyers metro area has one of the highest home foreclosure rates in Florida. Moody's LTV for the trust debt is 125% and Moody's current credit estimate is C compared to Caa1 at last review. The New Boston Office Portfolio Loan is secured by five office and office/R&D properties located in the Boston, Massachusetts area. Three properties have been released since securitization resulting in a 32% pay down of the trust debt. The whole loan has a current outstanding balance of $65.3 million including a $17.9 million non-trust junior participation. The loan was transferred to special servicing in February 2010 and is pending return to the master servicer. The borrower expects to complete additional asset sales in the near term and has requested that the return to master servicing be deferred pending completion of these additional property releases. The borrower is reimbursing special servicing charges. The loan matures in February 2012. Moody's LTV for the pooled debt is 85% and Moody's stressed DSCR is 1.24X. Moody's current credit estimate is B2, the same as last review. The largest loan is the Crowne Plaza Times Square Loan ($151.8 million -- 22% of the pooled debt) secured by leasehold interests in a 770-key, full service hotel located at 49th Street and Broadway in the Times Square area of New York, NY. The hotel underwent an $85 million renovation that was completed in 2008. In addition to the hotel rooms, loan collateral includes approximately 180,328 square feet of office space, 42,121 square feet of retail space and a 159-car parking garage. As of December 2010 the commercial component was 98% occupied. Two tenants, American Management Associates (155,506 square feet) and TSI Broadway (31,416 square feet), lease approximately 81% of the commercial space with lease expirations in 2016 and 2019, respectively. The commercial component contributes approximately 12% of total gross revenue. Revenue per available room (RevPAR), calculated by multiplying the average daily rate by the occupancy rate, for calendar year 2010 was $241, a 16% increase over 2009, although a 7% decrease from securitization. Smith Travel Research projects full year RevPAR for New York City hotels to increase by 1.2% compared to 12.9% in 2010. RevPAR growth has decelerated due to an increase in new hotel supply. The loan matures in December 2011. Moody's LTV for the pooled debt is 87% and Moody's stressed DSCR is 1.24X. Moody's current credit estimate is B2 compared to B3 at last review. The HRO Portfolio Loan ($131.1 million -- 19% of the pooled debt) is secured by five full-service hotels totaling 1,954 keys. The loan has paid down approximately 14% since securitization due to the release of two properties, the Sheraton College Park (205 rooms) and the Sheraton Danbury (242 rooms). The $144.2 million whole loan includes non-pooled trust debt of $13.2 million, certificate Classes M-HRO and N-HRO.The five remaining hotels are branded as Westin, Sheraton, Hilton and Marriott. At securitization the objective for the portfolio was to improve performance through renovations and aggressive management. RevPAR in 2010 for the five remaining hotels increased 25% to $65 from $52 in 2009 compared to RevPAR of $82 at securitization. The last hotel to be renovated was the 349-key Sheraton Buckhead (Atlanta, Georgia) that re-opened in November 2009 after a $59 million renovation and was re-flagged as a Marriott. Portfolio performance is expected to improve as the Marriott Buckhead regains market share. The loan matures in October 2011. Moody's LTV for the pooled debt is 95% and Moody's stressed DSCR is 0.50X. Moody's current credit estimate is Caa1, the same as last review. MORGAN STANLEY: Moody's Assigns Definitive Ratings to 11 CMBS ------------------------------------------------------------- Moody's Investors Service has assigned ratings to 11 classes of CMBS securities, issued by Morgan Stanley Capital I Trust 2011-C2, Commercial Mortgage Pass-Through Certificates, Series 2011-C2. US$66.953M Cl. A-1 Certificate, Definitive Rating Assigned Aaa (sf) US$363.549M Cl. A-2 Certificate, Definitive Rating Assigned Aaa (sf) US$89.03M Cl. A-3 Certificate, Definitive Rating Assigned Aaa (sf) US$439.489M Cl. A-4 Certificate, Definitive Rating Assigned Aaa (sf) Cl. X-A Certificate, Definitive Rating Assigned Aaa (sf) Cl. X-B Certificate, Definitive Rating Assigned Aaa (sf) US$45.524M Cl. B Certificate, Definitive Rating Assigned Aa2 (sf) US$50.075M Cl. C Certificate, Definitive Rating Assigned A2 (sf) US$31.866M Cl. D Certificate, Definitive Rating Assigned Baa2 (sf) US$50.076M Cl. E Certificate, Definitive Rating Assigned Baa3 (sf) US$15.174M Cl. F Certificate, Definitive Rating Assigned Ba2 (sf) Ratings Rationale The Certificates are collateralized by 52 fixed rate loans secured by 64 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 1.58X is higher than the 2007 conduit/fusion transaction average of 1.31X. The Moody's Stressed DSCR of 1.07X is higher than the 2007 conduit/fusion transaction average of 0.92X. Moody's Trust LTV ratio of 95.2% is lower than the 2007 conduit/fusion transaction average of 110.6%. Moody's Total LTV ratio (inclusive of subordinated debt) of 103.1% 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 16.7. With respect to property level diversity, the pool's property level Herfindahl Index is 17.0. The transaction is concentrated relative to previously rated conduit and fusion transactions, but more diverse than previously rated large loan transactions. As a result, Moody's approach to rating the deal incorporated a blend of both Moody's conduit and large loan rating methodologies. 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 88.3% of the pool balance. The tertiary market share of 11.7% is among the lowest exposures Moody's has observed in its rated conduit and fusion universe. 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 2.0, 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. The transaction benefits from two loans, representing approximately 9.8% of the pool balance in aggregate, assigned an investment grade credit estimate. Loans assigned investment grade credit estimates are not expected to contribute any loss to a transaction in low stress scenarios, but are expected to contribute minimal amounts of loss in high stress scenarios. Moody's also considers the creditworthiness of loans when evaluating the effects of pooling among portfolio assets. Generally, a loan's affect on the diversity profile of a portfolio is inversely correlated with the loan's creditworthiness. As such, high quality loans only marginally benefit a pool's diversity profile when they are small, or marginally harm a pool's diversity profile when they are large. However, the Herfindahl score for this transaction excluding loans assigned a credit estimate is 15.3. The lower Herfindahl score indicates that this transaction receives less pooling benefit than what the true score of 16.7 would normally justify. The principal methodology used in rating MSC 2011-C2 was "CMBS: Moody's Approach to Rating Fusion U.S. CMBS Transactions" rating methodology published in April 2005. 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. MORGAN STANLEY: Moody's Downgrades Rating of Three CMBS Classes --------------------------------------------------------------- Moody's Investors Service (Moody's) downgraded the ratings of three classes, confirmed two classes and affirmed nine classes of Morgan Stanley Dean Witter Capital I Inc., Commercial Mortgage Pass-Through Certificates, Series 2002-HQ: Cl. A-3,Affirmed at Aaa (sf); previously on Mar 26, 2002 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Jul 19, 2005 Upgraded to Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Mar 30, 2007 Upgraded to Aaa (sf) Cl. D, Affirmed at Aaa (sf); previously on Mar 30, 2007 Upgraded to Aaa (sf) Cl. E, Affirmed at Aaa (sf); previously on May 14, 2008 Upgraded to Aaa (sf) Cl. F, Affirmed at Aaa (sf); previously on May 14, 2008 Upgraded to Aaa (sf) Cl. G, Affirmed at Aa2 (sf); previously on May 14, 2008 Upgraded to Aa2 (sf) Cl. H, Confirmed at Baa1 (sf); previously on May 12, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. J, Downgraded to Ba3 (sf); previously on May 12, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. K, Downgraded to B2 (sf); previously on May 12, 2011 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. L, Downgraded to Caa1 (sf); previously on May 12, 2011 B3 (sf) Placed Under Review for Possible Downgrade Cl. M, Confirmed at Caa3 (sf); previously on May 12, 2011 Caa3 (sf) Placed Under Review for Possible Downgrade Cl. N, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. X-1, Affirmed at Aaa (sf); previously on Mar 26, 2002 Definitive Rating Assigned Aaa (sf) Ratings Rationale The downgrades are due to higher than expected losses from interest shortfalls from one specially serviced loan. In recent months interest shortfalls have increased due to the servicer, Berkadia Commercial Mortgage LLC, recovering advances on the specially serviced loan, which has been declared non-recoverable. 