TCR_Public/110724.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 24, 2011, Vol. 15, No. 203

                            Headlines

3 WASI: S&P Cuts Ratings on 3 Credit-linked Notes Classes to 'D'
ABFC ASSET: Moody's Lowers Ratings on $412 Mil. Subprime RMBS
ACE SECURITIES: Moody's Lowers Ratings of $481m of Subprime RMBS
AEGIS ASSET: Moody's Downgrades $715 Mil. of Subprime RMBS
AIMCO CLO: Moody's Upgrades Ratings of Series 2005-A CLO Notes

ALTERNATIVE LOAN: S&P Lowers Rating on Class M-2 to 'CC'
AMERICAN HOME: Moody's Lowers Rating of $140 Mil. of Alt-A RMBS
AMERIGUEST MORTGAGE: Moody's Lowers Ratings of $1.6 Bil. RMBS
AMMC CLO: Moody's Upgrades Ratings of Five Classes of Notes
APHEX CAPITAL: S&P Puts 'CCC+' Rating on Class A on Watch Neg

ARES ENHANCED: Moody's Rates Three Classes of Mezzanine Notes
ARES VIII: Moody's Upgrades Ratings of 13 Classes of CLO Notes
ARES VR: Moody's Upgrades Ratings of CLO Notes
ARES IX: Moody's Upgrades Ratings of CLO Notes
ARES XVI: S&P Gives 'BB' Rating on Class E Deferrable Notes

ARGENT SECURITIES: Moody's Downgrades $593 Mil. of Subprime RMBS
ARIZONA HIGHER: Fitch Lowers Ratings on Class B Notes to 'BB'
ARMOR MCP: Moody's Downgrades $11.9 Mil. of Synthetic Jumbo RMBS
ASSET BACKED: Moody's Lowers Ratings of $154 Mil. Subprime RMBS
ATRIUM II: Moody's Upgrades Ratings of Six Classes of CLO Notes

AURUM CLO: Moody's Upgrades Ratings of Four classes of CLO Notes
BABSON CLO: Moody's Upgrades Ratings of Seven CLO Notes
BAKER STREET: Moody's Upgrades Ratings of Six Classes of Notes
BANC OF AMERICA: Moody's Lowers Ratings of $150 Mil. of Alt-A RMBS
BANC OF AMERICA: Moody's Lowers Ratings of Prime Jumbo RMBS

BATTALION CLO: Moody's Upgrades Ratings of CLO Notes
BAYVIEW COMMERCIAL: S&P Lowers Rating on Class M-5 Notes to 'CCC'
BEAR STEARNS: DBRS Downgrades Class D Rating From 'BBB' to 'BB'
BEAR STEARNS: DBRS Downgrades Rating on Class H Notes to 'CCC'
BEAR STEARNS: Fitch Upgrades 2 Classes of BSCMS 2006-BBA7

BEAR STEARNS: Moody's Downgrades $319 Mil. of BSABS Subprime RMBS
BEAR STEARNS: Moody's Downgrades Rating of $80 Mil. of Alt-A RMBS
BLACK DIAMOND: Moody's Upgrades Ratings of 8 Classes of Notes
BLACKROCK CAPITAL: Moody's Lowers Rating of $10 Mil. of RMBS
BNC MORTGAGE: Moody's Lowers Rating of $63 Mil. Subprime RMBS

BRISTOL BAY: S&P Raises Rating on Class B Notes to 'CCC+'
BXG RECEIVABLES: Moody Reviews Ratings of 3 Classes of Notes
C-BASS MORTGAGE: Moody's Downgrades $248 Million of S&D RMBS
C-BASS MORTGAGE: Moody's Lowers Ratings of $66m of subprime RMBS
CAPCO AMERICA: Fitch Affirms Class B-2 at 'D/RR4'

CARLYLE MODENA: Moody's Upgrades Ratings of Three Classes of Notes
CARRINGTON MORTGAGE: Moody's Lowers Ratings of $335 Mil. RMBS
CEDARWOODS CRE: S&P Lowers Rating on Class F to 'CCC'
CENTURION CDO: Moody's Upgrades Ratings of 7 Classes of CLO Notes
CHARITABLE LEADERSHIP: Moody's Withdraws Rating on Series 2002A

CHASE MORTGAGE: Moody's Lowers Ratings on $811 Mil. Prime RMBS
CHESAPEAKE FUNDING: Moody's Affirms Lease Variable Funding Notes
CHEVY CHASE: Moody's Downgrades Rating of $103.1 Mil. Option ARM
CHL MORTGAGE: Moody's Upgrades $17 Mil. of Prime Jumbo RMBS
CITICORP MORTGAGE: Moody's Acts on $202 Mil. Prime Jumbo RMBS

CITIGROUP COMM'L: Fitch Puts CC Ratings on Three Classes on RWN
CITIGROUP COMM'L: Moody's Upgrades Ratings of Six CMBS Classes
CITIGROUP MORTGAGE: Moody's Downgrades $64 Mil. of Subprime RMBS
CITIGROUP MORTGAGE: Moody's Upgrades $7 Mil. of Alt-A RMBS
CITIMORTGAGE ALTERNATIVE: Moody's Downgrades $8 Mil. of Alt-A RMBS

CLAVIS SECURITIES: Fitch Affirms All Tranches of Clavis
COMM 2004-LNB4: Moody's Reviews Eight CMBS Classes of COMM 2004
COOKSON SPC: S&P Lowers Rating on Series 2007-1LAC Notes to 'D'
COOKSON SPC: S&P Lowers Rating on Series 2007-2LAC Notes to 'D'
CORIOLANUS LIMITED: Moody's Upgrades Ratings of SF CDO Notes

CREDIT SUISSE: Fitch Affirms All Classes of CSFB 2000-C1
CREDIT SUISSE: Moody's Reviews Ratings of Four CMBS Classes
CREDIT SUISSE: S&P Lowers Ratings on 6 Classes of Certs. to 'D'
CREST EXETER: Moody's Upgrades Ratings of Six CRE CDO Classes
CREST G-STAR: Moody's Affirms Ratings of Three CRE CDO Classes

CREST G-STAR: Moody's Downgrades Ratings of Three CRE CDO Classes
CSAM FUNDING: Moody's Upgrades Ratings of CLO Notes
CSFB ADJUSTABLE: Moody's Upgrades Rating of $159 Mil. Alt-A RMBS
CSFB COMMERCIAL: Moody's Affirms 20 CMBS Classes of CSFB 2006-C2
CWABS ASSET: Moody's Lowers Ratings of $714 Mil. Subprime of RMBS

CWALT INC: Moody's Lowers Rating of $211.2 Mil. Option ARM RMBS
DEUTSCHE MORTGAGE: Fitch Affirms DMARC 1998-C1 Ratings
DLJ COMMERCIAL: Fitch Affirms Rating on Class B-7 Notes at 'D'
DLJ COMMERCIAL: Fitch Affirms Rating on Class B-7 Notes at 'D'
DRYDEN XXI: Moody's Upgrades Ratings of CLO Notes

DUANE STREET: Moody's Upgrades Ratings of CLO Notes
EATON VANCE: Moody's Upgrades Ratings of CLO Notes
EMBARCADERO RE: S&P Gives 'BB-' Rating on Class A Notes
ENCORE CREDIT: Moody's Downgrades $57 Mil. of Subprime RMBS
EQUIFIRST MORTGAGE: Moody's Downgrades $75 Mil. of Subprime RMBS

FIRST FRANKLIN: Moody's Downgrades $189 Mil. of Subprime RMBS
FIRST FRANKLIN: Moody's Lowers Rating of $1.1 Bil. Subprime RMBS
FIRST HORIZON: Moody's Acts on $158 Mil. of Prime Jumbo RMBS
FIRST UNION: Fitch Downgrades One Class of FUNC 1999-C2
FOREST CREEK: Moody's Upgrades Ratings of CLO Notes

FREMONT HOME: Moody's Downgrades $24 Mil. of subprime RMBS
G-FORCE CDO: Moody's Affirms Ratings of Four CRE CDO Classes
GALAXY CLO: Moody's Upgrades Ratings of CLO Notes
GALAXY XI: S&P Gives 'BB' Rating on Class E Deferrable Notes
GE COMMERCIAL: Moody's Reviews Ratings of Eight CMBS Classes

GENESIS CLO: Moody's Upgrades Ratings of 5 Classes of CLO Notes
GLACIER FUNDING: S&P Lowers Rating on Class A-3 Notes to 'CC'
GLOBAL LEVERAGED: S&P Affirms 'CCC-' Ratings on 2 Classes of Notes
GMACM MORTGAGE: Moody's Downgrades Rating of One Tranche
GMACM MORTGAGE: Moody's Raises Ratings of $276 Mil. of Alt-A RMBS

GRAND HORN: Moody's Upgrades Ratings of Four Classes of Notes
GRANITE VENTURES: Moody's Upgrades Ratings of CLO Notes
GREENWICH CAPITAL: Fitch Affirms GCCFC 2006-FL4 Ratings
GREENWICH CAPITAL: Moody's Affirms Ratings of Five CMBS Classes
GSAA HOME EQUITY: Moody's Upgrades $224.8 Mil. of Alt-A RMBS

GSAMP TRUST: Moody's Takes Action on $1.2 Billion Subprime of RMBS
GSR MORTGAGE: Moody's Acts on $614 Mil. of Prime Jumbo RMBS
GULF STREAM: Moody's Upgrades Ratings of Five Classes of CLO Notes
HIS ASSET: Moody's Downgrades $521 Mil. of HASCO subprime RMBS
HOME EQUITY: S&P Keeps 'BB-' Rating on Class M-6 on Watch Neg

HOUT BAY: S&P Affirms Ratings on 6 Classes of Notes at 'CC'
IMPAC SECURED: Moody's Lowers Rating of $159 Mil. of Alt-A RMBS
INDYMAC INDX: Moody's Downgrades $152 Mil. of Option ARM RMBS
ING INVESTMENT: Moody's Upgrades Ratings of CLO Notes
JP MORGAN: Fitch Affirms Rating on 2000-C9 Class H Notes at 'BB'

JP MORGAN: Fitch Downgrades Class G Notes to 'C/RR4'
JP MORGAN: Fitch Holds Rating on 1999-C7 Class H Notes at 'BB-'
JP MORGAN: Moody's Lowers Rating of $869 Mil. of Prime RMBS
JPMORGAN CHASE: Fitch Downgrades JPMCC 2002-CIBC4
JPMORGAN CHASE: S&P Cuts Ratings on 2 Classes of Certs. to 'CCC-'

KATONAH IV: Moody's Upgrades Ratings of Four Classes of CLO Notes
KATONAH VII: Moody's Upgrades Ratings of CLO Notes
LAFAYETTE SQUARE: Moody's Raises Ratings of CLO Notes
LB MULTIFAMILY: Fitch Affirms Class A-1 at 'D/RR3'
LEHMAN XS: Moody's Upgrades Rating of $90 Mil. Alt-A RMBS

MARATHON CLO: Moody's Upgrades Ratings of CLO Notes
MASTR ASSET: Moody's Lowers Rating of $205 Mil. Subprime RMBS
MERRILL LYNCH: DBRS Confirms Rating on Class K Loan at 'BB'
MERRILL LYNCH: DBRS Confirms Rating on Class J Loan at 'BB'
MERRILL LYNCH: DBRS Downgrades Rating on Class P Loan to 'D'

MERRILL LYNCH: Fitch Affirms ML 1996-C2 Ratings
MERRILL LYNCH: Fitch Take Various Actions on MLMT 2004-MKB1
MERRILL LYNCH: Moody's Lowers Rating $58 Mil. of Prime Jumbo RMBS
MERRILL LYNCH: Moody's Lowers Ratings of $255 Mil. of Jumbo RMBS
MKP CBO III: Fitch Affirms 3 Classes of MKP CBO

ML-CFC COMMERCIAL: DBRS Confirms 'BB' Rating on Class D Loan
MMAF EQUIPMENT: Moody's Assigns Provisional Ratings to Lease
MONTANA RE: A.M. Best Downgrades Debt Ratings to 'b'
MORGAN STANLEY: DBRS Cuts Ratings on Five Loan Classes to 'C'
MORGAN STANLEY: Fitch Affirms 'D' Rating on Class N-RQK Certs.

MORGAN STANLEY: Fitch Takes Actions on MSDW 2000-LIFE2
MORGAN STANLEY: Moody's Downgrades $313 Mil. of Subprime RMBS
MORGAN STANLEY: Moody's Upgrades $210.8 Mil. of Alt-A RMBS
MORGAN STANLEY: Moody's Upgrades Rating on ACES SPC Series 2008-2
MORGAN STANLEY: Moody's Upgrades Rating on ACES SPC Series 2008-3

MORGAN STANLEY: Moody's Upgrades Rating of CDS Ref. #ZZRSS, a CSO
MORGAN STANLEY: S&P Withdraws 'B' Rating on Class IA Notes
NELNET STUDENT: Fitch Affirms Senior, Subordinate Notes
NEW YORK MORTGAGE: Moody's Downgrades $85 Million of Alt-A RMBS
NEWPORT WAVES: Moody's Upgrades Ratings on Collaterized Debt

NOMURA ASSETS: Moody's Upgrades Rating of $22.5 Mil. of Alt-A RMBS
NORTHWOODS CAPITAL: Moody's Raises Ratings of CLO Notes
NYLIM FLATIRON: Moody's Upgrades Ratings of CLO Notes
OAK HILL: Moody's Upgrades Ratings of CLO Notes
OPTEUM MORTGAGE: Moody's Upgrades $321.1 Mil. of Alt-A RMBS

OPTION ONE: Moody's Downgrades $195 Mil. of Subprime RMBS
OXFORD FINANCE: Moody's Assigns Definitive Rating to Notes
PACIFIC INVESTMENT: Fitch Upgrades Classes of Waveland
PACIFICA CDO: Moody's Upgrades Ratings of CLO Notes
PHH MORTGAGE: Moody's Downgrades $295 Mil. of Prime Jumbo RMBS

PNC MORTGAGE: Fitch Affirms Rating on Class M Notes at 'D'
PPM AMERICA: Fitch Withdraws D Ratings on Three Classes of Notes
PRIME MORTGAGE: Moody's Downgrades $55 Mil. of Alt-A RMBS
PRUDENTIAL COMMERCIAL: S&P Lowers Ratings on 2 Classes to 'D'
PRUDENTIAL SECURITIES: Fitch Downgrades PSSFC Series 1999-NRF1

RACE POINT: Moody's Upgrades Ratings of CLO Notes
RAMP SERIES: Moody's Lowers Ratings of $2.7 Bil RAMP Subprime RMBS
RASC SERIES: Moody's Acts on $2 Billion of RASC Subprime RMBS
RENAISSANCE HOME: Moody's Lowers Rating of $1.2 Bil. Subprime RMBS
RESI FINANCE: Moody's Downgrades Rating of $935.5 Mil. RMBS

RFC CDO: S&P Lowers Rating on Class D Notes to 'CC'
RFMSI SERIES: Moody's Downgrades Ratings of Nine Tranches
RFMSI SERIES: Moody's Lowers Rating of $46.1m of Prime Jumbo RMBS
RIDGEWAY COURT: Fitch Cuts Ratings on Two Classes of Notes to D
SALOMON BROTHERS: Moody's Downgrades Ratings of 3 Notes Classes

SASI FINANCE: Moody's Lowers Ratings of $1.5 Bil. Prime Jumbo RMBS
SATURNS SEARS: Moody's Downgrades Rating of Units
SAXON ASSET: Moody's Downgrades $126 Mil. Subprime RMBS
SECURITIZED ASSET: Moody's Lowers Ratings of 10 Tranches
SEQUOIA MORTGAGE: Moody's Downgrades $45 Mil. of Prime Jumbo RMBS

SHASTA CLO: Moody's Upgrades Ratings of CLO Notes
SOUNDVIEW HOME: Moody's Downgrades $1.6 Bil. Subprime RMBS Ratings
SOUTH STREET CBO: Fitch Withdraws Ratings on 3 Classes
SOUTHFORK CLO: Moody's Raises Ratings of CLO Notes
STRUCTURED ASSET: Moody's Downgrades $319 Mil. of Option ARM RMBS

STRUCTURED ASSET: Moody's Lowers Rating of $133 Mil. Subprime RMBS
STRUCTURED ASSET: Moody's Lowers Rating of $175 Mil. Subprime RMBS
TERWIN MORTGAGE: Moody's Lowers Rating of $116 Mil. Subprime RMBS
TIAA CMBS: Fitch Affirms TIAA CMBS I Trust 2001-C1
TIERS CREDIT: S&P Lowers Rating on Trust Certificates to 'D'

VEER CASH FLOW: Moody's Upgrades Ratings of CLO Notes
VELOCITY CLO: Moody's Upgrades Ratings of 4 Classes of CLO Notes
VINACASA CLO: Moody's Upgrades Ratings of Four Classes of Notes
WACHOVIA BANK: S&P Lowers Rating on Class O Certs. to 'CCC-'
WACHOVIA BANK: S&P Gives 'B' Rating on Class O Certs. to 'B'

WAMU MORTGAGE: Moody's Updgrades $558.2 Mil. of Option ARM RMBS
WASHINGTON MUTUAL: Moody's Upgrades Ratings of Four CMBS Classes
WATERFRONT CLO: Moody's Upgrades Ratings of 5 Classes of Notes
WELLS FARGO: Fitch Issues Presale on WFDB, Series 2011-BXR
WELLS FARGO: Moody's Downgrades $782 Mil. of Prime Jumbo RMBS

WELLS FARGO: Moody's Downgrades Ratings of 33 Tranches
WELLS FARGO: Moody's Upgrades $32.7 Mil. of Alt-A RMBS
WFDB COMMERCIAL: S&P Gives 'BB' Ratings on 3 Classes of Notes

* S&P Lowers Ratings on 534 Classes of U.S. RMBS Transactions
* S&P Takes Rating Actions on Classes of 110 RMBS Subprime Deals



                            *********



3 WASI: S&P Cuts Ratings on 3 Credit-linked Notes Classes to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on classes M-6, B-1-A, and B-1-B from WASI Finance Ltd.
Partnership 2006-HES1, a U.S. residential mortgage-backed
securities (RMBS) risk-transfer transaction. "We also withdrew our
ratings on classes M-4 and M-5 as they have been paid in full,"
S&P said.

The defaults reflect nonpayment of classes M-6, B-1-A, and B-1-B
in full by the June 25, 2011, scheduled maturity date.

The reference pool of loans backing this transaction is made up
predominantly of second-lien home equity loans and home equity
lines of credit (HELOC).

Rating Actions

WASI Finance Ltd. Partnership 2006-HES1
Series 2006-HES1
                               Rating
Class      CUSIP       To                   From
M-4        941034AA8   NR                   CC (sf)
M-5        941034AB6   NR                   CC (sf)
M-6        941034AC4   D (sf)               CC (sf)
B-1-A      941034AD2   D (sf)               CC (sf)
B-1-B      941034AE0   D (sf)               CC (sf)


ABFC ASSET: Moody's Lowers Ratings on $412 Mil. Subprime RMBS
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 11
tranches from 3 RMBS transactions, backed by subprime mortgage
loans, issued by ABFC.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
Subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: ABFC Asset Backed Certificates, Series 2005-WF1

Cl. A-2C, Downgraded to Aa1 (sf); previously on Jun 3, 2010
Confirmed at Aaa (sf)

Cl. M-1, Downgraded to Baa3 (sf); previously on Jun 3, 2010
Downgraded to A3 (sf)

Cl. M-2, Downgraded to B3 (sf); previously on Jun 3, 2010
Downgraded to Ba3 (sf)

Cl. M-4, Downgraded to C (sf); previously on Jun 3, 2010
Downgraded to Caa3 (sf)

Cl. M-5, Downgraded to C (sf); previously on Jun 3, 2010
Downgraded to Ca (sf)

Issuer: ABFC Asset-Backed Certificates, Series 2005-HE1

Cl. M-1, Downgraded to A2 (sf); previously on Jun 3, 2010
Confirmed at Aa1 (sf)

Cl. M-2, Downgraded to Caa2 (sf); previously on Jun 3, 2010
Downgraded to B3 (sf)

Cl. M-3, Downgraded to C (sf); previously on Jun 3, 2010
Downgraded to Caa2 (sf)

Issuer: ABFC Asset-Backed Certificates, Series 2005-WMC1

Cl. M-1, Downgraded to A3 (sf); previously on Jun 3, 2010
Confirmed at Aa2 (sf)

Cl. M-2, Downgraded to Caa2 (sf); previously on Jun 3, 2010
Confirmed at Baa3 (sf)

Cl. M-3, Downgraded to C (sf); previously on Jun 3, 2010
Downgraded to Caa1 (sf)


ACE SECURITIES: Moody's Lowers Ratings of $481m of Subprime RMBS
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 14
tranches from 5 RMBS transactions, backed by subprime mortgage
loans, issued by ACE.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology" published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
Subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The above mentioned approach is adjusted slightly when estimating
losses on pools left with a small number of loans to account for
the volatile nature of small pools. Even if a few loans in a small
pool become delinquent, there could be a large increase in the
overall pool delinquency level due to the concentration risk. To
project losses on pools with fewer than 100 loans, Moody's first
estimates a "baseline" average rate of new delinquencies for the
pool that varies from 10% to 21% on average. The baseline rates
are higher than the average rate of new delinquencies for larger
pools for the respective vintages.

Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 10.00%, the adjusted rate of new delinquency would
be 10.1%. In addition, if current delinquency levels in a small
pool is low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.4 to 1.8 for current
delinquencies ranging from less than 2.5% to greater than 80%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology" publication.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-
ASAP1

Cl. A-1, Downgraded to Aa2 (sf); previously on Apr 14, 2010
Confirmed at Aaa (sf)

Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-
HE2

Cl. M-3, Downgraded to A2 (sf); previously on Apr 14, 2010
Confirmed at Aa3 (sf)

Cl. M-4, Downgraded to B2 (sf); previously on Apr 14, 2010
Downgraded to A3 (sf)

Cl. M-6, Downgraded to C (sf); previously on Apr 14, 2010
Downgraded to Ca (sf)

Cl. M-5, Downgraded to Ca (sf); previously on Apr 14, 2010
Downgraded to B2 (sf)

Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-
HE3

Cl. M-1, Downgraded to A1 (sf); previously on Apr 14, 2010
Confirmed at Aa1 (sf)

Cl. M-2, Downgraded to B3 (sf); previously on Apr 14, 2010
Downgraded to Ba3 (sf)

Cl. M-3, Downgraded to C (sf); previously on Apr 14, 2010
Downgraded to Caa3 (sf)

Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-
HE6

Cl. A-1, Downgraded to A1 (sf); previously on Apr 14, 2010
Downgraded to Aa1 (sf)

Cl. A-2D, Downgraded to Ba1 (sf); previously on Apr 14, 2010
Downgraded to Baa3 (sf)

Cl. M-1, Downgraded to Caa3 (sf); previously on Apr 14, 2010
Downgraded to Caa2 (sf)

Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-
ASAP2

Cl. A-1, Downgraded to Ba2 (sf); previously on Apr 14, 2010
Downgraded to Baa2 (sf)

Cl. A-2C, Downgraded to B2 (sf); previously on Apr 14, 2010
Downgraded to Ba3 (sf)

Cl. A-2D, Downgraded to Caa3 (sf); previously on Apr 14, 2010
Downgraded to Caa1 (sf)


AEGIS ASSET: Moody's Downgrades $715 Mil. of Subprime RMBS
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 20
tranches from 5 RMBS transactions, backed by subprime mortgage
loans, issued by Aegis.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
Subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Aegis Asset Backed Securities Trust 2005-1

Cl. M2, Downgraded to A3 (sf); previously on Aug 13, 2010
Confirmed at Aa2 (sf)

Cl. M3, Downgraded to B3 (sf); previously on Aug 13, 2010
Downgraded to Baa1 (sf)

Cl. M4, Downgraded to C (sf); previously on Aug 13, 2010 Confirmed
at Ba1 (sf)

Cl. M5, Downgraded to C (sf); previously on Aug 13, 2010
Downgraded to Caa2 (sf)

Issuer: Aegis Asset Backed Securities Trust 2005-2

Cl. M1, Downgraded to A2 (sf); previously on Aug 13, 2010
Confirmed at Aa2 (sf)

Cl. M2, Downgraded to B3 (sf); previously on Aug 13, 2010
Downgraded to Ba1 (sf)

Cl. M3, Downgraded to C (sf); previously on Aug 13, 2010 Confirmed
at B2 (sf)

Cl. M4, Downgraded to C (sf); previously on Aug 13, 2010
Downgraded to Ca (sf)

Issuer: Aegis Asset Backed Securities Trust 2005-3

Cl. A3, Downgraded to Aa2 (sf); previously on Aug 13, 2010
Confirmed at Aaa (sf)

Cl. M1, Downgraded to Ba1 (sf); previously on Aug 13, 2010
Confirmed at A1 (sf)

Cl. M2, Downgraded to Ca (sf); previously on Aug 13, 2010
Downgraded to B1 (sf)

Cl. M3, Downgraded to C (sf); previously on Aug 13, 2010
Downgraded to Caa3 (sf)

Issuer: Aegis Asset Backed Securities Trust 2005-4

Cl. IA4, Downgraded to Baa1 (sf); previously on Aug 13, 2010
Upgraded to Aa3 (sf)

Cl. IIA, Downgraded to Baa1 (sf); previously on Aug 13, 2010
Downgraded to Aa2 (sf)

Cl. M1, Downgraded to Caa1 (sf); previously on Aug 13, 2010
Downgraded to Ba1 (sf)

Issuer: Aegis Asset Backed Securities Trust 2005-5

Cl. IA3, Downgraded to Baa3 (sf); previously on Aug 13, 2010
Downgraded to A1 (sf)

Cl. IA4, Downgraded to Caa2 (sf); previously on Aug 13, 2010
Downgraded to Ba1 (sf)

Cl. IIA, Downgraded to B2 (sf); previously on Aug 13, 2010
Downgraded to A2 (sf)

Cl. M1, Downgraded to C (sf); previously on Aug 13, 2010
Downgraded to B3 (sf)

Cl. M2, Downgraded to C (sf); previously on Aug 13, 2010
Downgraded to Ca (sf)


AIMCO CLO: Moody's Upgrades Ratings of Series 2005-A CLO Notes
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by AIMCO CLO, Series 2005-A:

US$25,000,000 Class A-1A Senior Notes Due 2019 (current
outstanding balance of $24,583,836.89), Upgraded to Aaa (sf);
previously on June 22, 2011 Aa2 (sf) Placed Under Review for
Possible Upgrade;

US$229,000,000 Class A-1B Senior Notes Due 2019 (current
outstanding balance of $225,187,945.93), Upgraded to Aaa (sf) ;
previously on June 22, 2010 Aa2 (sf) Placed Under Review for
Possible Upgrade;

US$18,000,000 Class A-2 Senior Notes Due 2019, Upgraded to Aa3
(sf) ; previously on June 22, 2010 A3 (sf) Placed Under Review for
Possible Upgrade;

US$17,000,000 Class B Deferrable Mezzanine Notes Due 2019,
Upgraded to Baa1 (sf) ; previously on June 22, 2010 Ba1 (sf)
Placed Under Review for Possible Upgrade;

US$17,500,000 Class C Deferrable Mezzanine Notes Due 2019,
Upgraded to Ba1 (sf) ; previously on June 22, 2010 B1 (sf) Placed
Under Review for Possible Upgrade;

US$6,250,000 Class D Deferrable Mezzanine Notes Due 2019 (current
outstanding balance of $4,071,570.06), Upgraded to Ba3 (sf) ;
previously on June 22, 2010 Caa2 (sf) Placed Under Review for
Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of credit improvement of
the underlying portfolio and an increase in the transaction's
overcollateralization ratios since the rating action in July 2009.

Moody's notes that the deal has benefited from an improvement in
the credit quality of the underlying portfolio. Based on the
latest trustee report dated June 8, 2011, the weighted average
rating factor is currently 2384 compared to 2756 in the June 2009
report. The overcollateralization ratios of the rated notes have
also improved since the rating action in July 2009. The Class A,
Class B, Class C and Class D overcollateralization ratios are
reported at 123.52%, 116.14%, 109.42% and 107.97%, respectively,
versus June 2009 levels of 115.47%, 108.68%, 102.47% and 101.13%,
respectively, and all related overcollateralization tests are
currently in compliance.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $330 million,
defaulted par of $2.4 million, a weighted average default
probability of 17.71% (implying a WARF of 2582), a weighted
average recovery rate upon default of 49.68%, and a diversity
score of 60. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

AIMCO CLO, Series 2005-A, issued in September 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Other collateral quality metrics: The deal is allowed to
   reinvest and the manager has the ability to deteriorate the
   collateral quality metrics' existing cushions against the
   covenant levels. Moody's analyzed the impact of assuming the
   worse of reported and covenanted values for weighted average
   rating factor, weighted average spread, weighted average
   coupon, and diversity score.


ALTERNATIVE LOAN: S&P Lowers Rating on Class M-2 to 'CC'
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 254
classes from 47 U.S. residential mortgage-backed securities (RMBS)
transactions and removed 134 of them from CreditWatch with
negative implications. "Concurrently, we affirmed our ratings
on 250 classes from the downgraded transactions, as well as 15
other transactions and removed 102 of them from CreditWatch
negative. We also withdrew our ratings on six classes from three
transactions based on our interest-only criteria and removed five
of them from CreditWatch negative," S&P related.

The 62 RMBS transactions in this review are backed by one or more
of these collateral types: Alternative-A (Alt-A), prime jumbo,
closed-end second-lien, and HELOC mortgage loan collateral issued
from 2003 through 2008.

"On Jan. 18, 2011, we placed a number of U.S. RMBS ratings on
CreditWatch with negative implications (see 'North American
Structured Finance CreditWatch Actions In Connection With Revised
Counterparty Criteria'). Our revised counterparty criteria,
'Counterparty And Supporting Obligations Methodology and
Assumptions,' published Dec. 6, 2010, prompted the CreditWatch
placements," S&P stated.

"In this review, we analyzed the affected transactions to assess
the impact of the applicable hedges associated with the
transactions under our counterparty criteria. We examined to what
extent the hedges may provide net positive cash inflow for the
transactions over the life of the hedge based on our interest
rates assumptions. Typically, we also assessed the impact on
ratings by applying our analysis with and without the existence of
the applicable hedges. If we concluded that our ratings would
likely be negatively affected without the applicable hedges, then
our ratings would typically be limited based on our counterparty
criteria, which is generally the lowest hedge counterparty rating
for the transaction plus one notch. In these cases, we also
examined the hedge documents to assess whether we considered any
negative rating action to be appropriate based on our counterparty
criteria. Based on this analysis, we did not lower any ratings at
this time on the transactions within this release as a direct
result of the application of our counterparty criteria. However,
in resolving our CreditWatch placements, we lowered our ratings on
certain classes due to our view of reduced credit quality," S&P
related.

"We applied our criteria listed in the 'Related Criteria And
Research' section to derive the loss assumptions used in our
analysis," S&P said.

"The downgrades reflect our belief that projected credit
enhancement for the affected classes will be insufficient to cover
the projected losses we applied at the applicable rating stresses,
while the affirmations 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.

Rating actions in this release take into account transaction
specific loss projections where applicable, as well as the
criteria associated for additional transactions. "In order to
maintain a 'B' rating on a class, we assessed whether, in our
view, a class could absorb the base-case loss assumptions we used
in our analysis. For Alt-A, closed-end second-lien, and HELOC
transactions, in order to maintain a rating higher than 'B', we
assessed whether the class could withstand losses exceeding our
remaining base-case loss assumptions at a percentage specific to
each rating category, up to 150% for a 'AAA' rating. For example,
in general, we would assess whether one class could withstand
approximately 110% of our remaining base-case loss assumptions
to maintain a 'BB' rating, while we would assess whether a
different class could withstand approximately 120% of our
remaining base-case loss assumptions to maintain a 'BBB' rating.
Each class with an affirmed 'AAA' rating can, in our view,
withstand approximately 150% of our remaining base-case loss
assumptions under our analysis. For prime jumbo transactions, we
assessed whether a class could withstand 127% of our base-case
loss assumption in order to maintain a 'BB' rating, while we
assessed whether a different class could withstand 154% of our
base-case loss assumptions to maintain a 'BBB' rating. Each class
that has an affirmed 'AAA' rating can withstand approximately 235%
of our base-case loss assumptions," S&P said.

Subordination and overcollateralization (prior to its depletion)
and excess spread, when applicable, provide credit support for the
affected transactions.

Rating Actions

Alternative Loan Trust 2004-6CB
Series      2004-6CB
                               Rating
Class      CUSIP       To                   From
A          12667FCW3   AA (sf)              AAA (sf)/Watch Neg
M-1        12667FCX1   CCC (sf)             B (sf)
M-2        12667FCY9   CC (sf)              CCC (sf)

Alternative Loan Trust 2004-8CB
Series      2004-8CB
                               Rating
Class      CUSIP       To                   From
A          12667FGK5   AA (sf)              AAA (sf)/Watch Neg
M-1        12667FGL3   B- (sf)              A+ (sf)
M-2        12667FGM1   CC (sf)              B- (sf)

Alternative Loan Trust 2004-J5
Series      2004-J5
                               Rating
Class      CUSIP       To                   From
M-1        12667FLL7   A- (sf)              AA (sf)/Watch Neg
M-2        12667FLM5   CC (sf)              B (sf)

Alternative Loan Trust 2004-J7
Series      2004-J7
                               Rating
Class      CUSIP       To                   From
2-A-1      12667FTL9   AA (sf)              AAA (sf)
3-A-1      12667FTM7   A- (sf)              AAA (sf)/Watch Neg
M-1        12667FTE5   CC (sf)              CCC (sf)

Alternative Loan Trust 2007-OH1
Series      2007-OH1
                               Rating
Class      CUSIP       To                   From
A-1-A      02150KAA7   AAA (sf)             AAA (sf)/Watch Neg
A-1-B      02150KAX7   CCC (sf)             B+ (sf)/Watch Neg
A-1-C      02150KAY5   CCC (sf)             B+ (sf)/Watch Neg
A-1-D      02150KAZ2   CCC (sf)             B+ (sf)/Watch Neg
A-2-A      02150KAB5   B (sf)               B (sf)/Watch Neg
A-2-B      02150KBB4   CC (sf)              CCC (sf)
A-2-C      02150KBC2   CC (sf)              CCC (sf)
A-2-D      02150KBD0   CC (sf)              CCC (sf)
X-P        02150KAS8   D (sf)               CC (sf)

Alternative Loan Trust 2007-OH2
Series      2007-OH2
                               Rating
Class      CUSIP       To                   From
A-1-A      02151RAA1   CCC (sf)             AA+ (sf)/Watch Neg
A-1-B      02151RAB9   CCC (sf)             AA+ (sf)/Watch Neg
A-2-A      02151RAC7   CCC (sf)             B- (sf)/Watch Neg
A-2-B      02151RAQ6   CCC (sf)             B- (sf)/Watch Neg
A-3        02151RAD5   CC (sf)              CCC (sf)
M-1        02151RAE3   CC (sf)              CCC (sf)
M-7        02151RAL7   D (sf)               CC (sf)

American Home Mortgage Assets Trust 2006-3
Series      2006-3
                               Rating
Class      CUSIP       To                   From
I-A-1      02660UAA8   CCC (sf)             AA+ (sf)/Watch Neg
I-A-2-1    02660UAB6   CC (sf)              CCC (sf)
I-A-2-2    02660UAC4   CC (sf)              CCC (sf)
II-A-1-1   02660UAE0   CCC (sf)             AA (sf)/Watch Neg
II-A-1-2   02660UAF7   CCC (sf)             AA (sf)/Watch Neg
II-A-2     02660UAG5   CC (sf)              CCC (sf)
III-A-1-1  02660UAK6   CCC (sf)             AA+ (sf)/Watch Neg
III-A-1-2  02660UAL4   CCC (sf)             AA+ (sf)/Watch Neg
III-A-2    02660UAM2   CC (sf)              CCC (sf)

American Home Mortgage Investment Trust 2004-4
Series      2004-4
                               Rating
Class      CUSIP       To                   From
I-A-1      02660TCC5   AAA (sf)             AAA (sf)/Watch Neg
I-A-2      02660TCD3   AAA (sf)             AAA (sf)/Watch Neg
M-1        02660TCH4   CC (sf)              CCC (sf)
VI-M-1     02660TCL5   B (sf)               AA (sf)
VI-M-2     02660TCM3   CCC (sf)             BBB- (sf)
VI-M-3     02660TCN1   CC (sf)              B (sf)
VI-B-1     02660TCP6   CC (sf)              CCC (sf)
VI-B-2     02660TCQ4   CC (sf)              CCC (sf)

American Home Mortgage Investment Trust 2005-4
Series      2005-4
                               Rating
Class      CUSIP       To                   From
I-A-1      02660TGN7   AA (sf)              AA (sf)/Watch Neg
I-A-2      02660TGP2   CC (sf)              CCC (sf)
III-A-1    02660TGS6   B (sf)               BB (sf)/Watch Neg

American Home Mortgage Investment Trust 2006-3
Series      2006-3
                               Rating
Class      CUSIP       To                   From
I-1A-1     026929AA7   CCC (sf)             BBB (sf)/Watch Neg
I-1A-2     026929AB5   CC (sf)              CCC (sf)
I-2A-1     026929AD1   CCC (sf)             AAA (sf)/Watch Neg
I-2A-2     026929AE9   CC (sf)              CCC (sf)

Banc of America Funding 2004-B Trust
Series      2004-B
                               Rating
Class      CUSIP       To                   From
3-A-1      05946XJB0   B- (sf)              BB+ (sf)
3-A-2      05946XJC8   B- (sf)              BB+ (sf)
5-A-1      05946XJN4   BB (sf)              A (sf)
6-A-1      05946XJP9   CC (sf)              CCC (sf)
CB-1       05946XJS3   CC (sf)              CCC (sf)
6-B-1      05946XJY0   CC (sf)              CCC (sf)
7-M-1      05946XKB8   A- (sf)              AA (sf)/Watch Neg
7-M-2      05946XKC6   CCC (sf)             BBB- (sf)
7-M-3      05946XKD4   CC (sf)              CCC (sf)

Banc of America Funding 2005-A Trust
Series      2005-A
                               Rating
Class      CUSIP       To                   From
1-A-1      05946XQQ9   CC (sf)              CCC (sf)
2-A-1      05946XQS5   CC (sf)              CCC (sf)
2-A-2      05946XQT3   CC (sf)              CCC (sf)
2-A-3      05946XQU0   CC (sf)              CCC (sf)
CB-1       05946XRB1   CC (sf)              CCC (sf)
4-A-1      05946XQX4   BB- (sf)             AAA (sf)/Watch Neg
4-B-1      05946XRE5   CC (sf)              AA (sf)/Watch Neg
4-B-2      05946XRF2   CC (sf)              B- (sf)/Watch Neg
4-B-3      05946XRG0   CC (sf)              CCC (sf)
5-A-1      05946XQY2   AA+ (sf)             AA+ (sf)/Watch Neg
5-M-2      05946XRJ4   CC (sf)              CCC (sf)

Banc of America Funding 2006-G Trust
Series      2006-G
                               Rating
Class      CUSIP       To                   From
1-A-1      05950MAA8   BB (sf)              AAA (sf)/Watch Neg
2-A-1      05950MAB6   BB+ (sf)             AAA (sf)/Watch Neg
2-A-3      05950MAD2   AAA (sf)             AAA (sf)/Watch Neg
2-A-4      05950MAE0   BB+ (sf)             AAA (sf)/Watch Neg
2-A-5      05950MAF7   CCC (sf)             BB+ (sf)/Watch Neg
3-A-1      05950MAG5   AAA (sf)             AAA (sf)/Watch Neg
3-A-2      05950MAH3   BBB- (sf)            AAA (sf)/Watch Neg
3-A-3      05950MAJ9   CCC (sf)             BB- (sf)/Watch Neg
M-1        05950MAK6   CC (sf)              B- (sf)/Watch Neg
M-2        05950MAL4   CC (sf)              CCC (sf)
M-3        05950MAM2   CC (sf)              CCC (sf)
M-4        05950MAN0   CC (sf)              CCC (sf)

Bear Stearns ALT-A Trust 2004-10
Series      2004-10
                               Rating
Class      CUSIP       To                   From
M-1        07386HME8   A- (sf)              AA (sf)/Watch Neg
M-2        07386HMF5   CCC (sf)             BB- (sf)
B-1        07386HMG3   CC (sf)              CCC (sf)

Chevy Chase Funding LLC
Series      2004-1
                               Rating
Class      CUSIP       To                   From
A-1        16678RAS6   AAA (sf)             AAA (sf)/Watch Neg
A-2        16678RAT4   AAA (sf)             AAA (sf)/Watch Neg
B-2        16678RAW7   B (sf)               A+ (sf)
B-3        16678RAX5   CC (sf)              CCC (sf)

Chevy Chase Funding LLC
Series      2004-B
                               Rating
Class      CUSIP       To                   From
A-1        16678RCL9   AAA (sf)             AAA (sf)/Watch Neg
B-2        16678RCN5   B- (sf)              B- (sf)/Watch Neg

Chevy Chase Funding LLC
Series      2005-1
                               Rating
Class      CUSIP       To                   From
A-1        16678RCT2   AAA (sf)             AAA (sf)/Watch Neg
A-2        16678RCU9   AAA (sf)             AAA (sf)/Watch Neg
A-NA       16678R9Q1   AAA (sf)             AAA (sf)/Watch Neg
IO         16678R9S9   AAA (sf)             AAA (sf)/Watch Neg
NIO        16678R9T7   AAA (sf)             AAA (sf)/Watch Neg
B-1        16678RCV7   CC (sf)              B- (sf)/Watch Neg
B-1NA      16678R9R8   CC (sf)              B- (sf)/Watch Neg
B-2        16678RCW5   CC (sf)              CCC (sf)

Chevy Chase Funding LLC
Series      2005-A
                               Rating
Class      CUSIP       To                   From
A-1        16678RDB0   AAA (sf)             AAA (sf)/Watch Neg
A-2        16678RDC8   AAA (sf)             AAA (sf)/Watch Neg
B-4        16678RDG9   D (sf)               CC (sf)

Chevy Chase Funding LLC
Series      2005-2
                               Rating
Class      CUSIP       To                   From
A-1        16678RDK0   A- (sf)              AAA (sf)/Watch Neg
A-2        16678RDL8   A- (sf)              AAA (sf)/Watch Neg
A-NA       16678RCI5   A- (sf)              AAA (sf)/Watch Neg
IO         16678RDO1   NR                   AAA (sf)/Watch Neg
NIO        16678REI3   NR                   AAA (sf)/Watch Neg
B-1        16678RDM6   CC (sf)              CCC (sf)
B-1NA      16678RCO2   CC (sf)              CCC (sf)

CHL Mortgage Pass-Through Trust 2004-25
Series      2004-25
                               Rating
Class      CUSIP       To                   From
1-A-2      12669GJZ5   B- (sf)              BBB+ (sf)
1-A-3      12669GKA8   BBB- (sf)            AAA (sf)/Watch Neg
1-A-4      12669GKB6   B- (sf)              BBB+ (sf)
1-A-5      12669GKC4   B- (sf)              BBB+ (sf)
1-A-6      12669GKD2   CC (sf)              CCC (sf)
2-A-2      12669GKG5   B- (sf)              BBB (sf)
2-A-3      12669GKH3   B- (sf)              BBB (sf)
2-A-4      12669GKJ9   CC (sf)              CCC (sf)
3-A-1      12669GKL4   CC (sf)              CCC (sf)
M-1        12669GKY6   CC (sf)              CCC (sf)
M-2        12669GKZ3   CC (sf)              CCC (sf)
M-3        12669GLA7   CC (sf)              CCC (sf)
M-4        12669GLB5   CC (sf)              CCC (sf)

CSFB Mortgage-Backed Trust Series 2005-6
Series      2005-6
                               Rating
Class      CUSIP       To                   From
I-A-2      225458XG8   AA (sf)              AA (sf)/Watch Neg
II-A-1     225458XK9   BB- (sf)             AAA (sf)/Watch Neg
II-A-2     225458XL7   BB- (sf)             AAA (sf)/Watch Neg
II-A-3     225458XM5   BB- (sf)             AAA (sf)/Watch Neg
II-A-4     225458XN3   BB- (sf)             AAA (sf)/Watch Neg
II-A-5     225458XP8   BB- (sf)             AAA (sf)/Watch Neg
II-A-7     225458XR4   BB- (sf)             AAA (sf)/Watch Neg
II-A-8     225458B64   BB- (sf)             AAA (sf)/Watch Neg
II-A-9     225458B72   BB- (sf)             AAA (sf)/Watch Neg
III-A-1    225458XS2   BB- (sf)             AAA (sf)/Watch Neg
IV-A-1     225458XT0   BB- (sf)             AAA (sf)/Watch Neg
VIII-A-1   225458YA0   BB- (sf)             AAA (sf)/Watch Neg
A-X        225458YC6   NR                   AAA (sf)/Watch Neg
C-X        225458YD4   NR                   AAA (sf)/Watch Neg
D-X        225458YE2   NR                   AAA (sf)/Watch Neg
A-P        225458YF9   CC (sf)              BB (sf)/Watch Neg
C-B-1      225458YM4   CC (sf)              BBB (sf)/Watch Neg
C-B-2      225458YN2   CC (sf)              B- (sf)/Watch Neg
C-B-3      225458YP7   CC (sf)              CCC (sf)
C-B-4      225458YY8   CC (sf)              CCC (sf)
V-A-1      225458XU7   CC (sf)              BB (sf)/Watch Neg
V-A-2      225458XV5   CC (sf)              BB (sf)/Watch Neg
V-A-3      225458XW3   B (sf)               AAA (sf)/Watch Neg
V-A-4      225458B80   CC (sf)              BB (sf)/Watch Neg
VI-A-1     225458XX1   CCC (sf)             BB (sf)/Watch Neg
VI-A-2     225458XY9   CC (sf)              BB (sf)/Watch Neg
IX-A-1     225458YB8   CC (sf)              BB (sf)/Watch Neg
D-B-1      225458YQ5   CC (sf)              CCC (sf)
VII-A-1    225458XZ6   CC (sf)              BB (sf)/Watch Neg
VII-A-2    225458B98   CC (sf)              BB (sf)/Watch Neg

Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-2
Series      2007-2
                               Rating
Class      CUSIP       To                   From
I-A-1      25152BAA6   AA- (sf)             AAA (sf)/Watch Neg
I-X-1      25152BAC2   AA- (sf)             AAA (sf)/Watch Neg
I-X-2      25152BAD0   AA- (sf)             AAA (sf)/Watch Neg

Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4
Series      2006-AB4
                               Rating
Class      CUSIP       To                   From
A-4A       251513AY3   AA+ (sf)             AA+ (sf)/Watch Neg
A-5        251513BB2   AA+ (sf)             AA+ (sf)/Watch Neg
A-7        251513BE6   AA+ (sf)             AA+ (sf)/Watch Neg

GreenPoint Mortgage Funding Trust, Series 2006-AR7
Series      2006-AR7
                               Rating
Class      CUSIP       To                   From
2-A1       39538CAH5   CCC (sf)             B- (sf)/Watch Neg

GreenPoint Mortgage Funding Trust, Series 2007-AR1
Series      2007-AR1
                               Rating
Class      CUSIP       To                   From
3-A1       39539KAF0   CC (sf)              B (sf)/Watch Neg
3-A2       39539KAG8   CC (sf)              CCC (sf)
3-A3       39539KAH6   CC (sf)              CCC (sf)

GSAA Home Equity Trust 2004-6
Series      2004-6
                               Rating
Class      CUSIP       To                   From
A-1        36228F7D2   AA- (sf)             AAA (sf)/Watch Neg
A-2        36228F7E0   AAA (sf)             AAA (sf)/Watch Neg
M-1        36228F7F7   CC (sf)              B- (sf)
M-2        36228F7G5   CC (sf)              CCC (sf)

GSAA Home Equity Trust 2004-8
Series      2004-8
                               Rating
Class      CUSIP       To                   From
M-1        362373AD4   A- (sf)              AA (sf)/Watch Neg
M-2        362373AE2   CC (sf)              CCC (sf)

GSAA Home Equity Trust 2005-9
Series      2005-9
                               Rating
Class      CUSIP       To                   From
1A1        362341GJ2   AAA (sf)             AAA (sf)/Watch Neg
1A2        362341GK9   AA- (sf)             AA- (sf)/Watch Neg
2A2        362341HR3   AA- (sf)             AA- (sf)/Watch Neg
2A3        362341GL7   AA- (sf)             AA- (sf)/Watch Neg
2A4        362341HZ5   AA (sf)              AA (sf)/Watch Neg
M-1        362341GM5   B (sf)               B (sf)/Watch Neg
M-5        362341HS1   CC (sf)              CCC (sf)
M-6        362341HT9   CC (sf)              CCC (sf)
B-1        362341GR4   CC (sf)              CCC (sf)
B-2        362341GS2   CC (sf)              CCC (sf)

Homebanc Mortgage Trust 2005-4
Series      2005-4
                               Rating
Class      CUSIP       To                   From
A-1        43739EBS5   BBB (sf)             AAA (sf)/Watch Neg
A-2        43739EBT3   B- (sf)              AA+ (sf)/Watch Neg
M-1        43739EBU0   CCC (sf)             BBB+ (sf)/Watch Neg
M-2        43739EBV8   CCC (sf)             BB- (sf)/Watch Neg
M-3        43739EBW6   CCC (sf)             B- (sf)/Watch Neg

Impac CMB Trust Series 2003-1
Series      2003-1
                               Rating
Class      CUSIP       To                   From
1-A-1      45254NDV6   AA+ (sf)             AA+ (sf)/Watch Neg
1-B-1      45254NDW4   BBB+ (sf)            BBB+ (sf)/Watch Neg
2-A-1      45254NDX2   BBB (sf)             BBB (sf)/Watch Neg

Impac CMB Trust Series 2003-11
Series      2003-11
                               Rating
Class      CUSIP       To                   From
1-A-1      45254NFY8   AAA (sf)             AAA (sf)/Watch Neg
1-A-2      45254NFZ5   AAA (sf)             AAA (sf)/Watch Neg
2-A-1      45254NGA9   AAA (sf)             AAA (sf)/Watch Neg
1-M-1      45254NGB7   AA+ (sf)             AA+ (sf)/Watch Neg
1-M-2      45254NGC5   AA (sf)              AA (sf)/Watch Neg
1-M-3      45254NGD3   AA (sf)              AA (sf)/Watch Neg
2-M-1      45254NGE1   AA (sf)              AA (sf)/Watch Neg
2-M-2      45254NGF8   A (sf)               A (sf)/Watch Neg
2-B-1      45254NGG6   BBB (sf)             BBB (sf)/Watch Neg

Impac CMB Trust Series 2003-8
Series      2003-8
                               Rating
Class      CUSIP       To                   From
1-A-1      45254NFA0   AAA (sf)             AAA (sf)/Watch Neg
1-A-2      45254NFB8   AA+ (sf)             AA+ (sf)/Watch Neg
2-A-1      45254NFG7   AAA (sf)             AAA (sf)/Watch Neg
1-M-1      45254NFC6   AA (sf)              AA (sf)/Watch Neg
1-M-2      45254NFD4   A+ (sf)              A+ (sf)/Watch Neg
1-M-3      45254NFE2   A (sf)               A (sf)/Watch Neg
1-M-4      45254NFF9   A (sf)               A (sf)/Watch Neg
2-M-1      45254NFH5   AA (sf)              AA (sf)/Watch Neg
2-M-2      45254NFJ1   A (sf)               A (sf)/Watch Neg
2-B-1      45254NFK8   BBB (sf)             BBB (sf)/Watch Neg

Impac CMB Trust Series 2005-3
Series      2005-3
                               Rating
Class      CUSIP       To                   From
A-1        45254NNP8   B (sf)               BB- (sf)/Watch Neg
M-1        45254NNT0   CC (sf)              CCC (sf)

Impac Secured Assets Trust 2006-1
Series      2006-1
                               Rating
Class      CUSIP       To                   From
2-A-1      45254TTN4   AAA (sf)             AAA (sf)/Watch Neg

Impac Secured Assets Trust 2006-2
Series      2006-2
                               Rating
Class      CUSIP       To                   From
2-A-1      45256VAQ0   AAA (sf)             AAA (sf)/Watch Neg

IndyMac INDX Mortgage Loan Trust 2007-FLX4
Series      2007-FLX4
                               Rating
Class      CUSIP       To                   From
1-A-1      456687AA0   CCC (sf)             B- (sf)/Watch Neg
2-A-1      456687AC6   CCC (sf)             AA- (sf)/Watch Neg
2-A-2      456687AD4   CC (sf)              CCC (sf)

IndyMac INDX Mortgage Loan Trust 2007-FLX5
Series      2007-FLX5
                               Rating
Class      CUSIP       To                   From
1-A-1      45669WAA4   CC (sf)              CCC (sf)
1-A-2      45669WAB2   D (sf)               CC (sf)
2-A-1      45669WAC0   CCC (sf)             AA- (sf)/Watch Neg
2-A-2      45669WAD8   CC (sf)              CCC (sf)

Lehman XS Trust, Series 2007-12N
Series      2007-12N
                               Rating
Class      CUSIP       To                   From
1-A3A      52524YAC7   CC (sf)              CCC (sf)
2-A2       52524YAG8   D (sf)               CC (sf)
3-A1       52524YAK9   CCC (sf)             AAA (sf)/Watch Neg
3-A2       52524YAL7   CC (sf)              B- (sf)/Watch Neg

Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR1
Series      2007-OAR1
                               Rating
Class      CUSIP       To                   From
A-1        59023TAA3   CCC (sf)             AAA (sf)/Watch Neg
A-2        59023TAB1   CCC (sf)             BBB (sf)/Watch Neg
A-3        59023TAC9   CCC (sf)             BB (sf)/Watch Neg

Merrill Lynch Mortgage Investors Trust Series 2006-FF1
Series      2006-FF1
                               Rating
Class      CUSIP       To                   From
A1         59023WAH1   AAA (sf)             AAA (sf)/Watch Neg
A2B        59023WAK4   AAA (sf)             AAA (sf)/Watch Neg
A2C        59023WAL2   AAA (sf)             AAA (sf)/Watch Neg

Morgan Stanley Mortgage Loan Trust 2005-5AR
Series      2005-5AR
                               Rating
Class      CUSIP       To                   From
1-A-1      61748HKW0   AAA (sf)             AAA (sf)/Watch Neg
1-A-2      61748HKX8   AAA (sf)             AAA (sf)/Watch Neg
1-A-3      61748HKY6   AAA (sf)             AAA (sf)/Watch Neg
1-A-4      61748HKZ3   AAA (sf)             AAA (sf)/Watch Neg
2-A-1      61748HLA7   CC (sf)              CCC (sf)
2-A-2      61748HLB5   CC (sf)              CCC (sf)
3-A-1      61748HLC3   CC (sf)              CCC (sf)
3-A-2      61748HLD1   CC (sf)              CCC (sf)
3-A-3      61748HLE9   CC (sf)              CCC (sf)
4-A-1      61748HLF6   CC (sf)              CCC (sf)
4-A-2      61748HLG4   CC (sf)              CCC (sf)

Morgan Stanley Mortgage Loan Trust 2005-6AR
Series      2005-6AR
                               Rating
Class      CUSIP       To                   From
1-A-1      61748HMC2   AA+ (sf)             AAA (sf)/Watch Neg
1-A-2      61748HMD0   AAA (sf)             AAA (sf)/Watch Neg
1-A-3      61748HME8   AA+ (sf)             AAA (sf)/Watch Neg
1-A-4      61748HMF5   AA+ (sf)             AAA (sf)/Watch Neg
2-A-2      61748HMH1   CC (sf)              CCC (sf)
3-A-2      61748HML2   CC (sf)              CCC (sf)
4-A-1      61748HMN8   CC (sf)              CCC (sf)
4-A-2      61748HMP3   CCC (sf)             AAA (sf)/Watch Neg
4-A-3      61748HMQ1   CC (sf)              CCC (sf)
5-A-2      61748HMS7   CC (sf)              CCC (sf)
6-A-1      61748HMU2   CC (sf)              BB- (sf)/Watch Neg
6-A-2      61748HMV0   CC (sf)              CCC (sf)
1-M-1      61748HMW8   BB- (sf)             BBB- (sf)/Watch Neg
1-M-2      61748HMX6   B- (sf)              B (sf)/Watch Neg
1-M-3      61748HMY4   CCC (sf)             B- (sf)/Watch Neg
1-M-4      61748HMZ1   CCC (sf)             B- (sf)/Watch Neg
1-B-1      61748HNC1   CC (sf)              CCC (sf)
1-B-2      61748HND9   CC (sf)              CCC (sf)

New York Mortgage Trust 2005-1
Series      2005-1
                               Rating
Class      CUSIP       To                   From
A          649603AA5   AA+ (sf)             AAA (sf)/Watch Neg
M-1        649603AB3   CCC (sf)             AA (sf)/Watch Neg
M-2        649603AC1   CCC (sf)             A (sf)/Watch Neg

Opteum Mortgage Acceptance Corporation
Series      2005-2
                               Rating
Class      CUSIP       To                   From
A-I-3      68383NAT0   AAA (sf)             AAA (sf)/Watch Neg
A-II-1     68383NAU7   AAA (sf)             AAA (sf)/Watch Neg
A-II-2     68383NAV5   AAA (sf)             AAA (sf)/Watch Neg
M-1        68383NAW3   AA+ (sf)             AA+ (sf)/Watch Neg
M-2        68383NAX1   AA (sf)              AA (sf)/Watch Neg
M-7        68383NBC6   CC (sf)              CCC (sf)

Opteum Mortgage Acceptance Corporation
Series      2005-3
                               Rating
Class      CUSIP       To                   From
A-1B       68383NBL6   AAA (sf)             AAA (sf)/Watch Neg
A-1C       68383NBM4   AAA (sf)             AAA (sf)/Watch Neg
A-PT       68383NBZ5   AAA (sf)             AAA (sf)/Watch Neg
A-2        68383NBN2   AA+ (sf)             AA+ (sf)/Watch Neg
M-1        68383NBP7   BBB+ (sf)            BBB+ (sf)/Watch Neg
M-2        68383NBQ5   B (sf)               B (sf)/Watch Neg
M-3        68383NBR3   CCC (sf)             B- (sf)/Watch Neg
M-4        68383NBS1   CC (sf)              CCC (sf)
M-5        68383NBT9   CC (sf)              CCC (sf)
M-6        68383NBU6   D (sf)               CCC (sf)

RALI Series 2003-QA1 Trust
Series      2003-QA1
                               Rating
Class      CUSIP       To                   From
M-1        76110HPH6   AA (sf)              AA (sf)/Watch Neg

SBI Home Equity Loan Trust 2006-1
Series      2006-1
                               Rating
Class      CUSIP       To                   From
1A-1       78402TAA4   AAA (sf)             AAA (sf)/Watch Neg
1A-2B      78402TAL0   AAA (sf)             AAA (sf)/Watch Neg
1M-1       78402TAB2   AA (sf)              AA (sf)/Watch Neg

Structured Adjustable Rate Mortgage Loan Trust 2005-6XS
Series      2005-6XS
                               Rating
Class      CUSIP       To                   From
A3         863579MJ4   AAA (sf)             AAA (sf)/Watch Neg
M1         863579ML9   B+ (sf)              A- (sf)/Watch Neg

Structured Adjustable Rate Mortgage Loan Trust 2005-8XS
Series      2005-8XS
                               Rating
Class      CUSIP       To                   From
A3         863579NY0   AAA (sf)             AAA (sf)/Watch Neg
M1         863579NZ7   CCC (sf)             BB+ (sf)/Watch Neg

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-7
Series      2004-7
                               Rating
Class      CUSIP       To                   From
A4         86359BRW3   B- (sf)              B- (sf)/Watch Neg

Structured Adjustable Rate Mortgage Loan Trust, Series 2008-1
Series      2008-1
                               Rating
Class      CUSIP       To                   From
A1         86358DAA6   CCC (sf)             B- (sf)/Watch Neg
A21        86358DAC2   CC (sf)              CCC (sf)
A22        86358DAD0   CC (sf)              CCC (sf)
A31        86358DAE8   CC (sf)              CCC (sf)
A32        86358DAF5   CC (sf)              CCC (sf)
A2         86358DAG3   CC (sf)              CCC (sf)
A3         86358DAH1   CC (sf)              CCC (sf)
A4         86358DAJ7   CC (sf)              CCC (sf)
A5         86358DAK4   CC (sf)              CCC (sf)

Structured Asset Securities Corp.
Series      2004-23XS
                               Rating
Class      CUSIP       To                   From
1-A3B      86359BT76   AAA (sf)             AAA (sf)/Watch Neg
1-A3C      86359BT84   AAA (sf)             AAA (sf)/Watch Neg
1-A3D      86359BT92   AAA (sf)             AAA (sf)/Watch Neg
2-A1       86359BU33   BB+ (sf)             BBB+ (sf)
2-A2       86359BU41   BBB+ (sf)            A+ (sf)/Watch Neg
2-A3       86359BU58   BB+ (sf)             BBB+ (sf)
M1         86359BU74   CC (sf)              CCC (sf)