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. On May 12, 2011, Moody's placed five classes on review for possible downgrade due to concerns about interest shortfalls. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 2.8% of the current balance. At last review, Moody's cumulative base expected loss was 2.0%. 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 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 primary methodology used in this rating was: "CMBS: Moody's Approach to Rating Fusion Transactions" published in April 2005. Other supporting methodologies include: "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 credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 5 compared to 7 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 June 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 60% to $344.5 million from $845.9 million at securitization. The Certificates are collateralized by 36 mortgage loans ranging in size from less than 1% to 33% of the pool, with the top ten non-defeased loans representing 66% of the pool. Seven loans, representing 16% of the pool, have defeased and are secured by U.S. Government securities. Defeasance at last review represented 27% of the pool. The pool contains one loan with an investment grade credit estimate, representing 32% of the pool. Nine 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 $6.7 million (13% loss severity). Currently one loan, representing 1% of the pool, is in special servicing. Moody's estimates an aggregate $3 million loss for that specially serviced loan (68% expected loss). Moody's has assumed a high default probability for four poorly performing loans representing 8% of the pool and has estimated an aggregate $4 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 operating results for 74% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 74% compared to 81% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12.3% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.46X and 1.53X, respectively, compared to 1.35X and 1.40X 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 a credit estimate is the Woodfield Mall Loan ($115.2 million -- 33%), which represents a participation interest in a $230.4 million first mortgage loan. The loan is secured by the borrower's interest in a 2.2 million square foot super regional shopping center located 25 miles northwest of downtown Chicago in Schaumburg, Illinois. Shadow-anchored tenants include Sears, Macy's, JC Penny, Lord and Taylor, and Nordstrom. As of December 2010, in-line occupancy was 88% compared to 93% at last review. The borrower is a joint venture between the California Public Employees' Retirement System and General Motors Pension Trust. The property is also encumbered by a $38.1 million B Note which is held outside the trust. Moody's current credit estimate and stressed DSCR are Aaa and 1.92X, respectively, compared to Aaa and 1.97X at last review. The top three conduit loans represent 20% of the pool balance. The largest loan is the CBL Portfolio Loan ($34.6 million -- 10%), which is secured by three shadow anchored retail properties totaling 617,000 square feet. The properties are Willowbrook Plaza (Houston, Texas); Massard Crossing (Fort Smith, Arkansas); and Pemberton Plaza (Vicksburg, Mississippi). As of June 2010, the portfolio was 85% leased, essentially the same at last review. Performance has increased since last review due to increased revenues. Moody's LTV and stressed DSCR are 93% and 1.16X, respectively, compared to 105% and 1.03X at last review. The second largest loan is the Denver West Village Loan ($21.2 million -- 6%), which is secured by a 310,000 square foot power center located in Lakewood, Colorado. The center is anchored by United Artists Theaters, Ultimate Electronics and Bed Bath & Beyond. As of June 2010, the center was 99% leased compared to 94% at last review. Performance has improved due to higher revenues. Moody's LTV and stressed DSCR are 55% and 1.93X, respectively, compared to 63% and 1.68X at last review. The third largest loan is the Armstrong Corporate Park 2 & 4 Loan ($14.4 million -- 4%), which is secured by a 152,000 square foot office property located in Shelton, Connecticut. The property's largest tenant, Lifecare Inc (37% NRA), renewed it's lease until 2018 at the same rental rate. As of December 2010, the property was 73% leased compared to 70% at last review. There is a large risk of rollover as 56% of the net rentable area (NRA) expires within one year. Moody's LTV and stressed DSCR are 139% and 0.78X, respectively, compared to 107% and 1.01X at last review. MORGAN STANLEY: S&P Withdraws 'CCC+' Ratings on 2 Classes of Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services withdrew its ratings on classes A1 and A2 issued by Morgan Stanley ACES SPC's series 2008-6, a synthetic corporate investment-grade collateralized debt obligation (CDO) transaction. The rating withdrawals follow the complete redemption of the notes pursuant to the redemption notice received June 10, 2011. Ratings Withdrawn Morgan Stanley ACES SPC Series 2008-6 Rating Class To From A1 NR (sf) CCC+ (sf) A2 NR (sf) CCC+ (sf) NR -- Not rated. MORTGAGE LOAN: S&P Raises Ratings on 7 Classes of Notes From 'CCC' ----------------------------------------------------------------- Standard & Poor's Ratings Services corrected its ratings on 10 classes from Mortgage Loan Resecuritization Trust 2009-RS1, a residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transaction, and removed three of them from CreditWatch with negative implications. "Due to an error, on July 15, 2010, we inadvertently lowered our ratings on these 10 classes. In addition, we affirmed our ratings on six classes from the same transaction and removed them from CreditWatch negative," S&P said. "On Dec. 15, 2010, we placed nine ratings from this deal on CreditWatch negative along with ratings from a group of other RMBS re-REMIC securities (see 'S&P Corrects: 1,196 Ratings on 129 U.S. RMBS Re-REMIC Transactions Placed on CreditWatch Negative,' published Dec. 15, 2010). On April 1, 2011, we provided an update on these 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,' published April 1, 2011)," S&P related. "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. As part of our 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 interest and principal payments 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)," 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 have corrected the ratings on 10 classes by raising their ratings and removing three of them from CreditWatch with negative implications. In addition, we affirmed our ratings on six other classes from this transaction and removed all of them from CreditWatch negative. The affirmations reflect our assessment of the likelihood that the re-REMIC classes will receive timely interest and the full payment of principal under the applicable stressed assumptions," S&P said. Ratings Corrected Mortgage Loan Resecuritization Trust 2009-RS1 Series 2009-RS1 Rating Before Class CUSIP Current 12/15/10 07/15/10 07/15/10 A-77 61914WAW6 A (sf) BBB (sf)/Watch Neg BBB (sf) A (sf) A-79 61914WAU0 A (sf) BB (sf)/Watch Neg BB (sf) A (sf) A-81 61914WAS5 A (sf) B (sf)/Watch Neg B (sf) A (sf) A-83 61914WAQ9 A (sf) CCC (sf) A (sf) A-85 61914WAA4 A (sf) CCC (sf) A (sf) A-87 61914WAN6 BBB+ (sf) CCC (sf) BBB+ (sf) A-89 61914WAL0 BBB- (sf) CCC (sf) BBB- (sf) A-91 61914WAJ5 BB (sf) CCC (sf) BB (sf) A-93 61914WAG1 B+ (sf) CCC (sf) B+ (sf) A-95 61914WAE6 B (sf) CCC (sf) B (sf) Ratings Affirmed and Removed From CreditWatch Mortgage Loan Resecuritization Trust 2009-RS1 Series 2009-RS1 Rating Class CUSIP To From A-65 61914WBJ4 A (sf) A (sf)/Watch Neg A-67 61914WBG0 A (sf) A (sf)/Watch Neg A-69 61914WBE5 A (sf) A (sf)/Watch Neg A-71 61914WBC9 A (sf) A (sf)/Watch Neg A-73 61914WBA3 A (sf) A (sf)/Watch Neg A-75 61914WAY2 A (sf) A (sf)/Watch Neg MORTGAGES PLC: Fitch Affirms Ratings on All Tranches ---------------------------------------------------- Fitch Ratings has affirmed all 10 tranches of the Mortgages Plc transactions. Both series represent UK non-conforming RMBS transactions. The performance of the underlying assets in Mortgages No. 6 Plc has remained relatively stable