Structured Asset Securities Corporation Mortgage Loan Trust 2005-
7XS
Series      2005-7XS
                               Rating
Class      CUSIP       To                   From
1-A2A      86359B7G0   AAA (sf)             AAA (sf)/Watch Neg
1-A2B      86359B7R6   AAA (sf)             AAA (sf)/Watch Neg
1-A3       86359B7H8   BBB (sf)             AAA (sf)/Watch Neg
1-A4A      86359B7J4   BBB (sf)             AAA (sf)/Watch Neg
1-A4B      86359B7S4   BBB (sf)             AAA (sf)/Watch Neg
2-A1A      86359B7K1   B- (sf)              AAA (sf)/Watch Neg
2-A1B      86359B7T2   B- (sf)              AAA (sf)/Watch Neg
M1         86359B7L9   CC (sf)              B+ (sf)/Watch Neg
M2         86359B7M7   CC (sf)              CCC (sf)

Structured Asset Securities Corporation Mortgage Loan Trust 2005-
9XS
Series      2005 9XS
                               Rating
Class      CUSIP       To                   From
1-A3A      86359DEM5   B- (sf)              AA+ (sf)/Watch Neg
1-A3B      86359DEN3   BB+ (sf)             AAA (sf)/Watch Neg
1-A3C      86359DEP8   B- (sf)              AA+ (sf)/Watch Neg
1-A3D      86359DEQ6   B- (sf)              AA+ (sf)/Watch Neg
1-A4       86359DER4   B- (sf)              AA+ (sf)/Watch Neg
2-A1       86359DDS3   B- (sf)              AA+ (sf)/Watch Neg
2-A2       86359DES2   BB- (sf)             AAA (sf)/Watch Neg
2-A3       86359DET0   B- (sf)              AA+ (sf)/Watch Neg
2-A4       86359DDT1   NR                   AAA (sf)
M1         86359DDU8   CC (sf)              B- (sf)/Watch Neg
M2         86359DDV6   CC (sf)              CCC (sf)

Structured Asset Securities Corporation Mortgage Loan Trust, 2005-
2XS
Series      2005-2XS
                               Rating
Class      CUSIP       To                   From
1-A2A      86359B2B6   B+ (sf)              AAA (sf)/Watch Neg
1-A2B      86359B2C4   B+ (sf)              AAA (sf)/Watch Neg
1-A3       86359B2D2   B (sf)               AAA (sf)/Watch Neg
1-A4       86359B2E0   B (sf)               AAA (sf)/Watch Neg
1-A5A      86359B2F7   B+ (sf)              AAA (sf)/Watch Neg
1-A5B      86359B2G5   B+ (sf)              AAA (sf)/Watch Neg
2-A1       86359B2H3   B+ (sf)              AAA (sf)/Watch Neg
2-A2       86359B2J9   B+ (sf)              AAA (sf)/Watch Neg
M-1        86359B2K6   CC (sf)              B+ (sf)/Watch Neg

Terwin Mortgage Trust 2007-2ALT
Series      2007-2ALT
                               Rating
Class      CUSIP       To                   From
A-1A       88157JAA2   AAA (sf)             AAA (sf)/Watch Neg
A-1B       88157JAL8   AAA (sf)             AAA (sf)/Watch Neg

Thornburg Mortgage Securities Trust 2003-2
Series      2003-2
                               Rating
Class      CUSIP       To                   From
A          885220DC4   AAA (sf)             AAA (sf)/Watch Neg
M-1        885220DD2   AA+ (sf)             AA+ (sf)/Watch Neg

Thornburg Mortgage Securities Trust 2003-6
Series      2003-6
                               Rating
Class      CUSIP       To                   From
A-1        885220EP4   AAA (sf)             AAA (sf)/Watch Neg
A-2        885220EQ2   AA- (sf)             AA- (sf)/Watch Neg
M          885220ER0   B- (sf)              B- (sf)/Watch Neg

WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust
Series      2005-AR11
                               Rating
Class      CUSIP       To                   From
A-1C3      92922F2N7   BBB- (sf)            A (sf)/Watch Neg
A-1C4      92922F2P2   BBB- (sf)            A (sf)/Watch Neg
X          92922F2Q0   AAA (sf)             AAA (sf)/Watch Neg
B-1        92922F2R8   CCC (sf)             B- (sf)/Watch Neg

WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust
Series      2005-AR19
                               Rating
Class      CUSIP       To                   From
A-1A1      92925CBA9   AAA (sf)             AAA (sf)/Watch Neg
A-1A2      92925CBB7   AAA (sf)             AAA (sf)/Watch Neg
A-1B2      92925CBD3   AAA (sf)             AAA (sf)/Watch Neg
A-1B3      92925CBE1   AAA (sf)             AAA (sf)/Watch Neg
A-1C3      92925CBH4   BBB- (sf)            BBB (sf)/Watch Neg
A-1C4      92925CBJ0   BBB- (sf)            BBB (sf)/Watch Neg
X          92925CBK7   AAA (sf)             AAA (sf)/Watch Neg
B-1        92925CBL5   CCC (sf)             B- (sf)/Watch Neg
B-3        92925CBN1   CC (sf)              CCC (sf)
B-4        92925CBP6   CC (sf)              CCC (sf)

WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust
Series      2005-AR2
                               Rating
Class      CUSIP       To                   From
1-A-1A     92922FC97   BBB+ (sf)            AAA (sf)/Watch Neg
1-A-1B     92922FE87   BBB+ (sf)            AAA (sf)/Watch Neg
2-A-1A     92922FD21   AAA (sf)             AAA (sf)/Watch Neg
2-A-1B     92922FD39   BBB+ (sf)            AAA (sf)/Watch Neg
2-A-2A1    92922FD47   AAA (sf)             AAA (sf)/Watch Neg
2-A-2A3    92922FD62   AAA (sf)             AAA (sf)/Watch Neg
2-A-2B     92922FD70   BBB+ (sf)            AAA (sf)/Watch Neg
2-A-3      92922FE95   BBB+ (sf)            AAA (sf)/Watch Neg
X          92922FD88   AAA (sf)             AAA (sf)/Watch Neg
B-1        92922FD96   CC (sf)              B- (sf)/Watch Neg
B-2        92922FE20   CC (sf)              CCC (sf)
B-3        92922FE38   CC (sf)              CCC (sf)

Ratings Affirmed

Alternative Loan Trust 2004-6CB
Series      2004-6CB
Class      CUSIP       Rating
M-3        12667FCZ6   CC (sf)

Alternative Loan Trust 2004-8CB
Series      2004-8CB
Class      CUSIP       Rating
M-3        12667FGN9   CC (sf)

Alternative Loan Trust 2004-J5
Series      2004-J5
Class      CUSIP       Rating
1-A-5      12667FLF0   AAA (sf)
1-A-6      12667FLG8   AAA (sf)
2-A-1      12667FLJ2   AAA (sf)
2-A-3      12667FNG6   AAA (sf)
2-A-4      12667FNH4   AAA (sf)
B          12667FLN3   CC (sf)

Alternative Loan Trust 2004-J7
Series      2004-J7
Class      CUSIP       Rating
1-A-3      12667FSX4   AAA (sf)
1-A-4      12667FSZ9   AAA (sf)
1-A-5      12667FTA3   AAA (sf)
1-A-6      12667FSY2   AAA (sf)
M-2        12667FTF2   CC (sf)

Alternative Loan Trust 2007-OH2
Series      2007-OH2
Class      CUSIP       Rating
M-2        02151RAF0   CC (sf)
M-3        02151RAG8   CC (sf)
M-4        02151RAH6   CC (sf)
M-5        02151RAJ2   CC (sf)
M-6        02151RAK9   CC (sf)

American Home Mortgage Investment Trust 2004-4
Series      2004-4
Class      CUSIP       Rating
II-A-1     02660TCE1   AAA (sf)
II-A-2     02660TCF8   AAA (sf)
III-A      02660TCG6   AAA (sf)
IV-A       02660TCS0   AAA (sf)
V-A        02660TCT8   AAA (sf)
VI-A-1     02660TCJ0   AAA (sf)
VI-A-2     02660TCK7   AAA (sf)

American Home Mortgage Investment Trust 2005-4
Series      2005-4
Class      CUSIP       Rating
I-A-3      02660TGQ0   CC (sf)
II-A       02660TGR8   CCC (sf)
III-A-2    02660TGT4   CC (sf)
III-A-3    02660TGU1   CC (sf)

American Home Mortgage Investment Trust 2006-3
Series      2006-3
Class      CUSIP       Rating
IV-A       026929AN9   CC (sf)

Banc of America Funding 2004-B Trust
Series      2004-B
Class      CUSIP       Rating
1-A-1      05946XHV8   A- (sf)
1-A-2      05946XHW6   A- (sf)
2-A-1      05946XHZ9   AAA (sf)
2-A-2      05946XJA2   AAA (sf)
4-A-1      05946XJJ3   A (sf)
4-A-2      05946XJK0   A (sf)
7-A-1      05946XJR5   AAA (sf)
DB-1       05946XJV6   CC (sf)

Banc of America Funding 2005-A Trust
Series      2005-A
Class      CUSIP       Rating
3-A-1      05946XQW6   BBB (sf)
4-B-4      05946XRQ8   CC (sf)
4-B-5      05946XRR6   CC (sf)
5-A-2      05946XQZ9   AA (sf)
5-A-3      05946XRA3   A- (sf)
5-M-1      05946XRH8   B- (sf)
5-B-1      05946XRK1   CC (sf)

Bear Stearns ALT-A Trust 2004-10
Series      2004-10
Class      CUSIP       Rating
I-A-1      07386HLZ2   AAA (sf)
I-A-3      07386HMB4   AAA (sf)
II-A-1     07386HMC2   AAA (sf)
II-A-2     07386HMD0   AAA (sf)

Chevy Chase Funding LLC
Series      2004-1
Class      CUSIP       Rating
A-NA       16678R9C2   AAA (sf)
IO         16678R9D0   AAA (sf)
B-1        16678RAV9   AA+ (sf)
B-4        16678RAY3   CC (sf)
B-5        16678RAZ0   CC (sf)

Chevy Chase Funding LLC
Series      2004-B
Class      CUSIP       Rating
A-NA       16678R9N8   AAA (sf)
IO         16678R9O6   AAA (sf)
B-1        16678RCM7   AA (sf)
B-3        16678RCP0   CC (sf)

Chevy Chase Funding LLC
Series      2005-A
Class      CUSIP       Rating
A-NA       16678R9X8   AAA (sf)
IO         16678RAO4   AAA (sf)
NIO        16678RBI6   AAA (sf)
B-1        16678RDD6   B (sf)
B-1NA      16678R9Y6   B (sf)
B-2        16678RDE4   CC (sf)
B-2NA      16678RAI7   CC (sf)
B-3        16678RDF1   CC (sf)

CHL Mortgage Pass-Through Trust 2004-25
Series      2004-25
Class      CUSIP       Rating
1-A-1      12669GJY8   AAA (sf)
1-X        12669GKE0   AAA (sf)
2-A-1      12669GKF7   AAA (sf)
2-X        12669GKK6   AAA (sf)
M-5        12669GLC3   CC (sf)

CSFB Mortgage-Backed Trust Series 2005-6
Series      2005-6
Class      CUSIP       Rating
I-A-3      225458XH6   BBB+ (sf)
I-A-4      225458XJ2   A (sf)
I-M-1      225458YH5   CCC (sf)
I-M-2      225458YJ1   CC (sf)
C-B-5      225458YZ5   CC (sf)

GreenPoint Mortgage Funding Trust, Series 2007-AR1
Series      2007-AR1
Class      CUSIP       Rating
1-A1A      39539KAA1   CC (sf)
1-A2A      39539KAB9   CC (sf)
2-A1A      39539KAD5   CCC (sf)

GSAA Home Equity Trust 2004-8
Series      2004-8
Class      CUSIP       Rating
A-1        362373AA0   AAA (sf)
A-2        362373AB8   AAA (sf)
A-3A       362373AC6   AAA (sf)
A-3B       362373AL6   AAA (sf)
B-1        362373AF9   CC (sf)

GSAA Home Equity Trust 2005-9
Series      2005-9
Class      CUSIP       Rating
M-2        362341GN3   CCC (sf)
M-3        362341GP8   CCC (sf)
M-4        362341GQ6   CCC (sf)
B-3        362341GT0   CC (sf)

Homebanc Mortgage Trust 2005-4
Series      2005-4
Class      CUSIP       Rating
M-4        43739EBX4   CCC (sf)
M-5        43739EBY2   CCC (sf)
B-1        43739EBZ9   CC (sf)

Impac CMB Trust Series 2005-3
Series      2005-3
Class      CUSIP       Rating
A-2        45254NNQ6   CCC (sf)
A-3        45254NNR4   CCC (sf)

Lehman XS Trust, Series 2006-18N
Series      2006-18N
Class      CUSIP       Rating
A2A        52522GAB0   CC (sf)
A5A        52522GAE4   CC (sf)

Lehman XS Trust, Series 2007-12N
Series      2007-12N
Class      CUSIP       Rating
2-A1       52524YAF0   CCC (sf)

Merrill Lynch Mortgage Investors Trust Series 2006-FF1
Series      2006-FF1
Class      CUSIP       Rating
M1         59023WAA6   AA+ (sf)
M2         59023WAB4   BBB (sf)
M3         59023WAC2   BB- (sf)
M4         59023WAD0   B- (sf)
M5         59023WAE8   CCC (sf)
M6         59023WAF5   CCC (sf)
B1         59023WAG3   CCC (sf)
B2         59023WAR9   CC (sf)

Morgan Stanley Mortgage Loan Trust 2005-5AR
Series      2005-5AR
Class      CUSIP       Rating
1-M-1      61748HLH2   B+ (sf)
1-M-2      61748HLJ8   B- (sf)
1-M-3      61748HLK5   CCC (sf)
1-M-4      61748HLL3   CCC (sf)
1-M-5      61748HLM1   CCC (sf)
1-M-6      61748HLN9   CCC (sf)
1-B-1      61748HLP4   CC (sf)
1-B-2      61748HLQ2   CC (sf)

Morgan Stanley Mortgage Loan Trust 2005-6AR
Series      2005-6AR
Class      CUSIP       Rating
1-M-5      61748HNA5   CCC (sf)
1-M-6      61748HNB3   CCC (sf)

Opteum Mortgage Acceptance Corporation
Series      2005-2
Class      CUSIP       Rating
M-3        68383NAY9   A+ (sf)
M-4        68383NAZ6   BB+ (sf)
M-5        68383NBA0   B- (sf)
M-6        68383NBB8   CCC (sf)
M-8        68383NBD4   CC (sf)

RALI Series 2003-QA1 Trust
Series      2003-QA1
Class      CUSIP       Rating
A-1        76110HPF0   AAA (sf)
A-II       76110HPG8   AAA (sf)
M-2        76110HPJ2   BBB- (sf)

SBI Home Equity Loan Trust 2006-1
Series      2006-1
Class      CUSIP       Rating
1M-2       78402TAC0   A (sf)
1M-3       78402TAD8   BBB (sf)
1M-4       78402TAF3   BB (sf)

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-7
Series      2004-7
Class      CUSIP       Rating
A1         86359BRS2   AAA (sf)
A3         86359BRV5   AAA (sf)
M1         86359BRX1   CC (sf)

Structured Asset Securities Corp.
Series      2004-23XS
Class      CUSIP       Rating
1-A3A      86359BT68   AAA (sf)
1-A4       86359BU25   AAA (sf)
M2         86359BU82   CC (sf)

Structured Asset Securities Corporation Mortgage Loan Trust, 2005-
2XS
Series      2005-2XS
Class      CUSIP       Rating
M2         86359B2L4   CC (sf)

Thornburg Mortgage Securities Trust 2003-2
Series      2003-2
Class      CUSIP       Rating
M-2        885220DE0   A (sf)

WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust
Series      2005-AR11
Class      CUSIP       Rating
A-1A       92922F2G2   AAA (sf)
A-1B2      92922F2J6   AAA (sf)
A-1B3      92922F2K3   AAA (sf)
B-2        92922F2S6   CCC (sf)
B-3        92922F2T4   CC (sf)
B-4        92922F2U1   CC (sf)
B-5        92922F2V9   CC (sf)
B-6        92922F2W7   CC (sf)
B-7        92922F2X5   CC (sf)
B-8        92922F2Y3   CC (sf)

WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust
Series      2005-AR19
Class      CUSIP       Rating
B-2        92925CBM3   CCC (sf)
B-5        92925CBQ4   CC (sf)
B-6        92925CBR2   CC (sf)

WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust
Series      2005-AR2
Class      CUSIP       Rating
B-4        92922FE46   CC (sf)
B-5        92922FE53   CC (sf)


AMERICAN HOME: Moody's Lowers Rating of $140 Mil. of Alt-A RMBS
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of two
tranches issued by American Home Mortgage Investment Trust 2005-1.

RATINGS RATIONALE

The collateral backing the transaction consists primarily of
first-lien, Alt-A residential mortgage loans. The actions are a
result of the recent performance review of Alt-A pools and reflect
Moody's updated loss expectations on Alt-A pools issued from 2005
to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: American Home Mortgage Investment Trust 2005-1

Cl. II-A-1, Downgraded to Ba3 (sf); previously on Dec 22, 2010
Downgraded to Baa1 (sf)

Cl. IV-A-1, Downgraded to Caa1 (sf); previously on Dec 22, 2010
Downgraded to B1 (sf)


AMERIGUEST MORTGAGE: Moody's Lowers Ratings of $1.6 Bil. RMBS
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 32
tranches from 8 RMBS transactions, backed by subprime mortgage
loans, issued by Ameriquest.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R10

Cl. A-1, Downgraded to A1 (sf); previously on Apr 14, 2010
Confirmed at Aa2 (sf)

Cl. A-2B, Downgraded to A2 (sf); previously on Apr 14, 2010
Confirmed at Aa3 (sf)

Cl. A-2C, Downgraded to A3 (sf); previously on Apr 14, 2010
Confirmed at A1 (sf)

Cl. M-1, Downgraded to Ba1 (sf); previously on Apr 14, 2010
Downgraded to Baa2 (sf)

Cl. M-2, Downgraded to Caa1 (sf); previously on Apr 14, 2010
Downgraded to B2 (sf)

Cl. M-3, Downgraded to C (sf); previously on Apr 14, 2010
Downgraded to Caa2 (sf)

Cl. M-4, Downgraded to C (sf); previously on Apr 14, 2010
Downgraded to Caa3 (sf)

Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R11

Cl. A-1, Downgraded to A1 (sf); previously on Apr 14, 2010
Confirmed at Aa3 (sf)

Cl. A-2C, Downgraded to A1 (sf); previously on Apr 14, 2010
Confirmed at Aa3 (sf)

Cl. A-2D, Downgraded to A3 (sf); previously on Apr 14, 2010
Downgraded to A2 (sf)

Cl. M-3, Downgraded to C (sf); previously on Apr 14, 2010
Downgraded to Ca (sf)

Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R4

Cl. A-1B, Downgraded to A1 (sf); previously on Apr 14, 2010
Downgraded to Aa2 (sf)

Cl. M-3, Downgraded to Ca (sf); previously on Apr 14, 2010
Downgraded to Caa2 (sf)

Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R5

Cl. A-2C, Downgraded to Aa1 (sf); previously on Apr 14, 2010
Confirmed at Aaa (sf)

Cl. M-1, Downgraded to A2 (sf); previously on Apr 14, 2010
Confirmed at Aa1 (sf)

Cl. M-2, Downgraded to Baa3 (sf); previously on Apr 14, 2010
Downgraded to Baa2 (sf)

Cl. M-3, Downgraded to Caa1 (sf); previously on Apr 14, 2010
Downgraded to B2 (sf)

Cl. M-4, Downgraded to C (sf); previously on Apr 14, 2010
Downgraded to Caa2 (sf)

Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R7

Cl. A-1D, Downgraded to Aa2 (sf); previously on Apr 14, 2010
Downgraded to Aa1 (sf)

Cl. A-2D, Downgraded to Aa2 (sf); previously on Apr 14, 2010
Downgraded to Aa1 (sf)

Cl. M-3, Downgraded to C (sf); previously on Apr 14, 2010
Downgraded to Caa2 (sf)

Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R9

Cl. A-1, Downgraded to Ba1 (sf); previously on Apr 14, 2010
Downgraded to Aa3 (sf)

Cl. A-2B, Downgraded to Ba2 (sf); previously on Apr 14, 2010
Downgraded to A1 (sf)

Cl. A-2C, Downgraded to Ba2 (sf); previously on Apr 14, 2010
Downgraded to A2 (sf)

Cl. AF-5, Downgraded to Aa3 (sf); previously on Apr 14, 2010
Upgraded to Aaa (sf)

Cl. AF-6, Downgraded to Aa1 (sf); previously on Apr 14, 2010
Upgraded to Aaa (sf)

Issuer: Ameriquest Mortgage Securities Inc., Series 2006-R1

Cl. A-1, Downgraded to A2 (sf); previously on Apr 14, 2010
Downgraded to Aa2 (sf)

Cl. A-2C, Downgraded to Aa2 (sf); previously on Apr 14, 2010
Confirmed at Aa1 (sf)

Cl. A-2D, Downgraded to A3 (sf); previously on Apr 14, 2010
Downgraded to A1 (sf)

Cl. M-2, Downgraded to C (sf); previously on Apr 14, 2010
Downgraded to Ca (sf)

Issuer: Ameriquest Mortgage Securities Inc., Series 2006-R2

Cl. A-2B, Downgraded to A2 (sf); previously on Apr 14, 2010
Downgraded to Aa3 (sf)

Cl. A-2C, Downgraded to A3 (sf); previously on Apr 14, 2010
Downgraded to A2 (sf)


AMMC CLO: Moody's Upgrades Ratings of Five Classes of Notes
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by AMMC CLO V, Limited:

US$40,000,000 Class A-1-B Floating Rate Notes due 2017, Upgraded
to Aa1(sf); previously on June 22, 2011 placed on review for
upgrade;

US$28,750,000 Class A-2 Floating Rate Notes due 2017 (current
balance: $28,564,771.5), Upgraded to Aaa(sf); previously on June
22, 2011 placed on review for upgrade;

US$9,750,000 Class B Floating Rate Notes due 2017, Upgraded to
Aa2(sf); previously on June 22, 2011 placed on review for upgrade;

US$19,500,000 Class C Floating Rate Deferrable Notes Due 2017,
Upgraded to Baa1(sf); previously on June 22, 2011 placed on review
for upgrade;

US$ 19,500,000 Class D Floating Rate Deferrable Notes due 2017,
Upgraded to Ba2(sf); previously on June 22, 2011 placed on review
for upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par balance of $275million, defaulted par of $3million,
a weighted average default probability of 19% (implying a WARF of
2746), a weighted average recovery rate upon default of 48% and a
diversity score of 67. The default and recovery properties of the
collateral pool are incorporated in cash flow model analysis where
they are subject to stresses as a function of the target rating of
each CLO liability being reviewed. The default probability is
derived from the credit quality of the collateral pool and Moody's
expectation of the remaining life of the collateral pool. The
average recovery rate to be realized on future defaults is based
primarily on the seniority of the assets in the collateral pool.
In each case, historical and market performance trends and
collateral manager latitude for trading the collateral are also
factors.

AMMC CLO V, Limited, issued in December 2005, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behaviour and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

Deleveraging: The main source of uncertainty in this transaction
is whether deleveraging from unscheduled principal proceeds will
continue and at what pace. Deleveraging may accelerate due to high
prepayment levels in the loan market and/or collateral sales by
the manager, which may have significant impact on the notes'
ratings.


APHEX CAPITAL: S&P Puts 'CCC+' Rating on Class A on Watch Neg
-------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 42
tranches from 35 corporate-backed synthetic collateralized debt
obligation (CDO) transactions on CreditWatch positive. "At the
same time, we placed our ratings on six tranches from three
synthetic CDO transactions backed by commercial mortgage-backed
securities (CMBS) on CreditWatch negative," S&P related.

The rating actions followed S&P's monthly review of U.S. synthetic
CDO transactions.

The CreditWatch positive placements reflect seasoning of the
transactions, the rating stability of the obligors in the
underlying reference portfolios over the past few months, and
synthetic rated overcollateralization (SROC) ratios that have
risen above 100% at the next highest rating level as of the June
month-end run. The CreditWatch negative placements reflect
negative rating migration in the respective portfolios and SROC
ratios that had fallen below 100% as of the June month-end run.

Rating Actions

Aphex Capital NSCR 2006-2 Ltd.
                                 Rating
Class                   To                   From
A                       CCC+ (sf)/Watch Neg  CCC+ (sf)

Aphex Capital NSCR 2007-3 Ltd.
                                 Rating
Class                   To                   From
A-1F                    CCC+ (sf)/Watch Neg  CCC+ (sf)
A-1L                    CCC+ (sf)/Watch Neg  CCC+ (sf)

Corsair (Jersey) No. 4 Ltd.
10
                                 Rating
Class                    To                  From
Notes                    B+ (sf)/Watch Pos   B+ (sf)

Credit Default Swap
SDB506551435
                                 Rating
Class                    To                    From
Notes                    B-srp (sf)/Watch Pos  B-srp (sf)

Credit Default Swap
SDB506551423
                                 Rating
Class                    To                    From
Notes                    B-srp (sf)/Watch Pos  B-srp (sf)

Credit Default Swap
SDB506494096
                                 Rating
Class                    To                    From
Notes                    B-srp (sf)/Watch Pos  B-srp (sf)

Credit Default Swap
SDB506551442
                                 Rating
Class                    To                    From
Notes                    B-srp (sf)/Watch Pos  B-srp (sf)

Credit Default Swap
SDB506551445
                                 Rating
Class                    To                    From
Notes                    B-srp (sf)/Watch Pos  B-srp (sf)

Credit Default Swap
SDB506550851
                                 Rating
Class                    To                    From
Notes                    B-srp (sf)/Watch Pos  B-srp (sf)

Credit Default Swap
SDB506551383
                                 Rating
Class                    To                    From
Notes                    B-srp (sf)/Watch Pos  B-srp (sf)

Credit Default Swap
SDB506551403
                                 Rating
Class                    To                    From
Notes                    B-srp (sf)/Watch Pos  B-srp (sf)

Credit Default Swap
SDB506551406
                                 Rating
Class                    To                    From
Notes                    B-srp (sf)/Watch Pos  B-srp (sf)

Credit Default Swap
SDB506551414
                                 Rating
Class                    To                    From
Notes                    B-srp (sf)/Watch Pos  B-srp (sf)

Credit Default Swap
$1.437 bil J.P. Morgan Chase Bank, N.A. - Credit Protection Trust
255
(Soleil)
J17593 (SOLEIL)
                                 Rating
Class                    To                    From
Tranche                  A-srp (sf)/Watch Pos  A-srp (sf)

Credit Default Swap
$187.5 mil Swap Risk Rating - Portfolio CDS Ref No.
PYR_8631051_82386545_Vizzavona
                                 Rating
Class                  To                      From
Swap                   BBB+srp (sf)/Watch Pos  BBB+srp (sf)

CypressTree Synthetic CDO Ltd.
2006-1
                                 Rating
Class                    To                    From
Notes                    BBB+ (sf)/Watch Pos   BBB+ (sf)

Greylock Synthetic CDO 2006
Series 2
                                 Rating
Class                    To                  From
A3-$FMS                  B (sf)/Watch Pos    B (sf)
A3-$LMS                  B (sf)/Watch Pos    B (sf)
A3A-$FMS                 B (sf)/Watch Pos    B (sf)
A3B-$LMS                 B (sf)/Watch Pos    B (sf)

Greylock Synthetic CDO 2006
Series 5
                                 Rating
Class                    To                  From
A1-$LMS                  BB (sf)/Watch Pos   BB (sf)

Infiniti SPC Ltd.
$20 mil Infiniti SPC Ltd. Acting on Behalf of and for the Account
of the
Potomac Synthetic CDO 2007-2 Segregated Portfolio, Series 10A-2
                                 Rating
Class                    To                  From
10A-2                    BB (sf)/Watch Pos   BB (sf)

Magnolia Finance II PLC
2006-7B
                                 Rating
Class                    To                  From
Notes                    BB+ (sf)/Watch Pos  BB+ (sf)

Mistletoe ORSO Trust 1
                                 Rating
Class                    To                    From
Cr Link                  BBB- (sf)/Watch Pos   BBB- (sf)

Mistletoe ORSO Trust 2
                                 Rating
Class                    To                  From
Cr Link                  A (sf)/Watch Pos    A (sf)

Morgan Stanley ACES SPC
2006-9
                                 Rating
Class                    To                    From
IA                       CCC- (sf)/Watch Pos   CCC- (sf)

Morgan Stanley ACES SPC
2006-33
                                 Rating
Class                    To                  From
E                        A+ (sf)/Watch Pos   A+ (sf)

Morgan Stanley ACES SPC
2007-28
                                 Rating
Class                    To                  From
A                        BB+ (sf)/Watch Pos  BB+ (sf)

Morgan Stanley ACES SPC
2007-36
                                 Rating
Class                    To                  From
I                        BB+ (sf)/Watch Pos  BB+ (sf)

Morgan Stanley ACES SPC
2008-2
                                 Rating
Class                    To                  From
Notes                    BB+ (sf)/Watch Pos  BB+ (sf)

Morgan Stanley Managed ACES SPC
2006-2
                                 Rating
Class                    To                  From
Combo                    B+ (sf)/Watch Pos   B+ (sf)
III                      B- (sf)/Watch Pos   B- (sf)

Morgan Stanley Managed ACES SPC
2006-4
                                 Rating
Class                    To                  From
IIIA                     B+ (sf)/Watch Pos   B+ (sf)
IIIB                     B+ (sf)/Watch Pos   B+ (sf)

North Street Referenced Linked Notes 2005-9 Ltd.
                                 Rating
Class                    To                    From
C                        AA- (sf)/Watch Pos    AA- (sf)
D                        BBB+ (sf)/Watch Pos   BBB+ (sf)
E                        BB+ (sf)/Watch Pos    BB+ (sf)

ORSO Portfolio Tranche Index Certificates
                                 Rating
Class                    To                  From
CL                       A- (sf)/Watch Pos   A- (sf)

REVE SPC
EUR35 mil, US$20 mil Reve SPC Dryden XVII Notes Series 2007-2
                                 Rating
Class                    To                    From
A Seg 8                  CCC+ (sf)/Watch Pos   CCC+ (sf)

Rutland Rated Investments
LYNDEN 2006-1 (21)
                                 Rating
Class                    To                  From
A1-L                     BB- (sf)/Watch Pos  BB- (sf)

Rutland Rated Investments
US$105 mil Dryden XII - IG Synthetic CDO 2006-2
                                 Rating
Class                    To                  From
A1-$LS                   BB (sf)/Watch Pos   BB (sf)

SPGS SPC
2006-I
                                 Rating
Class                    To                    From
A                        CCC+ (sf)/Watch Neg   CCC+ (sf)
B                        CCC+ (sf)/Watch Neg   CCC+ (sf)
C                        CCC+ (sf)/Watch Neg   CCC+ (sf)

STEERS Thayer Gate CDO Trust, Series 2006-1
                                 Rating
Class                    To                    From
Trust Cert               CCC- (sf)/Watch Pos   CCC- (sf)

STEERS Thayer Gate CDO Trust, Series 2006-2
                                 Rating
Class                    To                    From
Trust Unit               CCC- (sf)/Watch Pos   CCC- (sf)

STRATA Trust, Series 2006-10
                                 Rating
Class                    To                  From
Notes                    B (sf)/Watch Pos    B (sf)


ARES ENHANCED: Moody's Rates Three Classes of Mezzanine Notes
-------------------------------------------------------------
Moody's Investors Service has assigned these ratings to notes
issued by Ares Enhanced Loan Investment Strategy III, Ltd. (the
"Issuer"):

US$27,000,000 Class B Mezzanine Secured Deferrable Floating Rate
Notes due 2022 (the "Class B Notes"), assigned A2 (sf),

US$45,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2022 (the "Class C Notes"), assigned Baa2 (sf),

US$45,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2022 (the "Class D Notes"), assigned Ba1 (sf).

RATINGS RATIONALE

Moody's ratings of the notes address the expected loss posed to
noteholders and reflect the risks due to defaults on the
underlying portfolio of loans, the transaction's legal structure,
and the characteristics of the underlying assets.

Ares Enhanced Loan Investment Strategy III, Ltd. is a managed cash
flow CLO. The transaction is collateralized primarily by broadly
syndicated first-lien, senior secured corporate loans. At least
90% of the portfolio must be invested in senior secured loans or
eligible investments and up to 10% of the portfolio may consist of
high-yield debt securities. Ares Enhanced Loan Investment Strategy
III, Ltd. is an existing transaction, which closed in March of
2008 and whose capital structure initially consisted of the
US$800,000,000 Class A Senior Secured Floating Rate Notes due 2022
(current outstanding balance of US$793,884,648.31) (the "Class A
Notes") and the US$200,000,000 Subordinated Notes. The issuance of
the Class B Notes, the Class C Notes and the Class D Notes
(collectively, the "Mezzanine Notes") represents a refinancing of
the existing Subordinated Notes. After giving effect to the
refinancing, the new outstanding balance of the Subordinated Notes
will be US$83,000,000. The outstanding principal balance of the
Class A Notes will not change.

The transaction incorporates coverage tests, both par and
interest, which, if triggered, divert interest and principal
proceeds to pay down the rated notes in order of seniority. In
accordance with the respective priority of payments, interest and
principal will be paid to the Moody's-rated notes prior to the
payments to the other notes.

Ares Enhanced Loan Management III, L.P. ("Ares") will direct the
selection, acquisition and disposition of collateral on behalf of
the Issuer. Ares may engage in trading activity during the
transaction's remaining three-year reinvestment period.
Thereafter, sales of securities that are defaulted, credit
improved, or credit risk are allowed and purchases of additional
collateral obligations are permitted, subject to certain
conditions.

Solely for the purpose of the WARF calculation, our analysis
treats ratings of the underlying collateral securities on "review
for possible downgrade" as if they were two notches lower and
those with a "negative outlook" as if they were one notch lower.
While conducting the quantitative evaluation of the expected
losses of the Mezzanine Notes, Moody's considered a number of
cash-flow modeling scenarios based on a range of assumptions,
including the following base-case assumptions:

Diversity of 49

WARF of 2835

Weighted Average Spread of 2.68%

Weighted Average Recovery Rate of 47.5%

Weighted Average Life of 6 years.

Together with the set of modeling assumptions above, Moody's
conducted additional sensitivity analysis which was an important
component in determining the ratings assigned to the Mezzanine
Notes. This sensitivity analysis includes increased default
probability relative to the base case. Below is a summary of the
impact of an increase in default probability (expressed in terms
of WARF level) on the Mezzanine Notes (shown in terms of the
number of notch difference versus the current model output,
whereby a negative difference corresponds to higher expected
losses), assuming that all other factors are held equal:

Moody's Adjusted WARF + 15% (3260)

Class B Notes: -1

Class C Notes: -1

Class D Notes: -1

Moody's Adjusted WARF + 30% (3686)

Class B Notes: -3

Class C Notes: -2

Class D Notes: -2.

The V Score for this transaction is Medium/High. This V Score has
been assigned in a manner generally similar to the Medium/High V
score assigned for the global cash flow CLO sector, as described
in the special report titled "V Scores and Parameter Sensitivities
in the Global Cash Flow CLO Sector," dated July 17, 2009,
available on www.moodys.com.

While the overall V Score for this transaction is consistent with
the that of the benchmark CLO, Moody's has assigned scores to two
subcomponents that are higher than those of the benchmark CLO.
First, the score for the "Transaction Complexity" subcomponent is
Medium/High instead of Medium for the benchmark CLO. This
assessment results from the fact that about 7.7% of the underlying
portfolio represents investments in non-U.S. dollar-denominated
assets, which are hedged through asset-specific hedges. Second,
the score for the "Alignment of Interests" subcomponent is
Medium/High, instead of Medium for the benchmark CLO. This
assessment results from the fact that in cases where the Issuer is
required to satisfy Moody's rating condition, Moody's will be
asked to confirm the then-current rating of the Class A Notes, but
not the Mezzanine Notes. In Moody's view, this feature could
introduce additional ratings volatility to the Mezzanine Notes.

Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction,
rather than individual tranches.

The principal methodology used in rating the Mezzanine Notes was
"Moody's Approach to Rating Collateralized Loan Obligations,"
published in June 2011. Please see the Credit Policy page on
www.moodys.com for a copy of this methodology.


ARES VIII: Moody's Upgrades Ratings of 13 Classes of CLO Notes
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Ares VIII CLO Ltd.:

US$233,900,000 Class A-1-A Senior Secured Notes Due 2016 (current
outstanding balance of $106,752,152), Upgraded to Aaa (sf);
previously on June 22, 2011 Aa3 (sf) Placed Under Review for
Possible Upgrade;

US$22,600,000 Class A-1-B Senior Secured Notes Due 2016 (current
outstanding balance of $10,314,659), Upgraded to Aaa (sf);
previously on June 22, 2011 Aa3 (sf) Placed Under Review for
Possible Upgrade;

US$150,000,000 Class A-2 Senior Secured Notes Due 2016 (current
outstanding balance of $59,218,937), Upgraded to Aaa (sf);
previously on June 22, 2011 Aa1 (sf) Placed Under Review for
Possible Upgrade;

US$17,000,000 Class A-3 Senior Secured Notes Due 2016, Upgraded to
Aaa (sf); previously on June 22, 2011 A1 (sf) Placed Under Review
for Possible Upgrade;

US$23,650,000 Class B-1 Senior Secured Deferrable Interest Notes
Due 2016, Upgraded to Aa1 (sf); previously on June 22, 2011 Baa3
(sf) Placed Under Review for Possible Upgrade;

US$9,350,000 Class B-2 Senior Secured Deferrable Interest Notes
Due 2016, Upgraded to Aa1 (sf); previously on June 22, 2011 Baa3
(sf) Placed Under Review for Possible Upgrade;

US$19,200,000 Class C-1 Senior Secured Deferrable Interest Notes
Due 2016, Upgraded to Baa2 (sf); previously on June 22, 2011 B3
(sf) Placed Under Review for Possible Upgrade;

US$13,800,000 Class C-2 Senior Secured Deferrable Interest Notes
Due 2016, Upgraded to Baa2 (sf); previously on June 22, 2011 B3
(sf) Placed Under Review for Possible Upgrade;

US$6,750,000 Class D-1 Subordinated Secured Deferrable Interest
Notes Due 2016 (current outstanding balance of $2,678,299),
Upgraded to Baa3 (sf); previously on June 22, 2011 Caa3 (sf)
Placed Under Review for Possible Upgrade;

US$3,000,000 Class D-2 Subordinated Secured Deferrable Interest
Notes Due 2016 (current outstanding balance of $1,190,355),
Upgraded to Baa3 (sf); previously on June 22, 2011 Caa3 (sf)
Placed Under Review for Possible Upgrade;

US$1,250,000 Class D-3 Subordinated Secured Deferrable Interest
Notes Due 2016 (current outstanding balance of $495,981), Upgraded
to Baa3 (sf); previously on June 22, 2011 Caa3 (sf) Placed Under
Review for Possible Upgrade;

US$8,000,000 Class 1 Composite Securities Due 2016 (current
outstanding rated balance of $2,744,704), Upgraded to Aa3 (sf);
previously on June 22, 2011 Ba3 (sf) Placed Under Review for
Possible Upgrade;

US$13,000,000 Class 7 Composite Securities Due 2016 (current
outstanding rated balance of $4,224,314), Upgraded to Aa1 (sf);
previously on June 22, 2011 Baa1 (sf) Placed Under Review for
Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of delevering of the senior
notes since the rating action in September 2010. Moody's notes
that the Class A1 and Class A2 Notes have been paid down by
approximately 55% or $212 million since the rating action in
September 2010. As a result of the delevering, the
overcollateralization ratios have increased. Based on the latest
trustee report dated June 9, 2011, the Class A, Class B, Class C
and Class D overcollateralization ratios are reported at 152.81%,
130.52%, 113.91% and 112.03%, respectively, versus July 2010
levels of 123.31%, 114.02%, 106.04% and 104.73%, respectively. In
particular, the Class D overcollateralization ratio has increased
in part due to the diversion of excess interest to delever the
Class D notes. Since the rating action in September 2010, $1.5
million of interest proceeds have reduced the outstanding balance
of the Class D Notes by 26%. Moody's expects the diversion of
excess interest to delever the Class D notes to continue.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $296 million,
defaulted par of $7 million, a weighted average default
probability of 14.64% (implying a WARF of 2542), a weighted
average recovery rate upon default of 47.24%, and a diversity
score of 42. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

Ares VIII CLO Ltd., issued in August 2004, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans and a material concentration of bonds.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

Other Factors used in this rating are described in "Using the
Structured Note Methodology to Rate CDO Combo-Notes" published in
February 2004.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Delevering: The main source of uncertainty in this transaction
   is whether delevering from unscheduled principal proceeds will
   continue and at what pace. Delevering may accelerate due to
   high prepayment levels in the loan market and/or collateral
   sales by the manager, which may have significant impact on the
   notes' ratings.

2) Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus sell defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.


ARES VR: Moody's Upgrades Ratings of CLO Notes
----------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Ares VR CLO, Ltd.

US$35,000,000 Class A-1 Revolving Floating Rate Notes (current
outstanding balance of $28,546,957.43), Upgraded to Aaa (sf);
previously on June 22, 2011 Aa1 (sf) Placed Under Review for
Possible Upgrade;

US$100,000,000 Class A-2 Delayed Drawdown Floating Rate Notes
(current outstanding balance of $81,562,735.67), Upgraded to Aaa
(sf); previously on June 22, 2011 Aa1 (sf) Placed Under Review for
Possible Upgrade;

US$333,700,000 Class A-3 Floating Rate Notes (current outstanding
balance of $272,174,848.55), Upgraded to Aaa (sf); previously on
June 22, 2011 Aa1 (sf) Placed Under Review for Possible Upgrade;

US$22,100,000 Class B Floating Rate Notes, Upgraded to Aa2 (sf);
previously on June 22, 2011 A2 (sf) Placed Under Review for
Possible Upgrade;

US$23,400,000 Class C Deferrable Floating Rate Notes, Upgraded to
A2 (sf); previously on June 22, 2011 Baa2 (sf) Placed Under Review
for Possible Upgrade;

US$56,200,000 Class D Deferrable Floating Rate Notes (current
outstanding balance of $49,461,206.98), Upgraded to Ba2 (sf);
previously on June 22, 2011 B2 (sf) Placed Under Review for
Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in the publication "Moody's Approach to Rating
Collateralized Loan Obligations" published in June 2011. The
primary changes to the modeling assumptions include (1) a removal
of the temporary 30% default probability macro stress implemented
in February 2009 as well as (2) increased BET liability stress
factors and increased recovery rate assumptions.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $503 million,
defaulted par of $4.3 million, a weighted average default
probability of 17.2% (implying a WARF of 2589), a weighted average
recovery rate upon default of 48.1%, and a diversity score of 55.
These default and recovery properties of the collateral pool are
incorporated in cash flow model analysis where they are subject to
stresses as a function of the target rating of each CLO liability
being reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

Ares VR CLO, Ltd., issued in March 2006, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

Delevering: The main source of uncertainty in this transaction is
whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to high
prepayment levels in the market and/or collateral sales by the
manager, which may have significant impact on the notes' ratings.

Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels.

Further, the timing of recoveries and the manager's decision to
work out versus sell defaulted assets create additional
uncertainties. Moody's analyzed defaulted recoveries assuming the
lower of the market price and the recovery rate in order to
account for potential volatility in market prices.


ARES IX: Moody's Upgrades Ratings of CLO Notes
----------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Ares IX CLO Ltd.:

$321,250,000 Class A-1-A Floating Rate Notes Due April 20, 2017
(current balance of $188,484,727), Upgraded to Aaa (sf);
previously on June 22, 2011 Aa3 (sf), Placed Under Review for
Possible Upgrade;

$18,750,000 Class A-1-C Floating Rate Notes Due April 20, 2017,
Upgraded to Aaa (sf); previously on June 22, 2011 A1 (sf), Placed
Under Review for Possible Upgrade;

$50,000,000 Class A-2 Variable Funding Floating Rate Notes Due
April 20, 2017 (current balance of $29,336,144), Upgraded to Aaa
(sf); previously on June 22, 2011 Aa3 (sf), Placed Under Review
for Possible Upgrade;

$12,000,000 Class B Floating Rate Notes Due April 20, 2017,
Upgraded to Aaa (sf); previously on June 22, 2011 A3 (sf), Placed
Under Review for Possible Upgrade;

$33,000,000 Class C Floating Rate Deferrable Notes Due April 20,
2017, Upgraded to Aa2 (sf); previously on June 22, 2011 Ba1 (sf),
Placed Under Review for Possible Upgrade;

$39,000,000 Class D-1 Floating Rate Deferrable Notes Due April 20,
2017, Upgraded to Baa2 (sf); previously on June 22, 2011 B3 (sf),
Placed Under Review for Possible Upgrade;

$3,000,000 Class D-2 Fixed Rate Deferrable Notes Due April 20,
2017, Upgraded to Baa2 (sf); previously on June 22, 2011 B3 (sf),
Placed Under Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of an increase in the
transaction's overcollateralization ratio and delevering of the
senior notes since the rating action in November 2010. Moody's
notes that the Class A Notes have been paid down by approximately
31% or $123.3 million since the rating action in November 2010. As
a result of the delevering, the overcollateralization ratio has
increased since the rating action in November 2010. Based on the
latest trustee report dated June 3, 2011, the Senior
overcollateralization ratio is reported at 134.96% versus November
2010 level of 122.49%.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $391 million,
defaulted par of $4 million, a weighted average default
probability of 16.52% (implying a WARF of 2684), a weighted
average recovery rate upon default of 48.26%, and a diversity
score of 45. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

Ares IX CLO Ltd. issued in March 2005, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011. Please see the Research & Ratings page on
www.moodys.com for a copy of this methodology.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Delevering: The main source of uncertainty in this transaction
   is whether delevering from unscheduled principal proceeds will
   continue and at what pace. Delevering may accelerate due to
   high prepayment levels in the loan market and/or collateral
   sales by the manager, which may have significant impact on the
   notes' ratings.

2) Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus sell defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.

3) Long-dated assets: The presence of assets that mature beyond
   the CLO's legal maturity date exposes the deal to liquidation
   risk on those assets. Moody's assumes an asset's terminal value
   upon liquidation at maturity to be equal to the lower of an
   assumed liquidation value (depending on the extent to which the
   asset's maturity lags that of the liabilities) and the asset's
   current market value.

4) The deal has a pay-fixed receive-floating interest rate swap
   that is currently out of the money. Payment timing mismatches
   between assets and liabilities may cause additional concerns.
   If the deal does not receive sufficient projected principal
   proceeds on the payment date to supplement the interest
   proceeds shortfall, a heightened risk of interest payment
   default could occur. Similarly, if principal proceeds are used
   to pay interest, there may ultimately be a risk of payment
   default on the principal of the notes.


ARES XVI: S&P Gives 'BB' Rating on Class E Deferrable Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Ares
XVI CLO Ltd./Ares XVI CLO LLC's $356.00 million floating-rate
notes following the transaction's effective date as of June 7,
2011.

Most U.S. cash flow collateralized loan obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral.

On the closing date, the collateral manager typically covenants to
purchase the remaining collateral within the guidelines specified
in the transaction documents to reach the target level of
portfolio collateral. Typically, the CLO transaction documents
specify a date by which the targeted level of portfolio collateral
must be reached. The "effective date" for a CLO transaction is
usually the earlier of the date on which the transaction acquires
the target level of portfolio collateral, or the date defined in
the transaction documents. Most transaction documents contain
provisions directing the trustee to request the rating agencies
that have issued ratings upon closing to affirm the ratings issued
on the closing date after reviewing the effective date portfolio
(typically referred to as an "effective date rating affirmation").

"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P related.

"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This window
of time is typically referred to as a 'ramp-up period.' Because
some CLO transactions may acquire most of their assets from the
new issue leveraged loan market, the ramp-up period may give
collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P stated.

"For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, our ratings on the
closing date and prior to our effective date review are generally
based on the application of our criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to us by the
collateral manager, and may also reflect our assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased," S&P related.

"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P said.

"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P stated.

"On an ongoing basis after we issue an effective date rating
affirmation, we will periodically review whether, in our view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as we deem
necessary," S&P added.

Ratings Affirmed
Ares XVI CLO Ltd./Ares XVI CLO LLC

Class                Rating       Amount (mil. $)
A                    AAA (sf)              260.00
B                    AA (sf)                21.00
C (deferrable)       A (sf)                 35.00
D (deferrable)       BBB (sf)               22.00
E (deferrable)       BB (sf)                18.00
Subordinated         NR                     54.00

NR -- Not rated.


ARGENT SECURITIES: Moody's Downgrades $593 Mil. of Subprime RMBS
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 6 tranches
from 2 RMBS transactions, backed by subprime mortgage loans,
issued by Argent.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Argent Securities Inc., Series 2005-W2

Cl. A-1, Downgraded to Baa1 (sf); previously on Apr 12, 2010
Downgraded to A3 (sf)

Cl. A-2B1, Downgraded to Baa3 (sf); previously on Apr 12, 2010
Downgraded to Baa2 (sf)

Cl. A-2B2, Downgraded to Baa3 (sf); previously on Apr 12, 2010
Downgraded to Baa2 (sf)

Issuer: Argent Securities Inc., Series 2005-W3

Cl. A-1, Downgraded to Ba2 (sf); previously on Apr 12, 2010
Downgraded to A2 (sf)

Cl. A-2D, Downgraded to B1 (sf); previously on Apr 12, 2010
Downgraded to Ba1 (sf)

Cl. M-1, Downgraded to Ca (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)


ARIZONA HIGHER: Fitch Lowers Ratings on Class B Notes to 'BB'
-------------------------------------------------------------
Fitch Ratings has affirmed the senior student loan notes and
downgraded the subordinate notes issued by Arizona Higher
Education Loan Authority under a master trust indenture, dated
Aug. 1, 2005. The Rating Outlook is Stable.

Fitch used its 'Global Structured Finance Rating Criteria' and
'U.S. FFELP Student Loan ABS Rating Criteria', as well as the
refined basis risk criteria outlined in Fitch's Sept. 22, 2010
press release 'Fitch to Gauge Basis Risk in Auction-Rate U.S.
FFELP SLABS Review' to review the ratings.

The ratings on the senior notes are affirmed based on the
sufficient level of credit enhancement (consisting of
subordination and the projected minimum excess spread) to cover
the applicable risk factor stresses. The ratings on the
subordinate notes are downgraded to 'BB/LS3' due to an
insufficient level of credit enhancement to maintain the current
rating; current total parity is under-collateralized at 99.37%.
Fitch recently became aware of the insufficient parity when a
reporting error was discovered. Since the inception of the trust,
the reported parity has been overstated due to the inclusion of
AHELA's operating funds in the total asset balance. These funds
are not trust assets and therefore should not have been included
in the parity calculation. While the error raises concerns with
the level of reporting not meeting Fitch's expectations, AHELA
has addressed it. However, since June 2009, the trust's total
parity has been steadily rising and the parity calculation
excluded the operating funds mentioned previously. The trust
continues to generate positive excess spread. Nonetheless, Fitch
is downgrading the subordinate notes as total parity is currently
below par.

Fitch has taken these rating actions:

Arizona Higher Education Loan Authority (AHELA) student loan
revenue
bonds, issued under the 2005 master trust indenture:

  -- 2005 class A-1 affirmed at 'AAAsf/LS1'; Outlook Stable;

  -- 2005 class A-2 affirmed at 'AAAsf/LS1'; Outlook Stable;

  -- 2006 class A-1 affirmed at 'AAAsf/LS1'; Outlook Stable;

  -- 2006 class A-2 affirmed at 'AAAsf/LS1'; Outlook Stable;

  -- 2007 class A-1 affirmed at 'AAAsf/LS1'; Outlook Stable;

  -- 2005 class B downgraded to 'BBsf/LS3' from 'BBBsf/LS3';
     Outlook Stable;

  -- 2006 class B downgraded to 'BBsf/LS3' from 'BBBsf/LS3';
     Outlook Stable;

  -- 2007 class B downgraded to 'BBsf/LS3' from 'BBBsf/LS3';
     Outlook Stable.


ARMOR MCP: Moody's Downgrades $11.9 Mil. of Synthetic Jumbo RMBS
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of Cl B-1
issued by issued by Armor MCP 2005-1 L.P, a synthetic prime jumbo
RMBS transaction. The collateral backing this deal consists
primarily of first-lien, fixed-rate prime jumbo residential
mortgages.

RATINGS RATIONALE

This synthetic transaction provides the owner of a sizable pool of
prime jumbo mortgages (the "Protection Buyer") credit protection
through a credit default swap with the issuer (the "Protection
Seller") of the notes. Through this agreement, the Protection
Buyer pays a fee in return for the transfer of a portion of the
reference portfolio credit risk.

Investors in the note have an interest in the holdings of the
issuer, which include highly rated investment instruments, a
forward delivery agreement and fee collections on the agreement
with the Protection Buyer. Investors are exposed to losses from
the reference portfolio but benefit only indirectly from cash
flows from these assets. Depending on the class of notes held,
investors have credit protection from subordination.

The actions are a result of the recent performance review of prime
jumbo pools and reflect Moody's updated loss expectations on prime
jumbo pools issued from 2005 to 2008. . The principal methodology
used in this rating 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
factors used in this rating are described in "2005 -- 2008 US RMBS
Surveillance Methodology" published in July 2011. Please see the
Credit Policy page on http://www.moodys.comfor a copy of these
methodologies.

Moody's final rating action is based on the current rating, level
of credit enhancement, collateral performance and updated pool-
level loss expectations relative to current level of credit
enhancement. Moody's took into account credit enhancement provided
by seniority, cross-collateralization, time tranching, and other
structural features within the senior note waterfalls.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in late 2011, accompanied by continued stress in
national employment levels through that timeframe.

Complete rating actions are:

Issuer: Armor MCP 2005-1 L.P.

Cl. B-1, Downgraded to C (sf); previously on Apr 27, 2010
Downgraded to B2 (sf)


ASSET BACKED: Moody's Lowers Ratings of $154 Mil. Subprime RMBS
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 2 tranches
from Asset Backed Securities Corporation Home Equity Loan Trust,
Series OOMC 2006-HE5, backed by subprime mortgage loans, issued by
ABSC.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
Subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Asset Backed Securities Corporation Home Equity Loan
Trust, Series OOMC 2006-HE5

Cl. A1, Downgraded to Ba1 (sf); previously on Dec 3, 2010
Downgraded to Baa2 (sf)

Cl. A4, Downgraded to B3 (sf); previously on Dec 3, 2010
Downgraded to B1 (sf)


ATRIUM II: Moody's Upgrades Ratings of Six Classes of CLO Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Atrium II:

US$185,000,000 Class A-1 Floating Rate Notes Due 2016 (current
balance of $100,281,072), Upgraded to Aaa (sf); previously on June
22, 2011, Aa1 (sf) Placed Under Review for Possible Upgrade;

US$12,000,000 Class A-2a Floating Rate Notes Due 2016, Upgraded to
Aa1 (sf); previously on June 22, 2011, A2 (sf) Placed Under Review
for Possible Upgrade;

US$5,000,000 Class A-2b Fixed Rate Notes Due 2016, Upgraded to Aa1
(sf); previously on June 22, 2011, A2 (sf) Placed Under Review for
Possible Upgrade;

US$11,000,000 Class B Deferrable Floating Rate Notes Due 2016,
Upgraded to Baa1 (sf); previously on June 22, 2011, Ba1 (sf)
Placed Under Review for Possible Upgrade;

US$6,000,000 Class C-1 Floating Rate Notes Due 2016, Upgraded to
Ba3 (sf); previously on June 22, 2011, Caa1 (sf) Placed Under
Review for Possible Upgrade; and

US$6,000,000 Class C-2 Fixed Rate Notes Due 2016, Upgraded to Ba3
(sf); previously on June 22, 2011, Caa1 (sf) Placed Under Review
for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of delevering of the senior
notes since the rating action in October 2010. Moody's notes that
the Class A-1 notes have been paid down by approximately $52.6
million since the rating action in October 2010. As a result of
the delevering, the overcollateralization ratios have increased
since the rating action in October 2010. Based on the latest
trustee report dated June 7, 2011, the Class A, Class B, and Class
C overcollateralization ratios are reported at 131.8%, 120.5%, and
110.2%, respectively, versus September 2010 levels of 121.7%,
114.3%, and 107.2%, respectively, and all related
overcollateralization tests are currently in compliance.

Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity date of the notes. Based on the June 2011 trustee report,
reference securities that mature after the maturity date of the
notes currently make up approximately 18.19% of the underlying
reference portfolio. These investments potentially expose the
notes to market risk in the event of liquidation at the time of
the notes' maturity.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $143.57 million,
defaulted par of $5.07 million, a weighted average default
probability of 16.92% (implying a WARF of 2852), a weighted
average recovery rate upon default of 48.67%, and a diversity
score of 42. These default and recovery properties of the
collateral pool are incorporated in cash flow model analysis where
they are subject to stresses as a function of the target rating of
each CLO liability being reviewed. The default probability is
derived from the credit quality of the collateral pool and Moody's
expectation of the remaining life of the collateral pool. The
average recovery rate to be realized on future defaults is based
primarily on the seniority of the assets in the collateral pool.
In each case, historical and market performance trends and
collateral manager latitude for trading the collateral are also
factors.

Atrium II, issued in December 2003, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Delevering: A source of uncertainty in this transaction is
   whether delevering from unscheduled principal proceeds will
   continue and at what pace. Delevering may accelerate due to
   high prepayment levels in the bond and loan market and/or
   collateral sales by the manager, which may have significant
   impact on the notes' ratings.

2) Long-dated assets: The presence of assets that mature beyond
   the CLO's legal maturity date exposes the deal to liquidation
   risk on those assets. Moody's assumes an asset's terminal value
   upon liquidation at maturity to be equal to the lower of an
   assumed liquidation value (depending on the extent to which the
   asset's maturity lags that of the liabilities) and the asset's
   current market value.


AURUM CLO: Moody's Upgrades Ratings of Four classes of CLO Notes
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Aurum CLO 2002-1 Ltd.:

US$30,000,000 Class B Senior Secured Floating Rate Notes Due 2014,
Upgraded to Aaa (sf); previously on June 22, 2011, A3 (sf) Placed
Under Review for Possible Upgrade;

US$14,000,000 Class C Senior Secured Floating Rate Notes Due 2014,
Upgraded to A3 (sf); previously on June 22, 2011, Ba3 (sf) Placed
Under Review for Possible Upgrade;

US$10,000,000 Class D-1 Senior Secured Floating Rate Notes Due
2014, Upgraded to B1 (sf); previously on June 22, 2011, Caa3 (sf)
Placed Under Review for Possible Upgrade; and

US$3,000,000 Class D-2 Senior Secured Floating Rate Notes Due
2014, Upgraded to B1 (sf); previously on June 22, 2011, Caa3 (sf)
Placed Under Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of delevering of the senior
notes since the rating action in October 2010. Moody's notes that
based on the latest trustee report dated June 1, 2011, the Class
A-1 Notes have been paid down completely, and together with Class
A-2 Notes, the Class A Notes have been paid down by approximately
$45.4 million since the rating action in December 2010 (without
consideration of paydowns occurring on the July 15, 2011 payment
date). As a result of the delevering, the overcollateralization
ratios have increased since the rating action in December 2010.
Based on the latest trustee report dated June 1, 2011, the Class
A, Class B, Class C, and Class D overcollateralization ratios are
reported at 214.99%, 140.35%, 120.78%, and 106.94%, respectively,
versus November 2010 levels of 162.25%, 125.33%, 113.30%, and
104.02%, respectively, and all related overcollateralization tests
are currently in compliance.

Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity date of the notes. Based on the June 2011 trustee report,
reference securities that mature after the maturity date of the
notes currently make up approximately 24.9% of the underlying
reference portfolio. These investments potentially expose the
notes to market risk in the event of liquidation at the time of
the notes' maturity.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $123.86 million,
defaulted par of $1.77 million, a weighted average default
probability of 16.43% (implying a WARF of 3165), a weighted
average recovery rate upon default of 47.67%, and a diversity
score of 33. These default and recovery properties of the
collateral pool are incorporated in cash flow model analysis where
they are subject to stresses as a function of the target rating of
each CLO liability being reviewed. The default probability is
derived from the credit quality of the collateral pool and Moody's
expectation of the remaining life of the collateral pool. The
average recovery rate to be realized on future defaults is based
primarily on the seniority of the assets in the collateral pool.
In each case, historical and market performance trends and
collateral manager latitude for trading the collateral are also
factors.

Aurum CLO 2002-1 Ltd., issued in June 2002, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Delevering: A source of uncertainty in this transaction is
   whether delevering from unscheduled principal proceeds will
   continue and at what pace. Delevering may accelerate due to
   high prepayment levels in the bond and loan market and/or
   collateral sales by the manager, which may have significant
   impact on the notes' ratings.

2) Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus sell defaulted
   assets create additional uncertainties.

3) Long-dated assets: The presence of assets that mature beyond
   the CLO's legal maturity date exposes the deal to liquidation
   risk on those assets. Moody's assumes an asset's terminal value
   upon liquidation at maturity to be equal to the lower of an
   assumed liquidation value (depending on the extent to which the
   asset's maturity lags that of the liabilities) and the asset's
   current market value.