over the past year. Period repossessions have mildly decreased to low levels, and in three of the past four quarters sold repossessions have exceeded the amount of new properties repossessed, which has led to the reduction in outstanding unsold repossessions to zero, as per the March 2011 report. The volume of loans in arrears by more than three months has also declined to 16.03% compared to 19.86% in June 2010. Fitch believes that the stable performance is attributed to the sustained level of low interest rates, which has resulted in an improvement in borrower affordability. This transaction particularly benefits because 100% of the borrowers are on variable rate products. In addition, the notes of Mortgages No. 6 Plc have followed pro-rata amortisation since June 2010, as a consequence of the three months arrears level falling below the 20% trigger necessary for pro-rata amortisation. With all borrowers also on variable rate products, Mortgages No. 7 Plc also benefits from the low interest rate environment. Arrears have stabilised over the past year, given that loans in arrears by more than three months currently stand at 24.50%, compared to 24.15% in June 2010. The transaction currently has 1.1% of loans in repossession, up from 0.71% in September 2010, as period repossessions have been higher in the past two quarters, compared to those experienced after December 2009. However the increase in the reserve fund to GBP7.5m has helped increase credit enhancement to levels that the agency believes are commensurate with the current ratings. Note amortization for Mortgages No. 7 Plc continues to be sequential as the pro-rata amortization triggers have been breached due to the current level of arrears. Mortgages No. 6 plc: -- Class A2 (ISIN XS0206259888): affirmed at 'AAAsf'; Outlook Stable; Loss Severity Rating 'LS-1' -- Class B (ISIN XS0206260464): affirmed at 'AA+sf'; Outlook Stable; Loss Severity Rating 'LS-2' -- Class C (ISIN XS0206260894): affirmed at 'A+sf'; Outlook Stable; Loss Severity Rating revised to 'LS-2' from 'LS-3' -- Class D (ISIN XS0206261603): affirmed at 'BBB+sf'; Outlook Stable; Loss Severity Rating 'LS-3' -- Class E (ISIN XS0206261942): affirmed at 'BB+sf'; Outlook Stable; Loss Severity Rating revised to 'LS-3' from 'LS-4' Mortgages No. 7 plc: -- Class A2 (ISIN XS0225922110): affirmed at 'AAAsf'; Outlook Stable; Loss Severity Rating 'LS-1' -- Class B (ISIN XS0225922383): affirmed at 'AA+sf'; Outlook Stable; Loss Severity Rating 'LS-3' -- Class C (ISIN XS0225922466): affirmed at 'A+sf'; Outlook Stable; Loss Severity Rating 'LS-3' -- Class D (ISIN XS0225922623): affirmed at 'BBB+sf'; Outlook Stable; Loss Severity Rating 'LS-4' -- Class E (ISIN XS0225922896): affirmed at 'BBsf'; Outlook Stable; Loss Severity Rating revised to 'LS-4' from 'LS-5' NELNET STUDENT LOAN: Fitch Removes Sub Note from Watch Neg. ----------------------------------------------------------- Fitch Ratings removes from Rating Watch Negative Nelnet Student Loan Trust's, 2008-1 subordinate note and assigns a Stable Outlook. Fitch also affirms the senior note at 'AAA' and subordinate note at 'BB'. The rating Outlook for the senior note remains Stable. Fitch used its 'Global Structured Finance Rating Criteria' and 'FFELP Student Loan ABS Rating Criteria'. The rating on the senior and subordinate notes are affirmed based on the sufficient level of credit enhancement consisting of subordination, overcollateralization and the projected minimum excess spread to cover the applicable basis factor stress. The subordinate note was placed on Rating Watch Negative on August 31, 201,0 when it was discovered that the initial Principal Distribution Amount (PDA) definition did not account for the carryover amount needed to get the parity to 100%. On May 6, 2011, Nelnet decided to contribute funds to the trust to bring the parity to 100% at the next distribution date (May 25, 2011), instead of correcting the documentations. On the May 25, 2011 distribution date, Nelnet contributed $3,780,004.50 to boost parity to 100%. Assets and liabilities are now in balance without considering 'Other Accrued Interest' and reflect the general understanding of parity in Nelnet Student Loan Trust transactions. Therefore, Fitch has removed the subordinate note from Rating Watch Negative and has assigned a Stable Outlook. Fitch affirms these rating actions: Nelnet Student Loan Trust, Series 2008-1: -- Class A-1 at 'AAAsf/LS1'; Outlook Stable; -- Class A-2 at 'AAAsf/LS1'; Outlook Stable; -- Class A-3 at 'AAAsf/LS1'; Outlook Stable; -- Class B at 'BBsf/LS3'; Outlook Stable. PAGE FIVE: S&P Gives 'B+' Rating on Class D Asset-Backed Notes -------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Page Five Funding LLC's $46.058 million asset-backed notes. The transaction is an ABS securitization of subprime auto loan receivables. The ratings reflect S&P's view of: The availability of approximately 35.4%, 29.7%, 22.8%, and 20.6% of credit support for the class A, B, C, and D notes, based on stressed cash flow scenarios (including excess spread), which provide coverage of approximately 2.1x, 1.7x, 1.33x, and 1.11x our 14.5%-15.5% expected cumulative net loss range for the class A, B, C, and D notes. S&P's expectation that under a moderate stress scenario of 1.70x its expected net loss level, the ratings on the class A, B, and C notes will not decline by more than two rating categories during the first year, all else being equal. This is consistent with S&P's credit stability criteria, which outlines the outer bound of credit deterioration equal to two- category downgrade within the first year for 'A (sf)', 'BBB' (sf), and 'BB (sf)' rated securities. The credit enhancement underlying each of the rated notes, which is in the form of subordination, overcollateralization, a reserve account, and excess spread. "The timely interest and principal payments made to the rated notes under our stressed cash flow modeling scenarios, which we believe are appropriate for the assigned ratings," S&P related. The collateral characteristics of the subprime auto loans securitized in this transaction. The transaction's payment and credit enhancement structures, which include performance triggers. The transaction's legal structure. "Our expected net loss level for the Page Five pool is in the range of 14.5%-15.5%, which reflects our opinion of the performance of Consumer Portfolio Services Inc.'s (CPS') securitizations, the pool's credit quality, the tighter underwriting standards that CPS has implemented since second- quarter 2008, and the static pool loss projections for CPS' originations. CPS originated at least 99% of the Page Five Funding pool subsequent to its tighter underwriting strategy," S&P stated. Ratings Assigned Page Five Funding LLC Class Rating Type Interest Amount rate (mil. $) A A (sf) Senior Fixed 36.234 B BBB (sf) Subordinate Fixed 4.912 C BB (sf) Subordinate Fixed 2.456 D B+ (sf) Subordinate Fixed 2.456 PARKRIDGE LANE: Moody's Upgrades Ratings on Two Classes of Notes ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of two classes of notes issued by Parkridge Lane Structured Finance Special Opportunities CDO I, Ltd.. The classes of notes affected by the rating actions are: Class B (current balance: $6,735,535), Upgraded to Caa1 (sf); previously on October 8, 2008, Downgraded to Ca (sf); Class C (current balance: $3,533,566), Upgraded to Caa2 (sf); previously on October 8, 2008, Downgraded to Ca (sf); Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the de-levering of the Class A- 2 and Class B Notes. On the most recent payment date in April 2011 the Class B Notes received a principal payment of $5.37mm. The par coverage for all of the Notes exceeds 100% and all of OC and IC tests are passing their trigger levels. Interest is being paid out to all of the notes and starting on the July 2011 payment date excess interest will be used to pay down the notes in reverse sequential order. Parkridge Lane Structured Finance Special Opportunities CDO I, Lt is a collateralized debt obligation issuance backed by a portfolio of primarily Asset Backed Securities (ABS) and SF CDOs. 