BABSON CLO: Moody's Upgrades Ratings of Seven CLO Notes
-------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Babson CLO Ltd. 2006-I:

US$30,000,000 Class A-2 Notes (current outstanding balance of
$29,169,908), Upgraded to Aaa (sf); previously on June 22, 2011
Aa2 (sf) Placed Under Review for Possible Upgrade;

US$150,000,000 Class A-2B Notes (current outstanding balance of
$145,849,542), Upgraded to Aaa (sf); previously on June 22, 2011
Aa2 (sf) Placed Under Review for Possible Upgrade;

US$40,000,000 Class A-3 Notes, Upgraded to Aaa (sf); previously on
June 22, 2011 Aa3 (sf) Placed Under Review for Possible Upgrade;

US$51,700,000 Class B Notes, Upgraded to Aa3 (sf); previously on
June 22, 2011 A3 (sf) Placed Under Review for Possible Upgrade;

US$27,600,000 Class C Notes, Upgraded to Baa2 (sf); previously on
June 22, 2011 Ba1 (sf) Placed Under Review for Possible Upgrade;

US$23,000,000 Class D Notes, Upgraded to Ba2 (sf); previously on
June 22, 2011 B1 (sf) Placed Under Review for Possible Upgrade;

US$12,100,000 Class E Notes, Upgraded to B1 (sf); previously on
June 22, 2011 Caa3 (sf) Placed Under Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The actions reflect key
changes to the modeling assumptions, which incorporate (1) a
removal of the temporary 30% default probability macro stress
implemented in February 2009 as well as (2) increased BET
liability stress factors and increased recovery rate assumptions.

The actions also reflect credit improvement of the underlying
portfolio and an increase in the transaction's
overcollateralization ratios since the rating action in July 2009.
Based on the latest trustee report from June 2011, the weighted
average rating factor is currently 2669 compared to 3100 in the
May 2009 report. The overcollateralization ratios of the rated
notes have also improved since the rating action in July 2009. The
Senior, Mezzanine and Junior overcollateralization ratios are
reported at 121.2%, 109.1% and 106.5%, respectively, versus May
2009 levels of 113.9%, 102.6% and 100.2%, respectively, and all
related overcollateralization tests are currently in compliance.
Class E Notes are no longer deferring interest and all previously
deferred interest has been paid in full.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $550 million,
defaulted par of $5 million, a weighted average default
probability of 21.1% (implying a WARF of 3000), a weighted average
recovery rate upon default of 50.7%, and a diversity score of 75.
These default and recovery properties of the collateral pool are
incorporated in cash flow model analysis where they are subject to
stresses as a function of the target rating of each CLO liability
being reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

Moody's Investors Service also has downgraded the ratings of these
notes issued by Babson CLO Ltd. 2006-I:

US$14,000,000 Class P Notes, Downgraded to Aa2 (sf); previously on
June 22, 2011 Aa1 (sf) Placed Under Review for Possible Upgrade.

Moody's rating on the Class P Notes is based on the underlying
securities and the legal structure of the transaction. The rating
actions are a result of the change of the rating of the underlying
securities, a 10-Year US$Zero Coupon Note issued under a Euro
Medium Term Note Programme of the Commonwealth Bank of Australia,
due May 31, 2016, which is currently rated Aa2.

Babson CLO Ltd. 2006-I, issued in May 2006, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior, 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Weighted average life: The notes' ratings are sensitive to the
   weighted average life assumption of the portfolio, which may be
   extended due to the manager's decision to reinvest into new
   issue loans or other loans with longer maturities and/or
   participate in amend-to-extend offerings.

2) Other collateral quality metrics: The deal is allowed to
   reinvest and the manager has the ability to deteriorate the
   collateral quality metrics' existing cushions against the
   covenant levels. Moody's analyzed the impact of assuming the
   worse of reported and covenanted values for weighted average
   rating factor, weighted average spread, weighted average
   coupon, and diversity score. However, as part of the base case,
   Moody's considered WARF and spread levels higher than the
   covenant levels due to the large difference between the
   reported and covenant levels. In addition, Moody's tested the
   impact of assuming the reported value for the weighted average
   rating factor of 2662.


BAKER STREET: Moody's Upgrades Ratings of Six Classes of Notes
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Baker Street Funding 2005-1 CLO:

US$234,000,000 Class A-1 Floating Rate Notes Due 2018 (current
outstanding balance of $227,044,048), Upgraded to Aaa (sf);
previously on Jun 22, 2011 Aa2 (sf) Placed Under Review for
Possible Upgrade;

US$35,000,000 Class A-2 Variable Funding Floating Rate Notes Due
2018 (current outstanding balance of $27,359,580), Upgraded to Aaa
(sf); previously on Jun 22, 2011 Aa2 (sf) Placed Under Review for
Possible Upgrade;

US$20,000,000 Class B Floating Rate Notes Due 2018, Upgraded to
Aa1 (sf); previously on Jun 22, 2011 A3 (sf) Placed Under Review
for Possible Upgrade;

US$18,000,000 Class C Floating Rate Deferrable Notes Due 2018,
Upgraded to A2 (sf); previously on Jun 22, 2011 Ba1 (sf) Placed
Under Review for Possible Upgrade;

US$16,000,000 Class D Floating Rate Deferrable Notes Due 2018
(current outstanding balance of $14,729,584), Upgraded to Baa3
(sf); previously on Jun 22, 2011 B3 (sf) Placed Under Review for
Possible Upgrade;

US$9,400,000 Class E Floating Rate Deferrable Notes Due 2018,
Upgraded to Ba3 (sf); previously on Jun 22, 2011 Caa3 (sf) Placed
Under Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" and "Annual Sector Review (2009): Global CLOs," key
model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers. In its base case, Moody's analyzed the
underlying collateral pool to have a performing par balance,
including principal proceeds, of $337 million, defaulted par of
$10.3 million, a weighted average default probability of 16.3%
(implying a WARF of 2502), a weighted average recovery rate upon
default of 50.0%, and a diversity score of 60. The default and
recovery properties of the collateral pool are incorporated in
cash flow model analysis where they are subject to stresses as a
function of the target rating of each CLO liability being
reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends, and collateral manager
latitude for trading the collateral are also factors.

Baker Street Funding 2005-1 CLO, issued in December 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations", published in
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2016 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the managers'
investment strategies and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1. Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus selling defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.

2. Other collateral quality metrics: The deal is allowed to
   reinvest and the manager has the ability to deteriorate the
   collateral quality metrics' existing cushions against the
   covenant levels. Moody's analyzed the impact of assuming worse
   of reported and covenanted values for weighted average rating
   factor, weighted average spread, weighted average coupon, and
   diversity score. However, as part of the base case, Moody's
   considered a weighted average spread level higher than the
   covenant level due to large differences between the reported
   and covenant levels.


BANC OF AMERICA: Moody's Lowers Ratings of $150 Mil. of Alt-A RMBS
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of five
tranches and upgraded the ratings of five tranches from four Alt-A
RMBS transactions, issued by Banc of America in 2005.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, Alt-A residential mortgage loans. The actions are a
result of the recent performance review of Alt-A pools and reflect
Moody's updated loss expectations on Alt-A pools issued from 2005
to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

In the rating action, some tranches were upgraded. The upgrades
are a result of improved performance and/or certain structural
features. In certain transactions there are structural features
whereby the tranches are receiving more principal payments than
anticipated, supporting the upgrades.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Banc of America Alternative Loan Trust 2005-1

Cl. 2-A-1, Downgraded to Ba3 (sf); previously on Apr 26, 2010
Downgraded to Baa3 (sf)

Cl. 15-IO, Downgraded to Ba3 (sf); previously on Apr 26, 2010
Downgraded to Baa3 (sf)

Issuer: Banc of America Alternative Loan Trust 2005-2

Cl. 3-A-1, Downgraded to Ba2 (sf); previously on Apr 26, 2010
Downgraded to A3 (sf)

Cl. 4-A-1, Downgraded to B1 (sf); previously on Apr 26, 2010
Downgraded to Ba2 (sf)

Cl. 15-IO, Downgraded to Ba2 (sf); previously on Apr 26, 2010
Downgraded to A3 (sf)

Issuer: Banc of America Funding 2005-A Trust

Cl. 5-A-1, Upgraded to Baa3 (sf); previously on Jul 8, 2010
Downgraded to B1 (sf)

Cl. 5-A-3A, Upgraded to Ba3 (sf); previously on Jul 8, 2010
Downgraded to B3 (sf)

Cl. 5-A-3B, Upgraded to Ba3 (sf); previously on Jul 8, 2010
Downgraded to B3 (sf)

Issuer: Banc of America Funding 2005-B Trust

Cl. 3-A-1, Upgraded to Ba1 (sf); previously on Jul 8, 2010
Downgraded to B1 (sf)

Cl. 3-A-1B, Upgraded to Ba1 (sf); previously on Jul 8, 2010
Downgraded to B1 (sf)


BANC OF AMERICA: Moody's Lowers Ratings of Prime Jumbo RMBS
-----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of six
tranches and upgraded the ratings of two tranches from three RMBS
transactions, backed by prime jumbo loans, issued by Banc of
America.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, prime jumbo residential mortgage loans. The actions
are a result of the recent performance review of prime jumbo pools
and reflect Moody's updated loss expectations on prime jumbo pools
issued from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
prime jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R) (SFW), the
cash flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

In the rating action, some tranches were upgraded. The upgrades
are a result of improved performance and/or certain structural
features. In certain transactions there are structural features
whereby the tranches are receiving more principal payments than
anticipated, supporting the upgrades.

The approach is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project losses
on pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that
varies from 3% to 5% on average. The baseline rates are higher
than the average rate of new delinquencies for larger pools for
the respective vintages.

Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 3.00%, the adjusted rate of new delinquency would
be 3.03%. in addition, if current delinquency levels in a small
pool is low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.75 to 2.5 for current
delinquencies ranging from less than 2.5% to greater than 10%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology " publication.

The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Banc of America Funding 2006-3 Trust

Cl. 5-A-7, Upgraded to Baa1 (sf); previously on Apr 30, 2010
Downgraded to B1 (sf)

Cl. X-IO, Downgraded to B1 (sf); previously on Apr 30, 2010
Downgraded to Ba1 (sf)

Issuer: Banc of America Funding 2006-I Trust

Cl. 1-A-1, Upgraded to Baa3 (sf); previously on Apr 30, 2010
Downgraded to Ba3 (sf)

Issuer: Banc of America Funding 2007-3 Trust

Cl. 1-A-1, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Upgraded to Ba2 (sf)

Cl. 1-A-2, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Upgraded to Ba2 (sf)

Cl. X-IO, Downgraded to B3 (sf); previously on Apr 30, 2010
Upgraded to Ba2 (sf)

Cl. X-A-1, Downgraded to Caa1 (sf); previously on Feb 18, 2011
Confirmed at B3 (sf)

Cl. X-A-2, Downgraded to Caa1 (sf); previously on Feb 18, 2011
Confirmed at B3 (sf)


BATTALION CLO: Moody's Upgrades Ratings of CLO Notes
----------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Battalion CLO 2007-1 Ltd.:

US$343,500,000 Class A Senior Secured Floating Rate Notes, Due
2022 (current outstanding balance of $340,544,142), Upgraded to
Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed Under Review
for Possible Upgrade;

US$31,500,000 Class B Senior Secured Floating Rate Notes, Due
2022, Upgraded to Aa3 (sf); previously on June 22, 2011 A1 (sf)
Placed Under Review for Possible Upgrade;

US$32,500,000 Class C Senior Secured Deferrable Floating Rate
Notes, Due 2022, Upgraded to A3 (sf); previously on June 22, 2011
Baa2 (sf) Placed Under Review for Possible Upgrade;

US$27,500,000 Class D Secured Deferrable Floating Rate Notes, Due
2022, Upgraded to Ba1 (sf); previously on June 22, 2011 Ba2 (sf)
Placed Under Review for Possible Upgrade;

US$22,500,000 Class E Secured Deferrable Floating Rate Notes, Due
2022, Upgraded to Ba3 (sf); previously on June 22, 2011 Caa1 (sf)
Placed Under Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $492.55 million,
defaulted par of $10.36 million, a weighted average default
probability of 25.41% (implying a WARF of 3180), a weighted
average recovery rate upon default of 47.98%, and a diversity
score of 48. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

Battalion CLO 2007-1 Ltd., issued in July 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus sell defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.

2) Weighted average life: The notes' ratings are sensitive to the
   weighted average life assumption of the portfolio, which may be
   extended due to the manager's decision to reinvest into new
   issue loans or other loans with longer maturities and/or
   participate in amend-to-extend offerings. Moody's tested for a
   possible extension of the actual weighted average life in its
   analysis.

3) Other collateral quality metrics: The deal is allowed to
   reinvest and the manager has the ability to deteriorate the
   collateral quality metrics' existing cushions against the
   covenant levels. Moody's analyzed the impact of assuming the
   worse of reported and covenanted values for weighted average
   rating factor, weighted average spread, weighted average
   coupon, and diversity score. However, as part of the base case,
   Moody's considered spread and diversity levels higher than the
   covenant levels due to the large difference between the
   reported and covenant levels.


BAYVIEW COMMERCIAL: S&P Lowers Rating on Class M-5 Notes to 'CCC'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 32
classes from 15 residential mortgage backed securities (RMBS)
transactions and removed 10 of them from CreditWatch negative. "We
raised our rating on one class and removed it from CreditWatch
positive. We affirmed our ratings on 149 classes from 36
transactions in this review, removed 71 of them from CreditWatch
negative, and removed one from CreditWatch positive. We also
withdrew our ratings on two classes that were previously on
CreditWatch negative," S&P related.

"This review is part of our resolution of CreditWatch negative
placements following the release of our updated counterparty
criteria in December 2010. The 37 U.S. RMBS transactions in this
review are a mix of subprime, Alternative-A (Alt A), scratch-and-
dent, first-lien high LTV, closed-end second-lien, home equity
line of credit (HELOC), resecuritized real estate mortgage
investment conduit (re-REMIC), reverse mortgage, servicer advance,
and small balance commercial transactions issued between 2003 and
2009. We also reviewed one Canadian RMBS transaction," S&P stated.

"We placed a number of U.S. RMBS classes on CreditWatch with
negative implications on Jan. 18, 2011, following the release of
our revised counterparty criteria (see 'North American Structured
Finance CreditWatch Actions In Connection With Revised
Counterparty Criteria' and 'Counterparty And Supporting
Obligations Methodology and Assumptions,' published Dec. 6,
2010). We reviewed the affected transactions to assess the impact
of the applicable hedges associated with the transactions under
our counterparty criteria. We examined to what extent the hedges
may provide net positive cash inflow for the transactions over the
life of the hedge based on our interest rate assumptions.
Typically, we also assessed the impact on the ratings by applying
our analysis with and without the existence of the applicable
hedges. If we concluded that our ratings would likely be
negatively impacted without the applicable hedges, then our
ratings would typically be limited based on our counterparty
criteria, which is generally the lowest hedge counterparty rating
for the transaction plus one notch. In these cases, we also
examined the hedge documents to assess whether we considered any
negative rating action to be appropriate based on our counterparty
criteria. Based on this analysis, we did not lower any ratings at
this time on the transactions within this release as a direct
result of the application of our counterparty criteria. However,
in resolving our CreditWatch placements, we lowered our ratings on
certain classes due to our view of reduced credit quality," S&P
related.

"We applied our criteria listed in the 'Related Criteria And
Research' section to derive the loss assumptions used in our
analysis," S&P said.

The collateral backing most of these transactions originally
consisted of Alt-A, prime, subprime, scratch-and-dent, HELOC,
first- and second-lien, or fixed- and adjustable-rate residential
mortgage loans secured by one- to four-family properties. Small
balance commercial loans back some of these transactions. Others
consist of reverse mortgage loans that are secured by first
mortgages, deeds of trust, or other similar security instruments
creating first liens on one- to four-family residential
properties. The servicer advance transaction is backed by
recoveries of servicer advances.

"Our analysis of the scratch-and-dent, Alt-A, subprime, and first-
lien high LTV transactions incorporate our current and projected
losses, which we based on the dollar amounts of loans currently in
the transactions' delinquency, foreclosure, and real estate owned
(REO) pipelines, as well as our projection of future defaults. We
also incorporated cumulative losses to date in our analysis when
assessing rating outcomes," S&P said.

S&P updated its lifetime projected losses for this HELOC
transaction:

                                  Orig. bal.       Lifetime
Transaction                        (mil. $)      exp. loss (%)
Home Equity Mortgage Trust 2006-1      575            35.77

"We assessed the creditworthiness of each class by analyzing the
classes' ability to withstand additional credit deterioration as a
result of the application of our loss assumptions. In order to
maintain a 'B (sf)' rating on a class, we assessed whether, in our
view, a class could absorb the remaining base-case loss assumption
used in our analysis," S&P related.

"Generally, in order for a class to maintain a rating higher than
'B (sf)', we assessed whether the class could withstand losses
exceeding the remaining base-case loss assumptions at a percentage
specific to each rating category (up to 150% for an 'AAA (sf)'
rating). For example, in general, we would assess whether one
class could withstand approximately 110% of our remaining base-
case loss assumption to maintain a 'BB (sf)' rating. However, to
maintain a 'BBB (sf)' rating, we would assess whether a different
class could withstand approximately 120% of our remaining base-
case loss assumption. Each class with an affirmed 'AAA (sf)'
rating can, in our view, withstand approximately 150% of our
remaining base-case loss assumption under our analysis," S&P said.

"Prior to the actions, our ratings on two classes from Chevy Chase
Funding LLC 2004-2 were on CreditWatch positive following a recent
error correction (see 'S&P Corrects 193 Ratings On 51 U.S. RMBS
Alt-A Transactions; Takes Various Other Rating Actions,' published
May 11, 2011). We raised our rating on one class and affirmed our
rating on the other class and removed both from CreditWatch
positive," S&P said.

"We generally applied our monthly default rates (MDRs) to the
small balance commercial transactions. We obtain the MDRs from
both the existing delinquency pipeline and the change in
performance over the prior six-month period. We then apply these
MDRs on a period-by-period basis over a certain time frame in
order to identify if each class could survive the applicable
stress scenario," S&P stated.

"We projected losses under different stress scenarios for Xceed
Mortgage Trust 2007-T2, the Canadian RMBS transaction in this
review. The underlying collateral for this transaction consists of
mortgage loans originated by Xceed Mortgage Corp. that have
original maturities of between three and five years, but whose
payments are based on amortization periods of 25 years. The
stresses applied included the default of the entire remaining
collateral pool at legal final maturity under different prepayment
speeds to identify the impact on the securities. We examined the
loss severities needed to default each rated class. We compared
this to observed loss severities over the past six months. In our
analysis, we placed more weight on the scenarios that better
represented the expected behavior at the current rating level in
our view. After performing our analysis, we found that the support
available for each class was, in our view, commensurate with the
current rating level of each class," according to S&P.

"We compared our observed recoveries for each advance type with
our expected recoveries to assess the creditworthiness of the
classes from NationStar Mortgage Advance Receivables Trust 2009-
ADV1, a servicer advance transaction. At issuance, we expect a
certain minimum recovery rate that corresponds with the advance
rates at the assigned rating category level. In order to maintain
that rating, we consider whether our observed aggregate recoveries
are at least as high as our initial expectations for that rating
category. Since we expect different advance types to recover at
different rates, we also compare the proportions of various
advance types in the collateral at the time of surveillance with
their proportions at the time a transaction closes, and the
associated recovery rates for each individual advance type. If the
proportion of slower-recovering advance types in the pool
increases, we assume that overall recoveries might slow as a
result. We also compare our observed and expected weighted average
recovery rates. Since this transaction closed, the actual recovery
rates consistently increased at a faster pace than the 'AAA'
recovery-rate levels we initially expected at issuance. Hence, we
affirmed our ratings on this transaction and removed our ratings
on classes A-1 MTN and A-1 VFN from CreditWatch negative," S&P
stated.

"To assess the creditworthiness of a class in a reverse mortgage
transaction, we apply our criteria at different rating scenarios
to identify the likelihood that the class will receive the
applicable interest and principal due at such rating stresses. We
estimate losses on the outstanding loans in the pools based on our
assessment of the loans' status and the impact that our
assumptions have on those loans," S&P related.

"Our criteria stress three major factors: prepayment speeds (CPR),
property values, and workout timelines. Our CPR stresses include
slow, fast, and expected. A class must pass these CPR stress in
order to satisfy a particular rating stress," S&P said.

"Our ratings on the classes from the re-REMIC transactions in this
review are intended to address the timely payment of interest and
full payment of principal. We reviewed the interest and principal
amounts due on the underlying securities, which are then passed
through to the applicable re-REMIC classes. When performing this
analysis, we examined how losses from the underlying transactions
impacted the principal and interest amounts that could be passed
through from the underlying securities to the re-REMIC classes
at different rating stresses. We assessed whether the re-REMIC
classes could withstand the stressed losses associated with their
ratings while receiving timely payment of interest and principal
consistent with our criteria," S&P stated.

"Lowered ratings reflect our belief that the amount of projected
credit enhancement available for the downgraded classes is
insufficient to cover our current projected losses at the previous
rating levels. We lowered our ratings on three classes from three
transactions to 'D (sf)' due to principal write-downs. We withdrew
our rating on the interest-only X-1 class from C-BASS 2006-SC1
because it is not scheduled to receive any additional interest. We
also withdrew our rating on class A-1 from RAMP Series 2007-RZ1
Trust because it was paid in full," S&P stated.

"Affirmed ratings reflect our belief that the amount of available
projected credit enhancement is sufficient to cover our current
projected losses at their current rating levels. Certain classes
that benefit from a bond insurance policy reflect the higher of
the rating on the bond insurer and the tranche's underlying
rating. Subordination, any applicable overcollateralization, cash
collateral accounts, bond insurance, and excess spread provide
credit support for the affected transactions," S&P added.

Rating Actions

Bayview Commercial Asset Trust 2003-2
Series 2003-2
                               Rating
Class      CUSIP       To                   From
A          07324SAF9   AAA (sf)             AAA (sf)/Watch Neg
IO         07324SAE2   AAA (sf)             AAA (sf)/Watch Neg
M-1        07324SAG7   AA (sf)              AA (sf)/Watch Neg

Bayview Commercial Asset Trust 2004-1
Series 2004-1
                               Rating
Class      CUSIP       To                   From
A          07324SAL6   AAA (sf)             AAA (sf)/Watch Neg
IO         07324SAK8   AAA (sf)             AAA (sf)/Watch Neg
M-1        07324SAM4   AA (sf)              AA (sf)/Watch Neg

Bayview Commercial Asset Trust 2004-3
Series 2004-3
                               Rating
Class      CUSIP       To                   From
IO         07324SAW2   AAA (sf)             AAA (sf)/Watch Neg
A-1        07324SAX0   AAA (sf)             AAA (sf)/Watch Neg
M-1        07324SAZ5   AA (sf)              AA (sf)/Watch Neg

Bayview Commercial Asset Trust 2005-1
Series 2005-1
                               Rating
Class      CUSIP       To                   From
IO         07324SBD3   AAA (sf)             AAA (sf)/Watch Neg
A-1        07324SBE1   AAA (sf)             AAA (sf)/Watch Neg

Bayview Commercial Asset Trust 2005-2
Series 2005-2
                               Rating
Class      CUSIP       To                   From
IO         07324SBM3   AAA (sf)             AAA (sf)/Watch Neg
A-1        07324SBN1   AAA (sf)             AAA (sf)/Watch Neg

Bayview Commercial Asset Trust 2005-3
Series 2005-3
                               Rating
Class      CUSIP       To                   From
IO         07324SCN0   AAA (sf)             AAA (sf)/Watch Neg
A-1        07324SCB6   AAA (sf)             AAA (sf)/Watch Neg

Bayview Commercial Asset Trust 2006-1
Series 2006-1
                               Rating
Class      CUSIP       To                   From
IO         07324SDD1   AAA (sf)             AAA (sf)/Watch Neg
A-1        07324SDE9   AAA (sf)             AAA (sf)/Watch Neg

Bayview Commercial Asset Trust 2006-2
Series 2006-2
                               Rating
Class      CUSIP       To                   From
IO         07324YAA7   AAA (sf)             AAA (sf)/Watch Neg
A-1        07324YAB5   AAA (sf)             AAA (sf)/Watch Neg

Bayview Commercial Asset Trust 2006-4
Series 2006-4
                               Rating
Class      CUSIP       To                   From
IO         07325BAA6   AAA (sf)             AAA (sf)/Watch Neg
A-1        07325BAB4   AAA (sf)             AAA (sf)/Watch Neg
B-3        07325BAM0   CC (sf)              CCC (sf)

Bayview Commercial Asset Trust 2007-1
Series 2007-1
                               Rating
Class      CUSIP       To                   From
IO         07325MAM6   AAA (sf)             AAA (sf)/Watch Neg
SIO        07325MAN4   AAA (sf)             AAA (sf)/Watch Neg
A-1        07325MAA2   AAA (sf)             AAA (sf)/Watch Neg

Bayview Commercial Asset Trust 2007-3
Series 2007-3
                               Rating
Class      CUSIP       To                   From
IO         07325YAM0   AAA (sf)             AAA (sf)/Watch Neg
SIO        07325YAN8   AAA (sf)             AAA (sf)/Watch Neg
A-1        07325YAA6   AAA (sf)             AAA (sf)/Watch Neg
B-3        07325YAL2   D (sf)               CCC (sf)

Bayview Commercial Asset Trust 2008-4
Series 2008-4
                               Rating
Class      CUSIP       To                   From
SIO        07326KAA5   AAA (sf)             AAA (sf)/Watch Neg
A-1        07326KAB3   AAA (sf)             AAA (sf)/Watch Neg
A-2        07326KAC1   AAA (sf)             AAA (sf)/Watch Neg
A-3        07326KAD9   AAA (sf)             AAA (sf)/Watch Neg
A-4        07326KAE7   AAA (sf)             AAA (sf)/Watch Neg
M-1        07326KAF4   AA (sf)              AA (sf)/Watch Neg
M-2        07326KAG2   BBB (sf)             A (sf)
M-4        07326KAJ6   B (sf)               BB (sf)
M-5        07326KAK3   CCC (sf)             B (sf)

Bayview Commercial Mortgage Pass-Through Trust 2006-SP1
Series 2006-SP1
                               Rating
Class      CUSIP       To                   From
IO         07324MAA3   AAA (sf)             AAA (sf)/Watch Neg
A-1        07324MAB1   AAA (sf)             AAA (sf)/Watch Neg

BayView Financial Asset Trust 2003-SSR1
Series 2003-SSR1
                               Rating
Class      CUSIP       To                   From
A          07324QDR4   AAA (sf)             AAA (sf)/Watch Neg
M          07324QDS2   AA (sf)              AA (sf)/Watch Neg

Bayview Financial Asset Trust 2008-A
Series 2008-A
                               Rating
Class      CUSIP       To                   From
A          07326PAA4   AAA (sf)             AAA (sf)/Watch Neg

Bayview Financial Mortgage Pass-Through Trust 2007-A
Series 2007-A
                               Rating
Class      CUSIP       To                   From
1-A1       07325VAB0   AAA (sf)             AAA (sf)/Watch Neg
1-A2       07325VAC8   AAA (sf)             AAA (sf)/Watch Neg
1-A3       07325VAD6   AA- (sf)             AA+ (sf)/Watch Neg
1-A4       07325VAE4   CCC (sf)             B- (sf)
1-A5       07325VAF1   B- (sf)              BB- (sf)
2-A        07325VAG9   CCC (sf)             B- (sf)

Bayview Financial Mortgage Pass-Through Trust Series 2006-D
Series 2006-D
                               Rating
Class      CUSIP       To                   From
1-A2       07325HAC9   AAA (sf)             AAA (sf)/Watch Neg
1-A3       07325HAD7   AA+ (sf)             AA+ (sf)/Watch Neg
2-A2       07325HAH8   AAA (sf)             AAA (sf)/Watch Neg
M-2        07325HAM7   CC (sf)              CCC (sf)

Bear Stearns Asset Backed Securities Trust 2005-SD3
Series 2005-SD3
                               Rating
Class      CUSIP       To                   From
II-A-1     073877CY6   AAA (sf)             AAA (sf)/Watch Neg
II-A-2     073877CZ3   AAA (sf)             AAA (sf)/Watch Neg

C-BASS 2006-SC1 Trust
Series 2006-SC1
                               Rating
Class      CUSIP       To                   From
A          12498SAA0   AAA (sf)             AAA (sf)/Watch Neg
X-1        12498SAK8   NR                   AAA (sf)/Watch Neg
M-1        12498SAB8   A (sf)               AA (sf)
M-2        12498SAC6   A (sf)               AA- (sf)
M-3        12498SAD4   BBB (sf)             A (sf)
M-5        12498SAF9   B (sf)               BB (sf)
B-1        12498SAG7   CCC (sf)             B (sf)

Chevy Chase Funding LLC
Series 2003-4
                               Rating
Class      CUSIP       To                   From
A-1        16678RAJ6   AAA (sf)             AAA (sf)/Watch Neg
A-2        16678RAK3   AAA (sf)             AAA (sf)/Watch Neg
B-1        16678RAL1   AA (sf)              AA+ (sf)
B-2        16678RAM9   CCC (sf)             B (sf)/Watch Neg

Chevy Chase Funding LLC
Series 2004-2
                               Rating
Class      CUSIP       To                   From
A-1        16678RBC0   AAA (sf)             AAA (sf)/Watch Neg
A-2        16678RBD8   AAA (sf)             AAA (sf)/Watch Neg
B-1        16678RBE6   AA+ (sf)             AA+ (sf)/Watch Pos
B-2        16678RBF3   B+ (sf)              CCC (sf)/Watch Pos

Chevy Chase Funding LLC
Series 2004-A
                               Rating
Class      CUSIP       To                   From
A-1        16678RBL0   AAA (sf)             AAA (sf)/Watch Neg
B-1        16678RBT3   BB (sf)              BBB (sf)/Watch Neg
B-4        16678RBQ9   D (sf)               CC (sf)

Chevy Chase Funding LLC
Series 2004-3
                               Rating
Class      CUSIP       To                   From
A-1        16678RBU0   AAA (sf)             AAA (sf)/Watch Neg
A-2        16678RBV8   AAA (sf)             AAA (sf)/Watch Neg
B-1        16678RBW6   BB (sf)              BBB (sf)/Watch Neg

Chevy Chase Funding LLC
Series 2004-4
                               Rating
Class      CUSIP       To                   From
A-1        16678RCC9   AAA (sf)             AAA (sf)/Watch Neg
A-2        16678RCD7   AAA (sf)             AAA (sf)/Watch Neg
B-1        16678RCE5   B- (sf)              AA (sf)/Watch Neg
B-2        16678RCF2   CC (sf)              A (sf)/Watch Neg
B-3        16678RCG0   CC (sf)              BBB (sf)/Watch Neg

First Franklin Mortgage Loan Trust 2003-FFB
Series 2003-FFB
                               Rating
Class      CUSIP       To                   From
M2         32027NCJ8   BB (sf)              A (sf)/Watch Neg

Greenpoint Mortgage Funding Trust 2005-HE1
Series 2005-HE1
                               Rating
Class      CUSIP       To                   From
M-1        39538WAF5   AA (sf)              AA (sf)/Watch Neg
M-2        39538WAG3   AA- (sf)             AA- (sf)/Watch Neg
M-3        39538WAH1   CC (sf)              A (sf)/Watch Neg

Home Equity Mortgage Trust 2006-1
Series 2006-1
                               Rating
Class      CUSIP       To                   From
A-1A2      225470XG3   AA (sf)              AA (sf)/Watch Neg
A-1B       225470XH1   AA (sf)              AA (sf)/Watch Neg
A-1F       225470XJ7   AA (sf)              AA (sf)/Watch Neg
A-2        225470XK4   BBB (sf)             AA (sf)/Watch Neg

Nationstar Mortgage Advance Receivables Trust 2009-ADV1
Series 2009-ADV1
                               Rating
Class      CUSIP       To                   From
A-1 MTN    63860QAA7   AAA (sf)             AAA (sf)/Watch Neg
A-1 VFN    63860QAE9   AAA (sf)             AAA (sf)/Watch Neg

RAMP Series 2007-RS1 Trust
Series 2007-RS1
                               Rating
Class      CUSIP       To                   From
A-2        74923RAB5   AAA (sf)             AAA (sf)/Watch Neg

RAMP Series 2007-RZ1 Trust
Series 2007-RZ1
                               Rating
Class      CUSIP       To                   From
A-1        74923PAA1   NR                   AAA (sf)/Watch Neg
A-2        74923PAB9   CCC (sf)             B- (sf)
A-3        74923PAC7   CCC (sf)             B- (sf)
M-1S       74923PAD5   CC (sf)              CCC (sf)

Reverse Mortgage Loan Trust Series REV 2007-2
Series 2007-REV2
                               Rating
Class      CUSIP       To                   From
A          76150TAA2   AAA (sf)             AAA (sf)/Watch Neg

Riverview HECM Pass-Through Certificates Series 2007-4
Series 2007-4
                               Rating
Class      CUSIP       To                   From
A          76942LAA2   AAA (sf)             AAA (sf)/Watch Neg

Riverview HECM Pass-Through Certificates Series 2008-1
Series 2008-1
                               Rating
Class      CUSIP       To                   From
A-5        76942RAF8   AAA (sf)             AAA (sf)/Watch Neg

SASCO Mortgage Loan Trust Series 2005-GEL2
Series 2005-GEL2
                               Rating
Class      CUSIP       To                   From
A          86359DAW7   AAA (sf)             AAA (sf)/Watch Neg
M2         86359DAY3   CCC (sf)             BBB (sf)
M4         86359DBA4   CC (sf)              CCC (sf)
M3         86359DAZ0   CC (sf)              CCC (sf)

Structured Asset Securities Corp.
Series 2004-S3
                               Rating
Class      CUSIP       To                   From
M4         86359BB91   B+ (sf)              B+ (sf)/Watch Neg

Xceed Mortgage Trust
Series 2007-T2
                               Rating
Class      CUSIP       To                   From
A-2 Senior 98400BAG0   AAA (sf)             AAA (sf)/Watch Neg
A-3 Senior 98400BAH8   AAA (sf)             AAA (sf)/Watch Neg
B Sub      98400BAJ4   AA (sf)              AA (sf)/Watch Neg

Ratings Affirmed

Bayview Commercial Asset Trust 2003-2
Series 2003-2
Class      CUSIP       Rating
M-2        07324SAH5   A (sf)
B          07324SAJ1   BBB (sf)

Bayview Commercial Asset Trust 2004-1
Series 2004-1
Class      CUSIP       Rating
M-2        07324SAN2   A (sf)
B          07324SAP7   BBB (sf)

Bayview Commercial Asset Trust 2005-1
Series 2005-1
Class      CUSIP       Rating
B-3        07324SBL5   CCC (sf)

Bayview Commercial Asset Trust 2005-2
Series 2005-2
Class      CUSIP       Rating
B-3        07324SBY7   CCC (sf)
B-4        07324SBZ4   CCC (sf)

Bayview Commercial Asset Trust 2006-2
Series 2006-2
Class      CUSIP       Rating
B-1        07324YAK5   CCC (sf)
B-2        07324YAL3   CCC (sf)
B-3        07324YAM1   CCC (sf)

Bayview Commercial Asset Trust 2006-4
Series 2006-4
Class      CUSIP       Rating
B-1        07325BAK4   CCC (sf)
B-2        07325BAL2   CCC (sf)

Bayview Commercial Asset Trust 2007-1
Series 2007-1
Class      CUSIP       Rating
B-1        07325MAJ3   CCC (sf)
B-2        07325MAK0   CCC (sf)

Bayview Commercial Asset Trust 2007-3
Series 2007-3
Class      CUSIP       Rating
B-1        07325YAJ7   CCC (sf)
B-2        07325YAK4   CCC (sf)

Bayview Commercial Asset Trust 2008-4
Series 2008-4
Class      CUSIP       Rating
M-6        07326KAL1   CCC (sf)
B-1        07326KAM9   CCC (sf)
B-2        07326KAN7   CCC (sf)

Bayview Commercial Mortgage Pass-Through Trust 2006-SP1
Series 2006-SP1
Class      CUSIP       Rating
B-2        07324MAJ4   CCC (sf)
B-3        07324MAK1   CCC (sf)

Bayview Financial Mortgage Pass-Through Trust 2007-A
Series 2007-A
Class      CUSIP       Rating
M-1        07325VAL8   CC (sf)
M-2        07325VAM6   CC (sf)

Bayview Financial Mortgage Pass-Through Trust, Series 2006-D
Series 2006-D
Class      CUSIP       Rating
1-A4       07325HAE5   BB- (sf)
1A-5       07325HAF2   BB+ (sf)
2-A3       07325HAJ4   BB (sf)
2-A4       07325HAK1   BB (sf)
M-1        07325HAL9   CCC (sf)
M-3        07325HAN5   CC (sf)

Bear Stearns Asset Backed Securities Trust 2005-SD3
Series 2005-SD3
Class      CUSIP       Rating
I-A        073877CP5   BB (sf)
I-M-1      073877CS9   CC (sf)
I-M-2      073877CT7   CC (sf)
I-M-3      073877CU4   CC (sf)
I-M-4      073877CV2   CC (sf)
I-M-5      073877CW0   CC (sf)
I-M-6      073877CX8   CC (sf)
II-M-1     073877DA7   BBB- (sf)
II-M-2     073877DB5   CCC (sf)
II-M-3     073877DC3   CC (sf)
II-M-4     073877DD1   CC (sf)
II-B       073877DF6   CC (sf)

C-BASS 2006-SC1 Trust
Series 2006-SC1
Class      CUSIP       Rating
M-4        12498SAE2   BBB (sf)
B-2        12498SAH5   CCC (sf)
B-3        12498SAJ1   CCC (sf)

Chevy Chase Funding LLC
Series 2003-4
Class      CUSIP       Rating
A-NA       16678R9A6   AAA (sf)
IO         16678R9B4   AAA (sf)
B-3        16678RAN7   CC (sf)
B-4        16678RAP2   CC (sf)

Chevy Chase Funding LLC
Series 2004-2
Class      CUSIP       Rating
A-NA       16678R9E8   AAA (sf)
IO         16678R9F5   AAA (sf)
B-3        16678RBG1   CC (sf)
B-4        16678RBH9   CC (sf)
B-5        16678RBJ5   CC (sf)

Chevy Chase Funding LLC
Series 2004-A
Class      CUSIP       Rating
A-NA       16678RBM8   AAA (sf)
A-IO       16678R9V2   AAA (sf)
B-2        16678RBN6   CC (sf)
B-3        16678RBP1   CC (sf)

Chevy Chase Funding LLC
Series 2004-3
Class      CUSIP       Rating
A-NA       16678R9H1   AAA (sf)
IO         16678R9I9   AAA (sf)
B-2        16678RBX4   CC (sf)
B-3        16678RBY2   CC (sf)

Chevy Chase Funding LLC
Series 2004-4
Class      CUSIP       Rating
A-NA       16678R9K4   AAA (sf)
IO         16678R9L2   AAA (sf)

Home Equity Mortgage Trust 2006-1
Series 2006-1
Class      CUSIP       Rating
A-3        225470XL2   CCC (sf)

Mortgage Equity Conversion Asset Trust 2007-FF2
Series 2007-FF2
Class      CUSIP       Rating
A          61911CAA1   AAA (sf)

Nationstar Mortgage Advance Receivables Trust 2009-ADV1
Series 2009-ADV1
Class      CUSIP       Rating
B-1 MTN    63860QAC3   BBB (sf)
B-1 VFN    63860QAF6   BBB (sf)

RAMP Series 2007-RS1 Trust
Series 2007-RS1
Class      CUSIP       Rating
A-3        74923RAC3   CCC (sf)
A-4        74923RAD1   CCC (sf)

Riverview HECM Trust 2007-1
Series 2007-1
Class      CUSIP       Rating
A Notes    769422AA4   AAA (sf)

SASCO Mortgage Loan Trust Series 2005-GEL2
Series 2005-GEL2
Class      CUSIP       Rating
M1         86359DAX5   AA (sf)

Structured Asset Securities Corp.
Series 2004-S3
Class      CUSIP       Rating
M1         86359BB67   AA+ (sf)
M2         86359BB75   AA (sf)
M3         86359BB83   BBB (sf)
M5         86359BC25   CC (sf)

Xceed Mortgage Trust
Series 2007-T2
Class      CUSIP       Rating
C Sub      98400BAK1   A (sf)
D Sub      98400BAL9   BBB (sf)


BEAR STEARNS: DBRS Downgrades Class D Rating From 'BBB' to 'BB'
---------------------------------------------------------------
DBRS has downgraded these ratings for eight classes of Bear Stearns
Commercial Mortgage Securities Trust, Series 2007-TOP28:

Class A-J from AA to A
Class B from A (high) to BBB (high)
Class C from A (low) to BBB
Class D from BBB (high) to BB
Class E from BBB to BB (low)
Class F from BBB (low) to B
Class G from BB to B (low)
Class H from B to CCC

DBRS has also confirmed these other classes in the transaction:

Class A-1 at AAA
Class A-1A at AAA
Class A-2 at AAA
Class A-3 at AAA
Class A-4 at AAA
Class A-AB at AAA
Class A-M at AAA
Class J at CCC
Class K at CCC
Class L at CCC
Class M at CCC
Class N at CCC
Class O at CCC

These notional classes were also confirmed:

Class X-1 at AAA
Class X-2 at AAA

DBRS also notes that Class O has Interest in Arrears as of the July
2011 remittance report.

The Trends for all rated classes in the transaction are Stable.

The downgrades reflect a decrease in performance for the loans on the
servicer's watchlist, comprising approximately 23.4% of the current
pool balance, as well as the liquidation of three loans out of the pool
from July 2010 to January 2011 at a weighted-average loss severity of
44.9%, as of the July 2011 remittance report.  There are four loans
that remain with the special servicer in the pool, comprising 0.96% of
the current pool balance. One of those loans, Prospectus ID#137,
Holiday Inn Express - South Haven (0.18% of the current pool balance)
is set to return to the master servicer as the special servicer has
closed a sale and loan assumption for the property, as of April 8,
2011.

At the time of review, there were four shadow-rated loans in the pool
comprising a combined 19.38% of the current pool balance, as of the
June 2011 remittance report.  Prospectus ID#1, Easton Town Center,
Prospectus ID#16, Northwest Marketplace-Houston, and Prospectus ID#28,
Hotel Sofia, were confirmed at the current shadow rating of BBB (low),
as detailed in the discussion for each loan below.  The BBB (low)
shadow rating for Prospectus ID#2, 3 Penn Center, was removed due to
declining credit metrics, as is also detailed below.

Easton Town Center (10.14% of the current pool balance) is secured by
1.3 million sf of a 1.7 million sf outdoor regional mall located in
Columbus, Ohio.  The collateral includes 860,000 sf of mall shop space,
a 135,000 sf AMC movie complex, 224,000 sf of office space and an
87,700 sf Lifetime Fitness center paying ground rent to the sponsor.
The mall anchors are Macy's and Nordstrom.  The in-line tenant mix is
strong and includes Crate & Barrel, Ann Taylor Loft, Apple, J. Crew,
Pottery Barn, Tiffany & Co., and Coach.  The trust loan is the
$170 million A-1 portion of a $280 million pari-passu A-note.
Additional debt includes a $75 million B-note and a $50 million C-note;
the whole loan balance of $405 million results in total leverage of
$311 psf on this mixed-use asset.  Property performance has been strong
since issuance, with theYE2010 A-note DSCR at 1.84x with an occupancy
of 97%.  The whole-loan coverage for the period was 1.27x.  These
figures compare favorably to those at issuance, when the property was
94% occupied with an A-note DSCR of 1.65x.  DBRS has confirmed the BBB
(low) shadow rating assigned to this loan to reflect these strong
credit metrics.

3 Penn Plaza (7.06% of the current pool balance) is secured by a
782,000 sf office property located in downtown Newark, New Jersey.  The
property was constructed in 1992 and was renovated in 2004.  The
largest tenant at the property, with 99.4% of the NRA, is Horizon Blue
Cross Blue Shield of New Jersey (Blue Cross), an investment grade
tenant.  Although the tenant's lease was set to expire within the term,
at March 2012, the loan was structured with a full cash flow sweep at
closing and an estimated $42 psf will be available for downtime and
leasing costs.  The YE2009 DSCR was 1.61x, an improvement from 1.50x at
issuance.  Although the servicer has not finalized the YE2010 OSAR, the
Q1 2010 figures showed coverage of 1.53x and occupancy of 100%.  The
servicer confirmed in July 2011 that Blue Cross renewed the lease at
the property through 2022, but the rent roll shows the new rental rate
is a significant decline of approximately 40% from the rate in-place at
the time of issuance.  As such, DBRS has removed the BBB (low) shadow
rating on the loan.


Northwest Marketplace Houston (1.19% of the current pool balance) is
secured by a 183,000 sf retail center located in northwest Houston.
The property is located along the Northwest Freeway, just north of
Interstate-10 and is anchored by Ross Dress for Less, Office Depot, Old
Navy, PetSmart, Famous Footwear, and Pier 1 Imports.  The YE2010 DSCR
was 1.73x and the property occupancy for the period was 99%, up from
91% at issuance.  Although the DSCR has declined slightly from the
2.07x at issuance, the drop can be attributed to a reduction in expense
recoveries as base rent collections have remained steady since the
property achieved the current occupancy level.  The loan has three mid-
sized tenants expiring in the next 13 months.  Office Depot, with 12%
of the NRA expires in June 2012; Old Navy, with 11% of the NRA expires
in June 2012; and Regal Furniture, with 6% of the NRA, expires in
August 2012.  As the property is well-located in a strong submarket
with a vacancy rate of 5.3% at Q1 2011 for community shopping centers
according to Reis, DBRS does not anticipate the borrower having
difficulty re-leasing the space should any of those tenants vacate.
DBRS will continue to monitor the loan closely for leasing updates as
they are made available.  As the loan continues to exhibit strong
credit metrics, DBRS has confirmed the BBB (low) shadow rating.


The Sofia Hotel (0.99% of the current pool balance) is secured by a
211-key hotel located in San Diego.  The property was constructed in
1926 and is located in the heart of downtown San Diego in the Gaslamp
district, with close proximity to all of the major sights in the
vicinity.  In 2005, the property was designated a historical landmark
by the State of California.  The hotel was completely renovated in 2006
at a cost of approximately $12.8 million and currently operates as a
limited service boutique hotel.  The current loan per key is considered
reasonable at $78,566 given the property's strong location and full-
service status.  Although the subject was not able to escape the
effects of the general market difficulty for hotels over the past
several years, the YE2010 DSCR of 1.65x and occupancy of 69% are still
relatively strong.  The property has been experiencing declining room
rates since 2008, when they Average Daily Rate (ADR) was at $135.26,
down from $159.83 at issuance.  Although the ADR had fallen to $106.69
by YE2010, the Revenue per Available Room (RevPAR) stood at $73.62 as
compared with $95.90 at issuance due to relatively strong occupancy
levels for the year as a whole.  At YE2010, the occupancy for the
property was 69%, as compared with the underwritten level of 60% at
issuance.  At the time of the servicer's site inspection in July 2010,
the property was at 77% occupancy with the weeks following having 100%
occupancy as several conventions were being held in the property's
vicinity, bringing significant traffic to the submarket.  As the
subject property continues to be a stable performer in a challenging
environment for hotels, DBRS has affirmed the shadow rating of BBB
(low).

There are currently 54 loans on the servicer's watchlist, comprising
23.4% of the current pool balance. With the bulk of those 54 loans
reporting YE2010 financials, the weighted-average DSCR was 0.96x. Of
those loans, three, comprising a combined 5.80% of the current pool
balance, are in the top 15 loans in the transaction: Prospectus ID#5,
The Shoppes at Biddeford Crossing; Prospectus ID#8, The Cove
Apartments; and Prospectus ID#12, Pavilions at Hartman Heritage.

The Shoppes at Biddeford Crossing (2.67% of the current pool balance)
is secured by 385,00 sf retail center anchored by Lowe's and Target.
The property is located in Biddeford, Maine, in the southern portion of
the state approximately 15 miles from Portland.  Lowe's operates on a
ground lease and Target is not part of the collateral for the trust
loan; other major tenants include T.J. Maxx, PetSmart, Staples, and
Best Buy.  The property was constructed in 2006 and is comprised of
four buildings located just west of Interstate-95 in the southwest
portion of the city.  At issuance, the property was 98% occupied.  In
2008, the property lost Linens 'n' Things (LNT) to bankruptcy; that
tenant occupied 7.4% of the collateral NRA at the time of the loan's
closing.  As a result of the LNT departure, two tenants were able to
exercise cotenancy clauses allowing for rent to be reduced to a
percentage of sales.  One of those tenants, Old Navy, vacated the
property in Q2 2010 and the other, Dress Barn, currently occupies 1.9%
of the collateral NRA.  The YE2010 occupancy of 87% was a decline of 5%
from YE2009; the Q1 2011 rent roll shows further decline to 84%
occupancy.  Although occupancy has fluctuated in the last few years,
the DSCR has remained relatively stable, with coverage of 1.09x at
YE2009 and 1.08x at YE2010.  The servicer reports that the borrower is
in active discussions for the former Old Navy space; however, nothing
is concrete at this time.  The 2010 servicer's site inspection found
the property in Good condition and noted that the area immediately
surrounding the subject property was slightly underdeveloped, with
older single family development surrounded by relatively newer retail
development from the last two decades.  The current leverage of $116
psf is considered moderate given the property's location and tenant
mix.  DBRS will continue to monitor the loan closely.

The Cove Apartments (1.73% of the current pool balance) is
collateralized by a 650-unit apartment complex located in Phoenix,
approximately ten miles west of downtown.  It was constructed in 2001
and is well-located with several small retail centers to the south and
undeveloped land to the north.  The area has been growing due to the
development of the new NFL and NHL facilities in the last three years.
The property has suffered from the general market difficulty in Phoenix
with rising unemployment and an oversaturation of the apartment market,
especially in the subject's Maryvale submarket.  The property was at
66% occupancy at YE2009, down from 91% at issuance. By YE2010, the
occupancy had rebounded to 86%, but the servicer reported the DSCR
still suffered because of a drop in the average rental rate to
approximately $650 per unit, down from the average rate in 2009 of $707
per unit.  The Q1 2011 rent roll shows some recovery has occurred, with
the average rental rate at $676 per unit and occupancy steady at 84.5%.
The August 2010 servicer's site inspection found the property to be in
Good condition and noted that several improvement projects had been
recently completed or were nearly complete at the time of the visit.
The projects included painting the exterior of all buildings; a
resurfacing of the pool; crack sealing for the property's parking area;
and the installation of a new numbering system for the apartment units.
The property is attractive and well-maintained, with unit interiors
appearing modest but well-appointed.  This loan has full recourse to
the sponsors, who have a significant net worth and 50 years of
multifamily experience.  The A-note leverage at $44,000 per unit is
considered reasonable.

Pavilions at Hartman Heritage (1.40% of the current pool balance) is
collateralized by a 225,000 sf power center in Independence, Missouri,
approximately 12 miles east of the Kansas City central business
district.  Although the property is well-located off of Interstate-70,
near Independence Center, a large enclosed mall anchored by Macy's,
Dillard's, and Sears, the area has undergone significant build-up over
the last 15 years, with two retail centers located directly across from
the mall to the north and west.  In addition, there are several retail
centers located in the immediate vicinity of the Independence Events
Center, a 5,800-seat arena constructed in 2009 and located just south
of the subject property.  The subject was constructed between 2003 and
2004 and was expanded in 2006.  At origination, the property was
anchored by tenants Stein Mart, Linens 'n Things (LNT), Bassett
Furniture and Pier 1 Imports.  When LNT filed for bankruptcy and
vacated the property in 2008, several large tenants exercised early
termination options and left the property.  Occupancy has fallen from
92% at issuance to approximately 39% physical occupancy as of YE2010.
The remaining tenants include CostPlus World Market, David's Bridal,
K&G Fashion Superstore, and Beauty Brands.  The borrower is an
affiliate of the Inland American Real Estate Trust, Inc., who is
considered a strong retail operator; however, with significant supply
in the area it could be especially challenging to lease up the property
in the current economic environment.  DBRS will continue to monitor the
loan.

As part of this review, DBRS analyzed the servicer's watchlist, the
delinquent and specially serviced loans, and the top 15 loans in the
pool. Combined, these loans represent approximately 64% of the current
pool balance.


BEAR STEARNS: DBRS Downgrades Rating on Class H Notes to 'CCC'
--------------------------------------------------------------
DBRS has downgraded these ratings for eight classes of Bear
Stearns Commercial Mortgage Securities Trust, Series 2007-TOP28:

Class A-J from AA to A
Class B from A (high) to BBB (high)
Class C from A (low) to BBB
Class D from BBB (high) to BB
Class E from BBB to BB (low)
Class F from BBB (low) to B
Class G from BB to B (low)
Class H from B to CCC

DBRS has also confirmed these other classes in the transaction:

Class A-1 at AAA
Class A-1A at AAA
Class A-2 at AAA
Class A-3 at AAA
Class A-4 at AAA
Class A-AB at AAA
Class A-M at AAA
Class J at CCC
Class K at CCC
Class L at CCC
Class M at CCC
Class N at CCC
Class O at CCC

The notional classes were also confirmed as follows:

Class X-1 at AAA
Class X-2 at AAA

DBRS also notes that Class O has Interest in Arrears as of the
July 2011 remittance report.

The Trends for all rated classes in the transaction are Stable.

The downgrades reflect a decrease in performance for the loans on
the servicer's watchlist, comprising approximately 23.4% of the
current pool balance, as well as the liquidation of three loans
out of the pool from July 2010 to January 2011 at a weighted-
average loss severity of 44.9%, as of the July 2011 remittance
report.  There are four loans that remain with the special
servicer in the pool, comprising 0.96% of the current pool
balance. One of those loans, Prospectus ID#137, Holiday Inn
Express - South Haven (0.18% of the current pool balance) is set
to return to the master servicer as the special servicer has
closed a sale and loan assumption for the property, as of April 8,
2011.

At the time of review, there were four shadow-rated loans in the
pool comprising a combined 19.38% of the current pool balance, as
of the June 2011 remittance report.  Prospectus ID#1, Easton Town
Center, Prospectus ID#16, Northwest Marketplace-Houston, and
Prospectus ID#28, Hotel Sofia, were confirmed at the current
shadow rating of BBB (low), as detailed in the discussion for each
loan.  The BBB (low) shadow rating for Prospectus ID#2, 3 Penn
Center, was removed due to declining credit metrics.

Easton Town Center (10.14% of the current pool balance) is secured
by 1.3 million sf of a 1.7 million sf outdoor regional mall
located in Columbus, Ohio.  The collateral includes 860,000 sf of
mall shop space, a 135,000 sf AMC movie complex, 224,000 sf of
office space and an 87,700 sf Lifetime Fitness center paying
ground rent to the sponsor.  The mall anchors are Macy's and
Nordstrom.  The in-line tenant mix is strong and includes Crate &
Barrel, Ann Taylor Loft, Apple, J. Crew, Pottery Barn, Tiffany &
Co., and Coach.  The trust loan is the $170 million A-1 portion of
a $280 million pari-passu A-note.  Additional debt includes a
$75 million B-note and a $50 million C-note; the whole loan
balance of $405 million results in total leverage of $311 psf on
this mixed-use asset.  Property performance has been strong since
issuance, with theYE2010 A-note DSCR at 1.84x with an occupancy of
97%.  The whole-loan coverage for the period was 1.27x.  These
figures compare favorably to those at issuance, when the property
was 94% occupied with an A-note DSCR of 1.65x.  DBRS has confirmed
the BBB (low) shadow rating assigned to this loan to reflect these
strong credit metrics.

3 Penn Plaza (7.06% of the current pool balance) is secured by a
782,000 sf office property located in downtown Newark, New Jersey.
The property was constructed in 1992 and was renovated in 2004.
The largest tenant at the property, with 99.4% of the NRA, is
Horizon Blue Cross Blue Shield of New Jersey (Blue Cross), an
investment grade tenant.  Although the tenant's lease was set to
expire within the term, at March 2012, the loan was structured
with a full cash flow sweep at closing and an estimated $42 psf
will be available for downtime and leasing costs.  The YE2009 DSCR
was 1.61x, an improvement from 1.50x at issuance.  Although the
servicer has not finalized the YE2010 OSAR, the Q1 2010 figures
showed coverage of 1.53x and occupancy of 100%.  The servicer
confirmed in July 2011 that Blue Cross renewed the lease at the
property through 2022, but the rent roll shows the new rental rate
is a significant decline of approximately 40% from the rate in-
place at the time of issuance.  As such, DBRS has removed the BBB
(low) shadow rating on the loan.


Northwest Marketplace Houston (1.19% of the current pool balance)
is secured by a 183,000 sf retail center located in northwest
Houston. The property is located along the Northwest Freeway, just
north of Interstate-10 and is anchored by Ross Dress for Less,
Office Depot, Old Navy, PetSmart, Famous Footwear, and Pier 1
Imports.  The YE2010 DSCR was 1.73x and the property occupancy for
the period was 99%, up from 91% at issuance.  Although the DSCR
has declined slightly from the 2.07x at issuance, the drop can be
attributed to a reduction in expense recoveries as base rent
collections have remained steady since the property achieved the
current occupancy level.  The loan has three mid-sized tenants
expiring in the next 13 months.  Office Depot, with 12% of the NRA
expires in June 2012; Old Navy, with 11% of the NRA expires in
June 2012; and Regal Furniture, with 6% of the NRA, expires in
August 2012.  As the property is well-located in a strong
submarket with a vacancy rate of 5.3% at Q1 2011 for community
shopping centers according to Reis, DBRS does not anticipate the
borrower having difficulty re-leasing the space should any of
those tenants vacate. DBRS will continue to monitor the loan
closely for leasing updates as they are made available.  As the
loan continues to exhibit strong credit metrics, DBRS has
confirmed the BBB (low) shadow rating.

The Sofia Hotel (0.99% of the current pool balance) is secured by
a 211-key hotel located in San Diego.  The property was
constructed in 1926 and is located in the heart of downtown San
Diego in the Gaslamp district, with close proximity to all of the
major sights in the vicinity.  In 2005, the property was
designated a historical landmark by the State of California.  The
hotel was completely renovated in 2006 at a cost of approximately
$12.8 million and currently operates as a limited service boutique
hotel.  The current loan per key is considered reasonable at
$78,566 given the property's strong location and full-service
status.  Although the subject was not able to escape the effects
of the general market difficulty for hotels over the past several
years, the YE2010 DSCR of 1.65x and occupancy of 69% are still
relatively strong.  The property has been experiencing declining
room rates since 2008, when they Average Daily Rate (ADR) was at
$135.26, down from $159.83 at issuance.  Although the ADR had
fallen to $106.69 by YE2010, the Revenue per Available Room
(RevPAR) stood at $73.62 as compared with $95.90 at issuance due
to relatively strong occupancy levels for the year as a whole.  At
YE2010, the occupancy for the property was 69%, as compared with
the underwritten level of 60% at issuance.  At the time of the
servicer's site inspection in July 2010, the property was at 77%
occupancy with the weeks following having 100% occupancy as
several conventions were being held in the property's vicinity,
bringing significant traffic to the submarket.  As the subject
property continues to be a stable performer in a challenging
environment for hotels, DBRS has affirmed the shadow rating of BBB
(low).

There are currently 54 loans on the servicer's watchlist,
comprising 23.4% of the current pool balance. With the bulk of
those 54 loans reporting YE2010 financials, the weighted-average
DSCR was 0.96x. Of those loans, three, comprising a combined 5.80%
of the current pool balance, are in the top 15 loans in the
transaction: Prospectus ID#5, The Shoppes at Biddeford Crossing;
Prospectus ID#8, The Cove Apartments; and Prospectus ID#12,
Pavilions at Hartman Heritage.

The Shoppes at Biddeford Crossing (2.67% of the current pool
balance) is secured by 385,00 sf retail center anchored by Lowe's
and Target. The property is located in Biddeford, Maine, in the
southern portion of the state approximately 15 miles from
Portland.  Lowe's operates on a ground lease and Target is not
part of the collateral for the trust loan; other major tenants
include T.J. Maxx, PetSmart, Staples, and Best Buy.  The property
was constructed in 2006 and is comprised of four buildings located
just west of Interstate-95 in the southwest portion of the city.
At issuance, the property was 98% occupied.  In 2008, the property
lost Linens 'n' Things (LNT) to bankruptcy; that tenant occupied
7.4% of the collateral NRA at the time of the loan's closing.  As
a result of the LNT departure, two tenants were able to exercise
cotenancy clauses allowing for rent to be reduced to a percentage
of sales.  One of those tenants, Old Navy, vacated the property in
Q2 2010 and the other, Dress Barn, currently occupies 1.9% of the
collateral NRA.  The YE2010 occupancy of 87% was a decline of 5%
from YE2009; the Q1 2011 rent roll shows further decline to 84%
occupancy.  Although occupancy has fluctuated in the last few
years, the DSCR has remained relatively stable, with coverage of
1.09x at YE2009 and 1.08x at YE2010.  The servicer reports that
the borrower is in active discussions for the former Old Navy
space; however, nothing is concrete at this time.  The 2010
servicer's site inspection found the property in Good condition
and noted that the area immediately surrounding the subject
property was slightly underdeveloped, with older single family
development surrounded by relatively newer retail development from
the last two decades.  The current leverage of $116 psf is
considered moderate given the property's location and tenant mix.
DBRS will continue to monitor the loan closely.

The Cove Apartments (1.73% of the current pool balance) is
collateralized by a 650-unit apartment complex located in Phoenix,
approximately ten miles west of downtown.  It was constructed in
2001 and is well-located with several small retail centers to the
south and undeveloped land to the north.  The area has been
growing due to the development of the new NFL and NHL facilities
in the last three years.  The property has suffered from the
general market difficulty in Phoenix with rising unemployment and
an oversaturation of the apartment market, especially in the
subject's Maryvale submarket.  The property was at 66% occupancy
at YE2009, down from 91% at issuance. By YE2010, the occupancy had
rebounded to 86%, but the servicer reported the DSCR still
suffered because of a drop in the average rental rate to
approximately $650 per unit, down from the average rate in 2009 of
$707 per unit.  The Q1 2011 rent roll shows some recovery has
occurred, with the average rental rate at $676 per unit and
occupancy steady at 84.5%.  The August 2010 servicer's site
inspection found the property to be in Good condition and noted
that several improvement projects had been recently completed or
were nearly complete at the time of the visit.  The projects
included painting the exterior of all buildings; a resurfacing of
the pool; crack sealing for the property's parking area; and the
installation of a new numbering system for the apartment units.
The property is attractive and well-maintained, with unit
interiors appearing modest but well-appointed.  This loan has
full recourse to the sponsors, who have a significant net worth
and 50 years of multifamily experience.  The A-note leverage at
$44,000 per unit is considered reasonable.

Pavilions at Hartman Heritage (1.40% of the current pool balance)
is collateralized by a 225,000 sf power center in Independence,
Missouri, approximately 12 miles east of the Kansas City central
business district.  Although the property is well-located off of
Interstate-70, near Independence Center, a large enclosed mall
anchored by Macy's, Dillard's, and Sears, the area has undergone
significant build-up over the last 15 years, with two retail
centers located directly across from the mall to the north and
west.  In addition, there are several retail centers located in
the immediate vicinity of the Independence Events Center, a 5,800-
seat arena constructed in 2009 and located just south of the
subject property.  The subject was constructed between 2003 and
2004 and was expanded in 2006.  At origination, the property was
anchored by tenants Stein Mart, Linens 'n Things (LNT), Bassett
Furniture and Pier 1 Imports.  When LNT filed for bankruptcy and
vacated the property in 2008, several large tenants exercised
early termination options and left the property.  Occupancy has
fallen from 92% at issuance to approximately 39% physical
occupancy as of YE2010. The remaining tenants include CostPlus
World Market, David's Bridal, K&G Fashion Superstore, and Beauty
Brands.  The borrower is an affiliate of the Inland American Real
Estate Trust, Inc., who is considered a strong retail operator;
however, with significant supply in the area it could be
especially challenging to lease up the property in the current
economic environment.  DBRS will continue to monitor the loan.

As part of this review, DBRS analyzed the servicer's watchlist,
the delinquent and specially serviced loans, and the top 15 loans
in the pool. Combined, these loans represent approximately 64% of
the current pool balance.


BEAR STEARNS: Fitch Upgrades 2 Classes of BSCMS 2006-BBA7
--------------------------------------------------------
Fitch Ratings has upgraded Bear Stearns Commercial Mortgage
Securities, Inc. commercial mortgage pass-through certificates,
series 2006-BBA7.

The upgrades are the result of significant paydown since the last
rating action. There is one loan remaining, as the former largest
loan, Columbia Sussex, has paid in full as of the July 2011
distribution date, reducing the transaction balance by $473
million. The remaining loan is the Citigroup Property Investors
Hilton Portfolio (CPI) loan. Fitch analyzed servicer reported
operating statements, updated property valuation, STR Reports, and
details of the modification.

The CPI interest-only loan was originally collateralized by four
Hilton Garden Inns and one Homewood Suites, with a total of 955
rooms. One property, the Hilton Garden Inn Chicago (Hoffman
Estates, IL) was released, which reduced the outstanding loan
balance by $6.98 million and the total number of rooms to 771. The
remaining four properties are located primarily in suburban
markets, in or near Atlanta, Denver, Orlando and San Francisco.
The loan transferred to special servicing in July 2009 due to
imminent default. The special servicer modified the loan and
returned it to the master servicer and the loan remains current on
debt service payments. The terms of the modification include a
maturity extension through Dec. 31, 2011 with three extension
options to a final maturity of March 12, 2014, new Preferred
Equity of $2.3 million, provisions for an additional $1.5 million
in Preferred Equity during the term if extended, continued
principal and interest payments to the senior debt, modification
to the mezzanine debt including similar extensions as for the
senior debt, and interest-only payments including the ability to
defer interest to the senior debt. In addition, all fees were paid
by the borrower and no interest shortfalls were incurred by the
trust.

Per the March 2011 STR Reports, the properties' (excluding the
Hoffman Estates property) combined occupancy, ADR and RevPAR were
77.3%, $92.06, and $71.32, which compares to 72.5%, $95.50 and
$67.06, respectively, at issuance. Three of the four properties'
performance exceeds their competitive set. However, net operating
income (NOI) has declined since issuance. As of year-end 2010, the
servicer reported NOI has declined 40% since year-end 2007 and
approximately 50% from issuance expectations; however, it has
improved 19% since yearend 2009.

Fitch upgrades these classes and revises Rating Outlooks:

   -- $13.3 million class H to 'Asf' from 'BBsf'; Outlook to
      Stable from Negative;

   -- $8.8 million class J to 'BBsf' from 'Bsf'; Outlook to Stable
      from Negative.

In addition, Fitch affirms the rating and Recovery Rating of this
certificate:

   -- $9.6 million class K at 'CCCsf/RR1'.

Classes A-1 through G, and X-1A and X-2 have paid in full.


BEAR STEARNS: Moody's Downgrades $319 Mil. of BSABS Subprime RMBS
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 12
tranches from 5 RMBS transactions, backed by subprime mortgage
loans, issued by Bear Stearns.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE11

Cl. A-2, Downgraded to A2 (sf); previously on May 21, 2010
Downgraded to Aa1 (sf)

Cl. A-3, Downgraded to Baa2 (sf); previously on May 21, 2010
Downgraded to A3 (sf)

Cl. M-2, Downgraded to C (sf); previously on May 21, 2010
Downgraded to Ca (sf)

Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE1

Cl. I-A-2, Downgraded to A3 (sf); previously on May 21, 2010
Downgraded to A1 (sf)

Cl. II-A-2, Downgraded to A3 (sf); previously on May 21, 2010
Confirmed at Aa2 (sf)

Cl. II-A-3, Downgraded to Baa2 (sf); previously on May 21, 2010
Downgraded to A2 (sf)

Cl. II-M-1, Downgraded to B3 (sf); previously on May 21, 2010
Downgraded to B1 (sf)

Cl. II-M-2, Downgraded to C (sf); previously on May 21, 2010
Downgraded to Ca (sf)

Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE10

Cl. I-A-1, Downgraded to Baa1 (sf); previously on May 21, 2010
Confirmed at A1 (sf)

Cl. I-A-2, Downgraded to Caa3 (sf); previously on May 21, 2010
Downgraded to Caa2 (sf)

Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE3

Cl. I-A-1, Downgraded to Ba3 (sf); previously on May 21, 2010
Downgraded to Ba1 (sf)

Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE4

Cl. I-A-1, Downgraded to Caa1 (sf); previously on May 21, 2010
Downgraded to Ba2 (sf)


BEAR STEARNS: Moody's Downgrades Rating of $80 Mil. of Alt-A RMBS
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of three
tranches issued by Bear Stearns Alt-A Trust 2006-8.

RATINGS RATIONALE

The collateral backing the transaction consists primarily of
first-lien, Alt-A residential mortgage loans. The actions are a
result of the recent performance review of Alt-A pools and reflect
Moody's updated loss expectations on Alt-A pools issued from 2005
to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Bear Stearns Alt-A Trust 2006-8

Cl. III-A-1, Downgraded to A2 (sf); previously on Sep 16, 2010
Confirmed at Aa3 (sf)

Cl. III-A-2, Downgraded to Caa3 (sf); previously on Sep 16, 2010
Downgraded to B3 (sf)

Cl. III-X-1, Downgraded to A2 (sf); previously on Sep 16, 2010
Confirmed at Aa3 (sf)


BLACK DIAMOND: Moody's Upgrades Ratings of 8 Classes of Notes
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Black Diamond CLO 2006-1 (Luxembourg) S.A.:

US$500,000,000 Class A-D Floating Rate Notes, Due April 2019,
Upgraded to Aaa (sf); previously on June 22, 2011 Aa3 (sf) Placed
Under Review for Possible Upgrade;

EUR 61,500,000 Class A-E Floating Rate Notes, Due April 2019,
Upgraded to Aaa (sf); previously on June 22, 2011 Aa3 (sf) Placed
Under Review for Possible Upgrade;

US$0, EUR 30,153,891 and GBP 30,716,069 Class A-R Redenominatable
Floating Rate Notes, Due April 2019, Upgraded to Aaa (sf);
previously on June 22, 2011 Aa3 (sf) Placed Under Review for
Possible Upgrade;

US$90,000,000 Class B Floating Rate Notes, Due April 2019,
Upgraded to Aa1 (sf); previously on June 22, 2011 Baa2 (sf) Placed
Under Review for Possible Upgrade;

US$48,000,000 Class C Floating Rate Notes, Due April 2019,
Upgraded to A1 (sf); previously on June 22, 2011 Ba2 (sf) Placed
Under Review for Possible Upgrade;

US$55,000,000 Class D Floating Rate Notes, Due April 2019,
Upgraded to Baa2 (sf); previously on June 22, 2011 B2 (sf) Placed
Under Review for Possible Upgrade;

US$45,000,000 Class E Floating Rate Notes, Due April 2019,
Upgraded to Ba2 (sf); previously on June 22, 2011 Caa3 (sf) Placed
Under Review for Possible Upgrade;

US$10,000,000 Combination Notes, Due April 2019 (current
outstanding balance of $6,927,322), Upgraded to Baa2 (sf);
previously on June 22, 2011 B3 (sf) Placed Under Review for
Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of credit improvement of
the underlying portfolio and an increase in the transaction's
overcollateralization ratios since the rating action in October
2009. Based on the June 2011 trustee report, the weighted average
rating factor is currently 2742 compared to 2856 in the September
2009 report. The Class A/B, Class C, Class D, and Class E
overcollateralization ratios are reported at 129.39%, 121.84%,
114.21%, and 108.62%, respectively, versus September 2009 levels
of 125.58%, 118.34%, 111.00%, and 104.13%, respectively, and all
related overcollateralization tests are currently in compliance.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" and "Annual Sector Review (2009): Global CLOs," key
model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers. In its base case, Moody's analyzed the
underlying collateral pool to have a performing par balance,
including principal proceeds, of $982.5 million (expressed in
terms of U.S. dollars), defaulted par of $40.9 million (expressed
in terms of U.S. dollars), a weighted average default probability
of 22.3% (implying a WARF of 2900), a weighted average recovery
rate upon default of 50.6%, and a diversity score of 50. The
default and recovery properties of the collateral pool are
incorporated in cash flow model analysis where they are subject to
stresses as a function of the target rating of each CLO liability
being reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends, and collateral manager
latitude for trading the collateral are also factors.

Black Diamond CLO 2006-1 (Luxembourg) S.A., issued in January
2007, is a collateralized loan obligation backed primarily by a
portfolio of senior secured loans denominated in U.S. dollars,
Euros, and British pounds.

The principal methodology used in determining these ratings was
"Moody's Approach to Rating Collateralized Loan Obligations,"
published in June 2011.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2016 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the managers'
investment strategies and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1. Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus selling defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.

2. Long-dated assets: The presence of assets that mature beyond
   the CLO's legal maturity date exposes the deal to liquidation
   risk on those assets. Moody's assumes an asset's terminal value
   upon liquidation at maturity to be equal to the lower of an
   assumed liquidation value (depending on the extent to which the
   asset's maturity lags that of the liabilities) and the asset's
   current market value.

3. Weighted average life: The notes' ratings are sensitive to the
   weighted average life assumption of the portfolio, which may be
   extended due to the manager's decision to reinvest into new
   issue loans or other loans with longer maturities and/or
   participate in amend-to-extend offerings. Moody's tested for a
   possible extension of the actual weighted average life in its
   analysis.

4. Other collateral quality metrics: The deal is allowed to
   reinvest and the manager has the ability to deteriorate the
   collateral quality metrics' existing cushions against the
   covenant levels. Moody's analyzed the impact of assuming the
   worse of reported and covenanted values for weighted average
   rating factor, weighted average spread, weighted average
   coupon, and diversity score. However, as part of the base case,
   Moody's considered spread levels higher than the covenant
   levels due to the large difference between the reported and
   covenant levels.


BLACKROCK CAPITAL: Moody's Lowers Rating of $10 Mil. of RMBS
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 14 tranche
from BlackRock Capital Finance L.L.C. 1997-R2. The collateral
backing this deal primarily consists of first-lien, fixed and
adjustable rate "scratch and dent" residential mortgages.

Scratch and Dent deals are classified outside of our primary
categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some
way, or mortgages where borrowers missed payments in the past.
These pools may also include loans with document defects at
origination that were since rectified. Due to the varied content
of Scratch and Dent mortgage pools, which can range from seasoned
prime-like loans to non-prime loans that were seriously delinquent
at the time of securitization, credit quality of these pools
varies considerably.

RATINGS RATIONALE

The actions are a result of deteriorating performance of Scratch
and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.

The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other factors used in these ratings are described
in "US RMBS Surveillance Methodology for Scratch and Dent"
published in May 2011, which accounts for the deteriorating
performance and outlook. Please see the Credit Policy page on
www.moodys.com for a copy of these methodologies.

Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. Moody's took into account credit enhancement
provided by seniority, cross-collateralization, excess spread,
time tranching, and other structural features within the senior
note waterfalls.

The above mentioned approach " US RMBS Surveillance Methodology
for Scratch and Dent" is adjusted slightly when estimating losses
on pools left with a small number of loans to account for the
volatile nature of small pools. Even if a few loans in a small
pool become delinquent, there could be a large increase in the
overall pool delinquency level due to the concentration risk. To
project losses on pools with fewer than 100 loans, Moody's first
estimates a "baseline" average rate of new delinquencies ranging
from 3% for prime-like loans to 11% for non-prime loans in Scratch
and Dent pools.. The baseline rate is generally higher than the
average rate of new delinquencies for larger pools. Once the
baseline rate is set, further adjustments are made based on 1) the
number of loans remaining in the pool and 2) the level of current
delinquencies in the pool. The fewer the number of loans remaining
in the pool, the higher the volatility in performance. Once the
loan count in a pool falls below 75, the rate of delinquency is
increased by 1% for every loan less than 75. For example, for a
near-prime Scratch and Dent pool with 74 loans , the adjusted rate
of new delinquency would be 3.03%. In addition, if the current
delinquency level in a small pool is low, future delinquencies are
expected to reflect this trend. To account for that, the rate
calculated above is multiplied by a factor ranging from 0.75 to
2.50 for current delinquencies ranging from less than 10% to
greater than 50% respectively. Delinquencies for subsequent years
and ultimate expected losses are projected using the approach
described in the methodology publication.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in late 2011, accompanied by continued stress in
national employment levels through that timeframe.

Complete rating actions are:

Issuer: BlackRock Capital Finance L.L.C. Series 1997-R2

A-P, Downgraded to B1 (sf); previously on Jun 23, 1997 Assigned
Aaa (sf)

3-AX, Downgraded to B2 (sf); previously on Jun 23, 1997 Assigned
Aaa (sf)

3-PO, Downgraded to B2 (sf); previously on Jun 23, 1997 Assigned
Aaa (sf)

1-B1, Downgraded to B2 (sf); previously on Nov 18, 2010 Aa2 (sf)
Placed Under Review for Possible Downgrade

2-B1, Downgraded to B3 (sf); previously on Nov 18, 2010 Aa2 (sf)
Placed Under Review for Possible Downgrade

3-B1, Downgraded to B2 (sf); previously on Nov 18, 2010 Aa2 (sf)
Placed Under Review for Possible Downgrade

1-B2, Downgraded to Ca (sf); previously on Nov 18, 2010 A2 (sf)
Placed Under Review for Possible Downgrade

2-B2, Downgraded to Ca (sf); previously on Nov 18, 2010 A2 (sf)
Placed Under Review for Possible Downgrade

3-B2, Downgraded to Ca (sf); previously on Nov 18, 2010 A2 (sf)
Placed Under Review for Possible Downgrade

1-B3, Downgraded to Ca (sf); previously on Nov 18, 2010 Baa2 (sf)
Placed Under Review for Possible Downgrade

2-B3, Downgraded to Ca (sf); previously on Nov 18, 2010 Baa2 (sf)
Placed Under Review for Possible Downgrade

3-B3, Downgraded to Ca (sf); previously on Nov 18, 2010 Baa2 (sf)
Placed Under Review for Possible Downgrade

B-4, Downgraded to C (sf); previously on Nov 18, 2010 Ba2 (sf)
Placed Under Review for Possible Downgrade

B-5, Downgraded to C (sf); previously on Nov 18, 2010 Caa2 (sf)
Placed Under Review for Possible Downgrade


BNC MORTGAGE: Moody's Lowers Rating of $63 Mil. Subprime RMBS
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of one
tranche from BNC Mortgage Loan Trust 2006-2.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: BNC Mortgage Loan Trust 2006-2

Cl. A1, Downgraded to Caa3 (sf); previously on Apr 6, 2010
Confirmed at Caa1 (sf)


BRISTOL BAY: S&P Raises Rating on Class B Notes to 'CCC+'
---------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-2 and B notes from Bristol Bay Funding Ltd., a U.S. hybrid
collateralized loan obligation (CLO) transaction. "At the same
time, we removed our rating on the class A-2 notes from
CreditWatch with positive implications. In addition, we affirmed
our ratings on 29 tranches from seven U.S. hybrid CLO transactions
and removed our ratings on ten of the tranches from CreditWatch
with negative implications. Hybrid CLOs are corporate
collateralized debt obligation (CDO) transactions that combine
elements of both cash flow and synthetic CDOs," S&P related.

"We placed our ratings on ten of the tranches from the seven U.S.
hybrid CLO transactions on CreditWatch negative on Jan. 18, 2011,
following the implementation of our revised counterparty criteria
(see 'Ratings On 950 North America Structured Finance Tranches On
Watch Neg After Counterparty Criteria Update'). The affirmations
and CreditWatch removal take into account both the updated
counterparty criteria and our criteria for rating corporate CDO
transactions (see 'Update To Global Methodologies And Assumptions
For Corporate Cash Flow And Synthetic CDOs,' published Sept. 17,
2009). In our view, the new revised counterparty criteria did not
have an impact on the notes, leading us to affirm the current
ratings and remove them from CreditWatch negative," S&P related.

"The upgrades reflect the improved performance we have observed in
the deal since our last rating action in April 2010. Since that
time, the class A-1 note from Bristol Bay Funding has paid down
nearly $12.2 million from diverted excess interest. Also,
according to the May 31, 2011, trustee report, the transaction
referenced $14.6 million in obligations rated 'CCC', down from
$23.0 million in obligations rated 'CCC' as of the Feb. 28, 2010,
trustee report," S&P said.

Standard & Poor's will continue to review whether, in its view,
the ratings currently assigned to the notes remain consistent with
the credit enhancement available to support them and take rating
actions as it deems necessary.

Rating And CreditWatch Actions

Bristol Bay Funding Ltd.
                       Rating
Class               To           From
A-1                 AA+ (sf)     AA+ (sf)/Watch Neg
A-2                 A+ (sf)      BBB+ (sf)/Watch Pos
B                   CCC+ (sf)    CCC- (sf)

Bryant Park CDO Ltd.
                       Rating
Class               To           From
A-1                 AAA (sf)     AAA (sf)/Watch Neg

Chatham Light CLO Ltd.
                       Rating
Class               To           From
A-1                 AAA (sf)     AAA (sf)/Watch Neg
A-2                 AA (sf)      AA (sf)/Watch Neg

Dryden VI-Leveraged Loan CDO 2004
                       Rating
Class               To           From
A-1                 AA+ (sf)     AA+ (sf)/Watch Neg
A-2                 AA- (sf)     AA- (sf)/Watch Neg

Endeavor Funding Ltd.
                       Rating
Class               To           From
A-1                 AA+ (sf)     AA+ (sf)/Watch Neg

Pro Rata Funding Ltd.
                       Rating
Class               To           From
A-1                 AAA (sf)     AAA (sf)/Watch Neg
A-2                 AAA (sf)     AAA (sf)/Watch Neg

Skytop CLO Ltd.
                       Rating
Class               To           From
A-1                 AA+ (sf)     AA+/Watch Neg (sf)

Ratings Affirmed

Bryant Park CDO Ltd.
                       Rating
Class               To           From
A-2                 A+ (sf)      A+ (sf)
B                   BB+ (sf)     BB+ (sf)
C                   CCC- (sf)    CCC- (sf)

Chatham Light CLO Ltd.
                       Rating
Class               To           From
Def B               BBB+ (sf)    BBB+ (sf)
Def C-1             CCC- (sf)    CCC- (sf)
Def C-2             CCC- (sf)    CCC- (sf)

Dryden VI-Leveraged Loan CDO 2004
                       Rating
Class               To           From
B-1                 BBB+ (sf)    BBB+ (sf)
B-2                 BBB+ (sf)    BBB+ (sf)
C-1                 CCC- (sf)    CCC- (sf)
C-2                 CCC- (sf)    CCC- (sf)

Endeavor Funding Ltd.
                       Rating
Class               To           From
A-2                 A+ (sf)      A+ (sf)
B                   BBB+ (sf)    BBB+ (sf)
C                   CCC+ (sf)    CCC+ (sf)

Pro Rata Funding Ltd.
                       Rating
Class               To           From
B                   BB+ (sf)     BB+ (sf)
C                   CCC+ (sf)    CCC+ (sf)
D                   CCC- (sf)    CCC- (sf)

Skytop CLO Ltd.
                       Rating
Class               To           From
A-2                 A+ (sf)      A+ (sf)
B                   BB+ (sf)     BB+ (sf)
C                   CCC+ (sf)    CCC+ (sf)


BXG RECEIVABLES: Moody Reviews Ratings of 3 Classes of Notes
------------------------------------------------------------
Moody's Investors Service placed on review for possible upgrade
three classes of notes from BXG Receivables Note Trust 2004-B,
which is sponsored by Bluegreen Corporation (Bluegreen). The
underlying collateral consists of timeshare loan receivables
issued and serviced by Bluegreen.

RATINGS RATIONALE

The reviews for possible upgrade of the notes issued by BXG 2004-B
were prompted by a build-up in credit enhancement in the deal. The
trust is currently at its overcollateralization target of 9% of
the outstanding pool balance. In addition, the non-declining
reserve is at 16.6% of the outstanding pool balance (reserve being
at its floor of 1.5% of original pool balance). Although
delinquencies and periodic gross charge-offs remain escalated
compared with pre-2008 levels, 60 day plus delinquency and monthly
gross charge-offs % have decreased by 30% and 55% respectively
from the peak levels in late 2008.

The performance evaluation of the deal was based on the adequacy
of the available credit enhancement for each class of notes
relative to Moody's expected loss on the remaining pool and
assumed loss volatility. Moody's considered these sources of
credit enhancement: overcollateralization, reserve fund,
subordination, excess spread, as well as the protection provided
by structural features of the transactions.

Moody's analysis primarily focuses on the ratio of credit
enhancement to expected gross charge-offs on the remaining pool.

Several approaches are utilized to quantitatively assess the
lifetime gross charge-offs for timeshare deals, from which
remaining expected charge-offs are derived. The primary method for
assessing lifetime charge-offs is based on the level and shape of
the cumulative gross charge-off curves and cumulative gross
charge-off to liquidation curves, with additional consideration
given to the current economic environment and the nature of the
asset class. The level where the two curves converge will be the
lifetime gross charge-offs of the pool. In cases where the gross
charge-off to liquidation curve is still above the cumulative
charge-off curve, or where the expected convergence point of the
curves is not clear, a cash flow approach is utilized. The cash
flow approach measures monthly charge-offs, scheduled
amortization, and prepayments, and assumes that the observed
elevated average charge-off rate and low prepayment rate of the
last 12 months will decrease and increase, respectively, over the
course of the next 12 months, to a stabilized level based on
historical averages. The charge-off and prepayment rates are then
assumed to remain at the stabilized level for the remaining life
of the pool. A third metric employed to triangulate estimated
lifetime charge-offs was a regression based on the pool factor in
each period to the cumulative charge-off for the corresponding
period.

In addition, in order to address tail-end risk, Moody's considered
the possibility of continued elevated charge-off rates for the
pools. Although displaying a positive (downward) trend in recent
periods, gross charge-off to liquidation rates are still
relatively high. Although a base case may typically assume the
positive trend continues, Moody's assumed that monthly gross
charge-off to liquidation rates would remain at their levels from
the most recent reporting period in order to apply a stress
commensurate with reviews for possible upgrade of the related
securities. If the monthly excess spread is not sufficient to
absorb the monthly net losses, the elevated gross charge-off rate
may erode overcollateralization level and expose the both deals to
tail-end risk. Moody's will continue to monitor the recoveries on
defaulted loans and the impact to the trusts.

In order to arrive at appropriate ratings, the ratio of credit
enhancement to expected remaining net losses is then compared with
timeshare transactions with similar remaining net losses to
determine the appropriate ratings. The ratio to achieve a certain
rating may be reduced based on the seasoning of the underlying
pools.

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of uncertainty with
regard to expected losses are the weak economic environment, which
adversely impacts the income-generating ability of the borrowers.
Overall, Moody's central global scenario remains "Hook-shaped" for
2010 and 2011; Moody's expects overall a sluggish recovery in most
of the world largest economies, returning to trend growth rate
with elevated fiscal deficits and persistent unemployment levels.

Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.

RATINGS

Issuer: BXG Receivables Note Trust 2004-B

Cl. B, Aa3(sf) Placed Under Review for Possible Upgrade;
previously on Jul 19, 2004 Assigned Aa3(sf)

Cl. C, A3(sf) Placed Under Review for Possible Upgrade; previously
on Jul 19, 2004 Assigned A3(sf)

Cl. D, Ba1(sf) Placed Under Review for Possible Upgrade;
previously on Jul 29, 2009 Downgraded to Ba1(sf)


C-BASS MORTGAGE: Moody's Downgrades $248 Million of S&D RMBS
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 20
tranches from two C-BASS deals. The collateral backing C-BASS
Mortgage Loan Asset-Backed Certificates Series 2006-SC1 primarily
consists of adjustable-rate small balance commercial mortgage
loans and multi-family/mixed use loans originated by Velocity
Commercial Capital, LLC. The collateral backing C-BASS Mortgage
Loan Asset-Backed Certificates Series 2007-MX1 consists of first
lien fixed-rate subprime mixed use mortgage loans acquired by C-
BASS and originated by JPMorgan Chase Bank, National Association.

RATINGS RATIONALE

Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. Moody's took into account credit enhancement
provided by seniority, cross-collateralization, excess spread,
time tranching, and other structural features within the senior
note waterfalls.

The 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 factors used in these ratings are described
in "US RMBS Surveillance Methodology for Scratch and Dent"
published in May 2011, which accounts for the updated performance
and outlook. Please see the Credit Policy page on www.moodys.com
for a copy of these methodologies.

Furthermore, these rating actions considered projections of the
expected losses and analysis of the available credit enhancement.
Because typical small business loan securitizations have either a
long-dated or no hard charge-off policy, they may build up
significant delinquency pipelines. In projecting expected losses
related to the small balance commercial loans, Moody's used
representative delinquency roll rates and an assumed loss severity
of 60% for a period of economic stress assumed to be 12 months and
40% thereafter.

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 2% decline in home prices with stabilization in
late 2011, accompanied by continued stress in national employment
levels through that timeframe. Additional sources of assumption
uncertainty specific to small business commercial loans are
commercial property values and the ability of small businesses to
recover from the recession.

Complete rating actions are:

Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-SC1

Cl. A, Downgraded to A3 (sf); previously on Nov 18, 2010 Aa3 (sf)
Placed Under Review for Possible Downgrade

Cl. M-1, Downgraded to Baa2 (sf); previously on Aug 5, 2009
Downgraded to Baa1 (sf)

Cl. M-2, Downgraded to Ba1 (sf); previously on Aug 5, 2009
Downgraded to Baa2 (sf)

Cl. M-3, Downgraded to Ba3 (sf); previously on Aug 5, 2009
Downgraded to Baa3 (sf)

Cl. M-4, Downgraded to B2 (sf); previously on Aug 5, 2009
Downgraded to Ba2 (sf)

Cl. M-5, Downgraded to Caa2 (sf); previously on Aug 5, 2009
Downgraded to B1 (sf)

Cl. B-1, Downgraded to C (sf); previously on Nov 18, 2010 Caa1
(sf) Placed Under Review for Possible Downgrade

Cl. B-2, Downgraded to C (sf); previously on Aug 5, 2009
Downgraded to Ca (sf)

Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2007-MX1

Cl. A-1, Downgraded to Baa3 (sf); previously on Nov 18, 2010 Aaa
(sf) Placed Under Review for Possible Downgrade

Cl. A-2, Downgraded to Ba2 (sf); previously on Nov 18, 2010 Aaa
(sf) Placed Under Review for Possible Downgrade

Cl. A-3, Downgraded to B1 (sf); previously on Nov 18, 2010 Aaa
(sf) Placed Under Review for Possible Downgrade

Cl. A-4, Downgraded to B1 (sf); previously on Nov 18, 2010 Aaa
(sf) Placed Under Review for Possible Downgrade

Cl. M-1, Downgraded to Caa3 (sf); previously on Nov 18, 2010 Aa1
(sf) Placed Under Review for Possible Downgrade

Cl. M-2, Downgraded to Ca (sf); previously on Nov 18, 2010 Aa2
(sf) Placed Under Review for Possible Downgrade

Cl. M-3, Downgraded to C (sf); previously on Nov 18, 2010 A1 (sf)
Placed Under Review for Possible Downgrade

Cl. M-4, Downgraded to C (sf); previously on Nov 18, 2010 A2 (sf)
Placed Under Review for Possible Downgrade

Cl. M-5, Downgraded to C (sf); previously on Nov 18, 2010 Baa1
(sf) Placed Under Review for Possible Downgrade

Cl. M-6, Downgraded to C (sf); previously on Nov 18, 2010 Baa2
(sf) Placed Under Review for Possible Downgrade

Cl. B-1, Downgraded to C (sf); previously on Nov 18, 2010 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-2, Downgraded to C (sf); previously on Nov 18, 2010 Ba2 (sf)
Placed Under Review for Possible Downgrade


C-BASS MORTGAGE: Moody's Lowers Ratings of $66m of subprime RMBS
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of two
tranches, upgraded the rating of one tranche, and placed one of
the downgraded tranche on review for further downgrade from C-BASS
Mortgage Loan Asset-Backed Certificates, Series 2006-CB7. The
collateral backing the transaction consists primarily of first-
lien, subprime residential mortgage loans.

RATINGS RATIONALE

The actions are a result of the recent performance review of
subprime pools and reflect Moody's updated loss expectations on
subprime pools issued from 2005 to 2008.

The actions are based on a combination of several factors which
include a servicing transfer to Ocwen Financial Corp from Litton
Loan Servicing LP, a correction of our understanding of the
principal waterfall, and updated loss expectations on subprime
pools issued from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

The rating action reflects a correction to the rating of Class A-3
and Class A-5 issued by C-Bass Mortgage Loan Asset-Backed
Certificates, Series 2006-CB7. Previous rating actions applied
principal distribution rules as set forth in the prospectus
supplement, which is silent about any change in principal
distribution after the depletion of the subordinate certificates.
However, the Pooling and Servicing Agreement (PSA) states that
when the mezzanine certificates are depleted, principal will be
distributed pro rata to all senior certificates in group 2. The
Trustee has confirmed that it will follow the PSA. As such, if the
mezzanine are written off, principal will be allocated to Class A-
2, A-3, A-4 and A-5 pro rata based on their respective outstanding
principal balances, and Moody's has adjusted its rating of Class
A-3 and Class A-5 accordingly.

The Class A-2 may be affected by cash flow disruptions in the
coming months post a servicing transfer to Ocwen Financial Corp
from Litton Loan Servicing LP. The tranche is a short cash flow
tranche where full receipt of principal is dependent on the timing
of losses and principal payments in the related transactions. The
short cash flow tranche currently is first in line to receive all
principal allocation from it's related collateral groups. However,
once it's supporting mezzanine tranches are 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 principal
losses.

The purchase could temporarily disrupt RMBS cash flows because
Ocwen may pursue both more loan modifications and tighter advances
on delinquent loans than Litton has. A tighter advancing policy in
this case means that Ocwen may deem as non-recoverable the
advances made in the past by Litton and will seek to reimburse
itself with funds from the top of the transaction waterfall. Any
collections that go toward reimbursing advances delay payments to
bondholders.

An increase in modifications, in addition to delaying the
collection of liquidation proceeds to a later date, would itself
increase the reimbursement of advances because the servicer will
begin to recoup advances upon modification. Ocwen over the past
several years has pursued modifications more rapidly than Litton
has, indicating that a decrease in liquidations of Litton's loans
would follow the acquisition.

To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary sources of assumption uncertainty are the rate of
realized losses reducing the balance of the mezzanine
certificates, 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, andthe current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-CB7

Cl. A-2, Downgraded to Aa2 (sf) and Placed Under Review for
Possible Downgrade; previously on Apr 12, 2010 Confirmed at Aaa
(sf)

Cl. A-3, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to A3 (sf)

Cl. A-5, Upgraded to Ca (sf); previously on Apr 12, 2010
Downgraded to C (sf)


CAPCO AMERICA: Fitch Affirms Class B-2 at 'D/RR4'
-------------------------------------------------
Fitch Ratings affirms CAPCO America Securitization Corp.'s (CAPCO)
commercial mortgage pass-through certificates, series 1998-D7:

   -- $14.6 million class B-2 at 'D/RR4'.

Class B-2, has incurred principal losses and is in default.
Classes B-3, B-4, and B-5 remain 'D/RR6' and have been reduced to
zero due to realized losses.

Classes A-1A, A-1B, A-2, A-3, A-4, A-5, and B-1 have been paid in
full.


CARLYLE MODENA: Moody's Upgrades Ratings of Three Classes of Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Carlyle Modena CLO Ltd.:

US$24,000,000 Class B Floating Rate Deferrable Revolving Notes Due
2016 (current balance of $9,562,037), Upgraded to Aaa (sf);
previously on June 22, 2011 Aa2 (sf) Placed under review for
possible upgrade;

US$27,750,000 Class C Floating Rate Notes Due 2016, Upgraded to
Aa1 (sf); previously on June 22, 2011 A2 (sf) Placed under review
for possible upgrade;

US$20,250,000 Class D Floating Rate Notes Due 2016 (current
balance of $21,247,314), Upgraded to B1 (sf); previously on June
22, 2011 B3 (sf) Placed under review for possible upgrade;

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of delevering of the senior
notes since the rating action in May 2011. Moody's notes that the
Class A Notes have been paid down by approximately $23.6 million
and the Class B Notes have been paid down by approximately $0.8
million since the last rating action. As a result of the
delevering, the senior overcollateralization ratio has increased
since the last rating action. Based on the July 2011 trustee
report, the senior overcollateralization ratio is reported at
156.59% versus May 2011 level of 145.88%.

Notwithstanding improvements in the overcollateralization ratio,
Moody's also notes that the Class D Notes are currently deferring
interest due to the diversion of excess interest to pay down the
senior notes before paying the Class D Notes' interest. This
results from a deal structural feature which specifies that net
principal losses must be repaid from (i) first, excess interest
before payment of the Class D Notes' interest, and (ii) second,
draws on the Class B Revolving Notes. In addition, the Class B
Revolving Notes' funded balance is repaid before the Class D
Notes' interest in the interest waterfall of the transaction. As
such, there will be no excess interest available to pay the Class
D Notes' interest until the funded balance on the Class B
Revolving Notes is paid in full.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $152 million,
defaulted par of $5 million, a weighted average default
probability of 16.5% (implying a WARF of 2796), a weighted average
recovery rate upon default of 49.8%, and a diversity score of 43.
The default and recovery properties of the collateral pool are
incorporated in cash flow model analysis where they are subject to
stresses as a function of the target rating of each CLO liability
being reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

Carlyle Modena CLO, Ltd., issued in September of 2004, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2012 and
2014 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Delevering: The main source of uncertainty in this transaction
   is whether delevering from unscheduled principal proceeds will
   continue and at what pace. Delevering may accelerate due to
   high prepayment levels in the loan market and/or collateral
   sales by the manager, which may have significant impact on the
   notes' ratings.

2) Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deals'
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus selling defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.

3) Long-dated assets: The presence of assets that mature beyond
   the CLO's legal maturity date exposes the deal to liquidation
   risk on those assets. Moody's assumes an asset's terminal value
   upon liquidation at maturity to be equal to the lower of an
   assumed liquidation value (depending on the extent to which the
   asset's maturity lags that of the liabilities) and the asset's
   current market value.


CARRINGTON MORTGAGE: Moody's Lowers Ratings of $335 Mil. RMBS
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 5 tranches
from 5 RMBS transactions, backed by subprime mortgage loans,
issued by Carrington.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
Subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Carrington Mortgage Loan Trust Series 2006-FRE1

Cl. A-2, Downgraded to B2 (sf); previously on Apr 29, 2010
Downgraded to Ba1 (sf)

Issuer: Carrington Mortgage Loan Trust, Series 2006-NC2

Cl. A-2, Downgraded to B3 (sf); previously on Apr 29, 2010
Downgraded to Ba3 (sf)

Issuer: Carrington Mortgage Loan Trust, Series 2006-NC5

Cl. A-1, Downgraded to Ba1 (sf); previously on Apr 29, 2010
Downgraded to Baa1 (sf)

Issuer: Carrington Mortgage Loan Trust, Series 2006-RFC1

Cl. A-2, Downgraded to B2 (sf); previously on Apr 29, 2010
Downgraded to Baa1 (sf)

Issuer: Carrington Mortgage Loan Trust, Series 2007-RFC1

Cl. A-1, Downgraded to B3 (sf); previously on Apr 29, 2010
Downgraded to Ba3 (sf)


CEDARWOODS CRE: S&P Lowers Rating on Class F to 'CCC'
-----------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes from Cedarwoods CRE CDO II Ltd. (Cedarwoods II), a
commercial real estate collateralized debt obligation (CRE
CDO) transaction. "At the same time, we affirmed our rating on
class A-1 and removed it from CreditWatch negative, where we
placed it on Jan. 18, 2011," S&P said.

"The downgrades of classes A-2 through F primarily reflect our
analysis of the transaction and its underlying collateral
following the deterioration in the credit quality of the
collateral following our downgrades of 59 securities
that serve as underlying collateral for Cedarwoods II.
Additionally, the class A principal coverage ratio has declined to
112.7%, with a threshold of 101.75%.

"The affirmation of our rating on class A-1 reflects our
application of our criteria for assessing counterparty and
supporting obligations as well as our analysis of the transaction
and its underlying collateral. Cedarwoods II has in place interest
rate swaps with Bank of America N.A. (A+/negative/A-1) to mitigate
interest rate risk that may arise due to the class paying
floating-rate coupon and the transaction assets paying fixed-rate
coupons. In our analysis, we modeled the transaction without the
interest rate swaps and determined that the rating on class A-1
will be able to withstand the interest rate risk across different
interest rates environments. In addition, class A-1 benefits from
principal paydowns as a result of principal coverage test
failures. Subsequently, we removed our rating on class A-1 from
CreditWatch negative," S&P related.

According to the June 21, 2011, trustee report, Cedarwoods II's
current asset pool includes:

    170 commercial mortgage-backed securities (CMBS; $578.7
    million, 76.0%);

    27 CRE CDO tranches ($162.6 million, 21.4%); and

    Five REIT debt securities ($20.0 million, 2.6%).

Seven CRE CDO ($41.0 million, 5.4%) and seven CMBS securities
($27.0 million, 3.5%) in the transaction are deemed defaulted,
according to the trustee report. Cedarwoods II is failing the
class C and class D/E principal coverage tests, according to the
trustee report, but passing the class A/B principal coverage test
and all of the interest coverage tests.

The 59 downgraded securities are from 34 transactions and total
$251.3 million (33.0% of the total asset balance). The credit
deterioration of the underlying collateral also prompted the
failure of the principal coverage tests in the transaction.
Cedarwoods II has exposure to these securities that Standard &
Poor's has downgraded:

    LNR CDO 2003-1 Ltd. (classes B, C-FX, and E-FL; $38.0 million,
    5.0%);

    Fairfield Street Solar 2004-1 Ltd. (class A1; $25.0 million,
    3.3%); and

    Washington Mutual Commercial Mortgage 2006-SL1 (classes D, E,
    and F; $19.9 million, 2.6%).

Standard & Poor's analyzed the transaction and its underlying
assets in accordance with its current criteria. "Our analysis is
consistent with the lowered and affirmed ratings," S&P added.

Ratings Lowered

Cedarwoods CRE CDO II Ltd.
                        Rating
Class            To               From
A-2              BBB+ (sf)        A+ (sf)
A-3              BBB- (sf)        A (sf)
B                BB+ (sf)         A- (sf)
C                BB- (sf)         BBB+ (sf)
D                B+ (sf)          BBB (sf)
E                B (sf)           BBB- (sf)
F                CCC (sf)         BB (sf)

Rating Affirmed And Removed From Creditwatch Negative

Cedarwoods CRE CDO II Ltd.
                        Rating
Class            To               From
A-1              AA- (sf)         AA-/Watch Neg (sf)


CENTURION CDO: Moody's Upgrades Ratings of 7 Classes of CLO Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Centurion CDO VI, Ltd.:

US$308,000,000 Class A Floating Rate Notes, Due 2015 (current
balance of $254,093,795), Upgraded to Aaa (sf); previously on June
22, 2011, Aa1 (sf) Placed Under Review for Possible Upgrade;

US$18,000,000 Class B-1 Fixed Rate Notes, Due 2015, Upgraded to A2
(sf); previously on June 22, 2011, Baa3 (sf) Placed Under Review
for Possible Upgrade;

US$19,000,000 Class B-2 Floating Rate Notes, Due 2015, Upgraded to
A2 (sf); previously on June 22, 2011, Baa3 (sf) Placed Under
Review for Possible Upgrade;

US$12,000,000 Class C Floating Rate Notes, Due 2015, Upgraded to
Baa3 (sf); previously on June 22, 2011, Ba3 (sf) Placed Under
Review for Possible Upgrade;

US$4,000,000 Class D-1 Fixed Rate Notes, Due 2015, Upgraded to Ba2
(sf); previously on June 22, 2011, Caa1 (sf) Placed Under Review
for Possible Upgrade;

US$2,000,000 Class D-2 Fixed Rate Notes, Due 2015, Upgraded to Ba2
(sf); previously on June 22, 2011, Caa1 (sf) Placed Under Review
for Possible Upgrade;

US$4,000,000 Class D-3 Floating Rate Notes, Due 2015, Upgraded to
Ba2 (sf); previously on June 22, 2011, Caa1 (sf) Placed Under
Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of credit improvement of
the underlying portfolio and an increase in the transaction's
overcollateralization ratios due to delevering of the senior notes
since the rating action in September 2009. Moody's notes that the
Class A Notes have been paid down by approximately 14.4% or $48.8
million since the rating action in September 2009. As a result of
the delevering, the overcollateralization ratios have increased
since the rating action in September 2009. Based on the latest
trustee report, dated June 7, 2011 the Class A, Class B, Class C,
and Class D overcollateralization ratios are reported at 138.08%,
120.53%, 115.76% and 111.00%, respectively, versus July 2009
levels of 130.48%, 116.28%, 112.31%, and 108.31%, respectively.

Moody's also notes that the deal has benefited from improvement in
the credit quality of the underlying portfolio since the rating
action in September 2009. Based on the June 2011 trustee report,
the weighted average rating factor is currently 2471 compared to
2821 in July 2009.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $349.3 million,
defaulted par of $4.2 million, a weighted average default
probability of 14.26% (implying a WARF of 2704), a weighted
average recovery rate upon default of 48.09%, and a diversity
score of 55. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

Centurion CDO VI, Ltd., issued in 2002, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Delevering: The main source of uncertainty in this transaction
   is whether delevering from unscheduled principal proceeds will
   continue and at what pace. Delevering may accelerate due to
   high prepayment levels in the loan market and/or collateral
   sales by the manager, which may have significant impact on the
   notes' ratings.

2) Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus sell defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.

3) Reinvestment: The notes' ratings are sensitive to the
   reinvestment assumption of the portfolio, where, at the
   manager's decision, unscheduled principal payments may be
   reinvested.


CHARITABLE LEADERSHIP: Moody's Withdraws Rating on Series 2002A
---------------------------------------------------------------
Moody's has withdrawn its rating on the Charitable Leadership
Foundation's Series 2002A Civic Facility Revenue Bonds (Center for
Medical Science Project), which were issued through the City of
Albany Industrial Development Agency. Neither the Foundation nor
the Center for Medical Science have other debt outstanding with a
Moody's underlying rating. Approximately $48 million of debt is
impacted by the rating action. The rating has been withdrawn
because Moody's believes it lacks adequate information to maintain
a rating.

The Ca rating and negative outlook on the Series 2002A bonds have
been withdrawn. The last ration action was on March 15, 2011 when
the rating was removed from watchlist for possible downgrade and
downgraded to Ca with a negative outlook from Caa2.

DETAILED CREDIT DISCUSSION

The bond trustee (Wells Fargo) used a portion of the debt service
reserve fund to make the scheduled interest payments on January 1,
2011 and July 1, 2011. The principal payment amount scheduled for
July 1, 2011 was not paid. Moody's considers this a payment
default. There is currently $2.95 million remaining in the debt
service reserve fund. Ordway Research Institute, Inc., a primary
tenant in the research facility, suspended rental payments since
July 2010. Ordway has filed for Chapter 11 bankruptcy protection.

Moody's adopts all necessary measures so that the information it
uses in assigning a credit rating is of sufficient quality and
from sources Moody's considers to be reliable including, when
appropriate, independent third-party sources. However, Moody's is
not an auditor and cannot in every instance independently verify
or validate information received in the rating process.

Please see ratings tab on the issuer/entity page on Moodys.com for
the last rating action and the rating history.

The date on which some Credit Ratings were first released goes
back to a time before Moody's Investors Service's Credit Ratings
were fully digitized and accurate data may not be available.
Consequently, Moody's Investors Service provides a date that it
believes is the most reliable and accurate based on the
information that is available to it.


CHASE MORTGAGE: Moody's Lowers Ratings on $811 Mil. Prime RMBS
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 34
tranches from two RMBS transactions, backed by prime jumbo loans,
issued by Chase Mortgage Finance Trust.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, prime jumbo residential mortgage loans. The actions
are a result of the recent performance review of prime jumbo pools
and reflect Moody's updated loss expectations on prime jumbo pools
issued from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
prime jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R) (SFW), the
cash flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The approach is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project losses
on pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that
varies from 3% to 5% on average. The baseline rates are higher
than the average rate of new delinquencies for larger pools for
the respective vintages.

Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 3.00%, the adjusted rate of new delinquency would
be 3.03%. in addition, if current delinquency levels in a small
pool is low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.75 to 2.5 for current
delinquencies ranging from less than 2.5% to greater than 10%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology " publication.

The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Chase Mortgage Finance Trust Series 2006-S4

Cl. A-1, Downgraded to B2 (sf); previously on May 26, 2010
Downgraded to Ba2 (sf)

Cl. A-2, Downgraded to B2 (sf); previously on May 26, 2010
Downgraded to Ba2 (sf)

Cl. A-3, Downgraded to B2 (sf); previously on May 26, 2010
Downgraded to Ba3 (sf)

Cl. A-5, Downgraded to B2 (sf); previously on May 26, 2010
Downgraded to Ba3 (sf)

Cl. A-6, Downgraded to B3 (sf); previously on May 26, 2010
Downgraded to B1 (sf)

Cl. A-7, Downgraded to B3 (sf); previously on May 26, 2010
Downgraded to B1 (sf)

Cl. A-8, Downgraded to Caa2 (sf); previously on May 26, 2010
Downgraded to Caa1 (sf)

Cl. A-9, Downgraded to C (sf); previously on Apr 28, 2009
Downgraded to Ca (sf)

Cl. A-10, Downgraded to Caa2 (sf); previously on May 26, 2010
Confirmed at B3 (sf)

Cl. A-11, Downgraded to Caa2 (sf); previously on May 26, 2010
Confirmed at B3 (sf)

Cl. A-13, Downgraded to Caa2 (sf); previously on May 26, 2010
Downgraded to Caa1 (sf)

Cl. A-14, Downgraded to Caa1 (sf); previously on May 26, 2010
Confirmed at B3 (sf)

Cl. A-15, Downgraded to Caa2 (sf); previously on May 26, 2010
Downgraded to Caa1 (sf)

Cl. A-16, Downgraded to B2 (sf); previously on May 26, 2010
Downgraded to Ba3 (sf)

Cl. A-17, Downgraded to B2 (sf); previously on May 26, 2010
Downgraded to Ba3 (sf)

Cl. A-18, Downgraded to B2 (sf); previously on May 26, 2010
Downgraded to Ba3 (sf)

Cl. A-19, Downgraded to Caa2 (sf); previously on May 26, 2010
Confirmed at B3 (sf)

Cl. A-20, Downgraded to Caa2 (sf); previously on May 26, 2010
Confirmed at B3 (sf)

Cl. A-21, Downgraded to Caa2 (sf); previously on May 26, 2010
Confirmed at B3 (sf)

Cl. A-22, Downgraded to Caa1 (sf); previously on May 26, 2010
Confirmed at B3 (sf)

Cl. A-23, Downgraded to Caa1 (sf); previously on May 26, 2010
Confirmed at B3 (sf)

Cl. A-X, Downgraded to B2 (sf); previously on May 26, 2010
Downgraded to Ba2 (sf)

Cl. A-P, Downgraded to Caa2 (sf); previously on May 26, 2010
Downgraded to Caa1 (sf)

Issuer: Chase Mortgage Finance Trust Series 2007-A1

Cl. 1-A3, Downgraded to A3 (sf); previously on May 26, 2010
Upgraded to Aa2 (sf)

Cl. 1-A4, Downgraded to B1 (sf); previously on May 26, 2010
Confirmed at Ba3 (sf)

Cl. 1-A5, Downgraded to Ba2 (sf); previously on May 26, 2010
Upgraded to Baa1 (sf)

Cl. 2-A1, Downgraded to A3 (sf); previously on May 26, 2010
Confirmed at A1 (sf)

Cl. 2-A3, Downgraded to Ba2 (sf); previously on May 26, 2010
Upgraded to Baa3 (sf)

Cl. 4-A1, Downgraded to B1 (sf); previously on May 26, 2010
Confirmed at Ba3 (sf)

Cl. 6-A1, Downgraded to B2 (sf); previously on May 26, 2010
Downgraded to Ba3 (sf)

Cl. 7-A1, Downgraded to B1 (sf); previously on May 26, 2010
Downgraded to Baa1 (sf)

Cl. 8-A1, Downgraded to A3 (sf); previously on May 26, 2010
Upgraded to A1 (sf)

Cl. 9-A1, Downgraded to Baa3 (sf); previously on May 26, 2010
Downgraded to Aa3 (sf)

Cl. 9-A2, Downgraded to Caa3 (sf); previously on May 26, 2010
Upgraded to Caa2 (sf)


CHESAPEAKE FUNDING: Moody's Affirms Lease Variable Funding Notes
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings of Aa1
(sf) and A2 (sf) to the Class A and Class B Series 2011-1 Floating
Rate Asset Backed Investor Notes with scheduled expiry date of
June 27, 2013 and affirmed the ratings of Aa1 (sf) and A2 (sf) on
the Class A and Class B Series 2010-1 Floating Rate Asset Backed
Investor Notes following the extension of the scheduled expiry
date to June 27, 2012. These notes are issued by Chesapeake
Funding LLC (Issuer), a bankruptcy-remote special purpose entity
wholly owned by PHH Corporation (PHH, Ba2). Moody's also stated
that it sees no negative impacts to the existing Series 2009-1,
2009-2, 2009-3 or 2009-4 Floating Rate Asset Backed Investor Notes
(all series together, the Notes) solely resulting from these
actions. The complete rating action is:

Issuer: Chesapeake Funding LLC

$500,000,000 (maximum amount) Series 2011-1 Floating Rate Asset
Backed Investor Notes, Class A, rated Aa1 (sf)

$16,483,517 Series 2011-1 Floating Rate Asset Backed Investor
Notes, Class B, rated A2 (sf)

$700,000,000 (maximum amount) Series 2010-1 Floating Rate Asset
Backed Investor Notes, Class A, affirmed Aa1 (sf)

$23,076,923 Series 2010-1 Floating Rate Asset Backed Investor
Notes, Class B, affirmed A2 (sf)

RATINGS RATIONALE

The ratings on the Notes are based on an assessment of the quality
of the collateral, the credit enhancement in the deal and the
structural features. The principal methodology used in rating the
transaction is summarized below. Other methodologies and factors
that may have been considered in the process of rating this issue
can also be found in the Rating Methodologies sub-directory on
Moody's website.

The notes are ultimately backed by a special unit of beneficial
interest in a pool of mostly open-end leases and the related
vehicles as well as a special unit of beneficial interest in a
pool of fleet receivables. The leases were originated in the name
of D L Peterson Trust by PHH Vehicle Management Services LLC d/b/a
PHH Arval (PHH Arval), an indirect wholly owned subsidiary of PHH
(Sr. Unsecured Ba2, outlook stable).

The potential credit loss of this transaction is primarily driven
by the default likelihood of the lessees, the diversity of the
pool of lessees and concentrations limits on the largest obligors
and types of equipment in the pool. The default likelihood of the
lessees is driven by the lessees' Moody's credit rating.
Approximately 70% of this pool is rated by Moody's with various
stressed ratings assumed for the non-rated portion. In the base
case, we assume B2 for the non-rated lessees which results in a
weighted average rating of Ba2 for this pool, which is unchanged
from when the previous deal was rated. The diversity score
measures the diversity of the pool by mathematically converting
the obligor concentrations into the number of equally-sized
uncorrelated obligors which would represent the same credit risk
as the actual pool. In general, a greater the number of obligors
and greater industry dispersion results in a higher diversity
score which in turn would result in lower assumed collateral loss
volatility, all other factors being the same. The diversity score
for this pool is slightly improved (52 versus 48) from when the
last deal was rated. While the concentration limits for the
largest obligors and for certain equipment types have been
increased since the most recent deal was rated, we do not believe
that these changes will have a material impact on the credit
quality of the underlying pool.

V-SCORE AND LOSS SENSITIVITY

Moody's V Score: The V Score for this transaction is Medium, the
same as that for the fleet leasing sector. The V Score indicates
"Medium" uncertainty about critical assumptions.

The Medium or average score for this transaction is driven by the
Medium score for historical sector performance, the Medium for
sponsor/originator historical performance, and the Medium score
for complexity and market value sensitivity. The transaction score
Low/Medium for governance is largely due to the presence of a
backup servicer, which reduces risk. All the scores for the
subcomponents are the same as for the fleet leasing sector as PHH
is a typical issuer in the sector.

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: For this exercise, we analyzed
stress scenarios assessing the potential model-indicated ratings
impact if (a) the assumed weighted average rating of the lessees
were to immediately decline from Ba2 to Ba3, B1 and B2 and (b) the
assumed recovery rates were to decrease from 70% to 65%, 60% and
55% with respect to the Class A Notes and the assumed recovery
rates were to decrease from 80% to 75%, 70% and 65% with respect
to the Class B Notes. The following descriptions provide a summary
of the results.

Using such assumptions, the Aa1 (sf) initial rating for the Class
A Notes of Series 2010-1 and 2011-1 might change as follows based
purely on the model results: (a) If the assumed weighted average
rating of lessees is Ba2, there will be 1 three notch change in
rating to A1 (sf) as recovery rate decreases to 55%; (b) If the
weighted average rating of lessees is Ba3, the maximum change will
be six notches to Baa1 (sf) as recovery rate decreases to 55%; (c)
If the weighted average rating of lessees is B1, the maximum
change will be nine notches to Ba1 (sf) as recovery rate decreases
to 55%; and (d) If the weighted average rating of lessees is B2,
the maximum change will be eleven notches to Ba3 (sf) as recovery
decreases to 55%.

The A2 initial rating for the Class B Notes of Series 2010-1 and
2011-1 might change as follows: (a) If the weighted average rating
of lessees is Ba2, the maximum change will be four notches to Baa3
(sf) as recovery rate decreases to 65%; (b) If the weighted
average rating of lessees is Ba3, the maximum change will be more
than 10 notches to less than B3 (sf) as recovery rate decreases to
65%; (c) If the weighted average rating of lessees is B1, the
maximum change will be more than 10 notches to less than B3 (sf)
as recovery rate decreases to 65%; and (d) If the weighted average
rating of lessees is B2, the maximum change will be more than 10
notches to less than B3 (sf) as recovery rate decreases to 65%.

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.

PRINCIPAL METHODOLOGY

As the majority of the underlying collateral consists of a pool of
open-end leases (i.e. leases where the lessees are responsible for
any residual value losses), the potential credit loss of this
transaction is primarily driven by the default likelihood of the
lessees, the recovery rate when a lessee defaults, and the
diversity of the pool of lessees. An approach similar to that used
in CLO transactions is used. The CLO approach hinges on the idea
of using a 'hypothetical pool' to map the credit and loss
characteristics of an actual pool and then employing a
mathematical technique called binomial expansion to determine the
expected loss of the bond to be rated. Using the binomial
expansion technique, the probability of default of each possible
scenario is calculated based on a mathematical formula, and the
cashflow profile for each scenario is determined based on an
assumed recovery rate. Then each cashflow scenario is fed into a
liability model to determine the actual loss on the bond under
each scenario, and the probability weighted loss or expected loss
of the bond is determined. The expected loss of the bond is then
compared with Moody's Idealized Cumulative Expected Loss Rates
Table to determine a rating for the bond.

The hypothetical pool is characterized by a diversity score. The
diversity score measures the diversity of the actual pool by
mathematically converting the obligor concentrations of the actual
pool into the number of equally-sized uncorrelated obligors which
would represent the same credit risk as the actual pool. This
process is summarized as follows. Each lessee is assigned its
applicable industry category. Lessees in the same industry are
assumed to be correlated with each other, while lessees in
different industries are assumed to be independent. The number of
lessees in the same industry is reduced to reflect the correlation
among them. For example, when calculating the diversity score, six
equal-sized lessees in the same industry are counted as three
independent obligors, while six equal-sized lessees in six
different industries are counted as six independent obligors. The
size of the lessees is also accounted for by reducing the number
of lessees with below average lessee size. In general, the higher
the diversity score, the lower the collateral loss volatility will
be and consequently, the lower the expected loss of a security,
other factors being the same.

Each possible default scenario is determined by both the diversity
score and the average probability of default of the pool. The
weighted average probability of default of the pool is determined
by the probability of default of each lessee or obligor, which is
estimated using the actual lessees' credit ratings, if rated. For
non-rated lessees, the average rating is assumed to be lower than
that of the rated lessees. For example, if the average rating for
the rated lessees is Baa3, we could assume a rating of Ba3 or
lower as the average rating for the non-rated lessees. The
estimated weighted average rating for the entire hypothetical pool
is then used to estimate the probability of each default scenario.

The actual net loss on the bonds under each default scenario is
determined taking into consideration of recoveries in case of
default. When a lessee defaults, recoveries are obtained as the
related leased vehicles are reprocessed and sold to repay the
defaulted lease obligation. We conduct detailed recovery analyses
based on the types of vehicles leased and various default
scenarios for lessees. Based on those recovery analyses, we
determine the ratings after considering the breakeven recovery
rates for the different classes of notes at their associated
credit enhancement levels.

Additional research including a pre-sale report for the Series
2009-2 notes, which share many similarities with the Series 2010-1
and 2011-1 notes, is available at www.moodys.com. The special
report, "Updated Report on V Scores and Parameter Sensitivities
for Structured Finance Securities" is also available at
moodys.com.