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 CDOROMv2.6 to model the loss distribution for SF CDOs. Within this framework, defaults are generated so that they occur with the frequency indicated by the adjusted default probability pool (the default probability associated with the current rating multiplied by the Resecuritization Stress) for each credit in the reference. Specifically, correlated defaults are simulated using a normal (or "Gaussian") copula model that applies the asset correlation framework. Recovery rates for defaulted credits are generated by applying within the simulation the distributional assumptions, including correlation between recovery values. Together, the simulated defaults and recoveries across each of the Monte Carlo scenarios define the loss distribution for the reference pool. Once the loss distribution for the collateral has been calculated, each collateral loss scenario derived through the CDOROM loss distribution is associated with the interest and principal received by the rated liability classes via the CDOEdge cash-flow model. The cash flow model takes into account the following: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss (EL) for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's 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 Caa3 bucket notched down to Ca: Class B: 0 Class C: 0 Class D: 0 Class E: 0 Moody's Caa3 bucket notched up to Caa1: Class B: 0 Class C: 0 Class D: 0 Class E: 0 PROVIDENT FINANCING: Fitch Holds BB+ Rating on Jr. Sub. Securities ------------------------------------------------------------------ Fitch Ratings has affirmed Unum Group Inc.'s holding company ratings, including the senior debt rating at 'BBB', as well as the Insurer Financial Strength ratings of all domestic operating subsidiaries at 'A'. The Rating Outlook is Stable. The rating rationale includes UNM's operating performance, which has remained strong despite a weak global economy; conservative investment portfolio; solid capital and liquidity at both the insurance subsidiary and holding company levels; the company's leadership position in the U.S. employee benefits market; and increased diversification from the United Kingdom and worksite products. The Stable Outlook reflects Fitch's belief that while UNM's premium growth will continue to be challenged in 2011, the company will produce stable operating results across its targeted segments. UNM reported net income of $225 million through the first three months of 2011, down slightly from $230 million during the same period in 2010. While UNM's premiums have been essentially flat, operating margins in the company's core disability business have held up better than Fitch's expectations and peers. Fitch believes UNM's investment portfolio is well-positioned to ride out the credit downturn largely due to a reduction in credit exposure and better interest rate risk management over the last several years. UNM reported after-tax realized gains of $10 million during the first three months of 2011. UNM's fixed income portfolio was in a $3 billion net unrealized gain position at March 31, 2011. During the first quarter of 2011 UNM repurchased approximately $224 million of its shares. Fitch's expectation is that further share repurchases will be funded through operating earnings and will not increase financial leverage or affect the capitalization of the operating subsidiaries. Further, Fitch generally views measured stock repurchase as a more prudent use of capital than acquisitions or premium growth in a soft rate environment. Equity-credit-adjusted leverage was 17.6% on March 31, 2011. Fitch considers UNM's debt service capacity as being adequate for the rating level and expects run-rate, GAAP earnings-based interest coverage to remain near 10 times (x). Holding company liquidity totaled $816 million at March 31, 2011, down from approximately $1 billion at year-end 2010. Key rating drivers for UNM's ratings that could lead to an upgrade include: -- Improved general economic conditions including growth in employment, salaries and disposable income which enable UNM to achieve its long-term target of 5%-8% annual earnings growth on its core operations; -- GAAP earnings-based interest coverage over 12x-14x and statutory maximum allowable dividend coverage of interest expense at 8x; -- Sustained maintenance of operating company capital relative to current target of 375%-400% U.S. risk-based capital, target 225% of UK Pillar I capital, and run-rate financial leverage meaningfully below management's targeted 25% level. Key rating drivers for UNM's ratings that could lead to a downgrade include: -- Deterioration in financial results that includes an increase in the U.S. group disability benefit ratio over 87%; GAAP earnings-based interest coverage falling below 8x and statutory maximum allowable dividend interest expense coverage falling below 4x; --A reserve strengthening charge greater than $200 million; -- Holding company cash falls below management's target of approximately 1x fixed charges (interest expense plus common stock dividend), or roughly $270 million; -- A sustained drop from the company's short-term target of 375%-400% U.S. risk-based capital and long-term target of 350% U.S. risk-based capital, target 225% of UK Pillar I capital, and an increase in financial leverage above management's targeted 25%. Fitch affirms these ratings with a Stable Outlook: Unum Group Inc. -- Issuer Default Rating (IDR) at 'BBB+'; -- 7.125% senior notes due Sept. 30, 2016 at 'BBB'; -- 7% senior notes due July 15, 2018 at 'BBB'; -- 5.625% senior notes due 2020 at 'BBB'; -- 7.25% senior notes due March 15, 2028 at 'BBB'; -- 6.75% senior notes due Dec. 15, 2028 at 'BBB'; -- 7.375% senior notes due June 15, 2032 at 'BBB'. Provident Financing Trust I -- 7.405% junior subordinated capital securities at 'BB+'. UnumProvident Finance Company plc -- 6.85% senior notes due Nov. 15, 2015 at 'BBB'. Unum Group members: Unum Life Insurance Company of America Provident Life & Accident Insurance Company Provident Life and Casualty Insurance Company The Paul Revere Life Insurance Company The Paul Revere Variable Annuity Insurance Company First Unum Life Insurance Company Colonial Life & Accident Insurance Company -- IFS at 'A'. RESI FINANCE LTD: Fitch Withdraws Ratings on All Classes -------------------------------------------------------- Fitch Ratings has withdrawn the ratings on all classes in RESI Finance Limited Partnership 2007-A, since the underlying collateral has been liquidated and all notes have been cancelled by the trustee, Wells Fargo Bank, N.A. Fitch has withdrawn these ratings: RESI Finance Limited Partnership 2007-A -- Class A1 (RES3DEP80) 'AAAsf/LS1'; Outlook Negative; -- Class A2 (RES3X1X60) 'AAsf/LS1'; Outlook Negative; -- Class A3 (RES0VJVR0) 'BBBsf/LS1'; Outlook Negative; -- Class A4 (RES1NVBD0) 'CCC/RR6'; -- Class A5 (RESDEOR10) 'C/RR6'; -- Class B1 (RES070AB1) 'C/RR6'; -- Class B2 (RES070AB2) 'D/RR6'; -- Class B3 (74951RAA2) 'D/RR6'; -- Class B4 (74951RAB0) 'D/RR6'; -- Class B5 (74951RAC8) 'D/RR6'; -- Class B6 (74951RAD6) 'D/RR6'; -- Class B7 (74951RAE4) 'D/RR6'; -- Class B8 (74951RAF1) 'D/RR6'; -- Class B9 (74951RAG9) 'D/RR6'; -- Class B10 (74951RAH7) 'D/RR6'; -- Class B11 (74951RAJ3) 'D/RR6'; -- Class B12 (74951RAK0) 'D/RR6'. SANTANDER DRIVE: DBRS Puts 'BB' Provisional Rating on Class E ------------------------------------------------------------- DBRS has assigned provisional ratings to these classes issued by Santander Drive Auto Receivables Trust 2011-2: -- Series 2011-2 Notes, Class A-1 rated R-1 (high) (sf) -- Series 2011-2 Notes, Class A-2 rated AAA (sf) -- Series 2011-2 Notes, Class A-3 rated AAA (sf) -- Series 2011-2 Notes, Class B rated AA (sf) -- Series 2011-2 Notes, Class C rated A (sf) -- Series 2011-2 Notes, Class D rated BBB (sf) -- Series 2011-2 Notes, Class E rated BB (sf) SOLAR INVESTMENT: Fitch Upgrades 3, Affirms 3 Classes ----------------------------------------------------- Fitch Ratings has upgraded three and affirmed three classes of notes issued by Solar Investment Grade CBO II, Ltd./Corp. (Solar II) and assigned or revised Loss Severity ratings, Recovery Ratings and Outlooks: -- $112,529,778 class I notes upgraded to 'AAAsf/LS2' from 'AAsf/LS2'; Outlook Stable; -- $19,000,000 class II-A notes upgraded to 'Bsf/LS3' from 'CCCsf/RR3'; Outlook Stable; -- $13,000,000 class II-B notes upgraded to 'Bsf/LS3' from 'CCCsf/RR2'; Outlook Stable; -- $7,208,956 class III-A notes affirmed at 'Csf' RR5 from RR6; -- $21,606,839 class III-B notes affirmed at 'Csf' RR5 from RR6; -- $14,189,691 preferred shares affirmed at 'Csf/RR6'. The upgrade to the class I notes is a result of portfolio amortization and increased credit enhancement for the notes since Fitch's last rating action in April 2010, as well as a shorter term to maturity. Maturities on the underlying portfolio and asset sales above par resulted in a total principal reduction to the class I notes of $63.8 million over the last two semi-annual payment dates. There is currently $44.5 million in principal proceeds available to repay the class I notes on the next payment date in July 2011. Additionally, six assets, representing approximately $27.6 