CHEVY CHASE: Moody's Downgrades Rating of $103.1 Mil. Option ARM
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 7 tranches
from 1 RMBS transaction, backed by Option ARM loans, issued by
Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series
2005-2.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, Option ARM residential mortgage loans. The actions are
a result of the recent performance review of Option ARM pools and
reflect Moody's updated loss expectations on Option ARM pools
issued from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Option ARM RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

Certain securities, as noted below, are insured by financial
guarantors. For securities insured by a financial guarantor, the
rating on the securities is the higher of (i) the guarantor's
financial strength rating and (ii) the current underlying rating
(i.e., absent consideration of the guaranty) on the security. The
principal methodology used in determining the underlying rating is
the same methodology for rating securities that do not have a
financial guaranty and is as described earlier. RMBS securities
wrapped by Ambac Assurance Corporation are rated at their
underlying rating without consideration of Ambac's guaranty.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates,
Series 2005-2

Cl. A-1, Downgraded to Caa2 (sf); previously on Nov 23, 2010
Downgraded to B3 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)

Underlying Rating: Downgraded to Caa2 (sf); previously on Nov 23,
2010 Downgraded to B3 (sf)

Cl. A-1I, Downgraded to Caa2 (sf); previously on Nov 23, 2010
Downgraded to B3 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)

Underlying Rating: Downgraded to Caa2 (sf); previously on Nov 23,
2010 Downgraded to B3 (sf)

Cl. A-NA, Downgraded to Caa2 (sf); previously on Nov 23, 2010
Downgraded to B3 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)

Underlying Rating: Downgraded to Caa2 (sf); previously on Nov 23,
2010 Downgraded to B3 (sf)

Cl. A-2, Downgraded to Caa2 (sf); previously on Nov 23, 2010
Downgraded to B3 (sf)

Cl. A-2I, Downgraded to Caa2 (sf); previously on Nov 23, 2010
Downgraded to B3 (sf)

Cl. NIO, Downgraded to Caa2 (sf); previously on Nov 23, 2010
Downgraded to B3 (sf)

Cl. IO, Downgraded to Caa2 (sf); previously on Nov 23, 2010
Downgraded to B3 (sf)


CHL MORTGAGE: Moody's Upgrades $17 Mil. of Prime Jumbo RMBS
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches
from one RMBS transaction, backed by prime jumbo loans, issued by
CHL Mortgage Pass-Through Trust 2005-16.

RATINGS RATIONALE

The collateral backing this transaction consists primarily of
first-lien, prime jumbo residential mortgage loans. The actions
are a result of the recent performance review of prime jumbo pools
and reflect Moody's updated loss expectations on prime jumbo pools
issued from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
prime jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R) (SFW), the
cash flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

In the rating action, some tranches were upgraded. The upgrades
are a result of improved performance and/or certain structural
features. In certain transactions there are structural features
whereby the tranches are receiving more principal payments than
anticipated, supporting the upgrades.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: CHL Mortgage Pass-Through Trust 2005-16

Cl. A-22, Upgraded to Ba1 (sf); previously on Apr 12, 2010
Downgraded to B2 (sf)

Cl. A-27, Upgraded to Ba1 (sf); previously on Apr 12, 2010
Downgraded to B2 (sf)


CITICORP MORTGAGE: Moody's Acts on $202 Mil. Prime Jumbo RMBS
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 19
tranches and upgraded the ratings of 14 tranches from seven RMBS
transactions, backed by prime jumbo loans, issued by Citicorp
Mortgage Securities Trust.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, prime jumbo residential mortgage loans. The actions
are a result of the recent performance review of prime jumbo pools
and reflect Moody's updated loss expectations on prime jumbo pools
issued from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
prime jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R) (SFW), the
cash flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

In the rating action, some tranches were upgraded. The upgrades
are a result of improved performance and/or certain structural
features. In certain transactions there are structural features
whereby the tranches are receiving more principal payments than
anticipated, supporting the upgrades.

The approach is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project losses
on pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that
varies from 3% to 5% on average. The baseline rates are higher
than the average rate of new delinquencies for larger pools for
the respective vintages.

Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 3.00%, the adjusted rate of new delinquency would
be 3.03%. in addition, if current delinquency levels in a small
pool is low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.75 to 2.5 for current
delinquencies ranging from less than 2.5% to greater than 10%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology " publication.

The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).

Tranche IA-3 issued by Citicorp Mortgage Securities 2005-2 is
wrapped by Ambac Assurance Corporation. For securities insured by
a financial guarantor, the rating on the securities is the higher
of (i) the guarantor's financial strength rating and (ii) the
current underlying rating (i.e., absent consideration of the
guaranty) on the security. The principal methodology used in
determining the underlying rating is the same methodology for
rating securities that do not have a financial guaranty and is as
described earlier.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Citicorp Mortgage Securities Trust 2006-4

Cl. IA-1, Upgraded to A1 (sf); previously on May 19, 2010
Downgraded to B1 (sf)

Cl. IA-3, Upgraded to Baa3 (sf); previously on May 19, 2010
Downgraded to B3 (sf)

Cl. IA-7, Upgraded to A1 (sf); previously on May 19, 2010
Downgraded to B1 (sf)

Cl. IA-IO, Upgraded to A1 (sf); previously on May 19, 2010
Downgraded to B1 (sf)

Cl. IIIA-1, Upgraded to A3 (sf); previously on May 19, 2010
Downgraded to Baa3 (sf)

Cl. IIIA-IO, Upgraded to A3 (sf); previously on May 19, 2010
Downgraded to Baa3 (sf)

Issuer: Citicorp Mortgage Securities Trust, Series 2006-5

Cl. IIA-1, Upgraded to Baa2 (sf); previously on Jun 4, 2010
Downgraded to Ba3 (sf)

Cl. IIA-IO, Upgraded to Baa2 (sf); previously on Jun 4, 2010
Downgraded to Ba3 (sf)

Cl. IIIA-1, Downgraded to B3 (sf); previously on Jun 4, 2010
Downgraded to Ba3 (sf)

Cl. IIIA-IO, Downgraded to B3 (sf); previously on Jun 4, 2010
Downgraded to Ba3 (sf)

Issuer: Citicorp Mortgage Securities Trust, Series 2007-1

Cl. IA-IO, Downgraded to Caa1 (sf); previously on Jun 4, 2010
Downgraded to B2 (sf)

Cl. IIA-1, Upgraded to Ba1 (sf); previously on Jun 4, 2010
Downgraded to B2 (sf)

Cl. IIA-IO, Upgraded to Baa3 (sf); previously on Jun 4, 2010
Downgraded to B2 (sf)

Issuer: Citicorp Mortgage Securities Trust, Series 2007-4

Cl. IA-IO, Downgraded to B2 (sf); previously on Jun 4, 2010
Downgraded to Baa1 (sf)

Cl. IIA-1, Upgraded to Ba1 (sf); previously on Jun 4, 2010
Downgraded to B1 (sf)

Cl. IIA-IO, Upgraded to Ba1 (sf); previously on Jun 4, 2010
Downgraded to B1 (sf)

Issuer: Citicorp Mortgage Securities Trust, Series 2007-8

Cl. IIA-1, Upgraded to Baa2 (sf); previously on Jun 4, 2010
Confirmed at Ba1 (sf)

Cl. IIA-IO, Upgraded to Baa2 (sf); previously on Jun 4, 2010
Confirmed at Ba1 (sf)

Issuer: Citicorp Mortgage Securities, Inc. 2005-2

Cl. IA-1, Downgraded to Baa3 (sf); previously on May 19, 2010
Downgraded to A2 (sf)

Cl. IA-PO, Downgraded to Ba3 (sf); previously on May 19, 2010
Downgraded to A3 (sf)

Cl. IA-2, Downgraded to B1 (sf); previously on May 19, 2010
Downgraded to A3 (sf)

Cl. IA-3, Downgraded to B2 (sf); previously on May 19, 2010
Downgraded to A3 (sf)

Underlying Rating: Downgraded to B2 (sf); previously on May 19,
2010 Downgraded to A3 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)

Cl. IA-4, Downgraded to B1 (sf); previously on May 19, 2010
Downgraded to A3 (sf)

Cl. IA-5, Downgraded to B2 (sf); previously on May 19, 2010
Downgraded to A3 (sf)

Cl. IIA-1, Downgraded to Baa3 (sf); previously on May 19, 2010
Downgraded to A1 (sf)

Cl. IIA-PO, Downgraded to Ba3 (sf); previously on May 19, 2010
Downgraded to A3 (sf)

Cl. IIA-2, Downgraded to Ba2 (sf); previously on May 19, 2010
Downgraded to Baa2 (sf)

Issuer: Citicorp Mortgage Securities, Inc. 2005-4

Cl. A-PO, Downgraded to B2 (sf); previously on May 19, 2010
Downgraded to Baa3 (sf)

Cl. IIA-1, Downgraded to Baa3 (sf); previously on May 19, 2010
Upgraded to A2 (sf)

Cl. IIIA-1, Downgraded to Baa3 (sf); previously on May 19, 2010
Confirmed at A3 (sf)

Cl. IIIA-2, Downgraded to Baa3 (sf); previously on May 19, 2010
Confirmed at Baa1 (sf)

Cl. IIIA-3, Downgraded to Baa2 (sf); previously on May 19, 2010
Downgraded to A1 (sf)

Cl. IIIA-4, Downgraded to Ba3 (sf); previously on May 19, 2010
Confirmed at Baa3 (sf)


CITIGROUP COMM'L: Fitch Puts CC Ratings on Three Classes on RWN
---------------------------------------------------------------
Fitch Ratings has placed three pooled and two junior non-pooled
classes from Citigroup Commercial Mortgage Trust (CGCMT), series
2006-FL2 on Rating Watch Negative. The remaining four pooled
classes were affirmed, reflecting Fitch's base case loss
expectation of 23.7%. In addition, the remaining seven junior non-
pooled classes were also affirmed. Fitch's performance expectation
incorporates prospective views regarding commercial real estate
market value and cash flow declines.

The Rating Watch Negative placements reflect the potential for
downgrades should Fitch lower its value estimate for the Radisson
Ambassador Plaza Hotel & Casino property based upon a new
appraisal and continued performance deterioration.

Under Fitch's methodology, 86% of the pool is modeled to default
in the base case stress scenario, defined as the 'B' stress. In
this scenario, the modeled average cash flow decline is 10.7% from
generally year-end 2010. To determine a sustainable Fitch cash
flow and stressed value, Fitch analyzed servicer-reported
operating statements and rent rolls, updated property valuations,
and recent sales comparisons. Fitch estimates the average
recoveries on the pooled loans will be approximately 72.4% in the
base case.

The transaction is collateralized by seven loans, which includes
three secured by hotels (53.5% of the total trust balance), three
by offices (35.5%), and one by a mixed-use (hotel/office) property
(10.9%). Six of the seven remaining loans are in special
servicing, all having transferred for imminent or actual maturity
default. The non-specially serviced loan, the CarrAmerica CARP
Pool Portfolio, is expected to be repaid in full at or prior to
its Aug. 9, 2011 final maturity according to the servicer.

With respect to the pooled classes, two loans were modeled to take
a loss in the base case: Radisson Ambassador Plaza Hotel & Casino
(30.9%) and Doubletree Hospitality & Centre Plaza Office (10.1%).
Of the nine remaining junior non-pooled classes rated by Fitch,
the two classes associated with the Radisson Ambassador Plaza
Hotel & Casino were modeled with losses.

The largest contributor to loss under the 'B' stress is the
specially-serviced Radisson Ambassador Plaza Hotel & Casino loan,
which is secured by a 233-room, full-service hotel and
approximately 15,000 square foot (sf) casino located in San Juan,
Puerto Rico. The loan transferred to special servicing in June
2011 for imminent maturity default. The loan was structured with
an initial maturity of July 9, 2008, with three one-year extension
options. The borrower had exercised its third and final extension
option, which expired on July 9, 2011. According to the servicer,
the loan had not yet been extended beyond its final maturity and
discussions were ongoing with the borrower regarding potential
proposals. An updated appraisal has been ordered by the special
servicer. The non-pooled RAM-1 and RAM-2 classes associated with
the loan were modeled with no recoveries in the base case based on
Fitch's current estimate of the property's value. Fitch also
modeled significant losses to the senior pooled component. Fitch
will resolve the Rating Watch Negative placements when the updated
appraisal has been received and additional information becomes
available regarding a workout.

The other contributor to loss under the 'B' stress is the
specially-serviced Doubletree Hospitality & Centre Plaza Office
loan, which is secured by a mixed-use property containing 258
hotel rooms, 59,287 sf of office space, and 2,757 sf of retail
space located in Modesto, CA. The loan transferred to special
servicing in May 2011 for imminent maturity default. The loan was
structured with an initial maturity of July 9, 2008, with three
one-year extension options. The borrower had exercised its third
and final extension option, which expired on July 9, 2011.
According to the servicer, discussions are ongoing with the
borrower regarding a possible two-year extension of the loan.

Fitch has placed these classes on Rating Watch Negative:

-- $22.4 million class J 'BBB+sf/LS4';

-- $22.4 million class K 'CCCsf/RR5';

-- $23.9 million class L 'CCsf/RR6';

-- $2 million class RAM-1 'CCsf/RR6';

-- $2.4 million class RAM-2 'CCsf/RR6'.

Fitch has affirmed these classes:

-- $21.5 million class E at 'AAAsf/LS4', Outlook Stable;

-- $26.9 million class F at 'AAAsf/LS4', Outlook Stable;

-- $23.9 million class G at 'AAsf/LS4', Outlook Stable;

-- $20.9 million class H at 'A-sf/LS4', Outlook Stable;

-- $257,664 class CAC-1 at 'BBB+sf', Outlook Stable;

-- $176,519 class CAC-2 at 'BBBsf', Outlook Stable;

-- $205,253 class CAC-3 at 'BBB-sf', Outlook Stable;

-- $705,344 class CAN-1 at 'BBB+sf', Outlook Stable;

-- $1 million class CAN-2 at 'BBBsf', Outlook Stable;

-- $2.1 million class CAN-3 at 'BBB-sf', Outlook Stable;

-- $1 million class DSG-1 at 'BBB-sf', Outlook Stable.

These classes originally rated by Fitch have paid in full: A-1, A-
2, X-1, B, C, D, CNP-1, CNP-2, CNP-3, HFL, HGI-1, HGI-2, HMP-1,
HMP-2, HMP-3, MVP, WBD-1, and WBD-2. In addition, Fitch previously
withdrew the ratings on the interest-only classes X-2 and X-3.

Fitch does not rate the non-pooled classes DHC-1, DHC-2, DHC-3,
DSG-2, PHH-1, PHH-2, SRL, and WPP.


CITIGROUP COMM'L: Moody's Upgrades Ratings of Six CMBS Classes
--------------------------------------------------------------
Moody's Investors Service (Moody's) upgraded six classes and
affirmed eight classes of Citibank Commercial Mortgage Trust
Commercial Mortgage Pass-Through Certificates, Series 2007-FL3.

Cl. A-1, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)

Cl. A-2, Upgraded to Aa3 (sf); previously on Oct 21, 2010
Downgraded to A2 (sf)

Cl. B, Upgraded to A2 (sf); previously on Oct 21, 2010 Downgraded
to Baa1 (sf)

Cl. C, Upgraded to Baa1 (sf); previously on Oct 21, 2010
Downgraded to Baa3 (sf)

Cl. D, Upgraded to Baa2 (sf); previously on Oct 21, 2010
Downgraded to Ba1 (sf)

Cl. E, Upgraded to Baa3 (sf); previously on Oct 21, 2010
Downgraded to Ba2 (sf)

Cl. F, Upgraded to Ba2 (sf); previously on Oct 21, 2010 Downgraded
to Ba3 (sf)

Cl. G, Affirmed at B1 (sf); previously on Oct 21, 2010 Downgraded
to B1 (sf)

Cl. H, Affirmed at B2 (sf); previously on Oct 21, 2010 Downgraded
to B2 (sf)

Cl. J, Affirmed at Caa1 (sf); previously on Oct 21, 2010
Downgraded to Caa1 (sf)

Cl. K, Affirmed at Caa3 (sf); previously on Oct 21, 2010
Downgraded to Caa3 (sf)

Cl. X-2, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)

Cl. THH-1, Affirmed at B1 (sf); previously on Oct 21, 2010
Downgraded to B1 (sf)

Cl. HTT-1, Affirmed at Ba3 (sf); previously on Oct 21, 2010
Confirmed at Ba3 (sf)

RATINGS RATIONALE

The upgrades were due to the payoff of five loans and the partial
paydown of three loans since last review. 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 on July 2000.

Moody's review incorporated the use of the excel-based Large Loan
Model v 8.1. 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 21, 2010. Please see
the ratings tab on the issuer/entity page on moodys.com for the
last rating action and the ratings history.

As of the July 15, 2011 distribution date, the transaction's
certificate balance decreased by approximately 53% to $400.8
million from $845.8 billion at securitization due to the payoff of
nine loans and principal pay downs associated with four loans. The
Certificates are collateralized by seven floating-rate loans
ranging in size from 1% to 33% of the pooled trust mortgage
balance. The largest three loans account for 74% of the pooled
balance. The pool is comprised of only hotel properties.

The pool has not experienced losses since securitization.
Currently one loan, the Hudson Hotel loan, is in special
servicing. The Hudson Hotel loan that has a pooled portion of
$86.5 million (22% of the pooled balance) and rakes totaling $7.9
million and is expected to return to the master servicer shortly.

Moody's weighed average pooled loan to value (LTV) ratio is 88%
compared to 87% at last review on October 21, 2010 and 59% at
securitization. Moody's pooled stressed DSCR is 1.23X compared to
1.40X at last review and 1.95X at securitization.

Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. Large
loan transactions generally have a Herf of less than 20. The pool
has a Herf of 4, compared to 8 at last review.

The three largest loans in the pool represent 74% of the pooled
balance. The largest pooled exposure is the Fairmont Scottsdale
Princess loan (33% of the pool balance) which is secured by a 651
room full-service hotel located in Scottsdale, Arizona. The loan
was modified in June 2011 which included a 64 month extension, a
$7 million principal paydown to the A note and a payoff of the $40
million mezzanine loan. RevPAR for the trailing twelve month (TTM)
period ending April 2011 was $134.83, up 11% from the RevPAR for
the same period in 2010 of $121.79. According to Smith Travel
Research, RevPAR for Phoenix increased 6.7% for the same period.
Moody's current LTV is over 100% and stressed DSCR is 0.59X.
Moody's current credit estimate is Caa3 compared to Caa2 at last
review.

The Hudson Hotel loan (13%) is the second largest loan in the pool
and currently in special servicing. The loan is secured by an 805
room full-service hotel located in Midtown Manhattan, NY. The
special servicer closed on a loan modification which included a 15
month extension, a $16 million principal paydown, and an interest
rate increase. The loan is expected to return to the master
servicer shortly. The loan is a 50% pari-passu note with the
balance securitized in WBCMT 2007-Whale8. Additional to the A
note, there is a non-pooled junior component held in the trust and
a non-pooled junior component held outside the trust. The junior
component held in the trust supports rake classes THH-1 and THH-2.
Moody's current credit estimate for the pooled balance is Ba3, the
same as last review.

The third largest loan in the pool is the Hilton Garden Inn Times
Square loan (19.3% of the pool balance) which is secured by a 369
room hotel in Times Square, Manhattan. RevPAR for the trailing
twelve month (TTM) period ending April 2011 was $246.19, up 12.5%
from the RevPAR for the same period in 2010 of $218.83. According
to Smith Travel Research, RevPAR for New York increased 10.8% for
the same period. Moody's current LTV is over 60.6% and stressed
DSCR is 1.96X. Moody's current credit estimate for the pooled
balance is A3, the same as last review.


CITIGROUP MORTGAGE: Moody's Downgrades $64 Mil. of Subprime RMBS
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 3 tranches
from Citigroup Mortgage Loan Trust, Series 2005-OPT3, backed by
subprime mortgage loans, issued by Citigroup.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT3

Cl. M-2, Downgraded to Baa2 (sf); previously on Apr 6, 2010
Downgraded to A2 (sf)

Cl. M-3, Downgraded to B3 (sf); previously on Apr 6, 2010
Downgraded to Ba2 (sf)

Cl. M-4, Downgraded to Ca (sf); previously on Apr 6, 2010
Downgraded to Caa2 (sf)


CITIGROUP MORTGAGE: Moody's Upgrades $7 Mil. of Alt-A RMBS
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of one tranche
from Citigroup Mortgage Loan Trust, Series 2005-WF2.

RATINGS RATIONALE

The collateral backing the transaction consists primarily of
first-lien, Alt-A residential mortgage loans. The actions are a
result of the recent performance review of Alt-A pools and reflect
Moody's updated loss expectations on Alt-A pools issued from 2005
to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

In the rating action a tranche was upgraded. The upgrade is a
result of improved performance and/or certain structural features.
In certain transactions there are structural features whereby the
tranches are receiving more principal payments than anticipated,
supporting the upgrades.

The above mentioned approach is adjusted slightly when estimating
losses on pools left with a small number of loans to account for
the volatile nature of small pools. Even if a few loans in a small
pool become delinquent, there could be a large increase in the
overall pool delinquency level due to the concentration risk. To
project losses on pools with fewer than 100 loans, Moody's first
estimates a "baseline" average rate of new delinquencies for the
pool that varies from 10% to 21% on average. The baseline rates
are higher than the average rate of new delinquencies for larger
pools for the respective vintages.

Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 10.00%, the adjusted rate of new delinquency would
be 10.10%. in addition, if current delinquency levels in a small
pool is low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.2 to 2.0 for current
delinquencies ranging from less than 2.5% to greater than 50%.
Delinquencies for subsequent years and ultimate expected losses
are projected using the approach described in the "2005 -- 2008 US
RMBS Surveillance Methodology " publication.

The methodology only applies to pools with at least 40 loans and a
pool factor of greater than 5%. Moody's may withdraw its rating
when the pool factor drops below 5% and the number of loans in the
pool declines to 40 loans or lower unless specific structural
features allow for a monitoring of the transaction (such as a
credit enhancement floor).

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Citigroup Mortgage Loan Trust, Series 2005-WF2

Cl. MV-1, Upgraded to Ba3 (sf); previously on Nov 19, 2010
Downgraded to B2 (sf)


CITIMORTGAGE ALTERNATIVE: Moody's Downgrades $8 Mil. of Alt-A RMBS
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of two
tranches and upgraded the ratings of one tranche issued by
CitiMortgage Alternative Loan Trust 2006-A5.

RATINGS RATIONALE

The collateral backing the transaction consists primarily of
first-lien, Alt-A residential mortgage loans. The actions are a
result of the recent performance review of Alt-A pools and reflect
Moody's updated loss expectations on Alt-A pools issued from 2005
to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

In the rating action, some tranches were upgraded. The upgrades
are a result of improved performance and/or certain structural
features. In certain transactions there are structural features
whereby the tranches are receiving more principal payments than
anticipated, supporting the upgrades.

The above mentioned approach is adjusted slightly when estimating
losses on pools left with a small number of loans to account for
the volatile nature of small pools. Even if a few loans in a small
pool become delinquent, there could be a large increase in the
overall pool delinquency level due to the concentration risk. To
project losses on pools with fewer than 100 loans, Moody's first
estimates a "baseline" average rate of new delinquencies for the
pool that varies from 10% to 21% on average. The baseline rates
are higher than the average rate of new delinquencies for larger
pools for the respective vintages.

Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 10.00%, the adjusted rate of new delinquency would
be 10.10%. in addition, if current delinquency levels in a small
pool is low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.2 to 2.0 for current
delinquencies ranging from less than 2.5% to greater than 50%.
Delinquencies for subsequent years and ultimate expected losses
are projected using the approach described in the "2005 -- 2008 US
RMBS Surveillance Methodology " publication.

The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: CitiMortgage Alternative Loan Trust 2006-A5

Cl. IA-10, Downgraded to Caa3 (sf); previously on Dec 14, 2010
Confirmed at B3 (sf)

Cl. IA-IO, Downgraded to Caa1 (sf); previously on Dec 14, 2010
Confirmed at B3 (sf)

Cl. A-PO, Upgraded to Caa3 (sf); previously on Dec 14, 2010
Downgraded to C (sf)


CLAVIS SECURITIES: Fitch Affirms All Tranches of Clavis
--------------------------------------------------------
Fitch Ratings has affirmed all tranches of Clavis Securities plc
2006-1 and 2007-1. The Outlook on the junior tranche of Clavis
2007-1 has been revised to Negative from Stable and reflects the
increase in the proportion of loans in arrears.

The underlying loans in these transactions were originally
positively selected from a pool of loans originated by GMAC, and
on account of the higher quality characteristics, are considered
near-prime. This has contributed to better performance versus
other UK non-conforming transactions, but in contrast to a number
of UK non-conforming transactions, the proportion of loans in
arrears continues to increase.

As of June 2011, the percentage of loans in arrears by greater
than three months stands at 12.04% and 15.49% for Clavis 2006-1
and Clavis 2007-1, respectively. The level for Clavis 2007-1 is
trending closer to levels associated with UK non-conforming
transactions, and has led to the revision of the Outlook to
Negative on the class B2 tranche.

Based on the loan-by-loan level data received, Fitch was able to
identify that borrowers on the higher Standard Variable Rate,
together with borrowers with an original loan-to-value (LTV) in
excess of 85% were contributing greater than proportionally to
arrears. The weighted-average LTV for borrowers in arrears by
greater than three months is 84.8% for Clavis 2006-1 and 85.4% for
Clavis 2007-1.

In spite of the rising arrears trend, to date both transactions
have generated sufficient excess spread to clear the period losses
incurred. Cumulative losses currently stand at 0.48% of the
initial collateral balance for Clavis 2006-1 and 0.75% for Clavis
2007-1. Average loss severity since issuance, as reported by the
servicer, is calculated at 20.86 % and 24.13%. Whilst outstanding
repossessions also remain low, it is expected that a future
increase in interest rates will negatively impact the performance
of these transactions.

The Clavis 2006-1 reserve fund remains at its floor amount, whilst
the Clavis 2007-1 reserve fund still stands at its initial target
level of GBP4.7 million. The Clavis 2007-1 reserve fund is not
permitted to amortize given that cumulative foreclosures (3.04%)
exceed the trigger level of 2.25%. The notes in both transactions
are amortizing pro rata.

Fitch has affirmed the following and revised Loss Severity (LS)
ratings and Outlooks:

Clavis Securities plc Series 2006-01:

   -- Class A3a (ISIN XS0255457706): affirmed at 'AAAsf/LS1';
       Outlook Stable;

   -- Class A3b (ISIN XS0255438748): affirmed at 'AAAsf/LS1';
      Outlook Stable;

   -- Class M1a (ISIN XS0255424441): affirmed at 'AAsf/LS3';
      Outlook Stable;

   -- Class M1b (ISIN XS0255439043): affirmed at 'AAsf/LS3';
      Outlook Stable;

   -- Class M2a (ISIN XS0255425414): affirmed at 'Asf/LS3';
      Outlook Stable;

   -- Class B1a (ISIN XS0255425927); affirmed at 'BBBsf/LS4';
      Outlook Stable;

   -- Class B1b (ISIN XS0255440728); affirmed at 'BBBsf/LS4';
      Outlook Stable;

   -- Class B2a (ISIN XS0255426818); affirmed at 'BBsf/LS5';
      Outlook Stable; LS to 'LS-5' from 'LS-4'.

Clavis Securities plc Series 2007-01:

   -- Class A3a (ISIN XS0302268361): affirmed at 'AAAsf/LS1';
      Outlook Stable;

   -- Class A3b (ISIN XS0302269096): affirmed at 'AAAsf/LS1';
      Outlook Stable;

   -- Class AZa (ISIN XS0302268445): affirmed at 'AAAsf/LS1';
      Outlook Stable;

   -- Class M1a (ISIN XS0302269682): affirmed at 'AAsf/LS4';
      Outlook Stable; LS to 'LS-4' from 'LS-3';

   -- Class M1b (ISIN XS0302270854): affirmed at 'AAsf'; Outlook
      Stable; LS to 'LS-4' from 'LS-3';

   -- Class M2a (ISIN XS0302270185): affirmed at 'Asf/LS4';
      Outlook Stable;

   -- Class M2b (ISIN XS0302271662): affirmed at 'Asf/LS4';
      Outlook Stable;

   -- Class B1a (ISIN XS0302270268): affirmed at 'BBBsf/LS4';
      Outlook Stable;

   -- Class B1b (ISIN XS0302271829): affirmed at 'BBBsf/LS4';
      Outlook Stable;

   -- Class B2 (ISIN XS0302270342): affirmed at 'BBsf/LS5';
      Outlook to Negative from Stable.


COMM 2004-LNB4: Moody's Reviews Eight CMBS Classes of COMM 2004
---------------------------------------------------------------
Moody's Investors Service (Moody's) placed these eight classes of
COMM 2004-LNB4, Commercial Mortgage Pass-Through Certificates on
review for possible downgrade:

Cl. A-5, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 25, 2010 Downgraded to Aa3 (sf)

Cl. A-1A, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 25, 2010 Downgraded to Aa3 (sf)

Cl. B, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 25, 2010 Downgraded to A2 (sf)

Cl. C, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 25, 2010 Downgraded to Baa2 (sf)

Cl. D, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 25, 2010 Downgraded to Ba2 (sf)

Cl. E, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 25, 2010 Downgraded to B2 (sf)

Cl. F, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 25, 2010 Downgraded to Caa2 (sf)

Cl. G, Ca (sf) Placed Under Review for Possible Downgrade;
previously on Mar 25, 2010 Downgraded to Ca (sf)

The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from realized and
anticipated losses from specially serviced and troubled loans and
interest shortfalls.

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 February 3, 2011.

The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions," published April
2005.

DEAL AND PERFORMANCE SUMMARY

As of the June 15, 2011 distribution date, the deal's aggregate
certificate balance has decreased by 32% to $827.3 million from
$1.2 billion at securitization. The Certificates are
collateralized by 95 mortgage loans ranging in size from less than
1% to 9% of the pool, with the top ten non-defeased loans
representing 44% of the pool. Six loans, representing 6% of the
pool, have defeased and are secured by U.S. Government securities.
One loan, representing 7% of the pool, has an investment grade
credit estimate.

Nineteen loans, representing 16% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC; formerly the Commercial Mortgage
Securities Association) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.

Eight loans have been liquidated from the pool, resulting in an
aggregate realized loss of $30.3 million (53% average loss
severity). Nine loans, representing 18% of the pool, are currently
in special servicing. At last review, 9% of the pool was in
special servicing. The master servicer has recognized an aggregate
$50.1 million appraisal reduction for the specially serviced
loans.

Moody's review will focus on potential losses from specially
serviced and troubled loans, interest shortfalls and the
performance of the overall pool.


COOKSON SPC: S&P Lowers Rating on Series 2007-1LAC Notes to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the notes
from Cookson SPC's series 2007-1LAC to 'D (sf)' from 'CC (sf)'.

"The rating on the notes is dependent on the lower of our ratings
on (i) the reference obligation, Lacerta ABS CDO 2006-1 Ltd.'s
class C floating-rate deferrable interest secured notes due 2046
('D (sf)'); and (ii) the long-term rating on the swap
counterparty, Citibank N.A. (A+/Negative/A-1)," S&P stated.

"The rating action follows the June 30, 2011, lowering of our
rating on the reference obligation to 'D (sf)' from 'CC (sf)',"
S&P said.


COOKSON SPC: S&P Lowers Rating on Series 2007-2LAC Notes to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the notes
from Cookson SPC's series 2007-2LAC to 'D (sf)' from 'CC (sf)'.

"The rating on the notes is dependent on the lower of our ratings
on (i) the reference obligation, Lacerta ABS CDO 2006-1 Ltd.'s
class B floating-rate deferrable interest secured notes due 2046
('D (sf)'); and (ii) the long-term rating on the swap
counterparty, Citibank N.A. (A+/Negative/A-1)," S&P stated.

"The rating action follows the June 30, 2011, lowering of our
rating on the reference obligation to 'D (sf)' from 'CC (sf)',"
S&P said.


CORIOLANUS LIMITED: Moody's Upgrades Ratings of SF CDO Notes
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Coriolanus Limited Series 30 and Eirles Two Limited -
Series 176.  The notes affected by the rating action are:

Issuer: Coriolanus Limited Series 30

   -- US$35M Series 30 Floating Rate Portfolio Credit Linked
      Secured Notes due 2040, Upgraded to Baa1 (sf); previously on
      Nov 11, 2010 Confirmed at Ba1 (sf)

Issuer: Eirles Two Limited -- Series 176

   -- Series 176 USD 20,000,000 Floating Rate Portfolio Credit
      Linked Secured Notes due 2040, Upgraded to A2 (sf);
      previously on Nov 11, 2010 Confirmed at A3 (sf)

   -- Series 176 USD 17,000,000 Floating Rate Portfolio Credit
      Linked Secured Notes due 2040, Upgraded to A2 (sf);
      previously on Nov 11, 2010 Confirmed at A3 (sf)

RATINGS RATIONALE

These transactions are managed synthetic CDOs of 100% US RMBS
assets (nearly 97% Subprime and 3% Prime). The portfolio is
comprised of 65% 2004 vintage deals with the remainder in 2005
vintages. The portfolio exposures in percentage terms are the same
for all three series but absolute amounts differ.

In May 2010, Moody's downgraded both transactions based on
notching assumptions that are detailed in the press release dated
27 May 2010. All but one reference entity has now been actioned
resulting in less severe changes to the ratings than expected. The
rating actions taken are the result of the better than expected
outcome in the ratings of the reference entities which were under
review for possible downgrade and which constituted about 51% of
the pool at the time. As mentioned above, only one reference
entity remains on review for possible downgrade, constituting
8.65% of the pool.

Moody's also performed sensitivity analysis which consisted in
notching down by 4 notches the credit rating of the reference
entity under review. This run generated a result that was
consistent with the one modeled under the base case run.

Moody's explained that there exist a number of sources of
uncertainty, operating both on a macro level and on a transaction-
specific level, that may influence the rating actions taken. Among
the general macro uncertainties are those surrounding future
housing prices, pace of residential mortgage foreclosures, loan
modification and refinancing, unemployment rates and interest
rates.

The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in November 2010.

Moody's analysis for this transaction is based on the CDOROM. This
model is available on moodys.com under Products and Solutions --
Analytical models, upon return of a signed free license agreement.

Moodys did not run a separate loss and cash flow analysis other
than the one already done using the CDOROM model. For a
description of the analysis, refer to the methodology and the
CDOROM user guide on Moodys website.

In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of the 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.


CREDIT SUISSE: Fitch Affirms All Classes of CSFB 2000-C1
--------------------------------------------------------
Fitch Ratings has affirmed all classes of Credit Suisse First
Boston Mortgage Securities Corp., commercial mortgage pass-through
certificates, series 2000-C1 (CSFB 2000-C1).

The affirmations reflect stable pool performance and sufficient
credit enhancement to offset Fitch modeled losses. Fitch modeled
losses of 24.8% of the remaining pool; modeled losses of the
original pool are at 4.1%, including losses already incurred to
date. The Negative Outlook on class H reflects the concentrated
nature of the pool and the uncertainty surrounding the workout of
the two largest loans in the pool (50.2%), which are both in
special servicing.

As of the June 2011 distribution date, the pool's certificate
balance has been reduced by 94.2% (to $64.7 million from $1.11
billion), of which 91.5% were due to pay downs and 2.7% were due
to realized losses. Thirty-eight loans currently remain in the
pool. One loan (0.6%) has been defeased. Interest shortfalls
totaling $2.1 million are currently affecting classes L through M.

Fitch has designated 12 loans (66.1%) as Fitch Loans of Concern,
which includes three specially serviced loans (58%). One loan
(18.3%) is 60 days delinquent and two loans (39.7%) remain
current. Fitch expects the losses associated with the specially-
serviced loans to impact classes J through L.

The largest specially serviced loan (31.8%) is secured by a
190,908 square foot (sf) office property located in Seattle, WA.
The loan transferred to special servicing in February 2010. The
building was solely occupied by Amazon.com who vacated the
building to move to a new headquarters. The loan was not repaid by
the anticipated repayment date in June 2010 and extended interest
rate terms are now in effect.

The second largest specially serviced loan (18.3%) is secured by a
529,073 sf industrial building located in Fresno, CA. The loan
transferred to special servicing in April 2010 due to maturity
default. The loan matured on May 11, 2010, but the borrower was
unable to secure refinancing to pay off the loan. The borrower has
requested forbearance. The special servicer is continuing
discussions with the borrower, while dual tracking the foreclosure
process.

Fitch affirms these classes and revises Rating Outlooks, Loss
Severity (LS) ratings, and Recovery Ratings (RR):

   -- $27.9 million class G at 'AAsf'; LS to 'LS5' from 'LS4';
      Outlook to Stable from Negative;

   -- $12.5 million class H at 'B-sf/LS5'; Outlook Negative;

   -- $9.8 million class J at 'CCsf/RR3';

   -- $11.1 million class K at 'Csf'; RR to 'RR6' from 'RR5';

   -- $3.5 million class L at 'Dsf/RR6';

   -- $0 class M at 'Dsf/RR6'.

Classes A-1, A-2, B, C, D, E, and F have paid in full. Fitch does
not rate class N.

Fitch had previously withdrawn the rating on the interest-only
class A-X.


CREDIT SUISSE: Moody's Reviews Ratings of Four CMBS Classes
-----------------------------------------------------------
Moody's Investors Service (Moody's) placed four classes of Credit
Suisse First Boston Mortgage Securities Corp, Commercial Mortgage
Pass-Through Certificates, Series 2003-CPN1 on review for possible
downgrade:

Cl. D, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 15, 2010 Downgraded to Aa2 (sf)

Cl. E, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 15, 2010 Downgraded to A1 (sf)

Cl. F, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 2, 2011 Downgraded to Baa2 (sf)

Cl. G, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 2, 2011 Downgraded to B2 (sf)

The classes were placed on review due to an expected increase in
interest shortfalls. The deal's largest loan, the Northgate Mall
Loan ($72.7 million -- 9.8% of the pool) has been in special
servicing since August 2009 and is over 90 days delinquent. The
property securing the loan was last appraised for $37.0 million in
November 2010. The mall has lost several tenants since the
November appraisal, including Border's, which filed for bankruptcy
in February 2011. As a result of the decline in performance, the
deal's servicer, Midland Loan Services, a PNC Real Estate
business, has indicated that it will recognize a larger appraisal
reduction for this loan. This in turn will lead to larger monthly
Appraisal Subordinate Entitlement Reduction (ASER) and increased
interest shortfalls. To date, the deal has had loan recoveries to
partially offset the ASERs, which contained interest shortfalls to
non-investment grade classes. The servicer has informed Moody's
that there are no recoveries this month and expects interest
shortfalls to affect investment grade bonds.

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 2, 2011.

The primary methodology used in this rating was "Moody's Approach
to Rating Fusion U.S. CMBS Transactions," published April 2005.

DEAL AND PERFORMANCE SUMMARY

As of the June 16, 2011 distribution date, the deal's aggregate
certificate balance has decreased by 26% to $740.7 million from
$1.0 billion at securitization. The Certificates are
collateralized by 153 mortgage loans ranging in size from less
than 1% to 10% of the pool, with the top ten non-defeased loans
representing 34% of the pool. Twenty-three loans, representing 23%
of the pool, have defeased and are secured by U.S. Government
securities. Sixty-four loans, representing 11% of the pool, have
investment grade credit estimates. All of the loans with credit
estimates are secured by residential cooperatives (co-ops).

Eighteen loans, representing 7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC; formerly the Commercial Mortgage
Securities Association) monthly reporting package. As part of our
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.

Five loans have been liquidated from the pool, resulting in an
aggregate realized loss of $14.5 million (60% average loss
severity). Additionally, one loan modification included a $3
million principal forgiveness, which increased the cumulative
realized bond losses to $17.4 million. Six loans, representing 16%
of the pool, are currently in special servicing. The specially
serviced loans are secured by a mix of multifamily, retail,
office, and industrial property types. The master servicer has
recognized an aggregate $73.4 million appraisal reduction for the
specially serviced loans.

Moody's review will focus on the impact that the current and
expected interest shortfalls will have on the trust certificates.


CREDIT SUISSE: S&P Lowers Ratings on 6 Classes of Certs. to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 10
classes of commercial mortgage-backed securities (CMBS) from
Credit Suisse Commercial Mortgage Trust Series 2006-C4. "In
addition, we affirmed our 'AAA (sf)' ratings on eight other
classes from the same transaction," S&P said.

"Our rating actions follow our analysis of the transaction
primarily using our U.S. conduit/fusion CMBS criteria. The
downgrades reflect credit support erosion that we anticipate will
occur upon the resolution of 29 ($668.8 million, 16.3%) of the 43
assets ($883.2 million, 21.5%) that are currently with the special
servicer and three loans ($55.4 million, 1.4%) that we determined
to be credit-impaired. We also considered the monthly interest
shortfalls that are affecting the trust. We lowered our ratings to
'D (sf)' on classes D, E, F, G, H, and J because we expect
interest shortfalls to continue and because we believe the
accumulated interest shortfalls will remain outstanding for the
foreseeable future," S&P related.

"The affirmed 'AAA (sf)' ratings on the principal and interest
certificates reflect subordination and liquidity support levels
that are consistent with the outstanding ratings. We affirmed our
'AAA (sf)' ratings on the class A-X, A-SP, and A-Y interest-only
(IO) certificates based on our current criteria," S&P noted.

"Our analysis included a review of the credit characteristics of
the remaining assets in the pool. Using servicer-provided
financial information, we calculated an adjusted debt service
coverage (DSC) of 1.25x and a loan-to-value (LTV) ratio of 112.2%.
We further stressed the assets' cash flows under our 'AAA'
scenario to yield a weighted average DSC of 0.84x and an
LTV ratio of 154.3%. The implied defaults and loss severity under
the 'AAA' scenario were 88.0% and 38.9%. The DSC and LTV
calculations we noted above exclude two defeased loans ($3.3
million), 29 ($668.8 million, 16.3%) of the 43 assets that are
currently with the special servicer and three loans we deemed to
be credit-impaired. We separately estimated losses for these
specially serviced and credit-impaired assets and included them in
our 'AAA' scenario-implied default and loss severity figures," S&P
related.

As of the June 17, 2011, trustee remittance report, the trust
experienced monthly interest shortfalls totaling $2.65 million
primarily related to appraisal subordinate entitlement reduction
(ASER) amounts of $1.09 million, a servicer advance recovery of
$1.16 million, an interest rate modification of $350,494, and
special servicing fees of $175,728. "The interest shortfalls
affected all classes subordinate to and including class A-J.
Classes D through J experienced cumulative interest shortfalls
between one and 12 months, and we expect these interest shortfalls
to continue in the near term. Consequently, we downgraded these
classes to 'D (sf)'," S&P said.

                    Credit Considerations

As of the June 17, 2011, trustee remittance report, 42 ($881.5
million, 21.5%) assets were with the special servicers, Helios AMC
LLC (Helios) and National Consumer Cooperative Bank (NCB). The
reported payment status of the specially serviced assets is: four
($51.1 million, 1.3%) are real estate owned (REO); seven ($91.1
million, 2.2%) are in foreclosure; 21 ($524.4 million, 12.8%) are
90-plus days delinquent; four ($21.9 million, 0.5%) are 30 days
delinquent; four ($53.9 million, 1.3%) are less than 30 days
delinquent; one ($41.0 million, 1.0%) is a matured balloon loan;
and one ($98.1 million, 2.4%) is in its grace period. Thirty-one
specially serviced assets ($575.8 million, 14.1%) have appraisal
reduction amounts (ARAs) in effect totaling $208.8 million.
Details on the four largest assets with the special servicer,
all of which are top 10 assets are:

The Babcock & Brown FX 3 loan ($195.1 million, 4.8%) is the third-
largest asset in the pool and the largest asset with the special
servicer. The loan's payment status was reported to be 90-plus
days delinquent. The loan is secured by a 14-property, multifamily
portfolio totaling 3,719 units in Texas, Nevada, Virginia,
Maryland, South Carolina, and Florida.  The loan was transferred
to the special servicer on Feb. 5, 2009, due to imminent default.
As of Dec. 31, 2010, the reported DSC was 0.89x and the combined
reported occupancy at the properties was 93.6%. The special
servicer for this loan, Helios, stated that it is discussing a
potential loan restructuring with the borrower. An ARA of $48.8
million is in effect against this loan. Standard & Poor's
anticipates a moderate loss upon the eventual resolution of this
loan.

The Dream Hotel loan ($99.0 million, 2.4%) is the fifth-largest
asset in the pool and has a reported 90-plus days delinquent
payment status. The loan is secured by a 220-room, full-service,
boutique hotel in New York City. The loan was transferred to the
special servicer on April 13, 2009, due to imminent default.
Helios indicated that it is currently considering a loan sale.

Helios stated that as of March 31, 2011, net cash flow was
insufficient to cover operating expenses and recent occupancy
information is not available. An ARA of $41.5 million is in effect
against this loan. Standard & Poor's anticipates a moderate loss
upon the eventual resolution of this asset.

The Carlton Hotel on Madison loan ($98.1 million, 2.4%) is the
sixth-largest asset in the pool and the payment status is reported
to be in its grace period. The loan is secured by a 317-room,
full-service hotel in New York City. The loan was transferred to
the special servicer on Dec. 8, 2010, due to imminent default. The
reported occupancy was 67.4% and reported cash flow was
insufficient to cover operating expenses as of Dec. 31, 2010.
Helios stated that it is exploring various workout strategies with
the borrower. Standard & Poor's anticipates a moderate loss upon
the eventual resolution of this asset.

The Harwood Center loan ($79.6 million, 1.9%) is the eighth-
largest asset in the pool and the payment status is reported to be
90-days delinquent. The loan was transferred to the special
servicer on April 24, 2009, due to imminent default. The loan is
secured by a 721,759-sq.-ft. office building in Dallas, Texas.
According to Helios, the loan has been modified. The modification
terms included, among other items, a temporary interest pay rate
reduction to 2.0% until Dec. 31, 2013, and the conversion of the
loan to an interest-only loan. In addition, excess cash flow from
the property will be held in a lender-controlled reserve account
for capital improvements projects as well as leasing expenses.
Helios indicated that it expects to return the loan to the master
servicer as early as in September 2011. The reported DSC and
occupancy were 0.81x and 72.0% for year-end 2010.

The 38 ($409.7 million, 10.0%) remaining specially serviced assets
have balances that individually represent less than 1.0% of the
total pool balance. ARAs totaling $118.5 million are in effect
against 29 of these assets. "We estimated losses for 26 ($276.6
million, 6.8%) of these assets to arrive at a weighted-average
loss severity of 52.4%. The special servicer indicated that
it is currently evaluating potential loan modification or
forbearance options for the remaining 12 loans," S&P related.

"We note that one additional loan ($1.7 million) was transferred
to the special servicer on July 7, 2011, after the June 2011
trustee remittance report was published. The 15-45 Elam Street
loan was transferred due to the City Attorney commencing
foreclosure action due to delinquent water and sewer charges. The
loan payment status is reported to be 60 days delinquent. We
expect a moderate loss upon the eventual resolution of this loan,"
S&P stated.

"In addition to the specially serviced assets, we determined three
($55.4 million, 1.4%) loans to be credit-impaired. The loans have
individual balances that represent less than 1.2% of the pool
balance and are secured by multifamily, retail, and office
properties. These three loans are on the master servicers'
combined watchlist due to declines in occupancy and net cash
flow, and/or because major tenants vacated the collateral
property. Two of the loans ($51.9 million, 1.3%) reported DSC well
below 1.0x.  As a result, we considered these loans to be at
increased risk of default and loss," S&P related.

                      Transaction Summary

As of the June 17, 2011, trustee remittance report, the collateral
pool balance was $4.1 billion, which represents 95.7% of the
balance at issuance. The collateral includes 327 loans and four
REO assets, down from 360 loans at issuance. The master servicers,
KeyBank Real Estate Capital (KeyBank) and NCB, provided interim-
2009, full-year 2009, interim-2010, or full-year 2010 financial
information for 98.5% of the loans in the pool. "We calculated a
weighted average DSC of 1.10x for the pool based on the reported
figures. Our adjusted DSC and LTV ratio, which exclude two
defeased loans ($3.3 million), 29 ($668.8 million, 16.3%) of the
43 assets that are currently with the special servicer ($883.2
million, 21.5%) and three ($55.4 million, 1.4%) loans we deemed to
be credit-impaired, were 1.25x and 112.2%. If we included these
assets, our adjusted DSC would be 1.15x which includes additional
analysis for the 11 Madison Avenue loan (discussed further below).
We separately estimated losses for these specially serviced and
credit-impaired assets and included them in our 'AAA' scenario-
implied default and loss severity figures," S&P related.

Ninety-one ($1.8 billion, 44.2%) loans are on the master
servicers' combined watchlist. One-hundred-and-twenty-nine ($2.2
billion, 54.3%) loans have reported DSC below 1.10x, and 107 loans
($1.3 billion, 32.2%) have reported DSC below 1.00x. The pool has
experienced principal losses totaling $74.3 million on 28 assets.

                      Summary Of Top 10 Loans

The top 10 loans have an aggregate outstanding balance of $1.9
billion (48.0%). Four ($471.8 million, 11.5%) assets are with the
special servicer and three ($1.3 billion, 31.4%) loans on the
master servicers' combined watchlist, as discussed below. "Using
servicer-reported numbers, we calculated a weighted average DSC of
1.02x for the top 10 loan. Excluding the specially serviced
assets, our adjusted DSC and LTV ratio for six of the top 10 loans
were 0.84x and 154.3%," S&P related.

The 11 Madison Avenue loan ($806.0 million, 19.7%) is the largest
asset in the pool and the largest loan on the master servicers'
combined watchlist. The loan is secured by a 2.2 million-sq.-ft.
class A office building in New York City. The loan is on the
watchlist due to a low reported DSC, which was 1.03x, and reported
occupancy was 99.0% for the year-ended Dec. 31 2010. "Our
analysis, which considered that the largest tenant, comprising
80.9% of the net rentable area (NRA), is paying below-market rent,
included sales comparables and market data to arrive at our
adjusted net cash flow and valuation," S&P said.

The 280 Park Avenue loan is the second-largest asset in the pool.
The $440.0 million participated whole loan is split into two pari
passu notes, $300.0 million of which makes up 7.3% of the pool
trust balance. The loan is secured by a 1.2 million-sq.-ft. class
A office building in New York City. The loan is on the watchlist
because one of the largest tenants at the property, Deutsche Bank
(337,868 sq. ft.; 28.0% of NRA), vacated its space when its lease
expired Feb. 28, 2011. The reported DSC as of Dec. 31, 2010, was
1.71x and occupancy was 80.8%, according to the June 1, 2011, rent
roll.

The Ritz-Carlton South Beach loan ($181.0 million, 4.4%) is the
fourth-largest asset in the pool. The loan is secured by a 376-
room full-service hotel in Miami Beach, Fla. The loan is on the
watchlist because it reported a low DSC of 0.57x for year-end
2010. The reported occupancy was 71.8% for the same period.

Standard & Poor's stressed the collateral in the pool according to
its current criteria. The resultant credit enhancement levels are
consistent with S&P's lowered and affirmed ratings.

Ratings Lowered

Credit Suisse Commercial Mortgage Trust Series 2006-C4
Commercial mortgage pass-through certificates
          Rating
Class  To         From        Credit enhancement (%)
A-M    BB (sf)    BBB (sf)                     19.09
A-J    B- (sf)    B+ (sf)                      10.74
B      CCC+ (sf)  B (sf)                       10.09
C      CCC (sf)   B (sf)                        8.52
D      D (sf)     B- (sf)                       7.61
E      D (sf)     B- (sf)                       7.08
F      D (sf)     CCC+ (sf)                     5.91
G      D (sf)     CCC (sf)                      4.86
H      D (sf)     CCC (sf)                      3.69
J      D (sf)     CCC- (sf)                     2.51

Ratings Affirmed

Credit Suisse Commercial Mortgage Trust Series 2006-C4
Commercial mortgage pass-through certificates
Class     Rating         Credit enhancement (%)
A-2       AAA (sf)                        29.54
A-AB      AAA (sf)                        29.54
A-3       AAA (sf)                        29.54
A-4FL     AAA (sf)                        29.54
A-1-A     AAA (sf)                        29.54
A-X       AAA (sf)                          N/A
A-SP      AAA (sf)                          N/A
A-Y       AAA (sf)                          N/A

N/A -- Not applicable.


CREST EXETER: Moody's Upgrades Ratings of Six CRE CDO Classes
-------------------------------------------------------------
Moody's has upgraded six classes of Notes issued by Crest Exeter
Street Solar 2004-1 due to the strong performance of the assets as
reflected in the low number of defaulted assets, and the rapid
amortization of the pool since last review. The rating action is
the result of Moody's on-going surveillance of commercial real
estate collateralized debt obligation (CRE CDO) transactions.

Cl. A-1, Upgraded to Aa1 (sf); previously on Jan 30, 2009
Downgraded to Aa3 (sf)

Cl. A-2, Upgraded to Aa1 (sf); previously on Jan 30, 2009
Downgraded to Aa3 (sf)

Cl. B-1, Upgraded to Baa1 (sf); previously on Jan 30, 2009
Downgraded to Baa2 (sf)

Cl. B-2, Upgraded to Baa1 (sf); previously on Jan 30, 2009
Downgraded to Baa2 (sf)

Cl. C-1, Upgraded to Baa3 (sf); previously on Jan 30, 2009
Downgraded to Ba1 (sf)

Cl. C-2, Upgraded to Baa3 (sf); previously on Jan 30, 2009
Downgraded to Ba1 (sf)

RATINGS RATIONALE

LNR CDO 2003-1, Ltd. is a CRE CDO transaction backed by a
portfolio of commercial mortgage backed securities (CMBS) (51.7%
of the collateral balance), REITs (22.1%), credit tenant leases
(10.8%), rake bonds (9.0%), whole loans (3.1%), and CRE CDOs
(3.3%). As of the June 27, 2011 Trustee report, the aggregate Note
balance of the transaction has decreased to $182.8 million from
$350.0 million at issuance, with the paydown directed to the Class
A Notes after the Principal Trigger Event.

There are two assets with par balance of $12.9 million (7.0% of
the current pool balance) that are considered Defaulted Securities
as of the June 27, 2011 Trustee report. While there have been no
realized losses to date in the underlying collateral, Moody's does
expect some 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: weighted average
rating factor (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 collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 2,187 compared to 944 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (24.1% compared to 22.9% at last review), A1-A3
(6.8% compared to 13.9% at last review), Baa1-Baa3 (24.6% compared
to 33.7% at last review), Ba1-Ba3 (18.7% compared to 24.5% at last
review), B1-B3 (8.7% compared to 1.5% at last review), and Caa1-C
(17.1% compared to 3.4% at last review).

WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 2.4 years compared
to 3.0 years at last review.

WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
33.3% compared to 42.2% 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 5.5% compared to 13.7% at last review.

Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.

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
33.3% to 28.3% or up to 38.3% would result in average rating
movement on the rated tranches of 0 to 1 notch downward and 0 to 2
notch upward, respectively.

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the 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 used in these ratings were "CMBS: Moody's
Approach to Rating Static CDOs Backed by Commercial Real Estate
Securities" published in June 2004.


CREST G-STAR: Moody's Affirms Ratings of Three CRE CDO Classes
--------------------------------------------------------------
Moody's has upgraded the ratings of one class and affirmed the
ratings of three classes of Notes issued by Crest G-Star 2001-2,
Ltd. The upgrade is due to the rapid amortization of the Class A
Notes. The affirmations are a result of the key transaction
parameters performing within levels commensurate with the existing
ratings levels. The rating action is the result of Moody's on-
going surveillance of commercial real estate collateralized debt
obligation (CRE CDO) transactions.

Class A Senior Secured Floating Rate Term Notes Due 2017, Upgraded
to Aa1 (sf); previously on Mar 10, 2009 Downgraded to Aa3 (sf)

Class B-1 Second Priority Fixed Rate Term Notes, Due 2032,
Affirmed at Ba1 (sf); previously on Oct 27, 2010 Downgraded to Ba1
(sf)

Class B-2 Second Priority Floating Rate Term Notes, Due 2032,
Affirmed at Ba1 (sf); previously on Oct 27, 2010 Downgraded to Ba1
(sf)

Class C Third Priority Fixed Rate Term Notes, Due 2032, Affirmed
at Caa3 (sf); previously on Oct 27, 2010 Downgraded to Caa3 (sf)

RATINGS RATIONALE

Crest G-Star 2001-2, Ltd. is a static cash CRE CDO transaction
backed by a portfolio of commercial mortgage backed securities
(CMBS) (82% of the pool balance) and real estate investment trust
(REIT) debt (18%). As of the June 30, 2011 Trustee report, the
aggregate Note balance of the transaction, including preferred
shares, combo note and income note, has decreased to $123.0
million from $355.3 million at issuance, with the paydown directed
to the Class A Notes, as a result of amortization of the
underlying collateral and the failure of the Class B and Class C
overcollateralization tests.

There are five assets with a par balance of $41.3 million (33.5%
of the current pool balance) that are considered Defaulted
Securities as of the June 30, 2011 Trustee report. While there
have been no realized losses to date, Moody's does expect
significant losses to occur once they are realized.

Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (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 collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 2,856 compared to 1,663 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (10.3% compared to 6.3% at last review), A1-A3
(3.0% compared to 15.4% at last review), Baa1-Baa3 (32.1% compared
to 48.8% at last review), Ba1-Ba3 (26.1% compared to 14.1% at last
review), B1-B3 (6.3% compared to 3.4% at last review), and Caa1-C
(22.1% compared to 12.0% at last review).

WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 2.9 years compared
to 2.2 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 variable WARR
with a mean of 23.1% compared to a mean of 35.0% at last review.

MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 10.9% compared to 6.2% 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, a one notch downgrade or a one notch upgrade to
the underlying collateral would result in average rating movement
on the rated tranches of 0 to 1 notch downward and 0 to 2 notches
upward, respectively.

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current sluggish macroeconomic environment and varying
performance in the commercial real estate property markets.
However, Moody's expects to see increasing or stabilizing property
values, higher transaction volumes, a slowing in the pace of loan
delinquencies and greater liquidity for commercial real estate in
2011. The hotel and multifamily sectors are continuing to show
signs of recovery, while recovery in the office and retail sectors
will be tied to recovery of the broader economy. The availability
of debt capital continues to improve with terms returning toward
market norms. Moody's central global macroeconomic scenario
reflects an overall sluggish recovery through 2012, amidst ongoing
individual, corporate and governmental deleveraging, persistent
unemployment, and government budget considerations.

The principal methodology used in these ratings is "Moody's
Approach to Rating SF CDOs" published in November 2010.

Other methodologies used in these ratings are "CMBS: Moody's
Approach to Rating Static CDOs Backed by Commercial Real Estate
Securities" published in June 2004.


CREST G-STAR: Moody's Downgrades Ratings of Three CRE CDO Classes
-----------------------------------------------------------------
Moody's has downgraded the ratings of three classes and affirmed
the ratings of one class of Notes issued by Crest G-Star 2001-1,
LP due to the deterioration in the credit quality of the
underlying portfolio as evidenced by an increase in the weighted
average rating factor (WARF), a decrease in weighted average
recovery rate (WARR) and an increase in Defaulted Securities. The
rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO)
transactions.

Class B-1 Second Priority Fixed Rate Term Notes, Downgraded to Ba1
(sf); previously on Oct 26, 2009 Downgraded to Baa3 (sf)

Class B-2 Second Priority Floating Rate Term Notes, Downgraded to
Ba1 (sf); previously on Oct 26, 2009 Downgraded to Baa3 (sf)

Class C Third Priority Fixed Rate Term Notes, Downgraded to Caa3
(sf); previously on Sep 30, 2010 Downgraded to Caa1 (sf)

Class D Fourth Priority Fixed Rate Term Notes, Affirmed at Ca
(sf); previously on Sep 30, 2010 Downgraded to Ca (sf)

RATINGS RATIONALE

Crest G-Star 2001-1, LP is a static cash CRE CDO transaction
backed by a portfolio commercial mortgage backed securities (CMBS)
(99.6% of the pool balance) and one whole loan (0.4%). As of the
June 30, 2011 Trustee report, the aggregate Note balance of the
transaction, including preferred shares, has decreased to $135.9
million from $500.4 million at issuance, with the paydown directed
to the Class A, Class B-1 and B-2 Notes. This is a result of
amortization of the underlying collateral and the failure of the
Class B and Class C over-collateralization tests. The Class A Note
has completely paid down as of the June 30, 2011 Trustee Report.

There are twenty assets with a par balance of $86.9 million (65.1%
of the current pool balance) that are considered Defaulted
Securities as of the June 30, 2011 Trustee report. While there
have been limited realized losses to the underlying collateral to
date, Moody's does expect significant losses to occur once they
are realized.

Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: WARF, weighted
average life (WAL), (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. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 5,212 compared to 2,392 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (16.6% compared to 8.2% at last review), A1-A3
(0.0% compared to 11.2% at last review), Baa1-Baa3 (1.8% compared
to 36.8% at last review), Ba1-Ba3 (14.9% compared to 16.1% at last
review), B1-B3 (16.1% compared to 9.8% at last review), and Caa1-C
(50.6% compared to 17.9% at last review).

WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 2.0 years compared
to 1.3 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 variable WARR
with a mean of 13.4% compared to a mean of 32.2% 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 13.6% compared to 3.1% at last review.

Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.

The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.

Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, a one notch downgrade or a one notch upgrade to
the underlying collateral would result in average rating movement
on the rated tranches of 0 to 3 notches downward and 0 to 2
notches upward, respectively.

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current 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 is "Moody's
Approach to Rating SF CDOs" published in November 2010.

Other methodologies used in these ratings are "CMBS: Moody's
Approach to Rating Static CDOs Backed by Commercial Real Estate
Securities" published in June 2004.