million, are expected to mature and repay before the next payment date, with another $26.3 million maturing by year end. The upgrades to the class II-A and II-B notes (together, class II) are also due to amortization and increased credit enhancement levels combined with a shorter maturity profile to the portfolio. Class II received their current interest payments on the January 2011 payment date, in part from the diversion of principal proceeds in the waterfall. Fitch expects the class II notes to continue receiving future interest payments, and their risk profile should continue to improve as proceeds from collateral maturities are used to further redeem the class I notes. Classes I and II were also assigned Loss Severity (LS) ratings indicating each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the expected loss for the collateral under the 'B' stress. LS ratings should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Fitch does not assign Outlooks or LS ratings to classes rated 'CCC' or lower. The class III-A and III-B notes (together, class III) continue to defer interest payments, and previously deferred interest payments will not be repaid until the class I and II notes are paid in full. Solar II's remaining portfolio is insufficient to repay the preferred shares, and default remains inevitable. Classes III-A, III-B and the preferred shares were assigned Recovery Ratings (RR), which provide a forward-looking estimate of recoveries on currently distressed or defaulted securities. Recovery Ratings are calculated using Fitch's cash flow model and incorporate Fitch's current 'B' stress expectation for default and recovery rates. All modeled distributions are discounted at 10% to arrive at a present value and compared to the class' tranche size to determine a Recovery Rating. Solar II is a collateralized bond obligation (CBO) that closed in July 2001 and matures in July 2013. Solar II's performing portfolio is currently composed of 34 senior unsecured securities from 32 obligors and is managed by Sun Capital Advisers, Inc. Fitch considers 69.3% of the portfolio to have credit quality in the investment-grade rating categories while 6.9% of the portfolio is considered in the distressed rating categories of 'CCC' or lower. SOLAR TRUST: DBRS Confirms Class G Rating at 'BB' ------------------------------------------------- DBRS has confirmed these ratings of Solar Trust, Series 2002-1 (STST 2002-1): -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AAA (sf) -- Class C at AAA (sf) -- Class D at AA (low) (sf) -- Class E at A (sf) -- Class F at BBB (low) (sf) -- Class G at BB (sf) -- Class H at B (sf) -- Class J at B (low) (sf) -- Class IO at AAA (sf) DBRS does not rate the $4.0 million first-loss piece, Class K. All trends for the rated classes of the transaction are Stable. The ratings confirmations are reflective of the stable performance of the transaction as a result of underlying loan performance, amortization and defeasance. The collateral has been reduced by approximately 32% of the issuance balance and the remaining collateral has exhibited strong performance, with a weighted-average debt service coverage ratio (WADSCR) of 1.72x, as of the June 2011 reporting period. There is one loan in special servicing, 12 loans on the servicer's watchlist and three loans on the DBRS HotList. All loans remain current and there are ten loans scheduled to mature throughout the remainder of 2011, four of which are fully defeased. Thirteen loans in total have fully defeased, representing approximately 12% of the current pool balance. Prospectus ID#63, 137 Arrow Road (0.3% of the current pool balance) is secured by a 31,000 sf industrial property in Guelph, Ontario, and was transferred to the special servicer in December 2010 as a result of a brief tax escrow disagreement with the borrower, according to the special servicer commentary. The borrower is now current on all taxes and payments and the loan is being monitored before returning to the master servicer. Although the borrower is current on payments, the property has been fully vacant since 2010 and the borrower has not reported updated financials. DBRS has modeled this loan using a substantial haircut to the issuance net cash flow and the resulting credit enhancement levels are sufficient, when considering the leverage point of approximately $17 psf. Prospectus ID#7, South Walkerville Medical Centre (4.3% of the current pool balance) is secured by a medical office complex with two municipal addresses in Windsor, Ontario. There are three buildings located on Walker Road and a two-storey building located on Tecumseh Road. DBRS previously had this loan on the HotList due to concern over the month- to-month tenants and heavy lease rollover prior to loan maturity in 2012. Additionally, DBRS flagged this loan for further concern due to the generally soft market in which the property is situated. The YE2009 DSCR of 1.28x is an improvement over the YE2008 DSCR of 1.09x, and the corresponding debt yield, based on the YE2009 financials, is healthy at 14%. DBRS will keep this loan on the HotList to monitor for performance issues as many tenants have leases that expire in 2012 and to further monitor the status of the month-to-month tenants. Prospectus ID# 26, Phoenix Building (1.5% of the current pool balance) is secured by a 71,500 sf office/industrial flex property located in Montreal and is on the servicer's watchlist because the single tenant, Phoenix International, vacated the property in April 2008 upon lease expiration. The borrower is actively marketing the vacant space and looking for a replacement tenant, however, nothing has materialized at this point. Due to the vacancy, the borrower reported a negative DSCR for YE2009. Despite the lack of available cash flow, the borrower has kept the loan current. Further, the property benefits from a strong location near Montreal's Trudeau Airport. DBRS has placed this loan on the HotList to monitor the loan as it matures in November 2011 and could have difficulty refinancing given the current occupancy rate at the property. Prospectus ID#41, Centre Lapiniere (0.9% of the current pool balance) is secured by a 19,000 sf unanchored retail property in Brossard, Quebec and is on the servicer's watchlist for a low DSCR of 0.89x, due to a decline in occupancy. A tenant representing 34% of the NRA was set to expire in January 2010 and vacated in late 2009, which resulted in a 27% EGI decline. This has resulted in a YE2009 net cash flow that is reflective of a 9.8% debt yield. The loan matures in October 2011 and may have difficulties refinancing; DBRS will keep this loan on the HotList and continue to monitor it's performance. The DBRS analysis included an in-depth look at the top ten loans in the transaction, the specially serviced loan, the servicer watchlisted loans and the loans maturing in 2011. Cumulatively, these loans represent approximately 72.2% of the current pool balance. DBRS has run various cash flow stress scenarios where 25%, 15% and 10% cash flow stresses were applied across the entire transaction. As more loans report YE2010 financials, the actual cash flows the assets are generating is generally stronger than the stressed DBRS model net cash flow. However, in running these stressed scenarios and comparing the DBRS required credit enhancement levels with the current increased credit enhancement levels across the transaction, the rating confirmations are appropriate. SOVEREIGN COMM'L: Moody's Affirms 11 CMBS Classes of SOVC 2007-C1 ----------------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 11 classes of Sovereign Commercial Mortgage Securities Trust Commercial Mortgage Pass-Through Certificates, Series 2007-C1: Cl. A-2, Affirmed at Aaa (sf); previously on Jul 4, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Jul 4, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed at Baa1 (sf); previously on Jul 21, 2010 Downgraded to Baa1 (sf) Cl. B, Affirmed at Ba1 (sf); previously on Jul 21, 2010 Downgraded to Ba1 (sf) Cl. C, Affirmed at B2 (sf); previously on Jul 21, 2010 Downgraded to B2 (sf) Cl. D, Affirmed at Caa2 (sf); previously on Jul 21, 2010 Downgraded to Caa2 (sf) Cl. E, Affirmed at Caa3 (sf); previously on Jul 21, 2010 Downgraded to Caa3 (sf) Cl. F, Affirmed at Ca (sf); previously on Jul 21, 2010 Downgraded to Ca (sf) Cl. G, Affirmed at Ca (sf); previously on Jul 21, 2010 Downgraded to Ca (sf) Cl. H, Affirmed at C (sf); previously on Jul 21, 2010 Downgraded to C (sf) Cl. X, Affirmed at Aaa (sf); previously on Jul 4, 2007 Definitive Rating Assigned Aaa (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 6.1% of the current balance. At last review, Moody's cumulative base expected loss was 6.6%. Moody's stressed scenario loss is 15.7% 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 primaryl methodology used in this rating was "CMBS: Moody's Approach to Rating Conduit Transactions" published on September 15, 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 72 compared to 103 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 July 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 23, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 37% to $635 million from $1.01 billion at securitization. The Certificates are collateralized by 168 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten non-defeased loans representing 26% of the pool. Seventy-two loans, representing 39% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-seven loans have been liquidated from the pool, resulting in a realized loss of $13 million (15% loss severity). Currently seven loans, representing 3.5% of the pool, are in special servicing. Moody's estimates an aggregate $6.7 million loss for the specially serviced loans (37% expected loss on average). Moody's has assumed a high default probability for 28 poorly performing loans representing 18% of the pool and has estimated an aggregate $12.7 million loss (11% expected loss based on a 37% probability default) from these troubled loans. Moody's was provided with full year 2009/2010 operating results for 91% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 101% compared to 104% 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 9.9%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.41X and 1.25X, respectively, compared to 1.47X and 1.21X 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 three largest conduit loans represent 13% of the pool. The largest conduit loan is the West New York Portfolio Loan ($35.2 million -- 5.5% of the pool), which is secured by a portfolio consisting of 34 multifamily, retail and office properties located in West New York and Union City, New Jersey. The portfolio was 97% leased, similar to securitization. Performance has been stable since last review. Moody's LTV and stressed DSCR are 126% and 0.81X, respectively, compared to 125% and 0.76X at last review. The second largest loan is the Franklin Towne Center Loan ($29.5 million -- 4.6% of the pool), which is secured by a retail center located in Franklin Township, New Jersey. The center is master leased to Stop & Shop through October 2030, with a corporate guarantee from Koninklijke Ahold NV (Moody's LT issuer rating Baa3, stable outlook). Moody's LTV and stressed DSCR are 119% and 0.91X, respectively, compared to 125% and 0.86X at last review. The third largest loan is the 1 Pine Tree Boulevard Loan ($19.3 million -- 3.0% of the pool), which is secured by a 324 unit multifamily property located in Old Bridge, New Jersey. The property was 100% leased as of December 2010,the same as last review. Performance of the property has improved since the last review due to rental increases on new and renewal leases. Moody's LTV and stressed DSCR are 108% and 0.87X, respectively, compared to 132% and 0.74X at last review. STRUCTURED ASSET: Moody's Downgrades Ratings of 39 Tranches ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 39 tranches from 4 deals issued by Structured Asset Securities Corporation. The collateral backing each transaction consists of loans originated by the Small Business Administration to borrowers who have experienced property losses in disasters recognized by the United States federal government. Ratings Rationale The actions were prompted by the deteriorated collateral credit performance and increase in loss expectations on these deals backed by disaster assistance loans that were originated before 2004 (seasoned loans). 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 "Second Lien RMBS Loss Projection Methodology: April 2010" and "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. 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. As part of the sensitivity analysis, Moody's stressed the updated expected loss on the pools by an additional 10% and found that the model implied ratings of the tranches would remain stable, with the exception of the tranches listed in the sensitivity analysis. Complete rating actions are: Issuer: Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1 Cl. A1(B), Downgraded to Baa1 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A2(1), Downgraded to Baa2 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A2(2), Downgraded to Baa2 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A3(1), Downgraded to Baa1 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A3(2), Downgraded to Baa2 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A3(3), Downgraded to Baa2 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. AIO(1), Downgraded to Baa1 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. AIO(2), Downgraded to Baa2 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. AIO(3), Downgraded to Baa2 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. APO(1), Downgraded to Baa3 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. APO(2), Downgraded to Baa3 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. APO(3), Downgraded to Baa3 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B1, Downgraded to Ba1 (sf); previously on Dec 14, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. B2, Downgraded to B1 (sf); previously on Dec 14, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. B3, Downgraded to Caa1 (sf); previously on Dec 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corporation Assistance Loan Trust 2003-AL1 Cl. A, Downgraded to Baa1 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. AIO, Downgraded to Baa1 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. APO, Downgraded to Baa2 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B1, Downgraded to Baa3 (sf); previously on Dec 14, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. B2, Downgraded to B1 (sf); previously on Dec 14, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. B3, Downgraded to Caa1 (sf); previously on Dec 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. B4, Downgraded to Caa2 (sf); previously on Dec 14, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corporation Assistance Loan Trust 2003-AL2 Cl. A, Downgraded to Baa3 (sf); previously on Dec 14, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. AIO, Downgraded to Baa3 (sf); previously on Dec 14, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. APO, Downgraded to Ba1 (sf); previously on Dec 14, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. B1, Downgraded to B1 (sf); previously on Dec 14, 2010 A1 (sf) Placed Under Review for Possible Downgrade Cl. B2, Downgraded to Caa1 (sf); previously on Dec 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. B3, Downgraded to Ca (sf); previously on Dec 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corporation Mortgage Pass- Through Certificates, Series 2001-SB1 Cl. A2 Component 1, Downgraded to Baa3 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A2 Component 2, Downgraded to Baa3 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A4, Downgraded to Baa3 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A5, Downgraded to Baa3 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. AIO, Downgraded to Baa3 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. APO, Downgraded to Ba1 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B1, Downgraded to B1 (sf); previously on Dec 14, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. B2, Downgraded to Caa1 (sf); previously on Dec 14, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. B3, Downgraded to Caa1 (sf); previously on Dec 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. B4, Downgraded to Caa1 (sf); previously on Dec 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. B5, Downgraded to Caa1 (sf); previously on Dec 14, 2010 B2 (sf) Placed Under Review for Possible Downgrade SUTTER CBO: S&P Raises Ratings on 2 Classes of Notes to 'B' ----------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B-1 and B-1L notes from Sutter CBO 2000-2 Ltd., a U.S. collateralized bond obligation (CBO) transaction, and removed these ratings from CreditWatch with positive implications. "We affirmed our ratings on two classes of notes from the same transaction," S&P said. "The upgrades reflect an improvement in the credit quality available to support the notes since our May 2010 rating actions, when we lowered the ratings on the notes following the application of our September 2009 criteria for rating