CSAM FUNDING: Moody's Upgrades Ratings of CLO Notes
---------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by CSAM Funding III:

US$26,250,000 Class A-2 Fixed Rate Notes Due 2015, Upgraded to Aa2
(sf); previously on Jun 22, 2011 A1 (sf) Placed Under Review for
Possible Upgrade;

US$20,850,000 Class B Fixed Rate Notes Due 2015, Upgraded to Baa1
(sf); previously on Jun 22, 2011 Baa2 (sf) Placed Under Review for
Possible Upgrade;

US$18,900,000 Class C Floating Rate Notes Due 2015, Upgraded to
Ba2 (sf); previously on Jun 22, 2011 B1 (sf) Placed Under Review
for Possible Upgrade;

In addition, Moody's confirmed the rating of the following notes:

US$3,000,000 Class J Blended Securities, Due 2015 (current
outstanding balance of $1,479,225), Confirmed at Baa2 (sf);
previously on Jun 22, 2011 Baa2 (sf) Placed Under Review for
Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity date of the notes. Based on the May 2011 trustee report,
reference securities that mature after the maturity date of the
notes currently make up approximately 19.8% of the underlying
reference portfolio. These investments potentially expose the
notes to market risk in the event of liquidation at the time of
the notes' maturity.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" and "Annual Sector Review (2009): Global CLOs," key
model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers. In its base case, Moody's analyzed the
underlying collateral pool to have a performing par balance,
including principal proceeds, of $348 million, defaulted par of
$12.1 million, a weighted average default probability of 13.6%
(implying a WARF of 2583), a weighted average recovery rate upon
default of 48.4%, and a diversity score of 55. The default and
recovery properties of the collateral pool are incorporated in
cash flow model analysis where they are subject to stresses as a
function of the target rating of each CLO liability being
reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends, and collateral manager
latitude for trading the collateral are also factors.

CSAM Funding III, issued in July 2003, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations", published in
June 2011. This publication incorporates rating criteria that
apply to both collateralized loan obligations and collateralized
bond obligations.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2016 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the managers'
investment strategies and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1. Delevering: The main source of uncertainty in this transaction
   is whether delevering from unscheduled principal proceeds will
   continue and at what pace. Delevering may accelerate due to
   high prepayment levels in the bond market and/or collateral
   sales by the manager, which may have significant impact on the
   notes' ratings.

2. Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus selling defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.

3. Long-dated assets: The presence of assets that mature beyond
   the CLO's legal maturity date exposes the deal to liquidation
   risk on those assets. Moody's assumes an asset's terminal value
   upon liquidation at maturity to be equal to the lower of an
   assumed liquidation value (depending on the extent to which the
   asset's maturity lags that of the liabilities) and the asset's
   current market value.


CSFB ADJUSTABLE: Moody's Upgrades Rating of $159 Mil. Alt-A RMBS
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 14 tranches
from six RMBS transactions, backed by Alt-A loans, issued by
Credit Suisse.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, Alt-A residential mortgage loans. The actions are a
result of the recent performance review of Alt-A pools and reflect
Moody's updated loss expectations on Alt-A pools issued from 2005
to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology" published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

In the rating action, some tranches were upgraded. The upgrades
are a result of improved performance and/or certain structural
features. In certain transactions there are structural features
whereby the tranches are receiving more principal payments than
anticipated, supporting the upgrades.

The above mentioned approach is adjusted slightly when estimating
losses on pools left with a small number of loans to account for
the volatile nature of small pools. Even if a few loans in a small
pool become delinquent, there could be a large increase in the
overall pool delinquency level due to the concentration risk. To
project losses on pools with fewer than 100 loans, Moody's first
estimates a "baseline" average rate of new delinquencies for the
pool that varies from 10% to 21% on average. The baseline rates
are higher than the average rate of new delinquencies for larger
pools for the respective vintages.

Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 10.00%, the adjusted rate of new delinquency would
be 10.10%. in addition, if current delinquency levels in a small
pool is low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.2 to 2.0 for current
delinquencies ranging from less than 2.5% to greater than 50%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology" publication.

The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: CSFB Adjustable Rate Mortgage Trust 2005-3

Cl. 8-A-1-2, Upgraded to A3 (sf); previously on May 4, 2010
Downgraded to Baa3 (sf)

Cl. 8-A-4, Upgraded to Baa3 (sf); previously on May 4, 2010
Downgraded to Ba1 (sf)

Issuer: CSFB Adjustable Rate Mortgage Trust 2005-4

Cl. 7-A-1-2, Upgraded to B1 (sf); previously on May 4, 2010
Downgraded to Caa3 (sf)

Cl. 7-A-2, Upgraded to Baa3 (sf); previously on May 4, 2010
Downgraded to Ba2 (sf)

Cl. 7-A-3-2, Upgraded to Baa3 (sf); previously on May 4, 2010
Downgraded to Ba2 (sf)

Issuer: CSFB Adjustable Rate Mortgage Trust 2005-5

Cl. 6-A-1-2, Upgraded to B2 (sf); previously on May 4, 2010
Downgraded to Caa2 (sf)

Cl. 6-A-2-1, Upgraded to Ba3 (sf); previously on May 4, 2010
Downgraded to B3 (sf)

Cl. 6-A-2-2, Upgraded to B2 (sf); previously on May 4, 2010
Downgraded to Caa2 (sf)

Issuer: CSFB Adjustable Rate Mortgage Trust 2005-7

Cl. 7-A-1-1, Upgraded to B2 (sf); previously on May 4, 2010
Downgraded to Caa2 (sf)

Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2005-6

Cl. I-A-3, Upgraded to B3 (sf); previously on Jul 13, 2010
Downgraded to Caa3 (sf)

Cl. I-A-4, Upgraded to Ba2 (sf); previously on Jul 13, 2010
Downgraded to B1 (sf)

Issuer: CSMC Mortgage-Backed Trust Series 2006-9

Cl. 6-A-1, Upgraded to Ba2 (sf); previously on Jan 12, 2011
Downgraded to Caa1 (sf)

Cl. 6-A-2, Upgraded to Ba2 (sf); previously on Jan 12, 2011
Downgraded to Caa1 (sf)

Cl. A-X, Upgraded to Ba2 (sf); previously on Jan 12, 2011
Downgraded to Caa1 (sf)


CSFB COMMERCIAL: Moody's Affirms 20 CMBS Classes of CSFB 2006-C2
----------------------------------------------------------------
Moody's Investors Service (Moody's) affirmed the ratings of 20
classes of Credit Suisse Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2006-C2 as:

Cl. A-1, Affirmed at Aaa (sf); previously on Jul 5, 2006
Definitive Rating Assigned Aaa (sf)

Cl. A-2, Affirmed at Aaa (sf); previously on Jul 5, 2006
Definitive Rating Assigned Aaa (sf)

Cl. A-3, Affirmed at Aaa (sf); previously on Jul 5, 2006
Definitive Rating Assigned Aaa (sf)

Cl. A1A, Affirmed at Aa3 (sf); previously on Dec 10, 2010
Downgraded to Aa3 (sf)

Cl. A-M, Affirmed at Baa2 (sf); previously on Dec 10, 2010
Downgraded to Baa2 (sf)

Cl. A-J, Affirmed at Caa3 (sf); previously on Dec 10, 2010
Downgraded to Caa3 (sf)

Cl. B, Affirmed at Ca (sf); previously on Dec 10, 2010 Downgraded
to Ca (sf)

Cl. C, Affirmed at C (sf); previously on Dec 10, 2010 Downgraded
to C (sf)

Cl. D, Affirmed at C (sf); previously on Dec 10, 2010 Downgraded
to C (sf)

Cl. E, Affirmed at C (sf); previously on Dec 10, 2010 Downgraded
to C (sf)

Cl. F, Affirmed at C (sf); previously on Oct 29, 2009 Downgraded
to C (sf)

Cl. G, Affirmed at C (sf); previously on Oct 29, 2009 Downgraded
to C (sf)

Cl. H, Affirmed at C (sf); previously on Oct 29, 2009 Downgraded
to C (sf)

Cl. J, Affirmed at C (sf); previously on Oct 29, 2009 Downgraded
to C (sf)

Cl. K, Affirmed at C (sf); previously on Oct 29, 2009 Downgraded
to C (sf)

Cl. L, Affirmed at C (sf); previously on Oct 29, 2009 Downgraded
to C (sf)

Cl. M, Affirmed at C (sf); previously on Oct 29, 2009 Downgraded
to C (sf)

Cl. N, Affirmed at C (sf); previously on Oct 29, 2009 Downgraded
to C (sf)

Cl. O, Affirmed at C (sf); previously on Oct 29, 2009 Downgraded
to C (sf)

Cl. A-X, Affirmed at Aaa (sf); previously on Jul 5, 2006
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
16.3% of the current balance. At last review, Moody's cumulative
base expected loss was 15.4%. Moody's stressed scenario loss is
28.3% 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 principal methodology used in this rating was: "CMBS: Moody's
Approach to Rating Conduit U.S. CMBS Transactions" published
September 15, 2000. Please see the Credit Policy page on
www.moodys.com for a copy of this methodology.

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 35, the same as at Moody's last review.

Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.

The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (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 10, 2010.

DEAL PERFORMANCE

As of the July 15, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 9% to $1.32 billion
from $1.44 billion at securitization. The Certificates are
collateralized by 183 mortgage loans ranging in size from less
than 1% to 12% of the pool, with the top ten loans representing
35% of the pool. The pool does not contain any defeased loans or
loans with investment grade credit estimates.

Sixty-one loans, representing 27% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (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 a
realized loss of $14.9 million (57% loss severity). Currently 18
loans, representing 25% of the pool, are in special servicing. The
largest specially serviced loan is the Babcock & Brown FX 1 Loan
($157.4 million -- 11.9% of the pool), which is secured by a 4,990
unit portfolio of Class B multi-family properties located in Texas
(8 properties), South Carolina (4 properties) and Alabama (1
property). The loan transferred to special servicing in March 2009
after the borrower's parent company went into administration. Six
of the properties in the portfolio became REO in June 2011. A
November 2010 appraisal valued the portfolio at $93.3 million.

The second largest specially serviced loan is the Fortunoff
Portfolio Loan ($69.9 million -- 5.3% of the pool), which is
secured by two vacant department stores located in New Jersey and
New York that were formerly occupied by Fortunoff, a luxury home
goods and jewerly retailer. The loan was transferred to special
servicing in January 2009 after the tenant declared bankruptcy and
subsequently vacated the properties. Neither property has been
able to attract new tenants and foreclosure suits have been filed
on both properties. In addition to the outstanding balance of the
loan, the property is encumbered by $7.3 million of servicer
advances. A November 2010 appraisal valued the property at $12.7
million.

The remaining 16 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $179.9 million loss
for 17 of the specially serviced loans (55% expected loss on
average).

Moody's has assumed a high default probability for 20 poorly
performing loans representing 6% of the pool and has estimated an
aggregate $13.9 million loss (18% expected loss based on a 50%
probability default) from these troubled loans.

Moody's was provided with full year 2010 operating results for 99%
of the pool's non-troubled loans. Excluding specially serviced and
troubled loans, Moody's weighted average LTV is 106%, the same as
at last review. Moody's net cash flow reflects a weighted average
haircut of 9% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.1%.

Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.25X and 0.97X, respectively, compared to
1.22X and 0.96X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.

The top three performing loans represent 3.7% of the pool. The
largest loan is the Lincoln Road Retail Loan ($49.0 million --
3.7% of the pool), which is secured by a 53,200 square feet (SF)
of retail space located in Miami Beach, Florida. The collateral
consists of three non-adjacent properties located on Lincoln Road,
a primary dining and shopping district in the renowned tourist
area of South Beach. Performance has been stable since last review
but has improved since securitization due to increases in base
rent. As of March 2011, the property was 91% leased, the same as
at last review. The loan is interest only for the full term.
Moody's LTV and stressed DSCR are 121% and 0.80X, respectively,
the same as at last review.

The second largest loan is the Gettysburg Village Loan ($41.1
million -- 3.1% of the pool), which is secured by a 310,285 SF
outlet center located in Gettysburg, Pennsylvania. The property
benefits from a low tenant concentration with no tenant accounting
for more than 5% of the net rentable area (NRA). As of March 2011,
the property was 92% leased, the same as at last review. A slight
decline in net operating income from last review due to lower
rates and rent abatements on new and renewed leases was offset by
loan amortization. Moody's LTV and stressed DSCR are 118% and
0.85X, respectively, the same as at last review.

The third largest conduit loan is the 75 Maiden Lane Loan ($29.5
million -- 2.2% of the pool), which is secured by a 172,000 SF
Class B office building located in the downtown Manhattan
neighborhood of New York City. As of March 2011, the property was
87% leased, compared to 90% leased in December 2009. Performance
has been stable. Moody's LTV and stressed DSCR are 110% and 0.94X,
respectively, compared to 112% and 0.91X at last review.


CWABS ASSET: Moody's Lowers Ratings of $714 Mil. Subprime of RMBS
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 23
tranches from five RMBS transactions, backed by subprime loans,
issued by Countrywide.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
in 2005.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

Certain securities, as noted below, are insured by financial
guarantors. For securities insured by a financial guarantor, the
rating on the securities is the higher of (i) the guarantor's
financial strength rating and (ii) the current underlying rating
(i.e., absent consideration of the guaranty) on the security. The
principal methodology used in determining the underlying rating is
the same methodology for rating securities that do not have a
financial guaranty and is as described earlier.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: CWABS Asset-Backed Certificates Trust 2005-1

Cl. AF-4, Downgraded to B1 (sf); previously on Apr 14, 2010
Downgraded to Ba1 (sf)

Cl. AF-5A, Downgraded to Caa1 (sf); previously on Apr 14, 2010
Downgraded to B1 (sf)

Cl. AF-5B, Downgraded to Caa1 (sf); previously on Apr 14, 2010
Downgraded to B1 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)

Underlying Rating: Downgraded to Caa1 (sf); previously on Apr 14,
2010 Downgraded to B1 (sf)

Cl. AF-6, Downgraded to B2 (sf); previously on Apr 14, 2010
Downgraded to Ba3 (sf)

Cl. MF-1, Downgraded to C (sf); previously on Apr 14, 2010
Downgraded to Ca (sf)

Cl. MV-2, Downgraded to A2 (sf); previously on Apr 14, 2010
Downgraded to Aa3 (sf)

Cl. MV-3, Downgraded to B2 (sf); previously on Apr 14, 2010
Downgraded to Ba1 (sf)

Cl. MV-4, Downgraded to Ca (sf); previously on Apr 14, 2010
Downgraded to Caa1 (sf)

Cl. MV-5, Downgraded to C (sf); previously on Apr 14, 2010
Downgraded to Ca (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2005-11

Cl. 2-AV-1, Downgraded to Aa1 (sf); previously on Apr 14, 2010
Confirmed at Aaa (sf)

Cl. 3-AV-3, Downgraded to Aa3 (sf); previously on Apr 14, 2010
Downgraded to Aa1 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2005-12

Cl. 2-A-3, Downgraded to B2 (sf); previously on Apr 14, 2010
Downgraded to Ba2 (sf)

Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)

Underlying Rating: Downgraded to B2 (sf); previously on Apr 14,
2010 Downgraded to Ba2 (sf)

Cl. 2-A-4, Downgraded to Caa1 (sf); previously on Apr 14, 2010
Downgraded to B2 (sf)

Cl. 3-A, Downgraded to Baa1 (sf); previously on Apr 14, 2010
Downgraded to A2 (sf)

Cl. 4-A, Downgraded to B2 (sf); previously on Apr 14, 2010
Downgraded to B1 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2005-15

Cl. 1-AF-3, Downgraded to B3 (sf); previously on Apr 14, 2010
Downgraded to Ba3 (sf)

Cl. 1-AF-4, Downgraded to Caa3 (sf); previously on Apr 14, 2010
Downgraded to B3 (sf)

Cl. 1-AF-6, Downgraded to B3 (sf); previously on Apr 14, 2010
Downgraded to B1 (sf)

Cl. 2-AV-2, Downgraded to B2 (sf); previously on Apr 14, 2010
Downgraded to Ba1 (sf)

Cl. 1-AF-5, Current rating at Aa3 (sf); previously on Nov 12, 2009
Confirmed at Aa3 (sf)

Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at
Aa3, Outlook Negative on Nov 12, 2009)

Underlying Rating: Downgraded to Caa3 (sf); previously on Apr 14,
2010 Downgraded to B3 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2005-3

Cl. AF-4, Downgraded to B3 (sf); previously on Apr 14, 2010
Downgraded to Ba2 (sf)

Cl. AF-5A, Downgraded to Caa3 (sf); previously on Apr 14, 2010
Downgraded to B2 (sf)

Cl. AF-5B, Downgraded to Caa3 (sf); previously on Apr 14, 2010
Downgraded to B2 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)

Underlying Rating: Downgraded to Caa3 (sf); previously on Apr 14,
2010 Downgraded to B2 (sf)

Cl. AF-6, Downgraded to B3 (sf); previously on Apr 14, 2010
Downgraded to Ba3 (sf)


CWALT INC: Moody's Lowers Rating of $211.2 Mil. Option ARM RMBS
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 6 tranches
from 4 RMBS transactions, backed by Option ARM loans, issued by
Countrywide.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, Option ARM residential mortgage loans. The actions are
a result of the recent performance review of Option ARM pools and
reflect Moody's updated loss expectations on Option ARM pools
issued from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Option ARM RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: CWALT, Inc. Alternative Loan Trust, Series 2005-44

Cl. 1-A-3B, Downgraded to Ba2 (sf); previously on Nov 23, 2010
Downgraded to A3 (sf)

Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-59

Cl. 1-A-2B, Downgraded to Ba2 (sf); previously on Nov 23, 2010
Confirmed at A3 (sf)

Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-OA17

Cl. 1-A2-A, Downgraded to C (sf); previously on Nov 23, 2010
Confirmed at Ca (sf)

Cl. 1-A2-B, Downgraded to Ba1 (sf); previously on Nov 23, 2010
Confirmed at Baa1 (sf)

Cl. 1-A2-C, Downgraded to C (sf); previously on Nov 23, 2010
Confirmed at Ca (sf)

Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-OH1

Cl. A-1-A, Downgraded to Baa1 (sf); previously on Nov 23, 2010
Downgraded to Aa3 (sf)


DEUTSCHE MORTGAGE: Fitch Affirms DMARC 1998-C1 Ratings
------------------------------------------------------
Fitch Ratings affirms and maintains or revises the Rating Outlooks
of Deutsche Mortgage & Asset Receiving Corporation (DMARC 1998-C1)
commercial mortgage pass-through certificates, series 1998-C1:

   -- $21.2 million class F at 'AAAsf/LS5'; Outlook to Stable from
      Positive;

   -- $45.4 million class G at 'AAsf/LS5'; Outlook Stable;

   -- $18.2 million class H at 'BBB-sf/LS5'; Outlook Stable;

   -- $22.7 million class J at 'B+sf/LS5'; Outlook Negative.

The $15.3 million class K remains at 'Dsf/RR1'.

Fitch does not rate class M. Classes A-1, A-2, A-3, B, C, D, and E
have all paid in full.

As of the June 2011 remittance report, the transaction has paid
down 93.2% to $122.8 million from $1.8 billion at issuance. Twenty
loans remain in the transaction, of which two (6.1%) are in
special servicing.

Fitch stressed the cash flow of the remaining loans by applying a
5% reduction to the most recent 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 largest contributor to Fitch modeled losses is secured by a
102-key hotel located in Tiburon, CA. This property has suffered
from a decline in occupancy coupled with below market room rates.

The second largest contributor to Fitch modeled losses is secured
by an approximately 155,000 square foot (sf) retail property
located in Memphis, TN. Two of the property's major tenants have
gone dark causing net operating income (NOI) to decline.


DLJ COMMERCIAL: Fitch Affirms Rating on Class B-7 Notes at 'D'
--------------------------------------------------------------
Fitch Ratings affirmed DLJ Commercial Mortgage Corp.'s series
1999-CG1.

The rating affirmations are the result of sufficient credit
enhancement levels to offset increasing loan concentrations and
adverse selection as the transaction pays down. Fitch modeled
losses of 11.4% of the remaining pool; expected losses of the
original pool are at 3.6%, including losses already incurred to
date. Fitch has designated eight loans (52.5%) as Fitch Loans of
Concern, six of which are specially serviced (42.2%) with losses
expected.

As of the June 2011 distribution date, the pool's aggregate
principal balance has been paid down by approximately 95.3% to
$58.7 million from $1.24 billion at issuance. One (2.4%) of the
remaining 13 loans is defeased. Interest shortfalls are affecting
class B-8 and the non-rated class C with cumulative unpaid
interest totaling $1.6 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 above 1.25 times (x). The current weighted average
DSCR is 1.11x.

The largest contributor to Fitch modeled losses is a 80,000 square
feet industrial property in Carrollton, TX. The property became
real estate owned asset on Dec. 7, 2010 and losses are expected
with the imminent sale of the property.

The second largest contributor to Fitch modeled losses is a 57,176
SF retail property in Oshtemo Township, MI. The loan transferred
to special servicing on February 9, 2010 due to maturity default.
The special servicer is negotiating with the borrower to payoff
the loan.

The third largest contributor to Fitch modeled losses is a 74 unit
multifamily property in Irving, TX. Loan transferred to special
servicing on Nov. 12, 2009 due to monetary default. The borrower
filed bankruptcy in May 2010 shortly before the schedule
foreclosure sale. Recent property valuations obtained by the
servicer indicate losses upon liquidation.

Fitch affirms these classes:

  -- $3.2 million B-3 at 'AAA/LS5'; Outlook Stable;

  -- $21.7 million class B-4 at 'A-/LS5'; Outlook Stable;

  -- $9.3 million class B-5 at 'BBB-/LS5'; Outlook Stable;

  -- $12.4 million class B-6 at 'CC/RR1';

  -- $12.1 million class B-7 at 'D/RR4'.

Classes A-1A, A-1B, A-2, A-3, A-4, B-1, and B-2 are paid in full.
Class B-8 remains at D/RR6 and is depleted due to losses. Fitch
does not rate class C. Fitch withdraws the rating of interest-only
class S.


DLJ COMMERCIAL: Fitch Affirms Rating on Class B-7 Notes at 'D'
--------------------------------------------------------------
Fitch Ratings affirms DLJ Commercial Mortgage Corp. series 1999-
CG3 commercial mortgage pass-through certificates.

The affirmations are due to sufficient credit enhancements after
Fitch expected losses on specially serviced loans. As of the June
2011 distribution date, the pool's certificate balance has paid
down 94.4% to $50 million from $899 million. Fitch modeled losses
of 17.8% based on Fitch adjustments to recent property valuations
obtained by the special servicer for the specially serviced
properties.

Eight (66.7%) of the remaining 14 loans in the pool have been
designated Fitch Loans of Concern (LOC), of which five (41.5%) are
in special servicing.

The largest remaining loan (14.3%) which remains current is
collateralized by a 246 room, full service hotel in Oklahoma, OK,
three miles east of Will Rogers World Airport. The loan was
transferred to special servicing in July 2009 for imminent
maturity default and franchise change without lender consent. The
property had suffered from revenue loss due to renovations
converting to Wyndham from Hilton Inn flagship. The property is
now back with the master servicer and performance is improving.

The largest specially serviced loan (13.8%) is collateralized by
an 89,000 square foot (sf) office building located in Erlanger,
KY, 17 miles southwest of Cincinnati. The loan was transferred to
special servicing in May 2009 due to an imminent maturity default.
The special servicer foreclosed on the property in Dec. 2009. The
special servicer last reported the property is 57.7% occupied as
of April month-end.

The second largest specially serviced loan (13.7%) is secured by a
128,538 sf retail center in Rolling Meadows, IL, a suburb of
Chicago. The loan transferred to special servicing in October 2009
due to monetary default. The property's largest tenant, Dominick's
Food, occupied 72,000 sf went dark for two years and paid rent
until its lease expiration in June 2009. Currently there are three
small tenants in the space, all of which are behind on rents.

Fitch affirms these class and revises Loss Severity ratings (LS):

  -- $15.4 million class B-3 at 'AA-'; loss severity to 'LS3'
     from 'LS5'; Outlook Stable;

Fitch has affirmed these classes:

  -- $13.5 million class B-4 at 'CCC/RR2';

  -- $8.9 million class B-5 at 'CC/RR6';

  -- $11.2 million class B-6 at 'C/RR6';

  -- 0.9 million class B-7 at 'D/RR6'.

Fitch does not rate class D.

Classes A-1A, A-1B, A-1C, A-2, A-3, A-4, A-5, B-1 and B-2 have
paid in full.

Fitch has already withdrawn the rating on the interest-only class
X.


DRYDEN XXI: Moody's Upgrades Ratings of CLO Notes
-------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Dryden XXI Leveraged Loan CDO:

US$20,000,000 Class B Second Priority Senior Secured Floating Rate
Notes Due 2020, Upgraded to Aa3 (sf); previously on Jun 22, 2011
A1 (sf) Placed Under Review for Possible Upgrade;

US$20,000,000 Class C Third Priority Mezzanine Secured Deferrable
Floating Rate Notes Due 2020, Upgraded to A3 (sf); previously on
Jun 22, 2011 Baa1 (sf) Placed Under Review for Possible Upgrade;

US$18,750,000 Class D Forth Priority Mezzanine Secured Deferrable
Floating Rate Notes Due 2020, Upgraded to Baa2 (sf); previously on
Jun 22, 2011 Ba1 (sf) Placed Under Review for Possible Upgrade.

In addition, Moody's confirmed the rating of the following notes:

US$365,000,000 Class A First Priority Senior Secured Floating Rate
Notes Due 2020, Confirmed at Aa1 (sf); previously on Jun 22, 2011
Aa1 (sf) Placed Under Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" and "Annual Sector Review (2009): Global CLOs," key
model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers. In its base case, Moody's analyzed the
underlying collateral pool to have a performing par balance,
including principal proceeds, of $502 million, defaulted par of
$0.3 million, a weighted average default probability of 22.2%
(implying a WARF of 2643), a weighted average recovery rate upon
default of 49.3%, and a diversity score of 59. The default and
recovery properties of the collateral pool are incorporated in
cash flow model analysis where they are subject to stresses as a
function of the target rating of each CLO liability being
reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends, and collateral manager
latitude for trading the collateral are also factors.

Dryden XXI Leveraged Loan CDO, issued in August 2008, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations", published in
June 2011. This publication incorporates rating criteria that
apply to both collateralized loan obligations and collateralized
bond obligations.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2016 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the managers'
investment strategies and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1. Weighted average life: The notes' ratings are sensitive to the
   weighted average life assumption of the portfolio, which may be
   extended due to the manager's decision to reinvest into new
   issue loans or other loans with longer maturities and/or
   participate in amend-to-extend offerings. Moody's tested for a
   possible extension of the actual weighted average life in its
   analysis.

2. Other collateral quality metrics: The deal is allowed to
   reinvest and the manager has the ability to deteriorate the
   collateral quality metrics' existing cushions against the
   covenant levels. Moody's analyzed the impact of assuming worse
   of reported and covenanted values for weighted average rating
   factor, weighted average spread, weighted average coupon, and
   diversity score. However, as part of the base case, Moody's
   considered weighted average spread and diversity levels higher
   than the covenant levels due to large differences between the
   reported and covenant levels.


DUANE STREET: Moody's Upgrades Ratings of CLO Notes
---------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Duane Street CLO 1:

$185,000,000 Class A Senior Floating Rate Notes Due 2017 (current
outstanding balance of $179,519,465.52), Upgraded to Aaa (sf);
previously on June 22, 2011 Aa1 (sf) Placed Under Review for
Possible Upgrade;

$65,000,000 Class A-2 Senior Delayed Draw Floating Rate Notes Due
2017 (current outstanding balance of $63,074,406.81), Upgraded to
Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed Under Review
for Possible Upgrade;

$36,000,000 Class B Senior Floating Rate Notes Due 2017, Upgraded
to A1 (sf); previously on June 22, 2011 Baa1 (sf) Placed Under
Review for Possible Upgrade;

$15,000,000 Class C Deferrable Mezzanine Floating Rate Notes Due
2017, Upgraded to Baa2 (sf); previously on June 22, 2011 Ba2 (sf)
Placed Under Review for Possible Upgrade;

$15,000,000 Class D Deferrable Mezzanine Floating Rate Notes Due
2017, Upgraded to Ba2 (sf); previously on June 22, 2011 Caa1 (sf)
Placed Under Review for Possible Upgrade;

$7,000,000 Class E Deferrable Junior Floating Rate Notes Due 2017,
Upgraded to B1 (sf); previously on June 22, 2011 Caa3 (sf) Placed
Under Review for Possible Upgrade;

$5,000,000 Class Z-2 Combination Notes Due 2017 (current rated
balance of $3,210,273.58), Upgraded to A3 (sf); previously on June
22, 2011 Ba1 (sf) Placed Under Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $331.8 million,
defaulted par of $2 million, a weighted average default
probability of 17.5% (implying a WARF of 2750), a weighted average
recovery rate upon default of 49%, and a diversity score of 50.
Moody's generally analyzes deals in their reinvestment period by
assuming the worse of reported and covenanted values for all
collateral quality tests. However, in this case given the limited
time remaining in the deal's reinvestment period, Moody's analysis
reflects the benefit of assuming a higher likelihood that the
collateral pool characteristics will continue to maintain a
positive "cushion" relative to the covenant requirements, as seen
in the actual collateral quality measurements. The default and
recovery properties of the collateral pool are incorporated in
cash flow model analysis where they are subject to stresses as a
function of the target rating of each CLO liability being
reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

Duane Street CLO 1, issued in October 2005, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

A secondary methodology used was "Using the Structured Note
Methodology to Rate CDO Combo-Notes" published in February 2004.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Long-dated assets: The presence of assets that mature beyond
   the CLO's legal maturity date exposes the deal to liquidation
   risk on those assets. Moody's assumes an asset's terminal value
   upon liquidation at maturity to be equal to the lower of an
   assumed liquidation value (depending on the extent to which the
   asset's maturity lags that of the liabilities) and the asset's
   current market value.

2) Other collateral quality metrics: The deal is allowed to
   reinvest and the manager has the ability to deteriorate the
   collateral quality metrics' existing cushions against the
   covenant levels. Moody's analyzed the impact of assuming the
   worse of reported and covenanted values for weighted average
   rating factor, weighted average spread, weighted average
   coupon, and diversity score. However, as part of the base case,
   Moody's considered spread levels higher than the covenant
   levels due to the large difference between the reported and
   covenant levels.


EATON VANCE: Moody's Upgrades Ratings of CLO Notes
--------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Eaton Vance CDO VIII, Ltd.

US$583,500,000 Class A Senior Secured Floating Rate Notes Due 2022
(current outstanding balance of $553,500,000), Upgraded to Aaa
(sf); previously on June 22, 2011 Aa1 (sf) Placed Under Review for
Possible Upgrade;

US$48,000,000 Class B Second Priority Deferrable Floating Rate
Notes Due 2022, Upgraded to A2 (sf); previously on June 22, 2011
Baa1 (sf) Placed Under Review for Possible Upgrade;

US$23,250,000 Class C Third Priority Deferrable Floating Rate
Notes Due 2022, Upgraded to Baa2 (sf); previously on June 22, 2011
Ba1 (sf) Placed Under Review for Possible Upgrade;

US$33,750,000 Class D Fourth Priority Deferrable Floating Rate
Notes Due 2022, Upgraded to Ba2 (sf); previously on June 22, 2011
B1 (sf) Placed Under Review for Possible Upgrade;

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in the publication "Moody's Approach to Rating
Collateralized Loan Obligations" published in June 2011. The
primary changes to the modeling assumptions include (1) a removal
of the temporary 30% default probability macro stress implemented
in February 2009 as well as (2) increased BET liability stress
factors and increased recovery rate assumptions.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $703 million,
defaulted par of $1.7 million, a weighted average default
probability of 20.2% (implying a WARF of 2538), a weighted average
recovery rate upon default of 50.8%, and a diversity score of 80.
These default and recovery properties of the collateral pool are
incorporated in cash flow model analysis where they are subject to
stresses as a function of the target rating of each CLO liability
being reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

Eaton Vance CDO VIII, Ltd., issued in July 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1. Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus sell defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.

2. Weighted average life: The notes' ratings are sensitive to the
   weighted average life assumption of the portfolio, which may be
   extended due to the manager's decision to reinvest into new
   issue loans or other loans with longer maturities and/or
   participate in amend-to-extend offerings. Moody's tested for a
   possible extension of the actual weighted average life in its
   analysis.

3. Other collateral quality metrics: The deal is allowed to
   reinvest and the manager has the ability to deteriorate the
   collateral quality metrics' existing cushions against the
   covenant levels. Moody's analyzed the impact of assuming the
   worse of reported and covenanted values for weighted average
   rating factor, weighted average spread, weighted average
   coupon, and diversity score. However, as part of the base case,
   Moody's considered spread and coupon levels higher than the
   covenant levels due to the large difference between the
   reported and covenant levels.


EMBARCADERO RE: S&P Gives 'BB-' Rating on Class A Notes
-------------------------------------------------------
Standard & Poor's Ratings Services assigned its 'BB- (sf)'
preliminary rating to the Series 2011-1 Class A notes to be issued
by Embarcadero Reinsurance Ltd. (Embarcadero Re). The notes cover
losses from U.S. earthquakes on an annual aggregate basis in the
state of California.

"Our views of the transaction's credit risk reflect the
counterparty credit ratings on all of the parties involved that
can affect the timely payment of interest and the ultimate payment
of principal on the notes," said Standard & Poor's credit analyst
Gary Martucci. "Our preliminary rating on the notes takes into
account the implied rating on the catastrophe risk ('BB-') and the
rating on the assets in the collateral account (the highest rating
category by Standard & Poor's). The preliminary rating reflects
the lowest of these two ratings, which is currently the rating on
the catastrophe risk. Since the California Earthquake Authority
(CEA) has deposited two quarterly premiums into the premium
deposit account, we didn't include them in our credit analysis."

A failure by the CEA to make a current period insurance premium
payment, if not cured within 90 days, would be an event of
default.

Embarcadero Re is a newly formed Bermuda exempted company licensed
as a special-purpose reinsurer. The California Earthquake
Authority (CEA) will be the company ceding the subject business to
Embarcadero Re. Losses will be based on the ultimate net losses of
the CEA.

Ratings List

New Rating
Embarcadero Reinsurance Ltd.
Series 2011-1 Class A Senior Secured Notes    Preliminary 'BB-
(sf)'


ENCORE CREDIT: Moody's Downgrades $57 Mil. of Subprime RMBS
-----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 2 tranches
from Encore Credit Receivables Trust 2005-3, backed by subprime
mortgage loans, issued by Encore.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
Subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Encore Credit Receivables Trust 2005-3

Cl. M-2, Downgraded to Baa2 (sf); previously on Jul 14, 2010
Downgraded to A2 (sf)

Cl. M-3, Downgraded to B3 (sf); previously on Jul 14, 2010
Downgraded to B1 (sf)


EQUIFIRST MORTGAGE: Moody's Downgrades $75 Mil. of Subprime RMBS
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of six
tranches from Equifirst Mortgage Loan Trust 2005-1, backed by
subprime loans.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Equifirst Mortgage Loan Trust 2005-1

Cl. M-2, Downgraded to A2 (sf); previously on Aug 13, 2010
Confirmed at Aa2 (sf)

Cl. M-3, Downgraded to Ba2 (sf); previously on Aug 13, 2010
Confirmed at A1 (sf)

Cl. M-4, Downgraded to Caa1 (sf); previously on Aug 13, 2010
Confirmed at Baa1 (sf)

Cl. M-5, Downgraded to Ca (sf); previously on Aug 13, 2010
Confirmed at Ba1 (sf)

Cl. M-6, Downgraded to Ca (sf); previously on Aug 13, 2010
Downgraded to B3 (sf)

Cl. M-7, Downgraded to C (sf); previously on Aug 13, 2010
Confirmed at Ca (sf)


FIRST FRANKLIN: Moody's Downgrades $189 Mil. of Subprime RMBS
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches from First Franklin Mortgage Loan Trust 2006-FF1, backed
by subprime loans.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology" published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: First Franklin Mortgage Loan Trust 2006-FF1

Cl. I-A, Downgraded to B3 (sf); previously on Apr 6, 2010
Downgraded to Baa3 (sf)

Cl. II-A-3, Downgraded to Caa1 (sf); previously on Apr 6, 2010
Upgraded to Baa2 (sf)

Cl. II-A-4, Downgraded to Caa3 (sf); previously on Apr 6, 2010
Downgraded to B2 (sf)

Cl. M-1, Downgraded to C (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)


FIRST FRANKLIN: Moody's Lowers Rating of $1.1 Bil. Subprime RMBS
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 14
tranches from five RMBS transactions, backed by subprime loans,
issued by First Franklin.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: First Franklin Mortgage Loan Trust 2005-FF11

Cl. A-1, Downgraded to Baa1 (sf); previously on Apr 6, 2010
Confirmed at Aa3 (sf)

Cl. A-2D, Downgraded to Baa1 (sf); previously on Apr 6, 2010
Confirmed at A2 (sf)

Issuer: First Franklin Mortgage Loan Trust 2005-FF12

Cl. A-1, Downgraded to Ba2 (sf); previously on Apr 6, 2010
Downgraded to A2 (sf)

Cl. A-2B, Downgraded to B1 (sf); previously on Apr 6, 2010
Downgraded to Ba1 (sf)

Cl. A-2C, Downgraded to B3 (sf); previously on Apr 6, 2010
Downgraded to Ba2 (sf)

Issuer: First Franklin Mortgage Loan Trust 2005-FF4

Cl. M-1, Downgraded to Baa3 (sf); previously on Apr 6, 2010
Downgraded to A2 (sf)

Cl. M-2, Downgraded to Caa2 (sf); previously on Apr 6, 2010
Downgraded to B1 (sf)

Cl. M-3, Downgraded to C (sf); previously on Apr 6, 2010
Downgraded to Caa2 (sf)

Issuer: First Franklin Mortgage Loan Trust 2005-FF8

Cl. A-1, Downgraded to A1 (sf); previously on Apr 6, 2010
Confirmed at Aaa (sf)

Cl. A-2D, Downgraded to A1 (sf); previously on Apr 6, 2010
Upgraded to Aa3 (sf)

Cl. M-1, Downgraded to Caa3 (sf); previously on Apr 6, 2010
Downgraded to Caa1 (sf)

Issuer: First Franklin Mortgage Loan Trust 2006-FF9

Cl. I-A, Downgraded to Caa3 (sf); previously on Apr 6, 2010
Confirmed at B2 (sf)

Cl. II-A-3, Downgraded to Ca (sf); previously on Apr 6, 2010
Confirmed at Caa2 (sf)

Cl. II-A-4, Downgraded to Ca (sf); previously on Apr 6, 2010
Upgraded to Caa3 (sf)


FIRST HORIZON: Moody's Acts on $158 Mil. of Prime Jumbo RMBS
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 11
tranches from three RMBS transactions, backed by fixed and
adjustable rate mortgage loans, issued by First Horizon Mortgage
Pass-Through Trust.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, Prime Jumbo residential mortgage loans. The actions
are a result of the recent performance review of Prime Jumbo pools
and reflect Moody's updated loss expectations on Prime Jumbo pools
issued from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
Prime Jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R) (SFW), the
cash flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The above mentioned approach is adjusted slightly when estimating
losses on pools left with a small number of loans to account for
the volatile nature of small pools. Even if a few loans in a small
pool become delinquent, there could be a large increase in the
overall pool delinquency level due to the concentration risk. To
project losses on pools with fewer than 100 loans, Moody's first
estimates a "baseline" average rate of new delinquencies for the
pool that varies from 3% to 5% on average. The baseline rates are
higher than the average rate of new delinquencies for larger pools
for the respective vintages.

Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 3.00%, the adjusted rate of new delinquency would
be 3.03%. in addition, if current delinquency levels in a small
pool is low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.75 to 2.5 for current
delinquencies ranging from less than 2.5% to greater than 10%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology " publication.

The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: First Horizon Mortgage Pass-Through Tr 2007-4

Cl. I-A-10, Downgraded to Caa1 (sf); previously on Mar 26, 2010
Downgraded to B2 (sf)

Cl. I-A-16, Downgraded to Caa1 (sf); previously on Mar 26, 2010
Downgraded to B2 (sf)

Cl. I-A-17, Downgraded to Caa1 (sf); previously on Mar 26, 2010
Downgraded to B2 (sf)

Issuer: First Horizon Mortgage Pass-Through Trust 2005-5

Cl. I-A-4, Downgraded to B2 (sf); previously on Mar 26, 2010
Downgraded to Ba2 (sf)

Cl. I-A-6, Downgraded to Caa1 (sf); previously on Mar 26, 2010
Downgraded to B2 (sf)

Issuer: First Horizon Mortgage Pass-Through Trust 2005-AR1

Cl. I-A-1, Downgraded to Caa1 (sf); previously on Mar 26, 2010
Downgraded to Ba3 (sf)

Cl. II-A-1, Downgraded to B1 (sf); previously on Mar 26, 2010
Downgraded to Ba2 (sf)

Cl. III-A-1, Downgraded to Caa1 (sf); previously on Mar 26, 2010
Downgraded to Ba1 (sf)

Cl. IV-A-1, Downgraded to B1 (sf); previously on Mar 26, 2010
Downgraded to Ba2 (sf)

Cl. II-A-2, Downgraded to Ba1 (sf); previously on Mar 26, 2010
Downgraded to Baa2 (sf)

Cl. II-A-4, Downgraded to Ba2 (sf); previously on Mar 26, 2010
Downgraded to Baa3 (sf)


FIRST UNION: Fitch Downgrades One Class of FUNC 1999-C2
--------------------------------------------------------
Fitch Ratings downgrades one class of First Union National Bank-
Chase Manhattan Bank Commercial Mortgage Trust (FUNC 1999-C2)
commercial mortgage pass-through certificates, series 1999-C2:

   -- $11.8 million class L to 'Bsf/LS3' from 'BB-/LS3'; Outlook
      Stable.

Fitch also affirms these classes:

   -- $21.1 million class G at 'AAAsf/LS2'; Outlook Stable;

   -- $11.8 million class H at 'AAAsf/LS3'; Outlook Stable;

   -- $11.8 million class J at 'AAsf/LS3'; Outlook Stable;

   -- $11.8 million class K at 'BB+sf/LS3'; Outlook Stable;

   -- $11.8 million class M at 'Csf/RR3'.

Fitch does not rate class N. Classes A-1, A-2, B, C, D, E, and F
have all paid in full.

The downgrade of class L is due to Fitch expected losses from
specially serviced loans and loans that do not pass Fitch's
refinance test. Fitch modeled losses of 13.1% of the remaining
pool.

As of the June 2011 remittance report, the transaction has paid
down 93.1% to $81.8 million from $1.2 billion at issuance. Forty
loans remain in the transaction, of which three (12.6%) are in
special servicing.

Fitch stressed the cash flow of the remaining loans by applying a
5% reduction to the most recent 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 largest contributor to Fitch modeled losses is a 160-bed
healthcare facility located in New Rochelle, NY. The most recent
servicer reported financial data showed negative net operating
income as of year end December 2009. The servicer has contacted
the borrower to reconcile the financials and obtain updated
performance data.

The second largest contributor to Fitch modeled losses is a 192
unit multifamily located in Smyrna, GA. The property is real
estate owned (REO) and has been listed for sale.


FOREST CREEK: Moody's Upgrades Ratings of CLO Notes
---------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Forest Creek CLO Ltd.:

US$10,000,000 Class A-3L Floating Rate Notes Due April 2015,
Upgraded to Aaa (sf); previously on June 22, 201 Aa2 (sf) Placed
Under Review for Possible Upgrade;

US$20,000,000 Class A-4L Floating Rate Notes Due April 2015,
Upgraded to Aaa (sf); previously on June 22, 201 Baa1 (sf) Placed
Under Review for Possible Upgrade;

US$18,500,000 Class B-1L Floating Rate Notes Due April 2015
(current outstanding balance of $18,890,874), Upgraded to Baa3
(sf); previously on June 22, 201 B2 (sf) Placed Under Review for
Possible Upgrade;

US$7,000,000 Class B-2L Floating Rate Notes Due April 2015 (rated
balance of $8,498,457), Upgraded to Caa3 (sf); previously on June
22, 201 Ca (sf) Placed Under Review for Possible Upgrade;

US$10,000,000 Class I Combination Securities Due April 2015 (rated
balance of $4,648,214), Upgraded to Aa3 (sf); previously on June
22, 201 Ba3 (sf) Placed Under Review for Possible Upgrade;

US$5,500,000 Class II Combination Securities Due April 2015 (rated
balance of $4,411,495), Upgraded to A1 (sf); previously on June
22, 201 B1 (sf) Placed Under Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios due to delevering of
the senior notes since the rating action in August 2010. Moody's
notes that the Class A-1L Notes have been paid down by
approximately 63.5% or $81.6 million since the rating action in
August 2010. As a result, the overcollateralization ratios of the
rated notes have also improved. Based on the latest trustee report
dated July 1, 2011, the Senior Class A, Class A, Class B-1L and
Class B-2L overcollateralization ratios are reported at 163.00%,
129.02%, 107.80% and 100.39%, respectively, versus July 2010
levels of 129.47%, 113.14%, 101.10% and 96.61%, respectively.

Furthermore, Moody's notes that the deal has benefited from an
improvement in the credit quality of the underlying portfolio
since the rating action in August 2010. Based on the latest
trustee report dated July 1, 2011, the weighted average rating
factor is currently 2607 compared to 2824 in the July 2010 report.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $102.7 million,
defaulted par of $7.4 million, a weighted average default
probability of 12.19% (implying a WARF of 2502), a weighted
average recovery rate upon default of 50.07%, and a diversity
score of 49. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

Forest Creek CLO Ltd., issued in May 2003, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

A secondary methodology used in this rating was "Using the
Structured Note Methodology to Rate CDO Combo-Notes" published in
February 2004.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Delevering: The main source of uncertainty in this transaction
   is whether delevering from unscheduled principal proceeds will
   continue and at what pace. Delevering may accelerate due to
   high prepayment levels in the loan market and/or collateral
   sales by the manager, which may have significant impact on the
   notes' ratings.

2) Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus sell defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.


FREMONT HOME: Moody's Downgrades $24 Mil. of subprime RMBS
----------------------------------------------------------
Moody's Investors Service has downgraded one tranche from Fremont
Home Loan Trust 2005-D.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Fremont Home Loan Trust 2005-D

Cl. 2-A-3, Downgraded to Ba3 (sf); previously on Apr 29, 2010
Downgraded to Baa2 (sf)


G-FORCE CDO: Moody's Affirms Ratings of Four CRE CDO Classes
------------------------------------------------------------
Moody's has affirmed four and downgraded four classes of Notes
issued by G-Force CDO 2006-1 Ltd. The downgrades are due to the
deterioration in the credit quality of the underlying portfolio as
evidenced by an increase in realized losses and an increase in
impaired securities. The affirmations are due to key transaction
parameters performing within the current ratings of the notes. The
rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO)
transactions.

Moody's rating action is:

Cl. A-1, Affirmed at Aaa (sf); previously on Mar 9, 2009 Confirmed
at Aaa (sf)

Cl. A-2, Affirmed at Aaa (sf); previously on Dec 18, 2009 Upgraded
to Aaa (sf)

Cl. A-3, Downgraded to B3 (sf); previously on Sep 2, 2010
Downgraded to Ba2 (sf)

Cl. SSFL, Downgraded to Baa1 (sf); previously on Sep 2, 2010
Downgraded to A1 (sf)

Cl. JRFL, Downgraded to Caa2 (sf); previously on Sep 2, 2010
Downgraded to B1 (sf)

Cl. B, Downgraded to C (sf); previously on Sep 2, 2010 Downgraded
to Ca (sf)

Cl. C, Affirmed at C (sf); previously on Dec 18, 2009 Downgraded
to C (sf)

Cl. D, Affirmed at C (sf); previously on Dec 18, 2009 Downgraded
to C (sf)

RATINGS RATIONALE

G-Force CDO 2006-1 Ltd. is a CRE CDO transaction backed by a
portfolio of commercial mortgage backed securities (CMBS) (93.0%)
and non-pooled, or rake classes of CMBS (7.0%). As of the June 27,
2011 Trustee report, the aggregate Note balance of the transaction
has decreased to $804.0 million from $880.4 million at issuance,
with the paydown directed to the Class A-1 Notes and the Class
SSFL Notes.

There are fifty-two assets with a par balance of $385.5 million
(69.1% of the current pool balance) that are considered Impaired
Securities as of the June 27, 2011 Trustee report. All of these
assets (100% of the impaired balance) are CMBS. There have been
$237 milion of realized losses to date, compared to $183 million
at last review. Moody's expects significant additional losses to
occur from the Impaired Securities and other low speculative grade
securities.

Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), 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 deal.

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. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 2,456 compared to 2,832 at last review. The
decrease in the bottom-dollar WARF was due to the significant
amount of realized losses that have occurred since the last
review. The losses occurred to collateral previously rated in the
Caa1-C range resulting in the exclusion of this collateral from
the current WARF calculation. The distribution of current ratings
and credit estimates is as follows: Aaa-Aa3 (22.4% compared to
30.5% at last review), A1-A3 (5.4% compared to 5.7% at last
review), Baa1-Baa3 (20.0% compared to 8.9% at last review), Ba1-
Ba3 (18.6% compared to 22.6% at last review), B1-B3 (13.6%
compared to 7.4% at last review), and Caa1-C (20.0% compared to
24.9% at last review).

WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 3.3 years compared
to 4.3 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
26.3% compared to 28.9% at last review.

MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 9.2% compared to 6.3% at last review.

Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.

The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.

Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
26.3% to 21.3% or up to 31.3% would result in average rating
movement on the rated tranches of 0 to 1 notches downward and 0 to
1 notches upward, respectively.

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current 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 is "Moody's
Approach to Rating SF CDOs" published in November 2010.

The other methodology used in these ratings is "CMBS: Moody's
Approach to Rating Static CDOs Backed by Commercial Real Estate
Securities" published in June 2004.


GALAXY CLO: Moody's Upgrades Ratings of CLO Notes
-------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Galaxy CLO 2003-1, Ltd.:

US$232,500,000 Class A Floating Rate Notes, Due 2016 (current
outstanding balance of $76,650,134), Upgraded to Aaa (sf);
previously on June 22, 2011 Aa1 (sf) Placed Under Review for
Possible Upgrade;

US$13,500,000 Class B Floating Rate Notes, Due 2016, Upgraded to
Aaa (sf); previously on June 22, 2011 A3 (sf) Placed Under Review
for Possible Upgrade;

US$9,500,000 Class C-1 Deferrable Floating Rate Notes, Due 2016,
Upgraded to Ba1 (sf); previously on June 22, 2011 B2 (sf) Placed
Under Review for Possible Upgrade;

US$14,500,000 Class C-2 Deferrable Fixed Rate Notes, Due 2016,
Upgraded to Ba1 (sf); previously on June 22, 2011 B2 (sf) Placed
Under Review for Possible Upgrade;

US$17,000,000 Class 1 Combination Securities (current Combination
Securities Class 1 Notional Amount of $14,256,309), Upgraded to
Ba1 (sf); previously on June 22, 2011 B2 (sf) Placed Under Review
for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios due to delevering of
the Class A Notes since the rating action in July 2010. Moody's
notes that the Class A Notes have been paid down by approximately
40% or $51 million since the rating action in July 2010. As a
result of the delevering, the overcollateralization ratios have
increased since the rating action in July 2010. Based on the
latest trustee report dated June 2011, the Class A, Class B, and
Class C overcollateralization ratios are reported at 160.97%,
136.86%, and 108.09%, respectively, versus July 2010 levels of
133.14%, 121.96%, and 106.13%, respectively

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $129 million,
defaulted par of $310,000, a weighted average default probability
of 19.04% (implying a WARF of 3221), a weighted average recovery
rate upon default of 48.64% , and a diversity score of 42. These
default and recovery properties of the collateral pool are
incorporated in cash flow model analysis where they are subject to
stresses as a function of the target rating of each CLO liability
being reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

Galaxy CLO 2003-1, Ltd., issued in January 2004, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

A secondary methodology used was "Using the Structured Note
Methodology to Rate CDO Combo-Notes" published in February 2004.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior, 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Delevering: The main source of uncertainty in this transaction
   is whether delevering from unscheduled principal proceeds will
   continue and at what pace. Delevering may accelerate due to
   high prepayment levels in the loan market and/or collateral
   sales by the manager, which may have significant impact on the
   notes' ratings.

2) Long-dated assets: The presence of assets that mature beyond
   the CLO's legal maturity date exposes the deal to liquidation
   risk on those assets. Moody's assumes an asset's terminal value
   upon liquidation at maturity to be equal to the lower of an
   assumed liquidation value (depending on the extent to which the
   asset's maturity lags that of the liabilities) and the asset's
   current market value.


GALAXY XI: S&P Gives 'BB' Rating on Class E Deferrable Notes
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Galaxy XI CLO Ltd./Galaxy XI CLO Inc.'s $354.4 million
floating-rate notes.

The note issuance is a cash flow collateralized loan obligation
transaction of a revolving pool consisting primarily of broadly
syndicated senior-secured loans.

The preliminary ratings are based on information as of July 14,
2011. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's assessment of:

    The credit enhancement provided to the preliminary rated notes
    through the subordination of cash flows that are payable to
    the subordinated notes.

    The transaction's credit enhancement, which is sufficient to
    withstand the defaults applicable for the supplemental tests
    (excluding excess spread) and cash flow structure, which can
    withstand the default rate projected by

Standard & Poor's CDO Evaluator model, as assessed by Standard &
Poor's using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria (see "Update To Global
Methodologies And Assumptions For Corporate Cash Flow And
Synthetic CDOs," published Sept. 17, 2009).

    The transaction's legal structure, which is expected to be
    bankruptcy remote.

    The diversified collateral portfolio, which consists primarily
    of broadly syndicated speculative-grade senior-secured term
    loans.

    The portfolio manager's experienced management team.

    "Our projections regarding the timely interest and ultimate
    principal payments on the preliminary rated notes, which we
    assessed using our cash flow analysis and assumptions
    commensurate with the assigned preliminary ratings under
    various interest-rate scenarios, including LIBOR ranging from
    0.36%-12.81%," S&P related.

    The transaction's overcollateralization and interest coverage
    tests, a failure of which will lead to the diversion of
    interest and principal proceeds to reduce the balance of the
    rated notes outstanding.

    The transaction's reinvestment overcollateralization test, a
    failure of which will lead to the reclassification of excess
    interest proceeds that are available prior to paying uncapped
    administrative expenses and fees, subordinated hedge and
    synthetic security termination payments, portfolio manager
    incentive fees, and subordinated note payments to principal
    proceeds for the purchase of additional collateral assets
    during the reinvestment period.

Preliminary Ratings Assigned
Galaxy XI CLO Ltd./Galaxy XI CLO Inc.

Class                  Rating        Amount (mil. $)
A                      AAA (sf)                256.0
B                      AA (sf)                  26.0
C (deferrable)         A (sf)                   38.0
D (deferrable)         BBB (sf)                 20.0
E (deferrable)         BB (sf)                  14.4
F (deferrable)         NR                       13.6
Subordinated notes     NR                       35.7

NR -- Not rated.


GE COMMERCIAL: Moody's Reviews Ratings of Eight CMBS Classes
------------------------------------------------------------
Moody's Investors Service placed eight classes of GECMC 2007-C1,
GE Capital Commercial Mortgage Corporation Commercial Mortgage
Pass-Through Certificates on review for possible downgrade:

Cl. A-M, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 2, 2010 Confirmed at Aa3 (sf)

Cl. A-MFL, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 2, 2010 Confirmed at Aa3 (sf)

Cl. A-J, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 2, 2010 Downgraded to B3 (sf)

Cl. A-JFL, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 2, 2010 Downgraded to B3 (sf)

Cl. B, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 2, 2010 Downgraded to Caa2 (sf)

Cl. C, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 2, 2010 Downgraded to Caa3 (sf)

Cl. D, Ca (sf) Placed Under Review for Possible Downgrade;
previously on Dec 2, 2010 Downgraded to Ca (sf)

Cl. E, Ca (sf) Placed Under Review for Possible Downgrade;
previously on Dec 2, 2010 Downgraded to Ca (sf)

The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from realized losses
and anticipated increases in interest shortfalls.

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.

The principal methodology used in this rating was "CMBS: Moody's
Approach to Rating U.S. Conduit Transactions" published in
September 2000.

DEAL AND PERFORMANCE SUMMARY

As of the July 11, 2011 distribution date, the deal's aggregate
certificate balance has decreased by 9% to $3.59 billion from
$3.95 billion at securitization. The Certificates are
collateralized by 181 mortgage loans ranging in size from less
than 1% to 7% of the pool, with the top ten non-defeased loans
representing 48% of the pool.

Thirty-three 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 (CREFC; formerly the Commercial Mortgage
Securities Association) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.

Sixteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $67.8 million (23% average loss
severity). At last review, the pool had experienced $33.9 million
in aggregate losses. Twenty-seven loans, representing 26% of the
pool, are currently in special servicing. The master servicer has
recognized an aggregate $225 million appraisal reduction for the
specially serviced loans.

Moody's review will focus on potential losses from specially
serviced and troubled loans, interest shortfalls and the
performance of the overall pool.


GENESIS CLO: Moody's Upgrades Ratings of 5 Classes of CLO Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Genesis CLO 2007-1 Ltd.:

US$1,570,000,000 Class A Senior Secured Floating Rate Notes, Due
2014 (current outstanding balance of $504,703,444.54), Upgraded to
Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed Under Review
for Possible Upgrade;

US$110,000,000 Class B Senior Secured Floating Rate Notes, Due
2014, Upgraded to Aaa (sf); previously on June 22, 2011 A3 (sf)
Placed Under Review for Possible Upgrade;

US$70,000,000 Class C Senior Secured Deferrable Floating Rate
Notes, Due 2014, Upgraded to A2 (sf); previously on June 22, 2011
Ba1 (sf) Placed Under Review for Possible Upgrade;

US$50,000,000 Class D Secured Deferrable Floating Rate Notes, Due
2014, Upgraded to Ba1 (sf); previously on June 22, 2011 B1 (sf)
Placed Under Review for Possible Upgrade;

US$40,000,000 Class E Secured Deferrable Floating Rate Notes, Due
2014, Upgraded to Caa2 (sf); previously on June 22, 2011 Caa3 (sf)
Placed Under Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of delevering of the senior
notes since the rating action in August 2010. Moody's notes that
the Class A Notes have been paid down by approximately 48.5% or
$475 million since August. Based on the latest trustee report
dated July 5, 2011, the Class A/B, Class C, Class D and Class E
overcollateralization ratios are reported at 132.25%, 121.08%,
114.19% and 109.22%, respectively, versus July 2010 levels of
120.07%, 113.10%, 108.59% and 105.24%, respectively.

Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity date of the notes. Based on the July 2011 trustee report,
reference securities that mature after the maturity date of the
notes currently make up approximately 32.5% of the underlying
reference portfolio. These investments potentially expose the
notes to market risk in the event of liquidation at the time of
the notes' maturity.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $874 million,
defaulted par of $37.2 million, a weighted average default
probability of 19.3% (implying a WARF of 3397), a weighted average
recovery rate upon default of 50.65%, and a diversity score of 70.
The default and recovery properties of the collateral pool are
incorporated in cash flow model analysis where they are subject to
stresses as a function of the target rating of each CLO liability
being reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

Genesis CLO 2007-1 Ltd., issued in October 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Delevering: The main source of uncertainty in this transaction
   is whether delevering from unscheduled principal proceeds will
   continue and at what pace. Delevering may accelerate due to
   high prepayment levels in the loan market and/or collateral
   sales by the manager, which may have significant impact on the
   notes' ratings.

2) Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus sell defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.

3) Long-dated assets: The presence of assets that mature beyond
   the CLO's legal maturity date exposes the deal to liquidation
   risk on those assets. Moody's assumes an asset's terminal value
   upon liquidation at maturity to be equal to the lower of an
   assumed liquidation value (depending on the extent to which the
   asset's maturity lags that of the liabilities) and the asset's
   current market value.

4) Exposure to credit estimates: The deal is exposed to a large
   number of securities whose default probabilities are assessed
   through credit estimates. In the event that Moody's is not
   provided the necessary information to update the credit
   estimates in a timely fashion, the transaction may be impacted
   by any default probability stresses Moody's may assume in lieu
   of updated credit estimates.


GLACIER FUNDING: S&P Lowers Rating on Class A-3 Notes to 'CC'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-1NV, A-1V, and A-2 notes from Glacier Funding CDO II Ltd.,
a collateralized debt obligation (CDO) transaction backed by
residential mortgage-backed securities (RMBS) and managed by FSI
Capital LLC.

"The downgrades reflect the deterioration in performance we have
observed in the deal's underlying asset portfolio. As of the May
31, 2011, trustee report, the transaction had $78.94 million in
defaulted assets, compared with the $52.02 million noted in the
Aug. 8, 2010, trustee report we referenced for our September 2010
rating actions. Additionally, the transaction hit an event of
default on June 17, 2011, according to section 5.1(i) of the
indenture," S&P said.

The transaction also has significantly lower overcollateralization
(O/C) available to support the rated notes. The trustee reported
these O/C ratios in the May 31, 2011, monthly report:

    The class B O/C ratio was 40.49%, compared with a reported
    ratio of 59% in September 2010;

    The class C O/C ratio was 36.88%, compared with a reported
    ratio of 54.18% in September 2010; and

    The class D O/C ratio was 36.06%, compared with a reported
    ratio of 53.11% in September 2010.

Standard & Poor's will continue to review whether, in its view,
the ratings currently assigned to the notes remain consistent with
the credit enhancement available to support them and take rating
actions as it deems necessary.