corporate collateralized debt obligations (CDOs; see 'Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs,' published Sept. 17, 2009)," S&P related. "As of the May 2011 trustee report, the transaction has paid down the class A3-L notes a total of $30.0 million since the time of our last rating actions in May 2010. Also, a number of defaulted obligors held in the deal emerged from bankruptcy, with some receiving proceeds that were higher than their carrying value in the transaction's overcollateralization (O/C) ratio test calculation. The class B1 O/C ratio increased to 133.3% as of the May 2011 report from 117.1% noted in the March 2010 report, which we referenced at the time of our May 2010 rating actions," S&P stated. "We will continue to review our ratings on the notes and assess whether, in our view, the ratings remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary," S&P added. Rating and CreditWatch Actions Sutter CBO 2000-2 Ltd. Rating Class To From B-1 B (sf) CCC- (sf)/Watch Pos B-1L B (sf) CCC- (sf)/Watch Pos Ratings Affirmed Sutter CBO 2000-2 Ltd. Rating A-3L AAA (sf) B-2 CC (sf) TIAA REAL ESTATE: Fitch Downgrades 2, Affirms 3 Classes -------------------------------------------------------- Fitch Ratings has downgraded two and affirmed three classes issued by TIAA Real Estate CDO 2002-1 Ltd. (TIAA 2002-1). The affirmations to the senior classes are a result of significant amortization of the capital structure. Meanwhile, the junior notes are subject to adverse selection as the portfolio becomes more concentrated. Since Fitch's last rating action in June 2010, the class I notes have received $57.3 million in pay downs. The remaining portfolio is concentrated with only 27 assets from 22 obligors. Currently, 36.1% of the portfolio has a Fitch derived rating below investment grade and 7.5% has a rating in the 'CCC' rating category or lower, compared to 24.4% and 3.9%, respectively, at last review. In addition, approximately 21.1% of the portfolio has been downgraded since the last review. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in Corporate CDOs'. Based on this analysis, the class I through IV notes' breakeven rates are generally consistent with the ratings assigned. The Stable Outlook on the class I notes reflects Fitch's view that the notes will continue to delever. The Negative Outlook on the class II through IV notes reflects the risk of adverse selection as the portfolio continues to amortize and becomes more concentrated. The Loss Severity (LS) rating indicates a tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the probability of default for tranches. Fitch does not assign LS ratings or Outlooks to classes rated 'CCC' and below. TIAA 2002-1 is a static collateralized debt obligation (CDO) that closed on May 22, 2002. The current portfolio consists of 80.7% commercial mortgage backed securities (CMBS), 16.2% real estate investment trust (REIT) debt securities, and 3.1% structured finance CDOs. Fitch has taken these actions: -- $27,952,195 class I notes affirmed at 'AAAsf'; Outlook to Stable from Negative; LS to 'LS3' from 'LS2'; -- $17,000,000 class II-FL notes affirmed at 'AAsf/LS3'; Outlook Negative; -- $17,000,000 class II-FX notes affirmed at 'AAsf/LS3'; Outlook Negative; -- $46,500,000 class III notes downgraded to 'BBsf/LS3' from 'BBB+sf/LS3'; Outlook Negative; -- $17,500,000 class IV notes downgraded to 'Bsf/LS4' from 'BBsf/LS4'; Outlook Negative. VENTURE III: S&P Raises Rating on Class C Notes to 'BB-' -------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, def B, and C notes from Venture III CDO Ltd., a collateralized loan obligation (CLO) transaction managed by MJX Asset Management LLC. "Concurrently, we removed our ratings on the class A-1, A-2, and def B notes from CreditWatch, where we placed them with positive implications on March 30, 2011," S&P said. "The upgrades mainly reflect an improvement in the overcollateralization (O/C) available to support the notes due to paydowns to the class A-1 notes since Jan. 15, 2010, when we downgraded all of the notes following the application of our September 2009 corporate collateralized debt obligation (CDO) criteria. Since that time, the class A-1 notes received a total of approximately $111.9 million in payments, which has reduced the notes' outstanding balance to 57.86% of their original issuance. We attribute these paydowns to the completion of the transaction's reinvestment period in January 2010. Consequently, the manager is now mainly using principal cash to pay down the class A-1 notes instead of purchasing additional underlying assets, which is deleveraging the transaction. As a result of these paydowns, the transaction has benefited from an increase in the O/C available to support the rated notes," S&P related. The trustee reported these O/C ratios in the May 9, 2011, monthly report: The class A-2 O/C ratio was 122.68%, compared with a reported ratio of 115.15% in December 2009; The class B O/C ratio was 113.22%, compared with a reported ratio of 109.38% in December 2009; and The class C O/C ratio was 106.78%, compared with a reported ratio of 105.26% in December 2009. "The upgrades also reflect the improvement in the performance of the transaction's underlying asset portfolio since our Jan. 15, 2010, downgrades. As of the May 2011 trustee report, the transaction had $10.6 million of defaulted assets. This was down from the $24.8 million defaulted assets noted in the December 2009 trustee report, which we referenced for our January 2010 rating actions. Furthermore, the trustee reported assets from obligors rated in the 'CCC' category at $14.02 million in May 2011, compared with $23.06 million in December 2009," S&P related. 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 Venture III CDO Ltd. Rating Class To From A-1 AAA (sf) AA+ (sf)/Watch Pos A-2 AA (sf) A- (sf)/Watch Pos Def B BBB+ (sf) BB+ (sf)/Watch Pos C BB- (sf) B+ (sf) Transaction Information Issuer: Venture III CDO Ltd. Coissuer: Venture III CDO Corp. Collateral manager: MJX Asset Management LLC Trustee: The Bank of New York Mellon Transaction type: Cash flow CLO VERMEER FUNDING: Fitch Affirms Ratings on 4 Classes of Notes ------------------------------------------------------------ Fitch Ratings has affirmed four classes of notes issued by Vermeer Funding, Ltd./Inc. (Vermeer Funding): -- $25,988,085 class A-1 notes at 'Bsf', loss severity to 'LS3' from 'LS5'; Outlook to Stable from Negative; -- $38,500,000 class A-2 notes at 'CCsf'; -- $37,625,000 class B notes at 'Csf'; -- $15,985,091 class C notes at 'Csf'. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model (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 July 2010, the credit quality of the underlying collateral has declined further, with approximately 33.80% of the portfolio downgraded a weighted average of 3.8 notches. Currently, 50.9% of the portfolio has a Fitch derived rating below investment grade and 23.7% has a rating in the 'CCC' rating category or lower, compared to 67.1% and 49.2%, respectively, at last review. As of the May 26, 2011 trustee report, the underlying portfolio has accumulated $48.5 million in writedowns, compared to $9.4 million at the last review. The affirmation to the class A-1 notes is due to amortization of the capital structure offsetting deterioration of the underlying portfolio. The class A-1 notes have received $11.8 million, or 31.3% of the prior review balance, in paydowns since the last review. The notes are receiving paydowns through both principal amortization and excess spread because of the failure of coverage tests. The Stable Outlook on the class A-2 notes reflects the cushion in the modeling results and the notes' ability to withstand further deterioration on the underlying portfolio. The Loss Severity (LS) rating of 'LS3' for the class A-1 notes indicates the tranches' potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in Fitch's 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the notes' long- term credit rating. Fitch does not assign LS ratings or Outlooks to classes rated 'CCC' and below. For classes A-2 through C notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class A-2 notes have been affirmed at 'CCsf', indicating that default is probable. Similarly, the class B and C notes have been affirmed at 'Csf', indicating that default is inevitable. On the June 3, 2011 payment date, the class C notes received interest paid in kind (PIK) whereby the principal amount of the notes is written up by the amount of interest due. Vermeer Funding is a cash flow collateralized debt obligation (CDO) that closed on April 13, 2004 and is monitored by Rabobank International. As