Rating Actions

Glacier Funding CDO II Ltd.
              Rating
Class     To          From
A-1       BB+ (sf)    BBB+ (sf)
A-2       BB+ (sf)    BBB+ (sf)
A-3       CC (sf)     CCC- (sf)

Other Ratings Outstanding

Glacier Funding CDO II Ltd.
Class                Rating
B                    CC (sf)
C                    CC (sf)
D                    CC (sf)
Preferred shares     CC (sf)

Transaction Information
Issuer:              Glacier Funding CDO II Ltd.
Co-Issuer:           Glacier Funding CDO II Inc.
Collateral manager:  FSI Capital LLC
Underwriter:         Merrill Lynch
Trustee:             Bank of New York Mellon (The)
Transaction type:    Cash flow CLO


GLOBAL LEVERAGED: S&P Affirms 'CCC-' Ratings on 2 Classes of Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A and B notes from Global Leveraged Capital Credit Opportunity
Fund I, a collateralized loan obligation (CLO) transaction managed
by GLC Partners. "At the same time, we removed these ratings from
CreditWatch with positive implications. We affirmed our ratings
on the class C, D, E-1, and E-2 notes from the same transaction
and removed the ratings on the class C and D notes from
CreditWatch with positive implications," S&P related.

"The upgrades reflect an improvement in the credit quality of the
underlying collateral pool available to support the notes since
our April 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 stated.

"As of the April 2011 trustee report, the transaction paid down
$4.5 million to the class A notes and increased its holdings of
principal cash to $44.7 million from $9.1 million noted in the
January 2010 report, which we referenced for our April 2010
rating actions. The amount of discounted securities decreased
to $1.9 million as of the April 2011 trustee report from
$10.0 million as of the January 2010 report. The amount of
distressed securities decreased to $10.2 million from
$53.0 million during the same time period. Also during that
time, 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 pay downs to the class A notes,
the increase in principal cash, the decrease in discounted and
distressed securities, and the higher recoveries on defaulted
assets have benefited the class O/C ratios," S&P stated.

The class A/B O/C ratio increased to 143.6% as of the April 2011
report from 134.3% noted in the January 2010 report.

"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 related.

Rating And Creditwatch Actions

Global Leveraged Capital Credit Opportunity Fund I
                              Rating
Class                   To           From
A                       AA+ (sf)     A+ (sf)/Watch Pos
B                       A+ (sf)      BB+ (sf)/Watch Pos
C                       BB+ (sf)     BB+ (sf)/Watch Pos
D                       B+ (sf)      B+ (sf)/Watch Pos

Ratings Affirmed
Global Leveraged Capital Credit Opportunity Fund I
Class                   Rating
E-1                     CCC- (sf)
E-2                     CCC- (sf)


GMACM MORTGAGE: Moody's Downgrades Rating of One Tranche
--------------------------------------------------------
Moody's Investors Service has downgraded the rating of one tranche
and confirmed the ratings of 11 tranches from four RMBS
transactions, backed by adjustable rate mortgage loans, issued by
GMACM Mortgage Loan Trust.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, Prime Jumbo residential mortgage loans. The actions
are a result of the recent performance review of Prime Jumbo pools
and reflect Moody's updated loss expectations on Prime Jumbo pools
issued from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
Prime Jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R) (SFW), the
cash flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The above mentioned approach is adjusted slightly when estimating
losses on pools left with a small number of loans to account for
the volatile nature of small pools. Even if a few loans in a small
pool become delinquent, there could be a large increase in the
overall pool delinquency level due to the concentration risk. To
project losses on pools with fewer than 100 loans, Moody's first
estimates a "baseline" average rate of new delinquencies for the
pool that varies from 3% to 5% on average. The baseline rates are
higher than the average rate of new delinquencies for larger pools
for the respective vintages.

Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 3.00%, the adjusted rate of new delinquency would
be 3.03%. in addition, if current delinquency levels in a small
pool is low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.75 to 2.5 for current
delinquencies ranging from less than 2.5% to greater than 10%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology " publication.

The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).

Certain tranches in transactions serviced by GMAC Mortgage, LLC's
(GMACM), were placed on review for possible downgrade in 2010 due
to two concerns regarding the servicer's practices. Firstly, GMACM
used shared custodial bank accounts for multiple RMBS transactions
and secondly, GMACM had to suspend foreclosures in 25 states due
to irregularities in its foreclosure processes. As GMACM is a
subsidiary of C rated Residential Capital, LLC (RFC), in case of a
default, losses could have been absorbed by the trusts. Since the
tranches were placed on review, GMACM has eliminated the use of a
common bank account across RMBS deals and set up individual
accounts for each transaction. Also, GMACM has reviewed and
revamped its foreclosure process, and has lifted its suspension of
foreclosure sales and evictions on a case by case basis. The
ratings actions are based on recent pool performance. Moody's is
not keeping these bond under further review due to the two issues
highlighted above as they have been resolved. However, the state
attorneys general are engaged in ongoing discussions with several
servicers regarding loan modifications and foreclosure procedures.
The ultimate settlement of those discussions may entail fines,
loan forgiveness, cash payments to borrowers or other features
that could reduce future cash flows to RMBS investors. Moody's
will continue to monitor the outcome and assess future credit
implications on the ratings as the situation evolves.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: GMACM Mortgage Loan Trust 2005-AR1

Cl. 4-A, Confirmed at B2 (sf); previously on Sep 27, 2010 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. 5-A, Confirmed at B2 (sf); previously on Sep 27, 2010 B2 (sf)
Placed Under Review for Possible Downgrade

Issuer: GMACM Mortgage Loan Trust 2005-AR3

Cl. 3-A-1, Confirmed at B3 (sf); previously on Sep 27, 2010 B3
(sf) Placed Under Review for Possible Downgrade

Cl. 3-A-3, Confirmed at Baa3 (sf); previously on Sep 27, 2010 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. 4-A-2, Confirmed at Ba2 (sf); previously on Sep 27, 2010 Ba2
(sf) Placed Under Review for Possible Downgrade

Cl. 4-A-3, Confirmed at Baa1 (sf); previously on Sep 27, 2010 Baa1
(sf) Placed Under Review for Possible Downgrade

Cl. 4-A-4, Confirmed at B3 (sf); previously on Sep 27, 2010 B3
(sf) Placed Under Review for Possible Downgrade

Cl. 4-A-5, Confirmed at B3 (sf); previously on Sep 27, 2010 B3
(sf) Placed Under Review for Possible Downgrade

Cl. 5-A-1, Confirmed at B1 (sf); previously on Sep 27, 2010 B1
(sf) Placed Under Review for Possible Downgrade

Issuer: GMACM Mortgage Loan Trust 2005-AR4

Cl. 4-A-1, Confirmed at B2 (sf); previously on Sep 27, 2010 B2
(sf) Placed Under Review for Possible Downgrade

Cl. 5-A-1, Downgraded to B2 (sf); previously on Sep 27, 2010 Ba3
(sf) Placed Under Review for Possible Downgrade

Issuer: GMACM Mortgage Loan Trust 2005-AR6

Cl. 4-A-1, Confirmed at B1 (sf); previously on Sep 27, 2010 B1
(sf) Placed Under Review for Possible Downgrade


GMACM MORTGAGE: Moody's Raises Ratings of $276 Mil. of Alt-A RMBS
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches
and confirmed the ratings of 26 tranches from seven RMBS
transactions, backed by Alt-A loans, issued by GMAC.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, Alt-A residential mortgage loans. The actions are a
result of the recent performance review of Alt-A pools and reflect
Moody's updated loss expectations on Alt-A pools issued from 2005
to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology" published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

In the rating action, some tranches were upgraded. The upgrades
are a result of improved performance and/or certain structural
features. In certain transactions there are structural features
whereby the tranches are receiving more principal payments than
anticipated, supporting the upgrades.

The above mentioned approach is adjusted slightly when estimating
losses on pools left with a small number of loans to account for
the volatile nature of small pools. Even if a few loans in a small
pool become delinquent, there could be a large increase in the
overall pool delinquency level due to the concentration risk. To
project losses on pools with fewer than 100 loans, Moody's first
estimates a "baseline" average rate of new delinquencies for the
pool that varies from 10% to 21% on average. The baseline rates
are higher than the average rate of new delinquencies for larger
pools for the respective vintages.

Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 10.00%, the adjusted rate of new delinquency would
be 10.10%. in addition, if current delinquency levels in a small
pool is low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.2 to 2.0 for current
delinquencies ranging from less than 2.5% to greater than 80%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology" publication.

The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).

Certain tranches in transactions serviced by GMAC Mortgage, LLC's
(GMACM), were placed on review for possible downgrade in 2010 due
to two concerns regarding the servicer's practices. Firstly, GMACM
used shared custodial bank accounts for multiple RMBS transactions
and secondly, GMACM had to suspend foreclosures in 25 states due
to irregularities in its foreclosure processes. As GMACM is a
subsidiary of C rated Residential Capital, LLC (RFC), in case of a
default, losses could have been absorbed by the trusts. Since the
tranches were placed on review, GMACM has eliminated the use of a
common bank account across RMBS deals and set up individual
accounts for each transaction. Also, GMACM has reviewed and
revamped its foreclosure process, and has lifted its suspension of
foreclosure sales and evictions on a case by case basis. The
ratings actions are based on recent pool performance. Moody's is
not keeping these bond under further review due to the two issues
highlighted above as they have been resolved. However, the state
attorneys general are engaged in ongoing discussions with several
servicers regarding loan modifications and foreclosure procedures.
The ultimate settlement of those discussions may entail fines,
loan forgiveness, cash payments to borrowers or other features
that could reduce future cash flows to RMBS investors. Moody's
will continue to monitor the outcome and assess future credit
implications on the ratings as the situation evolves.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: GMACM Mortgage Loan Trust 2005-AF1

Cl. A-3, Confirmed at B3 (sf); previously on Sep 27, 2010 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. IO, Confirmed at B3 (sf); previously on Sep 27, 2010 B3 (sf)
Placed Under Review for Possible Downgrade

Issuer: RALI Series 2005-QA1 Trust

Cl. A-1, Upgraded to Ba2 (sf); previously on Sep 27, 2010 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. A-2, Upgraded to B3 (sf); previously on May 14, 2010
Downgraded to Caa3 (sf)

Issuer: RALI Series 2005-QA4 Trust

Cl. A-IV-1, Confirmed at B3 (sf); previously on Sep 27, 2010 B3
(sf) Placed Under Review for Possible Downgrade

Issuer: RALI Series 2005-QS14 Trust

Cl. I-A-1, Confirmed at B3 (sf); previously on Sep 27, 2010 B3
(sf) Placed Under Review for Possible Downgrade

Cl. I-A-P, Confirmed at B3 (sf); previously on Sep 27, 2010 B3
(sf) Placed Under Review for Possible Downgrade

Cl. I-A-V, Confirmed at B3 (sf); previously on Sep 27, 2010 B3
(sf) Placed Under Review for Possible Downgrade

Issuer: RALI Series 2005-QS3 Trust

Cl. I-A1-1, Confirmed at B3 (sf); previously on Sep 27, 2010 B3
(sf) Placed Under Review for Possible Downgrade

Cl. I-A1-2, Confirmed at B3 (sf); previously on Sep 27, 2010 B3
(sf) Placed Under Review for Possible Downgrade

Cl. I-A1-3, Confirmed at B3 (sf); previously on Sep 27, 2010 B3
(sf) Placed Under Review for Possible Downgrade

Cl. I-A-P, Confirmed at B3 (sf); previously on Sep 27, 2010 B3
(sf) Placed Under Review for Possible Downgrade

Cl. I-A-V, Confirmed at B3 (sf); previously on Sep 27, 2010 B3
(sf) Placed Under Review for Possible Downgrade

Cl. II-A-1, Confirmed at B2 (sf); previously on Sep 27, 2010 B2
(sf) Placed Under Review for Possible Downgrade

Cl. II-A-P, Confirmed at B2 (sf); previously on Sep 27, 2010 B2
(sf) Placed Under Review for Possible Downgrade

Cl. II-A-V, Confirmed at B2 (sf); previously on Sep 27, 2010 B2
(sf) Placed Under Review for Possible Downgrade

Issuer: RAMP Series 2005-SL1 Trust

Cl. A-I, Confirmed at Ba3 (sf); previously on Sep 27, 2010 Ba3
(sf) Placed Under Review for Possible Downgrade

Cl. A-IO, Confirmed at Ba3 (sf); previously on Sep 27, 2010 Ba3
(sf) Placed Under Review for Possible Downgrade

Cl. A-PO, Confirmed at B3 (sf); previously on Sep 27, 2010 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. A-II, Confirmed at B1 (sf); previously on Sep 27, 2010 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. A-IV, Confirmed at B2 (sf); previously on Sep 27, 2010 B2 (sf)
Placed Under Review for Possible Downgrade

Issuer: RAMP Series 2005-SL2 Trust

Cl. A-I, Confirmed at Ba3 (sf); previously on Sep 27, 2010 Ba3
(sf) Placed Under Review for Possible Downgrade

Cl. A-II, Confirmed at B1 (sf); previously on Sep 27, 2010 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. A-III, Confirmed at B2 (sf); previously on Sep 27, 2010 B2
(sf) Placed Under Review for Possible Downgrade

Cl. A-IV, Confirmed at B1 (sf); previously on Sep 27, 2010 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. A-V, Confirmed at B3 (sf); previously on Sep 27, 2010 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. A-IO, Confirmed at Ba3 (sf); previously on Sep 27, 2010 Ba3
(sf) Placed Under Review for Possible Downgrade

Cl. A-PO, Confirmed at B1 (sf); previously on Sep 27, 2010 B1 (sf)
Placed Under Review for Possible Downgrade


GRAND HORN: Moody's Upgrades Ratings of Four Classes of Notes
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Grand Horn CLO Ltd.:

US$28,500,000 Class B Senior Floating Rate Notes Due 2022,
Upgraded to Aaa (sf); previously on June 22, 2011 Aa2 (sf) Placed
Under Review for Possible Upgrade;

US$27,500,000 Class C Mezzanine Floating Rate Deferrable Notes Due
2022, Upgraded to Aaa (sf); previously on June 22, 2011 Baa1 (sf)
Placed Under Review for Possible Upgrade;

US$20,250,000 Class D Mezzanine Floating Rate Deferrable Notes Due
2022, Upgraded to A2 (sf); previously on June 22, 2011 Ba2 (sf)
Placed Under Review for Possible Upgrade;

US$19,000,000 Class E Mezzanine Floating Rate Deferrable Notes Due
2022, Upgraded to Ba1 (sf); previously on June 22, 2011 B3 (sf)
Placed Under Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios due to delevering of
the senior notes since the rating action in September 2010.
Moody's notes that the Class A Notes have been paid down by
approximately 45.7% or $142.8 million since the rating action in
September 2010. As a result of the delevering, the
overcollateralization ratios have increased since the rating
action in September 2010. Based on the latest trustee report dated
July 5 2011, the Class A/B, Class C, Class D and Class E
overcollateralization ratios are reported at 149.54%, 129.56%,
117.95% and 108.81%, respectively, versus August 2010 levels of
130.56%, 119.08%, 111.83% and 105.79%, respectively.

Moody's notes that the CLO's Reinvestment Period has terminated
due to the occurrence of a downgrade of the Class B Notes below
the rating on the closing date. As a result, Moody's expects
delevering of the rated notes to continue.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $235.9 million,
defaulted par of $5.9 million, a weighted average default
probability of 18.73% (implying a WARF of 2995), a weighted
average recovery rate upon default of 50.77%, and a diversity
score of 42. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

Grand Horn CLO Ltd., issued in December of 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Delevering: The main source of uncertainty in this transaction
   is whether delevering from unscheduled principal proceeds will
   continue and at what pace. Delevering may accelerate due to
   high prepayment levels in the loan market and/or collateral
   sales by the manager, which may have significant impact on the
   notes' ratings.

2) Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus sell defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.


GRANITE VENTURES: Moody's Upgrades Ratings of CLO Notes
-------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Granite Ventures II Ltd.:

US$17,000,000 Class A-2 Floating Rate Senior Notes Due 2017,
Upgraded to Aaa (sf); previously on June 22, 2011 A1 (sf) Placed
Under Review for Possible Upgrade;

US$18,000,000 Class B Deferrable Floating Rate Senior Subordinate
Notes Due 2017, Upgraded to Aa3 (sf); previously on June 22, 2011
Baa3 (sf) Placed Under Review for Possible Upgrade;

US$15,000,000 Class C Deferrable Floating Rate Subordinate Notes
Due 2017, Upgraded to Ba1 (sf); previously on June 22, 2011 B1
(sf) Placed Under Review for Possible Upgrade;

US$6,000,000 Class D Deferrable Floating Rate Subordinate Notes
Due 2017, Upgraded to Ba3 (sf); previously on June 22, 2011 Caa2
(sf) Placed Under Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios due to delevering of
the senior notes since the rating action in September 2009.
Moody's notes that the Class A Notes have been paid down by
approximately 39.8% or $122.6 million since the rating action in
September 2009. As a result of the delevering, the
overcollateralization ratios have increased since the rating
action in September 2009. Based on the latest trustee report dated
June 6, 2011, the Class A, Class B, Class C and Class D
overcollateralization ratios are reported at 129.29%, 116.74%,
108.00%, and 104.86%, respectively, versus August 2009 levels of
116.11%, 109.32%, 104.24% and 102.34%, respectively.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $215.9 million,
defaulted par of $2.0 million, a weighted average default
probability of 13.61% (implying a WARF of 2440), a weighted
average recovery rate upon default of 49.73%, and a diversity
score of 43. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

Granite Ventures II Ltd., issued in December of 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011. Please see the Research & Ratings page on
www.moodys.com for a copy of this methodology.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Delevering: The main source of uncertainty in this transaction
   is whether delevering from unscheduled principal proceeds will
   continue and at what pace. Delevering may accelerate due to
   high prepayment levels in the loan market and/or collateral
   sales by the manager, which may have significant impact on the
   notes' ratings.

2) Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus sell defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.


GREENWICH CAPITAL: Fitch Affirms GCCFC 2006-FL4 Ratings
-------------------------------------------------------
Fitch Ratings has affirmed the 11 outstanding pooled classes from
Greenwich Capital Commercial Funding Corporation (GCCFC), series
2006-FL4, reflecting Fitch's base case loss expectation of 15.9%
for such classes. The remaining non-pooled junior component
certificates were also affirmed, reflecting Fitch's generally
stable loss expectations and stable performance of the underlying
assets. Fitch's performance expectation incorporates prospective
views regarding commercial real estate market value and cash flow
declines. The improved Rating Outlooks to the investment-grade
pooled classes reflect the increases in credit enhancement as the
result of the pay off/disposition of six loans since Fitch's last
review.

Under Fitch's methodology, approximately 53.3% of the pool is
modeled to default in the base case stress scenario, defined as
the 'B' stress. In this scenario, the modeled average cash flow
decline is 9.1% from generally year end 2010. To determine a
sustainable Fitch cash flow and stressed value, Fitch analyzed
servicer-reported operating statements and rent rolls, updated
property valuations, and recent sales comparisons. Fitch estimates
the average recoveries on the pooled loans will be approximately
70.1% in the base case.

The transaction is collateralized by eight loans, which includes
four secured by hotels (66.4%), two by office properties (15.2%),
one by a regional mall (10.7%), and one by a
multifamily/condominium project (7.7%). The transaction faces
near-term maturity risk, with three loans (56.8%) having a final
maturity date in 2011, including the two largest loans in the
pool. In addition, while the other five loans have passed their
original final maturity dates, four of the loans (32.6%) have had
their final maturities extended to 2012 or beyond.

With respect to the pooled classes, five loans were modeled to
take a loss in the base case: PGA National Resort and Spa (29.4%
of the pooled trust balance), ResortQuest Waikiki Beach (24.3%),
Northwest Plaza (9.4%), NineZero Hotel (9.3%), and Greenwich
Residential (8.1%).

All of the 13 junior non-pooled component classes resulted in a
maturity default under Fitch's base stress.

The largest contributor to loss under the 'B' stress is the
specially-serviced Northwest Plaza, a real estate owned (REO)
asset consisting of a 1,672,613 square foot (sf) regional mall and
an attached 12-story, 152,605 sf office building located in the
St. Ann, MO, northwest of St. Louis. The loan transferred to
special servicing in October 2008 for payment default and in
September 2009, the property became REO. Following a failed
redevelopment effort, the interior of the mall was shuttered in
December 2010. The mall remains only 8% occupied by several
tenants with exterior access. The attached office building is 49%
occupied. The property is expected to be disposed of via auction,
with significant losses expected.

The second largest contributor to loss under the 'B' stress is the
Greenwich Residential loan, which was originally secured by the
fee interest in a condominium project consisting of 32 units in
Greenwich, CT. Only one unit was successfully sold and the
remaining units have been made available as rentals. The loan was
previously in special servicing and the loan's original final
maturity of Aug. 1, 2009 was extended until Feb. 1, 2012, with an
additional one-year extension option. However, Fitch believes the
loan has an increased likelihood of defaulting during its extended
term given the property's low, in-place estimated cash flow.

The third largest contributor to loss under the 'B' stress is the
ResortQuest Waikiki Beach loan, which is secured by a leasehold
interest in a 644-room full-service hotel located on Waikiki
Beach, on the Hawaiian island of Oahu. The loan was structured
with an original maturity of October 2008, with three 12-month
extension options. The loan has been extended three times and is
now in its final extension period. Given the low debt yield on the
asset, Fitch believes the loan is likely to default at its
upcoming Oct. 1, 2011 maturity.

With respect to the remaining 10 junior non-pooled component
classes, Fitch expects an inevitable complete loss to the classes
associated with Northwest Plaza, and a probable, eventual loss to
the N-NZH class associated with the NineZero Hotel loan. In
addition, losses are possible to the classes associated with the
2600 West Olive Avenue loan, while Fitch has not modeled a loss to
the N-E161 class associated with the 260 East 161st Street loan.

Fitch has affirmed these ratings and revised the Outlooks for
these classes:

  -- $89.5 million class A2 at 'AAAsf/LS2', Outlook to Stable
     from Negative;

  -- $35.4 million class B at 'AAsf/LS4', Outlook to Positive
     from Negative;

  -- $30.7 million class C at 'Asf/LS4', Outlook to Positive from
     Negative;

  -- $18 million class D at 'BBBsf/LS5', Outlook to Stable from
     Negative;

  -- $16.7 million class E at 'BBB-sf/LS5', Outlook to Stable
     from Negative;

  -- $11.3 million class F at 'BBsf/LS5', Outlook Negative;

  -- $15 million class G at 'CCCsf/RR1';

  -- $17.6 million class H at 'CCsf/RR5';

  -- $14.2 million class J at 'Csf/RR6';

  -- $7.2 million class K at 'Csf/RR6';

  -- $5.8 million class L at 'Dsf/RR6';

  -- $2 million class N-NZH at 'CCsf/RR6';

  -- $1.6 million class N-NW at 'Csf/RR6';

  -- $894,510 class O-NW at 'Csf/RR6';

  -- $956,200 class P-NW at 'Csf/RR6';

  -- $1.2 million class Q-NW at 'Csf/RR6';

  -- $770,025 class N-E161 at 'Bsf'; Outlook Negative;

  -- $1.4 million class N-2600 at 'CCCsf/RR1';

  -- $2 million class O-2600 at 'CCCsf/RR3';

  -- $1.3 million class P-2600 at 'CCCsf/RR6';

  -- $1.7 million class Q-2600 at 'CCsf/RR6'.

In addition, these classes originally rated by Fitch have paid in
full: A1, N-MET, O-MET, N-LAX, N-SCR, O-SCR, N-PDS, O-PDS, N-WYN,
N-HAP, O-HAP, P-HAP, N-CPH, O-CPH, P-CPH, Q-CPH, S-CPH, N-LJS, N-
LDC, O-LDC, P-LDC, N-444, O-444, and X-1.


GREENWICH CAPITAL: Moody's Affirms Ratings of Five CMBS Classes
---------------------------------------------------------------
Moody's Investors Service (Moody's) upgraded these ratings of five
classes and affirmed the ratings of five classes of Greenwich
Capital Commercial Funding Corp., Series 2004-FL2:

Cl. C, Affirmed at Aaa (sf); previously on Dec 14, 2006 Upgraded
to Aaa (sf)

Cl. D, Affirmed at Aaa (sf); previously on Dec 14, 2006 Upgraded
to Aaa (sf)

Cl. E, Affirmed at Aaa (sf); previously on Dec 14, 2006 Upgraded
to Aaa (sf)

Cl. F, Upgraded to Aa1 (sf); previously on Aug 4, 2010 Downgraded
to Aa2 (sf)

Cl. G, Upgraded to A1 (sf); previously on Aug 4, 2010 Downgraded
to A2 (sf)

Cl. H, Upgraded to Baa1 (sf); previously on Aug 4, 2010 Downgraded
to Baa2 (sf)

Cl. J, Upgraded to Ba3 (sf); previously on Aug 4, 2010 Downgraded
to B1 (sf)

Cl. K, Upgraded to B2 (sf); previously on Aug 4, 2010 Downgraded
to B3 (sf)

Cl. L, Affirmed at Caa1 (sf); previously on Aug 4, 2010 Downgraded
to Caa1 (sf)

Cl. N-SO, Affirmed at Caa1 (sf); previously on Aug 4, 2010
Downgraded to Caa1 (sf)

RATINGS RATIONALE

The upgrades are due to the loan pay off of the Aviation Mall Loan
($28 million) since Moody's last review in August 2010 and
principal amortization of the one remaining loan, the Southfield
Town Center Loan. The transaction's aggregate certificate balance
has decreased by approximately 17% since Moody's last review. The
affirmations are based on the quality of the collateral, the
credit enhancement furnished by the subordinate tranches, and the
structural and legal integrity of the transaction, along with 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 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 Large Loan/Single Borrower Transactions",
published in July 2000. Please see the Credit Policy page on
www.moodys.com for a copy of this methodology.

Moody's review incorporated the use of the excel-based CMBS Large
Loan Model v 8.1 which is used for both large loan and single
borrower transactions. The large loan model derives credit
enhancement levels based on an aggregation of adjusted loan level
proceeds derived from Moody's loan level LTV ratios. Major
adjustments to determining proceeds include leverage, loan
structure, property type, and sponsorship. These aggregated
proceeds are then further adjusted for any pooling benefits
associated with loan level diversity, other concentrations and
correlations. The model also incorporates a supplementary tool to
allow for the testing of the credit support at various rating
levels. The scenario or "blow-up" analysis tests the credit
support for a rating assuming that loans in the pool default with
an average loss severity that is commensurate with the rating
level being tested.

Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.

The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated August 4, 2010.

DEAL PERFORMANCE

As of the July 8, 2011 Payment Date, the transaction's certificate
balance has decreased by 83% to $155.1 million from $921.7 million
at securitization due to the payoff of 15 loans originally in the
pool and scheduled amortization. Currently the mortgage pool
consists of one loan, the Southfield Town Center Loan. The loan is
secured by a four building 2.1 million square foot office complex
situated on 35 acres in Southfield, Michigan. The trust debt,
which consists of $147.6 million of pooled debt and $7.5 million
of non-pooled, or rake class (Class N-SO), is senior to
approximately $65.8 million of non-trust mortgage debt and $25.0
million of mezzanine debt. The loan, which matured in July 2009
with no extensions remaining, was transferred to special servicing
in May 2009 for imminent default. The loan was returned to the
master servicer in August 2009 as a modified loan. Significant
terms of the loan modification include an extension of the
maturity date to July 1, 2011 with an option to extend for an
additional 12 months upon meeting certain conditions including
occupancy and net operating income (NOI) tests. Additionally, the
loan was converted form interest-only to amortizing on a 30-year
schedule, and monthly contributions to the rollover reserve
account were increased.

Southfield Town Center has a diverse tenant base with over 200
tenants. The three largest tenants are Fifth Third Bank (105,041
square feet, lease expiration in 2016), Microsoft (57,364 square
feet, lease expiration in 2017 and 2018) and AlixPartners LLP
(52,016 square feet, lease expiration in 2018). The complex was
approximately 72% leased, as of March 2011 compared to 73% at
securitization. The property faces challenges from declining rents
and high market vacancy. The submarket office vacancy rate was 31%
as of the 2nd Quarter 2011. Market rents decreased 11% during 2010
and are projected by CB Richard Ellis to decrease an additional 3%
in 2011. The property has significant rollover exposure with
leases for approximately 22% of the net rentable area (NRA)
expiring through 2012. Moody's LTV for the trust debt is 103% and
Moody's stressed DSCR is 1.05x. Moody's credit estimate is B3, the
same as last review.

As of the July 8, 2011 Payment Date the transaction has had
realized losses of $375,585 and accumulated interest shortfalls of
$90,451 affecting pooled Class L.


GSAA HOME EQUITY: Moody's Upgrades $224.8 Mil. of Alt-A RMBS
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of five
tranches from three RMBS transactions, backed by Alt-A loans,
issued by GSAA Home Equity Trust.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, Alt-A residential mortgage loans. The actions are a
result of the recent performance review of Alt-A pools and reflect
Moody's updated loss expectations on Alt-A pools issued from 2005
to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

In the rating action, some tranches were upgraded. The upgrades
are a result of improved performance and/or certain structural
features. In certain transactions there are structural features
whereby the tranches are receiving more principal payments than
anticipated, supporting the upgrades.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: GSAA Home Equity Trust 2005-1

Cl. AF-4, Upgraded to Baa3 (sf); previously on May 11, 2010
Downgraded to Ba2 (sf)

Cl. AF-5, Upgraded to Baa2 (sf); previously on May 11, 2010
Downgraded to Ba1 (sf)

Cl. M-1, Upgraded to Caa1 (sf); previously on May 11, 2010
Downgraded to Ca (sf)

Issuer: GSAA Home Equity Trust 2005-4

Cl. A-3, Upgraded to Baa3 (sf); previously on May 11, 2010
Downgraded to Ba1 (sf)

Issuer: GSAA Home Equity Trust 2005-8

Cl. A-4, Upgraded to Baa3 (sf); previously on May 11, 2010
Downgraded to B2 (sf)


GSAMP TRUST: Moody's Takes Action on $1.2 Billion Subprime of RMBS
------------------------------------------------------------------
Moody's Investors Service has taken action on 11 RMBS subprime
loan transactions issued by Goldman Sachs from 2005 - 2007,
downgrading the ratings of 21 tranches from ten transactions, and
upgrading five tranches from two transactions.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

In the rating action, Cl. A-2D and Cl. A-2C from GSAMP Trust 2006-
FM2 were upgraded. The upgrades result from the structural feature
providing that senior principal will be distributed on a pro rata
basis to all A certificates after the mezzanines have been
completely depleted. Because of the pace at which the mezzanines
have been depleted, these two tranches will be receiving principal
payments earlier than anticipated, supporting the upgrades.

In addition to adjustments to reflect updated loss expectations,
Moody's has also adjusted the ratings of 15 senior tranches from
six Goldman Sachs deals, GSAMP Trust 2005-AHL2, GSAMP Trust 2006-
NC2, GSAMP Trust 2005-WMC3, GSAMP Trust 2006-FM1, GSAMP Trust
2007-NC1 and GSAMP Trust 2007-FM2, to correct inaccurate modeling
of senior principal distribution. Our previous rating actions on
these tranches mistakenly reflected that principal from senior
bonds is distributed on a pro rata basis within each individual
subgroup after the mezzanines have been written off. In fact,
after credit enhancement depletion, principal is allocated pro
rata to all A certificates based on their respective certificate
principal balance, rather than being limited to subgroups. The
modeling has been corrected to reflect the cross-group feature of
senior principal allocation after mezzanine depletion, and the
ratings reflect this correction.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

Complete rating actions are:

Issuer: GSAMP Trust 2005-AHL2

Cl. A-1A, Downgraded to Ba1 (sf); previously on Jun 21, 2010
Confirmed at A1 (sf)

Cl. A-1B, Downgraded to Ca (sf); previously on Jun 21, 2010
Confirmed at A3 (sf)

Cl. A-2C, Downgraded to Caa1 (sf); previously on Jun 21, 2010
Confirmed at Ba1 (sf)

Cl. A-2D, Downgraded to Caa3 (sf); previously on Jun 21, 2010
Confirmed at Ba2 (sf)

Issuer: GSAMP Trust 2005-HE6

Cl. A-1, Downgraded to A2 (sf); previously on Jun 21, 2010
Confirmed at Aaa (sf)

Cl. A-2B, Downgraded to Aa3 (sf); previously on Jun 21, 2010
Confirmed at Aaa (sf)

Cl. A-2C, Downgraded to A3 (sf); previously on Jun 21, 2010
Confirmed at Aa2 (sf)

Cl. M-1, Downgraded to B3 (sf); previously on Jun 21, 2010
Confirmed at A2 (sf)

Cl. M-2, Downgraded to C (sf); previously on Jun 21, 2010
Downgraded to B1 (sf)

Cl. M-3, Downgraded to C (sf); previously on Jun 21, 2010
Downgraded to Caa3 (sf)

Issuer: GSAMP Trust 2005-WMC3

Cl. A-1A, Downgraded to Caa1 (sf); previously on Jun 21, 2010
Downgraded to B3 (sf)

Cl. A-1B, Upgraded to Caa3 (sf); previously on Jun 21, 2010
Downgraded to C (sf)

Cl. A-2B, Upgraded to Caa1 (sf); previously on Jun 21, 2010
Downgraded to Ca (sf)

Cl. A-2C, Upgraded to Caa3 (sf); previously on Jun 21, 2010
Downgraded to C (sf)

Issuer: GSAMP Trust 2006-FM1

Cl. A-1, Downgraded to Ca (sf); previously on Jun 21, 2010
Downgraded to Caa3 (sf)

Issuer: GSAMP Trust 2006-FM2

Cl. A-2C, Upgraded to Ca (sf); previously on Jun 21, 2010
Downgraded to C (sf)

Cl. A-2D, Upgraded to Ca (sf); previously on Jun 21, 2010
Downgraded to C (sf)

Issuer: GSAMP Trust 2006-FM3

Cl. A-2A, Downgraded to Caa2 (sf); previously on Jun 21, 2010
Downgraded to B3 (sf)

Issuer: GSAMP Trust 2006-HE6

Cl. A-2, Downgraded to Caa3 (sf); previously on Jun 21, 2010
Confirmed at B2 (sf)

Issuer: GSAMP Trust 2006-NC2

Cl. A-1, Downgraded to Ca (sf); previously on Sep 17, 2010
Downgraded to Caa2 (sf)

Cl. A-2B, Downgraded to Caa3 (sf); previously on Sep 17, 2010
Downgraded to B1 (sf)

Issuer: GSAMP Trust 2007-FM1

Cl. A-2A, Downgraded to Ca (sf); previously on Jun 21, 2010
Downgraded to Caa2 (sf)

Issuer: GSAMP Trust 2007-FM2

Cl. A-1, Downgraded to Ca (sf); previously on Jun 21, 2010
Downgraded to Caa3 (sf)

Cl. A-2A, Downgraded to Caa2 (sf); previously on Jun 21, 2010
Downgraded to B1 (sf)

Issuer: GSAMP Trust 2007-NC1

Cl.A-1, Downgraded to Ca (sf); previously on Jun 21, 2010
Downgraded to Caa3 (sf)

Cl.A-2A, Downgraded to Caa2 (sf); previously on Jun 21, 2010
Downgraded to B3 (sf)


GSR MORTGAGE: Moody's Acts on $614 Mil. of Prime Jumbo RMBS
-----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 60
tranches and upgraded the rating of 1 tranche from 4 RMBS
transactions, backed by Prime Jumbo loans, issued by GSR Mortgage
Loan Trust.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, Prime Jumbo residential mortgage loans. The actions
downgrades are a result of the recent performance review of Prime
Jumbo pools and reflect Moody's updated loss expectations on Prime
Jumbo pools issued from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
Prime Jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R) (SFW), the
cash flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
compriseding of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

In addition, Class 8-A8 issued by GSR Mortgage Loan Trust 2005-5F
has been upgraded to A2. Class 8-A8 was inadvertently downgraded
to A3 in the previous rating action announced on April 27, 2010.
Class 8-A8 is an interest only bond with notional balance linked
to the balance of Class 8-A6 (currently rated at A2), and the
rating on Class 8-A8 has been changed to reflect this.

The above mentioned approach is adjusted slightly when estimating
losses on pools left with a small number of loans to account for
the volatile nature of small pools. Even if a few loans in a small
pool become delinquent, there could be a large increase in the
overall pool delinquency level due to the concentration risk. To
project losses on pools with fewer than 100 loans, Moody's first
estimates a "baseline" average rate of new delinquencies for the
pool that varies from 3% to 5% on average. The baseline rates are
higher than the average rate of new delinquencies for larger pools
for the respective vintages.

Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 3.00%, the adjusted rate of new delinquency would
be 3.03%. in addition, if current delinquency levels in a small
pool areis low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.75 to 2.5 for current
delinquencies ranging from less than 2.5% to greater than 10%,
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology " publication.

The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects the house price index to reach a bottom in the first
quarter of 2012, with a 2% remaining decline between the first
quarter of 2011 and 2012, and the unemployment rate to start
declining by fourth quarter of 2011.

Complete rating actions are:

Issuer: GSR Mortgage Loan Trust 2005-3F

Cl. 1A-3, Downgraded to B3 (sf); previously on Apr 27, 2010
Downgraded to Ba3 (sf)

Cl. 1A-6, Downgraded to B2 (sf); previously on Apr 27, 2010
Downgraded to Baa3 (sf)

Cl. 1A-7, Downgraded to B3 (sf); previously on Apr 27, 2010
Downgraded to Ba2 (sf)

Cl. 1A-8, Downgraded to Ba2 (sf); previously on Apr 27, 2010
Downgraded to Baa3 (sf)

Cl. 1A-9, Downgraded to B2 (sf); previously on Apr 27, 2010
Downgraded to Ba2 (sf)

Cl. 1A-10, Downgraded to B2 (sf); previously on Apr 27, 2010
Downgraded to Ba1 (sf)

Cl. 1A-11, Downgraded to Ba2 (sf); previously on Apr 27, 2010
Downgraded to Baa3 (sf)

Cl. 1A-13, Downgraded to Ba2 (sf); previously on Apr 27, 2010
Downgraded to Baa3 (sf)

Cl. 1A-14, Downgraded to B2 (sf); previously on Apr 27, 2010
Downgraded to Ba1 (sf)

Cl. 1A-15, Downgraded to B2 (sf); previously on Apr 27, 2010
Downgraded to Ba1 (sf)

Cl. 1A-16, Downgraded to B2 (sf); previously on Apr 27, 2010
Downgraded to Ba1 (sf)

Cl. 1A-17, Downgraded to Ba2 (sf); previously on Apr 27, 2010
Downgraded to Baa2 (sf)

Cl. 2A-3, Downgraded to Caa1 (sf); previously on Apr 27, 2010
Downgraded to B2 (sf)

Cl. 2A-5, Downgraded to Ca (sf); previously on Apr 27, 2010
Downgraded to B3 (sf)

Cl. A-P, Downgraded to B3 (sf); previously on Apr 27, 2010
Downgraded to Ba3 (sf)

Issuer: GSR Mortgage Loan Trust 2005-4F

Cl. 1A-1, Downgraded to Ba3 (sf); previously on Apr 27, 2010
Downgraded to Baa1 (sf)

Cl. 2A-1, Downgraded to B2 (sf); previously on Apr 27, 2010
Downgraded to Baa1 (sf)

Cl. 3A-1, Downgraded to B1 (sf); previously on Apr 27, 2010
Downgraded to Baa2 (sf)

Cl. 4A-3, Downgraded to B2 (sf); previously on Apr 27, 2010
Downgraded to Baa1 (sf)

Cl. 4A-4, Downgraded to B3 (sf); previously on Apr 27, 2010
Downgraded to Baa1 (sf)

Cl. 4A-9, Downgraded to Ba3 (sf); previously on Apr 27, 2010
Downgraded to Baa1 (sf)

Cl. 5A-1, Downgraded to B1 (sf); previously on Apr 27, 2010
Downgraded to A1 (sf)

Cl. 5A-2, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Ba1 (sf)

Cl. 6A-1, Downgraded to B3 (sf); previously on Apr 27, 2010
Downgraded to Baa1 (sf)

Cl. A-P, Downgraded to B2 (sf); previously on Apr 27, 2010
Downgraded to Baa1 (sf)

Cl. A-X, Downgraded to Ba3 (sf); previously on Apr 27, 2010
Downgraded to Baa1 (sf)

Issuer: GSR Mortgage Loan Trust 2005-5F

Cl. 1A-1, Downgraded to Ba1 (sf); previously on Apr 27, 2010
Downgraded to A2 (sf)

Cl. 1A-2, Downgraded to Ba2 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 2A-2, Downgraded to Baa3 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 2A-8, Downgraded to Baa3 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 2A-19, Downgraded to Ba1 (sf); previously on Apr 27, 2010
Downgraded to Baa1 (sf)

Cl. 3A-1, Downgraded to Baa3 (sf); previously on Apr 27, 2010
Confirmed at Aaa (sf)

Cl. 3A-2, Downgraded to Baa2 (sf); previously on Apr 27, 2010
Downgraded to Aa3 (sf)

Cl. 3A-3, Downgraded to Ba2 (sf); previously on Apr 27, 2010
Downgraded to Baa2 (sf)

Cl. 3A-4, Downgraded to Baa3 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 3A-5, Downgraded to Baa3 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 3A-6, Downgraded to Ba1 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 3A-7, Downgraded to Ba2 (sf); previously on Apr 27, 2010
Downgraded to Baa1 (sf)

Cl. 4A-1, Downgraded to Ba2 (sf); previously on Apr 27, 2010
Downgraded to Baa1 (sf)

Cl. 4A-2, Downgraded to Ba2 (sf); previously on Apr 27, 2010
Downgraded to Baa1 (sf)

Cl. 4A-3, Downgraded to Ba1 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 4A-4, Downgraded to Ba3 (sf); previously on Apr 27, 2010
Downgraded to Baa3 (sf)

Cl. 4A-5, Downgraded to Ba1 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 4A-6, Downgraded to Ba3 (sf); previously on Apr 27, 2010
Downgraded to Baa3 (sf)

Cl. 4A-7, Downgraded to Baa3 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 4A-8, Downgraded to Ba1 (sf); previously on Apr 27, 2010
Downgraded to Baa1 (sf)

Cl. 5A-1, Downgraded to Baa3 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 6A-1, Downgraded to Baa3 (sf); previously on Apr 27, 2010
Downgraded to A2 (sf)

Cl. 7A-1, Downgraded to Baa3 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 7A-2, Downgraded to Baa3 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 8A-1, Downgraded to Baa3 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 8A-2, Downgraded to Aa3 (sf); previously on Apr 27, 2010
Downgraded to Aa1 (sf)

Cl. 8A-3, Downgraded to Baa3 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 8A-4, Downgraded to Baa3 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 8A-5, Downgraded to Aa3 (sf); previously on Apr 27, 2010
Downgraded to Aa1 (sf)

Cl. 8A-8, Upgraded to A2 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 8A-9, Downgraded to Ba1 (sf); previously on Apr 27, 2010
Downgraded to Baa1 (sf)

Cl. 8A-10, Downgraded to Ba2 (sf); previously on Apr 27, 2010
Downgraded to Baa3 (sf)

Cl. A-P, Downgraded to Ba1 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Issuer: GSR Mortgage Loan Trust 2005-AR2

Cl. 5A1, Downgraded to Ba3 (sf); previously on Apr 27, 2010
Downgraded to A3 (sf)

Cl. 2B1, Downgraded to C (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)


GULF STREAM: Moody's Upgrades Ratings of Five Classes of CLO Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Gulf Stream-Compass CLO 2007, Ltd.:

US$45,000,000 Class A-1-B Floating Rate Notes Due 2019, Upgraded
to Aa1 (sf); previously on June 22, 2011 Aa3 (sf) Placed Under
Review for Possible Upgrade;

US$12,000,000 Class B Floating Rate Notes Due 2019, Upgraded to
Aa3 (sf); previously on June 22, 2011 A2 (sf) Placed Under Review
for Possible Upgrade;

US$13,125,000 Class C Floating Rate Deferrable Notes Due 2019,
Upgraded to A3 (sf); previously on June 22, 2011 Ba1 (sf) Placed
Under Review for Possible Upgrade;

US$15,000,000 Class D Floating Rate Deferrable Notes Due 2019,
Upgraded to Ba1 (sf); previously on June 22, 2011 B1 (sf) Placed
Under Review for Possible Upgrade;

US$11,625,000 Class E Floating Rate Deferrable Notes Due 2019,
Upgraded to Ba3 (sf); previously on June 22, 2011 Caa2 (sf) Placed
Under Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of credit improvement of
the underlying portfolio and an increase in the transaction's
overcollateralization ratios since the rating action in July 2009.
Based on the latest trustee report dated June 15, 2011, the Class
A/B, Class C, Class D and Class E overcollateralization ratios are
reported at 124.5%,117.9%, 111.2% and 106.9%, respectively, versus
June 2009 levels of 118.6%, 112.3%, 105.9% and 101.4%,
respectively and all overcollateralization tests are currently in
compliance.

Moody's also notes that the deal has benefited from improvement in
the credit quality of the underlying portfolio since the rating
action in July 2009. Based on the June 2011 trustee report, the
weighted average rating factor is currently 2463 compared to 2641
in June 2009.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $289.3 million, a
weighted average default probability of 22.25% (implying a WARF of
2728), a weighted average recovery rate upon default of 49.75%,
and a diversity score of 66. The default and recovery properties
of the collateral pool are incorporated in cash flow model
analysis where they are subject to stresses as a function of the
target rating of each CLO liability being reviewed. The default
probability is derived from the credit quality of the collateral
pool and Moody's expectation of the remaining life of the
collateral pool. The average recovery rate to be realized on
future defaults is based primarily on the seniority of the assets
in the collateral pool. In each case, historical and market
performance trends and collateral manager latitude for trading the
collateral are also factors.

Gulf Stream-Compass CLO 2007, Ltd., issued in August 23, 2007, is
a collateralized loan obligation backed primarily by a portfolio
of senior secured loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Weighted average life: The notes' ratings are sensitive to the
   weighted average life assumption of the portfolio, which may be
   extended due to the manager's decision to reinvest into new
   issue loans or other loans with longer maturities and/or
   participate in amend-to-extend offerings. Moody's tested for a
   possible extension of the actual weighted average life in its
   analysis.

2) Other collateral quality metrics: The deal is allowed to
   reinvest and the manager has the ability to deteriorate the
   collateral quality metrics' existing cushions against the
   covenant levels. Moody's analyzed the impact of assuming the
   worse of reported and covenanted values for weighted average
   rating factor, weighted average spread, weighted average
   coupon, and diversity score. However, as part of the base case,
   Moody's considered spread and diversity levels higher than the
   covenant levels due to the large difference between the
   reported and covenant levels.


HIS ASSET: Moody's Downgrades $521 Mil. of HASCO subprime RMBS
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 13
tranches from four RMBS transactions, backed by subprime loans,
issued by HASCO.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: HSI Asset Securitization Corporation Trust 2005-NC1

Cl. M-2, Downgraded to Caa2 (sf); previously on Aug 13, 2010
Downgraded to B3 (sf)

Cl. M-3, Downgraded to C (sf); previously on Aug 13, 2010
Downgraded to Ca (sf)

Issuer: HSI Asset Securitization Corporation Trust 2006-OPT1

Cl. M-1, Downgraded to Caa2 (sf); previously on Aug 13, 2010
Downgraded to B3 (sf)

Cl. M-2, Downgraded to C (sf); previously on Aug 13, 2010
Downgraded to Ca (sf)

Cl. II-A-3, Downgraded to Ba2 (sf); previously on Aug 13, 2010
Downgraded to Baa2 (sf)

Cl. II-A-4, Downgraded to Ba3 (sf); previously on Aug 13, 2010
Downgraded to Ba1 (sf)

Issuer: HSI Asset Securitization Corporation Trust 2006-OPT2

Cl. M-1, Downgraded to Ba2 (sf); previously on Aug 13, 2010
Downgraded to Ba1 (sf)

Cl. M-2, Downgraded to Ca (sf); previously on Aug 13, 2010
Downgraded to B3 (sf)

Cl. M-3, Downgraded to C (sf); previously on Aug 13, 2010
Downgraded to Caa3 (sf)

Cl. II-A-3, Downgraded to A1 (sf); previously on Mar 21, 2011
Confirmed at Aa2 (sf)

Cl. II-A-4, Downgraded to A2 (sf); previously on Mar 21, 2011
Confirmed at A1 (sf)

Issuer: HSI Asset Securitization Corporation Trust 2007-OPT1

Cl. II-A-1, Downgraded to Ba3 (sf); previously on Aug 13, 2010
Downgraded to Ba1 (sf)

Cl. II-A-2, Downgraded to Ca (sf); previously on Aug 13, 2010
Downgraded to Caa2 (sf)


HOME EQUITY: S&P Keeps 'BB-' Rating on Class M-6 on Watch Neg
-------------------------------------------------------------
Standard & Poor's Ratings Services stated that its ratings on 34
classes from 13 U.S. residential mortgage-backed securities (RMBS)
transactions remain on CreditWatch with negative implications. "We
placed one of ratings on CreditWatch on Jan. 6, 2011, and placed
33 on CreditWatch on Jan. 18, 2011," S&P related.

On Jan. 18, 2011, Standard & Poor's placed its ratings on 741
classes from 374 U.S. RMBS transactions on CreditWatch with
negative implications and kept three ratings from three
transactions on CreditWatch negative in connection with its
revised counterparty criteria (see 'North American Structured
Finance CreditWatch Actions In Connection With Revised
Counterparty Criteria,' published Jan. 18, 2011). "Since then, we
have resolved 707 of the CreditWatch placements. Our ratings on 34
classes from 13 transactions remain on CreditWatch negative due to
current observed interest shortfalls. We plan to evaluate the
nature of the interest shortfalls and take any rating action that
we consider appropriate," S&P related.

Ratings Remaining On Creditwatch Negative

Bayview Commercial Asset Trust 2007-2
Series    2007-2
Class      CUSIP       Rating
IO         07325XAN0   AAA (sf)/Watch Neg
A-1        07325XAA8   AAA (sf)/Watch Neg

Bayview Commercial Asset Trust 2007-4
Series    2007-4
Class      CUSIP       Rating
IO         07326BAM9   AA (sf)/Watch Neg
A-1        07326BAA5   AA (sf)/Watch Neg

Bayview Commercial Asset Trust 2007-5
Series    2007-5
Class      CUSIP       Rating
IO         07325WAA0   AAA (sf)/Watch Neg
A-2        07325WAC6   AAA (sf)/Watch Neg
A-3        07325WAD4   AAA (sf)/Watch Neg

Bayview Commercial Asset Trust 2007-6
Series    2007-6
Class      CUSIP       Rating
IO         07326FAA6   AAA (sf)/Watch Neg
A-1        07326FAB4   AAA (sf)/Watch Neg
A-2        07326FAC2   AAA (sf)/Watch Neg
A-3A       07326FAD0   AAA (sf)/Watch Neg
A-3B       07326FAT5   AAA (sf)/Watch Neg
A-4A       07326FAE8   AA (sf)/Watch Neg
A-4B       07326FAU2   AA (sf)/Watch Neg

Bayview Commercial Asset Trust 2008-1
Series    2008-1
Class      CUSIP       Rating
IO         07324AAA9   AAA (sf)/Watch Neg
A-2A       07324AAC5   AAA (sf)/Watch Neg
A-2B       07324AAD3   AAA (sf)/Watch Neg
A-3        07324AAE1   AAA (sf)/Watch Neg
A-4        07324AAF8   AAA (sf)/Watch Neg

Bayview Commercial Asset Trust 2008-2
Series    2008-2
Class      CUSIP       Rating
SIO        07326HAB0   AAA (sf)/Watch Neg
A-1        07326HAC8   AAA (sf)/Watch Neg

Bayview Commercial Asset Trust 2008-3
Series    2008-3
Class      CUSIP       Rating
IO         07326JAA8   AAA (sf)/Watch Neg
SIO        07326JAB6   AAA (sf)/Watch Neg
A-1        07326JAC4   AAA (sf)/Watch Neg

Bayview Financial Mortgage Pass-Through Trust 2007-B
Series    2007-B
Class      CUSIP       Rating
1-A1       07324FAB6   AAA (sf)/Watch Neg
2-A1       07324FAG5   AAA (sf)/Watch Neg

Bear Stearns Asset Backed Securities I Trust 2005-HE11
Series    2005-HE11
Class      CUSIP       Rating
M-1        0738793N6   AA+ (sf)/Watch Neg
M-2        0738793P1   AA (sf)/Watch Neg

Bear Stearns Asset Backed Securities I Trust 2006-HE1
Series    2006-HE1
Class      CUSIP       Rating
II-M-1     07387UBR1   AA+ (sf)/Watch Neg
II-M-2     07387UBS9   AA+ (sf)/Watch Neg

CWABS Inc.
Series    2004-4
Class      CUSIP       Rating
1-A        1266715E2   AAA (sf)/Watch Neg

Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2005-A
Series    2005-A
Class      CUSIP       Rating
M-6        43708AAW2   BB- (sf)/Watch Neg

Option One Mortgage Loan Trust 2007-FXD1
Series    2007-FDX1
Class      CUSIP       Rating
III-A-1    68402VAC6   AAA (sf)/Watch Neg


HOUT BAY: S&P Affirms Ratings on 6 Classes of Notes at 'CC'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
S notes issued by Hout Bay 2006-1 Ltd., an arbitrage cash flow
collateralized debt obligation (CDO) of high-grade structured
finance securities, to 'AA (sf)' from 'AAA (sf)'. "At the same
time, we affirmed our 'CC (sf)' ratings on the other rated notes
from this transaction," S&P related.

"The downgrade of the class S notes reflects continued increase in
defaults and an ongoing decline in the collateral's credit quality
since we affirmed the rating on the notes in June 2010. The
trustee reports $539.1 million par of defaults in the June 2011
monthly report, which is up from $510.8 million in June 2010. In
addition to the decline in the credit quality of the assets since
June 2010, more than 25% of the collateral is currently on
CreditWatch negative," S&P said.

The affirmations reflect both the credit support available to the
notes and the ability of the notes to defer on interest payments.

Rating Lowered

Hout Bay 2006-1 Ltd.
                        Rating
Class            To              From
S                AA (sf)         AAA (sf)/Watch Neg

Ratings Affirmed

Hout Bay 2006-1 Ltd.

Class            Rating
A-1              CC
A-2              CC
B                CC
C                CC
D                CC
E                CC


IMPAC SECURED: Moody's Lowers Rating of $159 Mil. of Alt-A RMBS
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of five
tranches from one RMBS transaction, backed by Alt-A loans, issued
by Impac Secured Assets Corp. Mortgage Pass-Through Certificates,
Series 2005-1.

RATINGS RATIONALE

The collateral backing the transaction consists primarily of
first-lien, Alt-A residential mortgage loans. The actions are a
result of the recent performance review of Alt-A pools and reflect
Moody's updated loss expectations on Alt-A pools issued from 2005
to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology" published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The above mentioned approach is adjusted slightly when estimating
losses on pools left with a small number of loans to account for
the volatile nature of small pools. Even if a few loans in a small
pool become delinquent, there could be a large increase in the
overall pool delinquency level due to the concentration risk. To
project losses on pools with fewer than 100 loans, Moody's first
estimates a "baseline" average rate of new delinquencies for the
pool that varies from 10% to 21% on average. The baseline rates
are higher than the average rate of new delinquencies for larger
pools for the respective vintages.

Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 10.00%, the adjusted rate of new delinquency would
be 10.10%. in addition, if current delinquency levels in a small
pool is low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.2 to 2.0 for current
delinquencies ranging from less than 2.5% to greater than 50%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology" publication.

The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2005-1

Cl. 1-A-1, Downgraded to Caa2 (sf); previously on May 11, 2010
Downgraded to Caa1 (sf)

Cl. 1-A-X, Downgraded to Caa2 (sf); previously on May 11, 2010
Downgraded to Caa1 (sf)

Cl. 5-A-3, Downgraded to Caa1 (sf); previously on May 11, 2010
Downgraded to Ba3 (sf)

Cl. 5-A-5, Downgraded to C (sf); previously on May 11, 2010
Downgraded to Ca (sf)

Cl. 5-A-X, Downgraded to Caa1 (sf); previously on May 11, 2010
Downgraded to Ba3 (sf)


INDYMAC INDX: Moody's Downgrades $152 Mil. of Option ARM RMBS
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 2 tranches
from 1 RMBS transaction, backed by Option ARM loans, issued by
IndyMac INDX Mortgage Loan Trust 2006-FLX1.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, Option ARM residential mortgage loans. The actions are
a result of the recent performance review of Option ARM pools and
reflect Moody's updated loss expectations on Option ARM pools
issued from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Option ARM RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: IndyMac INDX Mortgage Loan Trust 2006-FLX1

Cl. A-1, Downgraded to Caa2 (sf); previously on Jan 13, 2011
Downgraded to B2 (sf)

Cl. A-2, Downgraded to C (sf); previously on Jan 13, 2011
Downgraded to Ca (sf)


ING INVESTMENT: Moody's Upgrades Ratings of CLO Notes
-----------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by ING Investment Management CLO V Ltd.:

US$25,000,000 Class A-2 Floating Rate Notes due 2022, Upgraded to
Aa3 (sf); previously on June 22, 2011 A1 (sf) Placed Under Review
for Possible Upgrade;

US$26,000,000 Class B Deferrable Floating Rate Notes due 2022,
Upgraded to Baa1 (sf); previously on June 22, 2011 Baa3 (sf)
Placed Under Review for Possible Upgrade;

US$21,000,000 Class C Deferrable Floating Rate Notes due 2022,
Upgraded to Ba1 (sf); previously on June 22, 2011 Ba3 (sf) Placed
Under Review for Possible Upgrade;

US$10,000,000 Class D Deferrable Floating Rate Notes due 2022,
Upgraded to Ba3 (sf); previously on June 22, 2011 B3 (sf) Placed
Under Review for Possible Upgrade.

In addition, Moody's confirmed the rating of the following notes:

US$80,000,000 Class A-1b Floating Rate Notes due 2022, Confirmed
at Aa1 (sf); previously on June 22, 2011 Aa1 (sf) Placed Under
Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

Moody's also notes that the deal has benefited from improvement in
the credit quality of the underlying portfolio since the rating
action in September 2009. Based on the June 2011 trustee report,
the weighted average rating factor is currently 2583 compared to
2884 in August 2009.

The overcollateralization ratios of the rated notes have also
improved since the rating action in September 2009. The Class A,
Class B, Class C and Class D overcollateralization ratios are
reported at 120.1%, 112.9%, 107.6% and 105.3%, respectively,
versus August 2009 levels of 118.3%, 111.1%, 106% and 103.7%,
respectively, and all related overcollateralization tests are
currently in compliance.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $486.4 million,
defaulted par of $1.9 million, a weighted average default
probability of 23.53% (implying a WARF of 2723), a weighted
average recovery rate upon default of 50.68%, and a diversity
score of 72. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

ING Investment Management CLO V Ltd., issued in August of 2007, is
a collateralized loan obligation backed primarily by a portfolio
of senior secured loans.

The principal methodology used in this rating was the "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2012 and
2014 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus sell defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.

2) Weighted average life: The notes' ratings are sensitive to the
   weighted average life assumption of the portfolio, which may be
   extended due to the manager's decision to reinvest into new
   issue loans or other loans with longer maturities and/or
   participate in amend-to-extend offerings. Moody's tested for a
   possible extension of the actual weighted average life in its
   analysis.

3) Other collateral quality metrics: The deal is allowed to
   reinvest and the manager has the ability to deteriorate the
   collateral quality metrics' existing cushions against the
   covenant levels. Moody's analyzed the impact of assuming the
   worse of reported and covenanted values for weighted average
   rating factor, weighted average spread, weighted average
   coupon, and diversity score. However, as part of the base case,
   Moody's considered spread/coupon/diversity levels higher than
   the covenant levels due to the large difference between the
   reported and covenant levels.


JP MORGAN: Fitch Affirms Rating on 2000-C9 Class H Notes at 'BB'
----------------------------------------------------------------
Fitch Ratings upgrades one class of J.P. Morgan Commercial
Mortgage Finance Corp.'s mortgage pass-through certificates,
series 2000-C9.

The upgrade is due to increased credit enhancement as a result of
principal paydown which is sufficient to offset Fitch expected
losses. Fitch modeled losses of 3% of the remaining pool; expected
losses of the original pool are at 4.2%, including losses already
incurred to date. Fitch expects losses to be absorbed by the non-
rated class J. Fitch identified three loans (58.4%) as Fitch Loans
of Concern, all of which are currently in special servicing.

As of the June 2011 distribution date, the pool's aggregate
principal balance has been paid down approximately 95.3% to $38.5
million from $814.4 million at issuance. Currently only eight
loans remain in the pool, including one defeased loan (24.5%).
Interest shortfalls are only affecting the non-rated classes J
through NR with cumulative unpaid interest totaling $1.3 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 250-unit
multifamily property located in Colorado Springs, CO. The loan
transferred to the special servicer on July 6, 2009 due to
imminent default. The loan subsequently matured on Oct. 1 ,2009
and did not pay off. The special servicer is working with the
borrower to pay off the loan.

Fitch has upgraded this class:

  -- $4.4 million class G to 'AAA/LS2' from 'AA/LS2'; Outlook
     Stable.