of the May 26, 2011 trustee report, the portfolio is comprised of residential mortgage backed securities (RMBS), commercial and consumer asset backed securities (ABS), corporate CDOs, corporate debt, and commercial mortgage backed securities (CMBS) from the 2004 vintage transactions. WACHOVIA BANK: Fitch Downgrades Two Non Pooled Classes ------------------------------------------------------ Fitch Ratings has downgraded two classes from the non pooled portion of Wachovia Bank Commercial Mortgage Trust 2006-Whale 7 based on continued deterioration in performance of the related loan and the increased likelihood of losses upon ultimate disposition. The remaining pooled and non pooled classes have been affirmed. The revision in Outlooks on seven classes to Stable from Negative reflects the decline in expected losses since Fitch's last full review. Under Fitch's methodology, all of the pooled and non pooled loans were modeled to default in the base case stress scenario, defined as the 'B' stress. Expected losses to the pooled portion are 2%. In this scenario, the modeled average cash flow decline is 11.8% from generally year end 2010 servicer-reported financial data. To determine sustainable Fitch cash flow and stressed value, Fitch analyzed servicer-reported operating statements and rent rolls, updated property valuations, STR reports and recent lease and sales comparisons. Given that the loan positions within the pooled portion of the CMBS are the lower leveraged A-notes (average base case LTV of 89.3%), Fitch estimates that average recoveries on the pooled loans will be approximately 98% in the base case, whereas, the more highly leveraged non-pooled component notes (average base case LTV of 105.3%) have a lower modeled recovery of 91% on the securitized debt. The transaction is collateralized by nine loans, four of which are secured by hotels (89.1%), four by office (9.3%), and one by retail (1.6%). All of the original final maturity dates including all extension options for the non-specially serviced loans are in 2011; however, some of the specially serviced loans could be modified with amended maturity dates. Five of the loans (85.3%) are in special servicing. Fitch's analysis resulted in loss expectations for six A-notes, and each of the B-Note non-pooled components in the 'B' stress scenario. The three largest pooled contributors to losses (by unpaid principal balance) in the 'B' stress scenario are: Westin Aruba (4.7%), Broadreach Pool (3.4%) and Colonial Mall -- Myrtle Beach (1.6%). The Westin Aruba is a 478 room, REO hotel property located in Palm Beach, Aruba. The property has beachfront access, retail and meeting space, as well as a nightclub and a 12,000 sf casino. The loan transferred to special servicing in November 2008 when the borrower failed to make operating advances to the hotel operator as specified in the loan agreement. The property has been REO since May 2009, when the special servicer foreclosed on the mezzanine lender, Petra Realty Advisors, who foreclosed on the original sponsor, Belfonti Capital Partners. The special servicer continues to streamline operations in an effort to reduce expenses as well as complete necessary repairs. Starwood initiated an 'all inclusive' option in 2009 which has resulted in increased income. The casino operator ceased paying rent in April 2010, was evicted in October 2010 and the former casino operator's bank repossessed the casino equipment which resulted in a six week shut down. The casino reopened in December 2010 with new equipment and a new name. Meetings with potential casino operators have thus far not resulted in a new lease. The Broadreach Pool was originally collateralized approximately 1.04 million sf in nine office properties in various submarkets of Los Angeles and San Diego, CA. One property, Whittier Financial Center in Whittier, CA, was released in February 2007, reducing the principal balance of the pooled note to $71.6 million from $85 million at issuance. The portfolio now has 900,233 sf. The remaining properties are as follows: Morehouse Tech Center in San Diego, CA; Activity Business Center in San Diego, CA; Freeway Business Center/1501 Hughes Way in Long Beach, CA; 3901 Via Oro Avenue in Long Beach, CA; South Bay Center in Torrance, CA; 91 Freeway Center in Artesia, CA; Norwalk Corporate Center in Norwalk, CA; and Glendale Corporate Center in Glendale, CA. The overall occupancy at issuance was below market at 83% and as of the April 2011 rent roll, it has declined to 65%. An additional 32.5% of the space expires by the end of 2013. The loan remains current; however, it will likely transfer to special servicing as it approaches its maturity date in August 2011. The non pooled senior portion of the loan collateralizes classes BP-1 and BP-2, which have been downgraded. The Colonial Mall -- Myrtle Beach is collateralized by a 524,767 sf regional mall located in Myrtle Beach, SC. Anchors include J.C. Penney, two Belk stores, Bass Pro Shops, and the newly constructed Carmike Cinemas; in-line tenants are a typical mix of national retailers, with some local tenants. The anchors, with the exception of the cinema and the improvements to the Belk #2 store, are part of the collateral. The Belk #2 store pays ground rent. In 2004, a new super-regional mall opened 15 miles from the subject, resulting in declines in occupancy and sales. Issuance expectations assumed some level of performance stabilization; however, improved performance expectations have not been realized and occupancy has declined. At issuance, the total mall was 90.6% occupied, which was lower than historical rates in excess of 95%. Per the December 2009 rent roll, the total mall and in-line occupancy had declined to 84.2% and 66.5%, respectively. As of the March 2011 rent roll, total mall and in-line occupancy were 80.8% and 58.2%, respectively. J.C. Penney and both Belk store's (60% of the total anchor space) leases expire in 2014. The in-line space rollover is as follows: 5.4 in 2011; 10.7% in 2012; and 3.4% in 2013. Fitch affirms, revises Rating Outlooks and Loss Severity Ratings, and assigns Recovery Ratings, as applicable, to these pooled classes: -- $877 million class A-1 at 'AAAsf/LS1 from 'LS2'; Outlook Stable; -- $573.5 million class A-2 at 'Asf/LS2'; Outlook to Stable from Negative; -- $98.6 million class B at 'BBBsf/LS3' from 'LS4'; Outlook to Stable from Negative; -- $95 million class C at 'BBBsf/LS3' from 'LS4'; Outlook to Stable from Negative; -- $76.8 million class D at 'BBBsf/LS3' from 'LS4'; Outlook to Stable from Negative; -- $75.2 million class E at 'BBsf/LS3' from 'LS4'; Outlook to Stable from Negative; -- $70.4 million class F at 'BBsf/LS3' from 'LS4'; Outlook to Stable from Negative; -- $71.8 million class G at 'Bsf/LS3' from 'LS4'; Outlook to Stable from Negative. -- $28.3 million class L at 'Csf/RR6'. Additionally, Fitch affirms, removes from Rating Watch Positive and maintains Recovery Ratings to these pooled certificates: -- $64.9 million class H at 'CCCsf/RR4'; -- $21.9 million class J at 'CCCsf/RR6'; -- $25.4 million class K at 'CCsf/RR6'. Additionally, Fitch affirms and maintains Recovery Ratings to these non-pooled component certificates: -- $68.9 million class KH-1 at 'CCCsf/RR1'; -- $54.1 million class KH-2 at 'CCCsf/RR3'; -- $18 million class BH-1 at 'CCCsf/RR4'; -- $28 million class BH-2 at 'CCCsf/RR6'; -- $56 million class BH-3 at 'CCsf/RR6'; -- $46 million class BH-4 at 'CCsf/RR6'; -- $3.3 million class WA at 'Csf/RR6'; -- $5 million class WB at 'CCsf/RR6'; -- $2.3 million class MB-1 at 'CCsf/RR6'; -- $2.6 million class MB-2 at 'CCsf/RR6'; -- $2.6 million class MB-3 at 'CCsf/RR6'; -- $2.5 million class MB-4 at 'CCsf/RR6'; -- $1.1 million class CM at 'Csf/RR6'. Fitch also downgrades these classes and maintains Recovery Ratings: -- $2 million class BP-1 to 'CC/RR6' from 'CCC/RR6'; -- $2.2 million class BP-2 to 'CC/RR6' from CCC/RR6'. Interest-only class X-1A and rake class UV have paid in full and class X-1B was withdrawn. An update to the U.S. CMBS Focus Report, 'Wachovia Bank Commercial Mortgage Trust, Series 2006-WHALE 7' will be available in the near future. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers" public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors" Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland, USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Denise Marie Varquez, Philline Reluya, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2011. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $775 for 6 months delivered via e- mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Christopher Beard at 240/629-3300. *** End of Transmission ***