Fitch has affirmed this class:

  -- $20.4 million class H at 'BB+/LS2'; Outlook Stable.

Classes A-1 through F have paid in full. Classes J, K and NR are
not rated by Fitch.

Fitch has withdrawn the rating of the Interest-only class X.


JP MORGAN: Fitch Downgrades Class G Notes to 'C/RR4'
----------------------------------------------------
Fitch Ratings has downgraded one class of JP Morgan Commercial
Mortgage Finance Corp., series 1998-C6 commercial mortgage
pass-through certificates. In addition, Fitch has revised the Loss
Severity ratings and assigned Rating Outlooks as applicable.

The downgrade is a result of an increase in expected losses on the
specially serviced loan. Fitch modeled losses of 11.2% of the
remaining pool; expected losses of the original pool are at 3.1%,
including losses realized to date. Fitch has identified three
Loans of Concern (45.2% of pool balance), which includes one loan
currently in special servicing (38.6%). Fitch expects that class H
may eventually be fully depleted from losses associated with the
specially serviced loan.

As of the June 2011 distribution date, the pool's certificate
balance has paid down 92.22% to $61.9 million from $796.4 million
at issuance. There are 11 of the original 91 loans remaining in
the transaction. There are no defeased loans. Interest shortfalls
are affecting classes G and H.

The specially serviced loan, The Court at Deptford, is the largest
loan in the pool. The loan is secured by a 361,000 square foot
(sf) retail center in Deptford, NJ. The property was previously
anchored by a Sam's Club (33% of the property's net rentable area
[NRA]), Sports Authority (11% NRA) and Circuit City (9% NRA) --
all three of which had subsequently vacated at or prior to the
individual lease expirations between 2008 and 2010. Occupancy as
of December 2010 reported at 43%, with the three anchor spaces
still vacant. Leases corresponding to approximately 11.4% of the
property's NRA are scheduled to expire in 2011.

The loan transferred to special servicing in February 2009 due to
imminent default. A forbearance agreement has since been executed
where the borrower stipulated to a receivership, which in turn
limited the trusts ability to foreclose no earlier than June 30,
2011. A receiver was appointed in April 2010, and continues to
lease and manage the property.

Fitch stressed the cash flow of the remaining non-specially
serviced loans by applying a 5% reduction to most recent fiscal
year end (2009 & 2010) net operating income, and applying an
adjusted market cap rate between 8% and 11% to determine value.

Similar to Fitch's prospective analysis of recent vintage CMBS,
the 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. All 10 of the non-specially
serviced loans are considered to pay off at maturity, and could
refinance to a debt service coverage ratio (DSCR) above 1.25 times
(x).

Fitch downgrades this class:

  -- $19.9 million class G to 'C/RR4' from 'CCC/RR4'.

Fitch affirms these classes and RR Ratings, and revises Outlooks
and Loss Severity (LS) ratings:

  -- $39.8 million class F at 'BBB-'; loss severity to 'LS2' from
     'LS3'; Outlook to Stable from Negative;

  -- $2.4 million class H at 'D/RR6'.

Class NR is not rated by Fitch. Due to realized losses class
NR has been reduced to zero, and class H has been reduced to
$2.4 million from $6 million at issuance. Classes A-1, A-2, A-3,
B, C, D, and E have paid in full.

On July 16, 2010, Fitch had withdrawn the rating on the interest-
only class X.


JP MORGAN: Fitch Holds Rating on 1999-C7 Class H Notes at 'BB-'
---------------------------------------------------------------
Fitch Ratings has upgraded one class of J.P. Morgan Commercial
Finance Corp.'s commercial mortgage pass-through certificates,
series 1999-C7.

The upgrade is due to increased credit enhancement as a result of
principal paydown since last review. Fitch modeled losses of 19.6%
of the remaining pool; expected losses of the original pool are at
2.2%, including losses already incurred to date. The losses are
expected to be absorbed by the non-rated class NR. Fitch has
identified four loans (47.8%) as Fitch Loans of Concern, which
includes one specially serviced loan (17.3%).

As of the June 2011 distribution date, the pool's aggregate
principal balance has been paid down by approximately 97.6% to
$19.3 million from $801.4 million at issuance. Interest shortfalls
are only affecting the non-rated class NR with cumulative unpaid
interest totaling $1.3 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 modeled losses is a 114-room hotel in
Coon Rapids, MN. It became a real estate owned (REO) asset on
June 4, 2010. The property was scheduled to be sold on June 17,
2011 with expected losses upon liquidation.

The second largest contributor to modeled losses is a 57,770
square foot (sf) office property in Woodland Hills, CA. Third-
quarter 2010 DSCR was 1.58x with a 75% occupancy rate. The
property is currently 55.9% occupied, as a large tenant occupying
19.18% of the property did not renew its lease upon its Dec. 31,
2010 expiration. The borrower is actively marketing the vacant
space for lease.

The third largest contributor to modeled losses is a 165-unit
multifamily property located in Phoenix, AZ. Year-end (YE) 2010
DSCR was 0.37x with an 82% occupancy rate. The low DSCR was due to
high operating expenses and low property occupancy as repairs were
made to down units. Rents have been lowered and concessions have
been offered to increase occupancy.

Fitch has upgraded this class:

  -- $26 million class G to 'BBB/LS5' from 'BB/LS5'; Outlook to
     Stable from Positive.

Fitch has affirmed this class:

  -- $4 million class H at 'BB-/LS5'; Outlook Stable.

Classes A-1 through F have paid in full. Fitch does not rate NR
class certificates. Fitch has withdrawn the ratings on the
Interest-only class X.


JP MORGAN: Moody's Lowers Rating of $869 Mil. of Prime RMBS
-----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 27
tranches from two RMBS transactions, backed by Prime Jumbo loans,
issued by J.P. Morgan Mortgage Trust.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, Prime Jumbo residential mortgage loans. The actions
are a result of the recent performance review of Prime Jumbo pools
and reflect Moody's updated loss expectations on Prime Jumbo pools
issued from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Prime Jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R) (SFW), the
cash flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The above mentioned approach is adjusted slightly when estimating
losses on pools left with a small number of loans to account for
the volatile nature of small pools. Even if a few loans in a small
pool become delinquent, there could be a large increase in the
overall pool delinquency level due to the concentration risk. To
project losses on pools with fewer than 100 loans, Moody's first
estimates a "baseline" average rate of new delinquencies for the
pool that varies from 3% to 5% on average. The baseline rates are
higher than the average rate of new delinquencies for larger pools
for the respective vintages.

Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 3.00%, the adjusted rate of new delinquency would
be 3.03%. in addition, if current delinquency levels in a small
pool is low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.75 to 2.5 for current
delinquencies ranging from less than 2.5% to greater than 10%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology " publication.

The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: J.P. Morgan Mortgage Trust 2005-A1

Cl. 1-A-1, Downgraded to Ba1 (sf); previously on Apr 6, 2010
Downgraded to Baa1 (sf)

Cl. 2-A-1, Downgraded to Baa3 (sf); previously on Apr 6, 2010
Downgraded to Baa1 (sf)

Cl. 2-A-3, Downgraded to Baa3 (sf); previously on Apr 6, 2010
Downgraded to Baa1 (sf)

Cl. 2-A-4, Downgraded to Ba3 (sf); previously on Apr 6, 2010
Downgraded to Baa3 (sf)

Cl. 3-A-1, Downgraded to Baa1 (sf); previously on Apr 6, 2010
Downgraded to A1 (sf)

Cl. 3-A-2, Downgraded to Ba3 (sf); previously on Apr 6, 2010
Downgraded to Baa2 (sf)

Cl. 3-A-3, Downgraded to A3 (sf); previously on Apr 6, 2010
Downgraded to A1 (sf)

Cl. 3-A-4, Downgraded to Baa1 (sf); previously on Apr 6, 2010
Downgraded to A1 (sf)

Cl. 3-A-5, Downgraded to Ba3 (sf); previously on Apr 6, 2010
Downgraded to Baa2 (sf)

Cl. 3-A-6, Downgraded to A3 (sf); previously on Apr 6, 2010
Downgraded to A1 (sf)

Cl. 4-A-1, Downgraded to Baa3 (sf); previously on Apr 6, 2010
Downgraded to A2 (sf)

Cl. 4-A-2, Downgraded to Ba3 (sf); previously on Apr 6, 2010
Downgraded to Baa3 (sf)

Cl. 5-A-1, Downgraded to Baa2 (sf); previously on Apr 6, 2010
Downgraded to A3 (sf)

Cl. 5-A-2, Downgraded to Baa3 (sf); previously on Apr 6, 2010
Downgraded to A3 (sf)

Cl. 5-A-3, Downgraded to Ba3 (sf); previously on Apr 6, 2010
Downgraded to Ba1 (sf)

Cl. 6-T-1, Downgraded to Ba1 (sf); previously on Apr 6, 2010
Downgraded to A2 (sf)

Cl. I-B-1, Downgraded to Caa3 (sf); previously on Apr 6, 2010
Downgraded to B3 (sf)

Cl. I-B-2, Downgraded to C (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)

Cl. T-B-1, Downgraded to Caa3 (sf); previously on Apr 6, 2010
Downgraded to B1 (sf)

Cl. T-B-2, Downgraded to Ca (sf); previously on Apr 6, 2010
Downgraded to Caa3 (sf)

Cl. T-B-3, Downgraded to C (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)

Issuer: J.P. Morgan Mortgage Trust 2006-A2

Cl. 4-A-1, Downgraded to Ba3 (sf); previously on Apr 6, 2010
Confirmed at A3 (sf)

Cl. 4-A-2, Downgraded to Caa3 (sf); previously on Apr 6, 2010
Downgraded to B1 (sf)

Cl. 5-A-1, Downgraded to A2 (sf); previously on Apr 6, 2010
Downgraded to Aa3 (sf)

Cl. 5-A-2, Downgraded to B1 (sf); previously on Apr 6, 2010
Downgraded to Baa3 (sf)

Cl. 5-A-3, Downgraded to Ba3 (sf); previously on Apr 6, 2010
Downgraded to A3 (sf)

Cl. 5-A-4, Downgraded to Caa3 (sf); previously on Apr 6, 2010
Downgraded to B1 (sf)


JPMORGAN CHASE: Fitch Downgrades JPMCC 2002-CIBC4
-------------------------------------------------
Fitch Ratings has downgraded four and affirmed nine classes of
J.P. Morgan Chase Commercial Mortgage Securities Corp., commercial
mortgage pass-through certificates, series 2002-CIBC4 (JPMCC 2002-
CIBC4).

The downgrades reflect an increase in Fitch-modeled losses from
specially-serviced loans. Fitch modeled losses of 13.2% for the
remaining pool. The increase in Fitch expected losses and the
Negative Outlooks on classes C and D are attributed to Fitch's
revised loss estimates for the largest loan (10.7%) which is
currently in special servicing, and uncertainty surrounding the
final disposition of the asset. Additionally, approximately 26% of
the pool matures in 2011 and 47% matures in 2012.

As of the June 2011 distribution date, the pool's certificate
balance has been reduced by 27.6% (to $578.3 million from $798.9
million), of which 25.1% were due to pay down and 2.5% were due to
realized losses. Twenty-seven loans (32%) have defeased. Interest
shortfalls totaling $2.6 million are currently affecting classes H
through NR.

Fitch has designated 25 loans (32.5%) as Fitch Loans of Concern,
which includes five specially serviced loans (16.2%). Two loans
(11.3%) are real-estate owned (REO), one loan (2.6%) is 90 days or
more delinquent, and two loans (2.3%) remain current. Fitch
expects the modeled losses associated with the specially-serviced
loans to impact classes F through L.

The largest loan in special servicing (10.7%) is secured by
487,170 square feet (sf) of a 1.12 million square foot regional
mall located in Austin, TX. The loan transferred to special
servicing in June 2009 due to imminent default relating to tenancy
issues and subsequently became REO in May 2010. Fitch expects
significant losses upon liquidation of the asset based on
adjustments to a 2009 property valuation obtained by the special
servicer. Fitch made significant adjustments to the 2009 property
valuation based on the recent departure of all anchor tenants and
a significant increase in inline vacancy since Fitch's last rating
action. Fitch estimates current occupancy to have declined to
below 50%.

The mall was originally anchored by Dillard's Women's, Macy's and
Dillard's Men's and Home. Macy's and Dillard's Women's owned their
own stores and the underlying land. In 2009, Dillard's filed a law
suit against the borrower noting a breach of the ground lease and
to void its lease on additional square footage at the mall. The
borrower disputed the alleged breach and filed suit to prevent the
termination of the ground lease. Litigation between Dillard's and
the borrower closed a few months ago resulting in Dillard's
closing its remaining store at the end of May. In addition, Macys
vacated the property in first quarter of 2011. Inline tenants that
have renewed are generally on percentage rent. The land subject to
the ground lease was recently sold to a new owner, a community
college.

The second largest specially serviced loan (2.6%) is secured by a
168,399 square foot retail property located in Chattanooga, TN.
The loan transferred to special servicing in November 2010 due to
monetary default. The special servicer is working on placing the
property under receivership and continuing to pursue foreclosure.

Fitch has downgraded these classes:

   -- $34 million class C to 'Asf/LS5' from 'AAAsf/LS4'; Outlook
      Negative;

   -- $10 million class D to 'BBB-sf/LS5' from 'Asf/LS5; Outlook
      Negative;

   -- $24 million class E to 'CCCsf/RR1' from 'B-sf/LS5';

   -- $12 million class F to 'Csf/RR6' from 'B-sf/LS5'.

In addition, Fitch affirms these classes and revises Loss Severity
(LS) ratings:

   -- $19.5 million class A-2 at 'AAAsf'; LS to 'LS2' from 'LS1';
      Outlook Stable;

   -- $403.2 million class A-3 at 'AAAsf'; LS to 'LS2' from 'LS1';
      Outlook Stable;

   -- $32 million class B at 'AAAsf'; LS to 'LS5' from 'LS4';
      Outlook Stable;

   -- $14 million class G at 'Csf/RR6';

   -- $12 million class H at 'Csf/RR6';

   -- $4 million class J at 'Csf/RR6';

   -- $6 million class K at 'Csf/RR6';

   -- $7.8 million class L at 'Dsf/RR6'

   -- $0 class M at 'Dsf/RR6'.

Classes A-1 and X-2 have paid in full. Fitch does not rate class
NR.

Fitch withdraws the rating on the interest-only class X-1.


JPMORGAN CHASE: S&P Cuts Ratings on 2 Classes of Certs. to 'CCC-'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of commercial mortgage pass-through certificates from
JPMorgan Chase Commercial Mortgage Securities Corp.'s series
2004-LN2, a U.S. commercial mortgage-backed securities (CMBS)
transaction. "Concurrently, we affirmed our ratings on nine other
classes from this transaction," S&P said.

"Our rating actions follow our analysis of the transaction
primarily using our U.S. conduit/fusion CMBS criteria. Our
analysis included a review of the credit characteristics of the
remaining assets in the pool, the transaction structure, and the
liquidity available to the trust," S&P related.

"The downgrades also reflect credit support erosion that we
anticipate will occur following the resolution of 12 ($95.1
million, 9.8%) of the 13 assets ($105.4 million, 10.9%) currently
with the special servicer. We also considered the potential for
these classes to experience interest shortfalls in the future
relating to the specially serviced assets," S&P said.

"The affirmed ratings on the principal and interest certificates
reflect subordination and liquidity support levels that are
consistent with our outstanding ratings. We affirmed our 'AAA
(sf)' ratings on the class X-1 and X-2 interest-only (IO)
certificates based on our current criteria," S&P related.

"Using servicer-provided financial information, we calculated an
adjusted debt service coverage (DSC) of 1.47x and a loan-to-value
(LTV) ratio of 84.2%. We further stressed the loans' cash flows
under our 'AAA' scenario to yield a weighted average DSC of 1.17x
and an LTV ratio of 105.9%. The implied defaults and loss severity
under the 'AAA' scenario were 53.9% and 28.4%. The DSC and LTV
calculations noted above exclude the eight defeased loans
($40.3 million, 4.2%) and 12 ($95.1 million, 9.8%) of the 13
assets ($105.4 million, 10.9%) currently with the special
servicer. We separately estimated losses for the specially
serviced assets and included them in our 'AAA' scenario implied
default and loss severity figures," S&P said.

                      Credit Considerations

As of the June 15, 2011, trustee remittance report, 12 assets
($102.6 million, 10.6%) in the pool were with the special
servicer, CWCapital Asset Management LLC (CWCapital). The reported
payment status of the specially serviced assets is: five are real
estate owned (REO) ($63.8 million, 6.6%), three are in foreclosure
($23.3 million, 2.4%), two are 90 days delinquent ($3.3 million,
0.3%), one is 30 days delinquent ($1.7 million, 0.2%), and one is
less than 30 days delinquent ($10.5 million, 1.1%). Appraisal
reduction amounts (ARAs) totaling $30.1 million are in effect
against nine of these assets. Details on the three largest assets
with the special servicer, two of which are top 10 real estate
assets are:

The Countryside Apartments asset ($22.4 million, 2.3%) is the
largest asset with the special servicer and the third-largest real
estate asset in the pool. The asset, a 701-unit multifamily
property in St. Louis, Mo., was transferred to CWCapital on Jan.
11, 2010, due to maturity default, and became REO on Jan. 12,
2011. According to CWCapital, the property was 72.0% occupied as
of April 2011. The special servicer is currently evaluating
various liquidation strategies. An ARA of $7.9 million is in
effect against a total exposure of $23.4 million. "We expect a
moderate loss upon the eventual resolution of this asset," S&P
said.

The North Academy Home Center asset ($15.1 million, 1.6%), the
10th-largest asset in the pool, is a 224,210-sq.-ft. unanchored
shopping center in Colorado Springs, Colo. The asset was
transferred to the special servicer on Aug. 25, 2008, due to
imminent payment default and became REO on April 6, 2011.
CWCapital stated that it is currently working to lease up the
property, which was 72.4% occupied as of March 2011. An ARA of
$6.3 million is in effect against a total exposure of $15.6
million. "We expect a moderate loss upon the eventual resolution
of this asset," S&P said.

The Runaway Bay Apartments asset ($11.8 million, 1.2%) is a 192-
unit multifamily property in Indianapolis, Ind. The asset was
transferred to the special servicer on Aug. 28, 2009, due to
monetary default and became REO on Dec. 22, 2010. According to the
special servicer, the property is currently generating sufficient
cash flow to pay back servicer's advances and pay down principal.
The property was 97.0% occupied as of May 2011. An ARA of $2.0
million is in effect against this asset. "We expect a moderate
loss upon the eventual resolution of this asset," S&P noted.

The nine remaining specially serviced assets have individual
balances that represent less than 1.10% of the pool trust balance.
ARAs totaling $13.9 million are in effect against six of these
assets. "We estimated a 42.8% weighted-average loss severity for
eight of the nine remaining assets," S&P noted.

In addition to the specially serviced assets, the Eastpoint
Business Center loan ($2.8 million, 0.3%) was transferred to the
special servicer subsequent to the June 2011 trustee remittance
report following a maturity default. The loan matured on July 1,
2011. The loan is secured by an 81,416-sq.-ft. industrial property
in Baltimore, Md. and S&P expects a moderate loss upon the
eventual resolution of this loan.

                          Transaction Summary

As of the June 15, 2011, trustee remittance report, the collateral
pool balance was $970.4 million, which is 77.9% of the balance at
issuance. The pool includes 147 loans and five REO assets, down
from 175 loans at issuance. The master servicer, Berkadia
Commercial Mortgage LLC (Berkadia) provided financial information
for 95.4% of the loans in the pool, 82.1% of which was partial- or
full-year 2010 data, and the remainder was partial- or full-year
2009 data.

"We calculated a weighted average DSC of 1.40x for the loans in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV ratio were 1.47x and 84.2%. Our adjusted DSC and LTV
figures excluded eight defeased loans ($40.3 million, 4.2%) and 12
($95.1 million, 9.8%) of the 13 assets ($105.4 million, 10.9%)
currently with the special servicer. We separately estimated
losses for the specially serviced assets and included them in our
'AAA' scenario implied default and loss severity figures. Our
adjusted DSC would be 1.29x if we included the specially serviced
assets. The transaction has experienced $34.4 million in principal
losses on 12 assets to date. Thirty-nine loans ($256.4 million,
26.4%) in the pool are on the master servicer's watchlist,
including two of the top 10 real estate assets. Twenty-three loans
($96.0 million, 9.9%) have a reported DSC of less than 1.00x and
14 loans ($203.7 million, 21.0%) have a reported DSC below 1.10x,"
S&P related.

               Summary Of Top 10 Real Estate Assets

The top 10 assets secured by real estate have an aggregate
outstanding balance of $287.3 million (29.6%). "Excluding the two
top 10 specially serviced assets, we calculated a weighted average
DSC of 1.32x and an LTV of 91.9% for eight of the top 10 assets
using servicer-provided numbers. Two ($87.5 million, 9.0%)
are on the master servicer's watchlist," S&P said.

The World Apparel Center loan is the largest nondefeased asset in
the pool and the largest asset on the master servicer's watchlist.
The $207.2 million participated whole loan is split into four pari
passu notes, $69.1 million of which accounts for 7.1% of the pool
trust balance. The loan is secured by a 1.15 million-sq.-ft.
office property in the Midtown Manhattan submarket. The loan is on
Berkadia's watchlist due to a low reported DSC, which was 1.05x
for year-end 2010, and the occupancy was 94.0%, according to the
Dec. 31, 2010, rent roll.

The Belleview Promenade Loan ($18.4 million, 1.9%) is the sixth-
largest nondefeased asset in the pool. The loan is secured by a
100,102-sq.-ft. retail center in Greenwood Village, Colo. The loan
is on the master servicer's watchlist because occupancy declined
after the largest tenant (Vectra Bank, 22.0% of the net rentable
area) vacated its space in the first quarter of 2009. The reported
occupancy was 64.0% as of March 31, 2011, and the reported DSC was
1.07x for year-end 2010.

Standard & Poor's stressed the collateral in the pool according to
its current criteria. The resultant credit enhancement levels are
consistent with its lowered and affirmed ratings.

Ratings Lowered

JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2004-LN2

                Rating
Class      To           From        Credit enhancement (%)
E          BB+ (sf)     BBB- (sf)                     6.57
F          B- (sf)      BB+ (sf)                      4.80
G          CCC (sf)     B (sf)                        3.52
H          CCC- (sf)    CCC+ (sf)                     1.75
J          CCC- (sf)    CCC (sf)                      1.11

Ratings Affirmed

JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2004-LN2

Class      Rating              Credit enhancement (%)
A-1        AAA (sf)                             14.27
A-1A       AAA (sf)                             14.27
A-2        AAA (sf)                             14.27
B          A (sf)                               11.22
C          A- (sf)                               9.94
D          BBB (sf)                              7.53
K          CCC- (sf)                             0.47
X-1        AAA (sf)                               N/A
X-2        AAA (sf)                               N/A

N/A -- Not applicable.


KATONAH IV: Moody's Upgrades Ratings of Four Classes of CLO Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Katonah IV, Ltd.:

US$32,750,000 Class B Floating Rate Notes Due 2015, Upgraded to
Aaa (sf); previously on June 22, 2011, Aa2 (sf) Placed Under
Review for Possible Upgrade;

US$14,000,000 Class C Floating Rate Notes Due 2015, Upgraded to
Aa3 (sf); previously on June 22, 2011, Baa2 (sf) Placed Under
Review for Possible Upgrade;

US$2,250,000 Class D--1 Floating Rate Notes Due 2015, Upgraded to
Baa2 (sf); previously on June 22, 2011, Ba2 (sf) Placed Under
Review for Possible Upgrade; and

US$4,500,000 Class D--2 Fixed Rate Notes Due 2015, Upgraded to
Baa2 (sf); previously on June 22, 2011, Ba2 (sf) Placed Under
Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of delevering of the senior
notes since the rating action in April 2011. Moody's notes that
the Class A Notes have been paid down by approximately $19 million
since the rating action in April 2011. As a result of the
delevering, the overcollateralization ratios have increased since
the rating action in April 2011. Based on the latest trustee
report dated June 11, 2011, the Class A, Class B, Class C, and
Class D overcollateralization ratios are reported at 222.83%,
143.13%, 124.15%, and 111.48%, respectively, versus March 2011
levels of 187.29%, 134.72%, 120.28%, and 110.16%, respectively,
and all related overcollateralization tests are currently in
compliance.

Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity date of the notes. Based on the June 2011 trustee report,
reference securities that mature after the maturity date of the
notes currently make up approximately 6.34% of the underlying
reference portfolio. These investments potentially expose the
notes to market risk in the event of liquidation at the time of
the notes' maturity.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $115.16 million,
defaulted par of $2.78 million, a weighted average default
probability of 17.70% (implying a WARF of 3173), a weighted
average recovery rate upon default of 51.18%, and a diversity
score of 40. These default and recovery properties of the
collateral pool are incorporated in cash flow model analysis where
they are subject to stresses as a function of the target rating of
each CLO liability being reviewed. The default probability is
derived from the credit quality of the collateral pool and Moody's
expectation of the remaining life of the collateral pool. The
average recovery rate to be realized on future defaults is based
primarily on the seniority of the assets in the collateral pool.
In each case, historical and market performance trends and
collateral manager latitude for trading the collateral are also
factors.

Katonah IV, Ltd., issued in February 2003, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Delevering: A source of uncertainty in this transaction is
   whether delevering from unscheduled principal proceeds will
   continue and at what pace. Delevering may accelerate due to
   high prepayment levels in the bond and loan market and/or
   collateral sales by the manager, which may have significant
   impact on the notes' ratings.

2) Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus sell defaulted
   assets create additional uncertainties.

3) Long-dated assets: The presence of assets that mature beyond
   the CLO's legal maturity date exposes the deal to liquidation
   risk on those assets. Moody's assumes an asset's terminal value
   upon liquidation at maturity to be equal to the lower of an
   assumed liquidation value (depending on the extent to which the
   asset's maturity lags that of the liabilities) and the asset's
   current market value.


KATONAH VII: Moody's Upgrades Ratings of CLO Notes
--------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Katonah VII CLO Ltd.:

US$100,000,000 Class A-1 Delayed Drawdown Floating Rate Notes, Due
2017 (current outstanding balance of $97,028,132), Upgraded to Aaa
(sf); previously on June 22, 2011 A2 (sf) Placed Under Review for
Possible Upgrade;

US$167,000,000 Class A-2 Floating Rate Notes, Due 2017 (current
outstanding balance of $162,036,981), Upgraded to Aaa (sf);
previously on June 22, 2011 A2 (sf) Placed Under Review for
Possible Upgrade;

US$15,000,000 Class B Floating Rate Notes, Due 2017, Upgraded to
Aa2 (sf); previously on June 22, 2011 Baa3 (sf) Placed Under
Review for Possible Upgrade;

US$25,000,000 Class C Deferrable Floating Rate Notes, Due 2017,
Upgraded to Baa3 (sf); previously on June 22, 2011 B2 (sf) Placed
Under Review for Possible Upgrade;

US$20,500,000 Class D Deferrable Floating Rate Notes, Due 2017
(current outstanding balance of $17,387,146), Upgraded to Ba3
(sf); previously on June 22, 2011 Ca (sf) Placed Under Review for
Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of credit improvement of
the underlying portfolio and an increase in the transaction's
overcollateralization ratios since the rating action in July 2009.
Based on the June 2011 trustee report, the weighted average rating
factor is currently 2438 compared to 2809 in June 2009.

The overcollateralization ratios of the rated notes have also
improved since the rating action in July 2009. The Class A/B,
Class C and Class D overcollateralization ratios are reported at
119.60%, 109.60% and 103.58%, respectively, versus June 2009
levels of 111.03%, 101.82% and 95.36%, respectively, and all
related overcollateralization tests are currently in compliance.
In particular, the Class D overcollateralization ratio has
increased in part due to the diversion of excess interest to
delever the Class D notes in the event of a Class D
overcollateralization test failure. Since the rating action in
July 2009, $3.11 million of interest proceeds have reduced the
outstanding balance of the Class D Notes by 15.18%. Moody's also
notes that the Class C Notes are no longer deferring interest and
that all previously deferred interest has been paid in full.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $327.32,
defaulted par of $13.14 million, a weighted average default
probability of 16.73% (implying a WARF of 2512), a weighted
average recovery rate upon default of 50.07%, and a diversity
score of 62. Moody's generally analyzes deals in their
reinvestment period by assuming the worse of reported and
covenanted values for all collateral quality tests. However, in
this case given the limited time remaining in the deal's
reinvestment period, Moody's analysis reflects the benefit of
assuming a higher likelihood that the collateral pool
characteristics will continue to maintain a positive "cushion"
relative to the covenant requirements, as seen in the actual
collateral quality measurements. The default and recovery
properties of the collateral pool are incorporated in cash flow
model analysis where they are subject to stresses as a function of
the target rating of each CLO liability being reviewed. The
default probability is derived from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The average recovery rate to be realized on
future defaults is based primarily on the seniority of the assets
in the collateral pool. In each case, historical and market
performance trends and collateral manager latitude for trading the
collateral are also factors.

Katonah VII CLO Ltd., issued in November 2005, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Delevering: The main source of uncertainty in this transaction
   is whether delevering from unscheduled principal proceeds will
   occur and at what pace. Delevering may accelerate due to high
   prepayment levels in the loan market and/or collateral sales by
   the manager, which may have significant impact on the notes'
   ratings.

2) Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus sell defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.


LAFAYETTE SQUARE: Moody's Raises Ratings of CLO Notes
-----------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Lafayette Square CDO Ltd.:

US$60,000,000 Class A-2 Second Priority Secured Floating Rate Term
Notes Due 2019, Upgraded to Aaa (sf); previously on June 22, 2011
Aa1 (sf) Placed Under Review for Possible Upgrade;

US$13,000,000 Class B-1 Fourth Priority Secured Deferrable
Floating Rate Term Notes Due 2019, Upgraded to A3 (sf); previously
on June 22, 2011 Baa3 (sf) Placed Under Review for Possible
Upgrade;

US$31,000,000 Class B-2 Fourth Priority Secured Deferrable Fixed
Rate Term Notes Due 2019, Upgraded to A3 (sf); previously on June
22, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade;

US$35,000,000 Class C-1 Fifth Priority Secured Deferrable Floating
Rate Term Notes Due 2019, Upgraded to Baa2 (sf); previously on
June 22, 2011 Ba3 (sf) Placed Under Review for Possible Upgrade;

US$10,000,000 Class C-2 Fifth Priority Secured Deferrable Fixed
Rate Term Notes Due 2019, Upgraded to Baa2 (sf); previously on
June 22, 2011 Ba3 (sf) Placed Under Review for Possible Upgrade.

US$5,000,000 Class Q-1 Notes Due 2019 (current rated balance of
$3,521,803.57), Upgraded to A1 (sf); previously on June 22, 2011
Baa1 (sf) Placed Under Review for Possible Upgrade;

US$10,000,000 Class Q-2 Notes Due 2019 (current rated balance of
$4,559,416.35), Upgraded to Baa1 (sf); previously on June 22, 2011
Ba3 (sf) Placed Under Review for Possible Upgrade;

US$7,000,000 Class Q-3 Notes Due 2019 (current rated balance of
$3,920,565.63), Upgraded to Baa2 (sf); previously on June 22, 2011
Ba3 (sf) Placed Under Review for Possible Upgrade;

US$6,000,000 Class Q-4 Notes Due 2019 (current rated balance of
$3,747,689.20), Upgraded to A1 (sf); previously on June 22, 2011
Baa3 (sf) Placed Under Review for Possible Upgrade;

US$5,000,000 Class Q-5 Notes Due 2019 (current rated balance of
$2,253,512.76), Upgraded to Ba1 (sf); previously on June 22, 2011
B2 (sf) Placed Under Review for Possible Upgrade.

In addition, Moody's has confirmed the rating of the following
notes:

US$52,000,000 Class A-3 Third Priority Secured Floating Rate Term
Notes Due 2019, Confirmed at Aa2 (sf); previously on June 22, 2011
Aa2 (sf) Placed Under Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in the publication "Moody's Approach to Rating
Collateralized Loan Obligations" published in June 2011. The
primary changes to the modeling assumptions include (1) a removal
of the temporary 30% default probability macro stress implemented
in February 2009 as well as (2) increased BET liability stress
factors and increased recovery rate assumptions.

The actions also reflect consideration of credit improvement of
the underlying portfolio since the rating action in September
2009. Credit improvement reflects a shift in the collateral
manager's investment focus from second-lien loans and high yield
bonds to higher rated first-lien senior secured loans. Based on
the latest trustee report dated June 7, 2011, the concentration of
assets other than first-lien senior secured loans was reported at
19.2% compared to 46.1% in August 2009. Consequently, the trustee
reported weighted average recovery rate also increased to 46.8%
from 39.1% in the August 2009 report. The deal has also
experienced a decline in the weighted average rating factor. Based
on the June 2011 trustee report, the weighted average rating
factor is currently 2869 compared to 3121 in August 2009.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $590 million,
defaulted par of $12.1 million, a weighted average default
probability of 26.5% (implying a WARF of 3350), a weighted average
recovery rate upon default of 45.5%, and a diversity score of 50.
These default and recovery properties of the collateral pool are
incorporated in cash flow model analysis where they are subject to
stresses as a function of the target rating of each CLO liability
being reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

Lafayette Square CDO Ltd., issued in November 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans and high yield bonds.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011. Please see the Research & Ratings page on
www.moodys.com for a copy of this methodology.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1. Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus sell defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.

2. Weighted average life: The notes' ratings are sensitive to the
   weighted average life assumption of the portfolio, which may be
   extended due to the manager's decision to reinvest into new
   issue loans or other loans with longer maturities and/or
   participate in amend-to-extend offerings. Moody's tested for a
   possible extension of the actual weighted average life in its
   analysis.

3. Other collateral quality metrics: The deal is allowed to
   reinvest and the manager has the ability to deteriorate the
   collateral quality metrics' existing cushions against the
   covenant levels. Moody's analyzed the impact of assuming the
   worse of reported and covenanted values for weighted average
   rating factor, weighted average spread, weighted average
   coupon, and diversity score.

4. Exposure to credit estimates: The deal is exposed to a large
   number of securities whose default probabilities are assessed
   through credit estimates. In the event that Moody's is not
   provided the necessary information to update the credit
   estimates in a timely fashion, the transaction may be impacted
   by any default probability stresses Moody's may assume in lieu
   of updated credit estimates.


LB MULTIFAMILY: Fitch Affirms Class A-1 at 'D/RR3'
--------------------------------------------------
Fitch Ratings affirms LB Multifamily Mortgage Trust's, multi-class
pass-through certificates, series 1991-4:

   -- $346,532.51 class A-1 at 'D/RR3';

   -- $54.93 class A-2 at 'C/RR3'.

Classes B, C, and D have been reduced to zero due to realized
losses. Fitch does not rate class R.

The certificates are collateralized by two adjustable rate
mortgage loans, secured by multifamily properties in California.
As of the April 2010 distribution date, the pool's collateral
balance has been reduced by 99% to $425,301 from $105.8 million at
issuance.

Class A-1 has incurred $9.2 million in realized losses, as well as
over $70 million in principal paydown. Class A-2 has a reserve
fund that provides loss protection to this class; therefore, this
class is not expected to incur any losses.

At issuance, the net operating income and the debt service
coverage ratio figures were not available. No loans are required
to report year-end (YE) financials and none reported YE 2010
financials.


LEHMAN XS: Moody's Upgrades Rating of $90 Mil. Alt-A RMBS
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of five
tranches issued by Lehman XS Trust Series 2005-6.

RATINGS RATIONALE

The collateral backing the transaction consists primarily of
first-lien, Alt-A residential mortgage loans. The actions are a
result of the recent performance review of Alt-A pools and reflect
Moody's updated loss expectations on Alt-A pools issued from 2005
to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

In the rating action, some tranches were upgraded. The upgrades
are a result of improved performance and certain structural
features. In certain transactions there are structural features
whereby the tranches are receiving more principal payments than
anticipated, supporting the upgrades.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Lehman XS Trust Series 2005-6

Cl. 3-A2C, Upgraded to Baa3 (sf); previously on Sep 3, 2010
Confirmed at Ba2 (sf)

Cl. 3-A2A, Upgraded to Baa1 (sf); previously on Sep 3, 2010
Upgraded to Baa2 (sf)

Cl. 3-A2B, Upgraded to A1 (sf); previously on Sep 3, 2010 Upgraded
to A3 (sf)

Cl. 3-A4A, Upgraded to Baa1 (sf); previously on Sep 3, 2010
Confirmed at Ba1 (sf)

Cl. 3-A4B, Upgraded to Caa1 (sf); previously on Sep 3, 2010
Downgraded to Caa3 (sf)


MARATHON CLO: Moody's Upgrades Ratings of CLO Notes
---------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Marathon CLO II Ltd.:

US$273,000,000 Class A-1b Floating Rate Senior Secured Notes, Due
2019 (current outstanding balance of $257,687,836), Upgraded to
Aa1 (sf); previously on June 22, 2011, Aa3 (sf) Placed Under
Review for Possible Upgrade;

US$12,500,000 Class A-2 Floating Rate Senior Secured Notes, Due
2019, Upgraded to A1 (sf); previously on June 22 2011, A2 (sf)
Placed Under Review for Possible Upgrade;

US$22,000,000 Class B Floating Rate Senior Deferrable Interest
Secured Notes, Due 2019, Upgraded to A3 (sf); previously on June
22 2011, Baa2 (sf) Placed Under Review for Possible Upgrade;

US$22,500,000 Class C Floating Rate Senior Deferrable Interest
Secured Notes, Due 2019, Upgraded to Ba1 (sf); previously on June
22 2011, Ba3 (sf) Placed Under Review for Possible Upgrade;

US$10,200,000 Class D Floating Rate Subordinated Deferrable
Interest Secured Notes, Due 2019, Upgraded to Ba3 (sf); previously
on June 22 2011, Caa2 (sf) Placed Under Review for Possible
Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $389.9 million,
defaulted par of $5.8 million, a weighted average default
probability of 23.08% (implying a WARF of 3104), a weighted
average recovery rate upon default of 46.64%, and a diversity
score of 47. Moody's generally analyzes deals in their
reinvestment period by assuming the worse of reported and
covenanted values for all collateral quality tests. However, in
this case given the limited time remaining in the deal's
reinvestment period, Moody's analysis reflects the benefit of
assuming a higher likelihood that the collateral pool
characteristics will continue to maintain a positive "cushion"
relative to certain covenant requirements, as seen in the actual
collateral quality measurements. The default and recovery
properties of the collateral pool are incorporated in cash flow
model analysis where they are subject to stresses as a function of
the target rating of each CLO liability being reviewed. The
default probability is derived from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The average recovery rate to be realized on
future defaults is based primarily on the seniority of the assets
in the collateral pool. In each case, historical and market
performance trends and collateral manager latitude for trading the
collateral are also factors.

Marathon CLO II Ltd., issued on December 22, 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus sell defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.


MASTR ASSET: Moody's Lowers Rating of $205 Mil. Subprime RMBS
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of seven
tranches from two transactions issued by MASTR Asset Backed
Securities Trust in 2006.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
Subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: MASTR Asset Backed Securities Trust 2006-AM1

Cl. A-2, Downgraded to Aa2 (sf); previously on May 5, 2010
Confirmed at Aaa (sf)

Cl. A-3, Downgraded to Ca (sf); previously on May 5, 2010
Downgraded to B1 (sf)

Cl. A-4, Downgraded to Ca (sf); previously on May 5, 2010
Downgraded to Caa1 (sf)

Cl. M-1, Downgraded to C (sf); previously on May 5, 2010
Downgraded to Caa2 (sf)

Issuer: MASTR Asset Backed Securities Trust 2006-AM3

Cl. A-2, Downgraded to B1 (sf); previously on May 5, 2010
Confirmed at A2 (sf)

Cl. A-3, Downgraded to Ca (sf); previously on May 5, 2010
Downgraded to Caa1 (sf)

Cl. A-4, Downgraded to Ca (sf); previously on May 5, 2010
Downgraded to Caa2 (sf)


MERRILL LYNCH: DBRS Confirms Rating on Class K Loan at 'BB'
-----------------------------------------------------------
DBRS has confirmed these 11 classes of Merrill Lynch Financial
Assets Inc., Series 2002-Canada 8:

Class A-2 at AAA
Class B at AAA
Class C at AAA
Class D at AAA
Class E at AA (high)
Class G at A (high)
Class H at A
Class J at BBB
Class K at BB

These notional classes were also confirmed:

Class X-1 at AAA
Class X-2 at AAA

In addition, DBRS has upgraded Class F from AA (low) to AA.

All trends for the rated classes of this transaction are Stable.

DBRS does not rate the $8.2 Million first loss piece, Class L.

The rating actions reflects the strong performance the pool
continues to exhibit, with 19 loans being successfully repaid for
a collateral reduction of approximately 45.9%, as of the July 2011
remittance report.  There are also seven fully defeased loans in
the pool, representing 15.1% of the pool balance; two of those
loans are in the top 15 loans in the pool, representing
approximately 10.1% of the pool balance.  Of the 13 loans in the
top 15 loans in the pool that are not defeased, ten loans with
approximately 45% of the current pool balance are full-recourse to
strong sponsors.  The weighted-average NCF change for the top 15
loans in the pool since issuance, through the most recent figures
available for each loan, is strong at 15.4%, and is indicative of
the pool's overall strength.

Approximately 82% of the pool balance will mature by YE2012, with
the bulk of those maturities scheduled in Q3 and Q4 2012.  DBRS
calculated a weighted-average exit debt yield for those loans of
14.11%, based on the most recent NCF figures available, of which
approximately 75% were from YE2009.

There are six loans on the servicer's watchlist, comprising
approximately 7.5% of the current pool balance.  One of those
loans, Prospectus ID#49, is on the servicer's watchlist for the
upcoming expiration of the property's single tenant.  The servicer
confirmed in July 2011 that the tenant renewed for a ten-year term
and the loan, which represents approximately 0.60% of the current
pool balance, will be removed from the watchlist in August 2011.

The largest loan on the servicer's watchlist is Prospectus ID#20,
representing 2.7% of the current pool balance. The loan is secured
by an anchored retail property located in Montr‚al, Qu‚bec.  The
loan is on the watchlist for a property rating of Poor, as of the
October 2010 servicer's site inspection.  The items contributing
to the rating included deteriorating pavement, broken windows and
loading dock disrepair.  The property performance is strong, with
a YE2010 DSCR of 1.79x and an occupancy of 87%, for this property
that was constructed in 1957.  The loan benefits from a strong
sponsor who is very experienced in the development and management
of this property type. Furthermore, the loan has full-recourse to
the sponsor.  DBRS will continue to monitor the loan for
developments.  The loan matures in November 2012.

The second largest loan on the servicer's watchlist is Prospectus
ID#32, representing 1.63% of the current pool balance.  The loan
is collateralized by an anchored retail property located in
Timmins, Ontario.  The loan is on the servicer's watchlist for an
occupancy decline since issuance; at January 2011, the property
was 75% occupied due to the loss of two tenants in Q3 2010.  The
DSCR for the fiscal year ending in May 2010 was strong at 1.54x,
down from 1.64x at YE2009; however, DBRS anticipates the YE2011
DSCR to decline as the numbers begin to fully reflecting the loss
in occupancy at the property in the last part of 2010.  The loan
benefits from a strong sponsor and has full-recourse.  DBRS will
continue to closely monitor the property's performance through the
July 2012 maturity.

DBRS has applied a NCF stress scenario across all the loans in the
pool and the resulting DBRS required credit enhancement levels,
when compared to the current credit enhancement levels to the
bonds, warrant the ratings upgrade and confirmations.

DBRS continues to monitor this transaction on a monthly basis in
the Monthly CMBS Surveillance Report, which can provide more
detailed information on the individual loans in the pool.


MERRILL LYNCH: DBRS Confirms Rating on Class J Loan at 'BB'
-----------------------------------------------------------
DBRS has confirmed these classes of Merrill Lynch Financial Assets
Inc., Series 2001-Canada 6:

Class A-2 at AAA
Class B at AAA
Class C at AAA
Class D at AAA
Class E at AAA
Class F at AA
Class G at A
Class H at BBB
Class J at BB

This notional class was also confirmed:

Class X at AAA

All trends for the rated classes of this transaction are Stable.

DBRS does not rate the $3.98 Million first loss piece, Class K..

The transaction has 18 of the original 41 loans outstanding, as of
the July 2011 remittance report; of those 18 loans, two loans are
fully defeased, representing a cumulative 5.24% of the current
pool balance.  Of the remaining loans in the transaction, all but
two are scheduled to mature by YE2011.

The rating confirmations reflect the continued strength of the
pool's performance, with only one loan on the servicer's watchlist
for performance issues.  That loan, Prospectus ID#40, Elmira Road,
represents 0.87% of the current pool balance.  The loan is secured
by a 40,000 sf industrial property located in Guelph, Ontario.
The loan is on the servicer's watchlist for a low YE2010 DSCR of
0.40x.  The property has experienced fluctuations in occupancy
over the last two years after losing the largest tenant (38% of
the NRA) in January 2010.  Part of the space was re-leased, but
overall occupancy had fallen to 76%, as of June 30, 2010, from
100% at YE2009.  Property cash flow has also declined due to a 70%
reduction in the rental rate for the property's largest tenant,
representing 16% of the NRA, who's lease expired in November 2009.
The tenant is now occupying space on a month-to-month basis.  In
October 2010, the servicer conducted a site inspection of the
subject property and found it to be in Good condition, with no
significant items of deferred maintenance noted at the time of
inspection.  At the time of inspection, the property was 76.5%
occupied, where it remained until May 2011, when a tenant
occupying 17% of the NRA vacated its space upon lease expiration.
The loan is scheduled to mature in October 2011; the servicer
stated in July 2011 that the borrower indicated plans to payoff
the loan at maturity.  DBRS will continue to monitor the loan
closely for any developments.

Of the loans scheduled to mature by YE2011, three loans are
scheduled for maturity in July and August of 2011.

Prospectus ID#8, Upper James Square, matured July 1, 2011 and
comprises 7.37% of the current pool balance.  The loan is secured
by an anchored retail property in Hamilton, Ontario.  The servicer
reports that the loan is now paid in full, with funds to be
applied at the time of the August 2011 remittance report.

Prospectus ID#10, Metro Portfolio, comprises 6.81% of the current
pool balance and is scheduled for maturity in August 2011.  The
loan is collateralized by five retail properties located across
five suburban cities in Qu‚bec.  The servicer has not received
updated financials for the loan since YE2008, when the borrower's
reported a 23% decline from the underwritten NCF.  However, it
appears this figure is skewed, as the EGI was reported at
$2.1 million as compared with $1.8 million at issuance, with an
increase in overall expenditures of 50% across all five properties
from the underwritten amount, which would drive the NCF decline.
The servicer's October 2010 site inspection of the portfolio found
all five properties to be 100% occupancy and all properties were
found to be in Good condition, with no significant items of
deferred maintenance noted at the time of inspection.  As of
July 2011, the servicer has not received confirmation from the
borrower as to its plans for the August 2011 maturity.  DBRS will
continue to monitor the loan for developments.

Prospectus ID#17, Longueuil Centre, comprises 4.0% of the current
pool balance and is scheduled to mature in August 2011. The loan
is secured by a retail property located in Longueuil, Qu‚bec.  At
YE2009, the borrower's reported NCF represented an increase from
the underwritten level of 36.7%.  The increase is primarily due to
an increase in income at the property since the loan's
origination.  The servicer reported in July 2011 that the borrower
planned to repay the loan at maturity.  Given the strong exit debt
yield of 20.56% calculated for this loan based on the YE2009 NCF
figure, DBRS does not anticipate trouble refinancing the loan.

There are no loans on the DBRS HotList.

DBRS has applied a NCF stress across all the loans in the pool and
the resulting DBRS required credit enhancement levels, when
compared to the current credit enhancement levels to the bonds,
warrant the ratings confirmations.

DBRS continues to monitor this transaction on a monthly basis in
the Monthly CMBS Surveillance Report, which can provide more
detailed information on the individual loans in the pool.


MERRILL LYNCH: DBRS Downgrades Rating on Class P Loan to 'D'
------------------------------------------------------------
DBRS has downgraded this class of the Merrill Lynch Mortgage Trust
2005-CIP1:

  -- Class P to D (sf) from C (sf)

The downgrade follows realized losses incurred on the trust which
resulted from one loan being liquidated out of the trust and one
loan being modified in June 2011.

University Village (Prospectus ID#12, 1.75% of the current pool
balance) was transferred to the special servicer after the
borrower requested a return to interest-only (IO) debt-service
payments because of cash flow difficulties at the property. The
lender and borrower have reportedly finalized a modification of
the loan terms, which includes an A/B note split of the original
loan and an extension of the IO period.  A realized loss of
$634,441 was applied to the trust as part of the June 13, 2011
remittance report.  The loan is still delinquent and remains in
special servicing.  Collateral for the loan is an anchored retail
property built in 1997 in Riverside, California. Total advances
outstanding on this loan exceed $3 million, which is greater than
one year's debt service.  DBRS anticipates additional losses as
the special servicer fees and recoveries are collected in the
coming months.

Alano Plaza (Prospectus ID#97) was transferred to the special
servicer in February 2011 due to imminent default.  The loan was
secured by a small, unanchored retail property in Las Vegas.  At
YE2009, the property was 85% occupied and operating at a 0.92x
DSCR, compared with 92% occupancy and a DSCR of 1.38x at issuance.
Cash flow fell into further decline throughout 2010 as a result of
decreasing rents, increased vacancy, and deterioration of the Las
Vegas retail market. The DSCR at YE2010 was reported to be 0.66x.
According to the special servicer, a note sale was pursued over
foreclosure in order to maximize recovery to the trust.  The June
2011 liquidation of this loan incurred a realized loss of
$2.5 million to the trust.

Additional expenses associated with one previously liquidated
loan, Kintetsu World Express (Prospectus ID#66), have also
contributed to the realized loss included in the June 2011
remittance report.

The largest loss to the trust to date is attributable to Holiday
Inn Mission Bay Sea World (Prospectus ID#13) which was resolved in
a real estate-owned (REO) sale and caused a realized loss to the
trust of $19.6 million at the time of the September 2010
remittance report. The disposition of this loan resulted in a 76%
reduction to the principal balance of the unrated Class Q
certificate.  The loans discussed above have contributed to the
elimination of the remainder of Class Q as well as the
$1.2 million loss experienced by Class P.

Since the time of the last review of this transaction in January
2011, six loans have transferred to special servicing: Coco Centre
(Prospectus ID#65), Park Forest (Prospectus ID#113), Sunrise Plaza
(Prospectus ID#89), Hampton Inn Newton (Prospectus ID#35), Hampton
Inn Great Valley (Prospectus ID#58), and Kirkwood Bend Office
(Prospectus ID#30).  These loans cumulatively comprise 3.09% of
the pool balance, as of the June 13, 2011 remittance report.  As
part of the continued surveillance on this transaction, these
loans and the other loans currently in special servicing will be
monitored for further developments.


MERRILL LYNCH: Fitch Affirms ML 1996-C2 Ratings
-----------------------------------------------
Fitch Ratings affirms and revises the Rating Outlook of one class
of Merrill Lynch Mortgage Trust ML 1996-C2 commercial mortgage
pass-through certificates, series 1996-C2:

   -- $5.5 million class F at 'Asf/LS1'; Outlook to Stable from
      Negative.

Fitch also affirms this class:

   -- $39.8 million class G at 'Csf/RR3'.

Fitch does not rate class H, and classes A-1, A-2, A-3, B, C, D,
and E have all paid in full. Class IO has been withdrawn.

As of the June 2011 remittance report, the transaction has paid
down 95.9% to $46.7 million from $1.1 billion at issuance. Twenty
loans remain in the transaction, of which two (36.4%) are in
special servicing and real-estate owned (REO).

Fitch stressed the cash flow of the remaining loans by applying a
5% reduction to the most recent 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 largest contributor to Fitch modeled losses is a 672-room
exterior corridor hotel located in Orlando, FL. The property is
currently on the market, and the special servicer is evaluating
final offers. Fitch expects losses upon liquidation of the asset.

The second largest contributor to Fitch modeled losses is a 367-
room exterior corridor hotel located in Kissimmee, FL. The special
servicer foreclosed on the property in September 2010 and is
preparing to list it for sale. Fitch expects losses upon
liquidation of the asset.


MERRILL LYNCH: Fitch Take Various Actions on MLMT 2004-MKB1
--------------------------------------------------------
Fitch Ratings has upgraded three and downgraded two classes of
Merrill Lynch Mortgage Trust 2004-MKB1 commercial mortgage pass-
through certificates.

The rating downgrades are the result of Fitch expected losses on
specially serviced loans. The upgrade of class D is to due to
sufficient credit enhancement to offset Fitch expected losses.

Fitch modeled losses of 1.8% of the remaining pool balance,
approximately $10.8 million, from the loans in special servicing
and the loans that are not expected to refinance at maturity based
on Fitch's refinance test.

As of the July 2011 distribution date, the pool's collateral
balance has paid down 41.6% to $424 million from $980 million at
issuance. Seven of the remaining loans have defeased (26%) and two
loans (3.8%) are in special servicing.

The largest specially serviced asset (2.3%), is secured by a
113,556 square foot (sf) office property located in Memphis, TN.
The loan transferred to special servicing in April 2009 and the
special servicer foreclosed on the property in October 2009. The
special servicer is currently marketing the property for sale.

The second largest specially serviced loan (1.5%) is secured by
228-unit multifamily property located in Tampa, FL. The loan
transferred to special servicing in February 2009 and the borrower
filed bankruptcy a year later. The borrower and special servicer
submitted to a consensual plan for the special servicer to take
title to the property. The special servicer took title to the
property in March 2011 and is working to stabilize the property
prior to marketing it for sale.

Fitch downgrades and revises the Outlooks on these classes:

   -- $2.5 million class N downgraded to 'B-/LS5' from 'B/LS5';
      Outlook to Stable from Negative;

   -- $3.7 million class P downgraded to 'CCC/RR1' from 'B-/LS5'.

In addition, Fitch upgrades these classes:

   -- $25.7 million class D upgraded to 'AAA/LS4' from 'AA/LS3';
      Outlook Stable;

   -- $11 million class E upgrade to 'AA/LS5' from 'A+/LS4';
      Outlook Stable;

   -- $13.5 million class F upgrade to 'A/LS5' from 'A-/LS4;
      Outlook Stable.

Finally, Fitch affirms and revises these loss severity (LS)
ratings and Outlook:

   -- $33.8 million class A-3 at 'AAA/LS1'; Outlook Stable;

   -- $169.7 million class A-4 at 'AAA/LS1'; Outlook Stable;

   -- $105.1 million class A-1A at 'AAA/LS1'; Outlook Stable;

   -- $27 million class B at 'AAA', LS revised to 'LS4' from
      'LS3', Outlook Stable;

   -- $11 million class C at 'AAA', LS revised to 'LS5' from
      'LS4', Outlook Stable;

   -- $12.3 million class G at 'BBB', LS revised to 'LS5' from
      'LS4', Outlook Stable;

   -- $11 million class H at 'BBB-', LS revised to 'LS5' from
      'LS4', Outlook Stable;

   -- $3.7 million class J at 'BB+/LS5'; Outlook Stable;

   -- $4.9 million class K at 'BB/LS5'; Outlook Stable;

   -- $4.9 million class L at 'BB-/LS5'; Outlook to Stable from
      Negative;

   -- $4.9 million class M at 'B+/LS5'; Outlook to Stable from
      Negative.

Fitch does not rate the $9.8 million class Q. Class A-1 and Class
A-2 have been paid in full. Classes XC and XP have been withdrawn.


MERRILL LYNCH: Moody's Lowers Rating $58 Mil. of Prime Jumbo RMBS
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 7
tranches, backed by adjustable rate mortgage loans, issued by
Merrill Lynch Mortgage Investors Trust MLCC 2005-A.

RATINGS RATIONALE

The collateral backing this transaction consists primarily of
first-lien, Prime Jumbo residential mortgage loans. The downgrades
are a result of the recent performance review of Prime Jumbo pools
and reflect Moody's updated loss expectations on Prime Jumbo pools
issued from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
Prime Jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R) (SFW), the
cash flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprised of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The above mentioned approach is adjusted slightly when estimating
losses on pools left with a small number of loans to account for
the volatile nature of small pools. Even if a few loans in a small
pool become delinquent, there could be a large increase in the
overall pool delinquency level due to the concentration risk. To
project losses on pools with fewer than 100 loans, Moody's first
estimates a "baseline" average rate of new delinquencies for the
pool that varies from 3% to 5% on average. The baseline rates are
higher than the average rate of new delinquencies for larger pools
for the respective vintages.

Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 3.00%, the adjusted rate of new delinquency would
be 3.03%. in addition, if current delinquency levels in a small
pool are low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.75 to 2.5 for current
delinquencies ranging from less than 2.5% to greater than 10%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology " publication.

The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects the house price index to reach a bottom in the first
quarter of 2012, with a 2% remaining decline between the first
quarter of 2011 and 2012, and the unemployment rate to start
declining by fourth quarter of 2011.

Complete rating actions are:

Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2005-A

Cl. A-1, Downgraded to Baa2 (sf); previously on Apr 21, 2010
Downgraded to A1 (sf)

Cl. A-2, Downgraded to Baa3 (sf); previously on Apr 21, 2010
Downgraded to A2 (sf)

Cl. X-A, Downgraded to Baa2 (sf); previously on Apr 21, 2010
Downgraded to A1 (sf)

Cl. X-B, Downgraded to Caa2 (sf); previously on Apr 21, 2010
Downgraded to B1 (sf)

Cl. B-1, Downgraded to Caa2 (sf); previously on Apr 21, 2010
Downgraded to B1 (sf)

Cl. B-2, Downgraded to Ca (sf); previously on Apr 21, 2010
Downgraded to Caa1 (sf)

Cl. B-3, Downgraded to C (sf); previously on Apr 21, 2010
Downgraded to Ca (sf)

Cl. B-4, Downgraded to C (sf); previously on May 13, 2009
Downgraded to Ca (sf)


MERRILL LYNCH: Moody's Lowers Ratings of $255 Mil. of Jumbo RMBS
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 10
tranches from two RMBS transactions, backed by adjustable loans,
issued by Merrill Lynch.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, prime jumbo residential mortgage loans. The actions
are a result of the recent performance review prime jumbo pools
and reflect Moody's updated loss expectations on prime jumbo pools
issued from 2005 to 2007.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
prime jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R) (SFW), the
cash flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The above mentioned approach is adjusted slightly when estimating
losses on pools left with a small number of loans to account for
the volatile nature of small pools. Even if a few loans in a small
pool become delinquent, there could be a large increase in the
overall pool delinquency level due to the concentration risk. To
project losses on pools with fewer than 100 loans, Moody's first
estimates a "baseline" average rate of new delinquencies for the
pool that varies from 3% to 5% on average. The baseline rates are
higher than the average rate of new delinquencies for larger pools
for the respective vintages.

Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 3.00%, the adjusted rate of new delinquency would
be 3.03%. in addition, if current delinquency levels in a small
pool is low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.75 to 2.5 for current
delinquencies ranging from less than 2.5% to greater than 10%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology " publication.

The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2005-B

Cl. A-1, Downgraded to Baa1 (sf); previously on Apr 21, 2010
Downgraded to A2 (sf)

Cl. A-2, Downgraded to Baa1 (sf); previously on Apr 21, 2010
Downgraded to A2 (sf)

Cl. X-A, Downgraded to Baa1 (sf); previously on Apr 21, 2010
Downgraded to A2 (sf)

Cl. X-B, Downgraded to Caa1 (sf); previously on Apr 21, 2010
Downgraded to B1 (sf)

Cl. B-1, Downgraded to Caa1 (sf); previously on Apr 21, 2010
Downgraded to B1 (sf)

Cl. B-2, Downgraded to Ca (sf); previously on Apr 21, 2010
Downgraded to Caa2 (sf)

Cl. B-3, Downgraded to C (sf); previously on Apr 21, 2010
Downgraded to Ca (sf)

Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2006-2

Cl. II-A, Downgraded to B1 (sf); previously on May 5, 2010
Downgraded to Ba1 (sf)

Cl. III-A, Downgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to B3 (sf)

Cl. IV-A, Downgraded to Caa1 (sf); previously on May 5, 2010
Downgraded to B3 (sf)


MKP CBO III: Fitch Affirms 3 Classes of MKP CBO
-----------------------------------------------
Fitch Ratings has affirmed three classes of notes issued by MKP
CBO III, Ltd. (MKP III):

   -- $27,178,790 class A-2 notes at 'Asf/LS4'; Outlook Negative;

   -- $45,000,000 class B notes at 'Dsf';

   -- $13,701,205 class C notes at 'Csf'.

In evaluating this transaction, Fitch used the analytical
framework described in the reports 'Global Rating Criteria for
Structured Finance CDOs' and 'Global Criteria for Cash Flow
Analysis in CDOs'. Fitch utilized Structured Finance Portfolio
Credit Model (SF PCM) for projecting future default levels for the
underlying portfolio. These levels were compared to the breakeven
levels generated by Fitch's cash flow model under various default
timing and interest rate stress scenarios. The class A-2 notes'
breakeven rates are in line with the class' current rating level.

Since Fitch's last rating action in August 2010, the credit
quality of the underlying collateral has declined further, with
approximately 39.1% of the portfolio downgraded a weighted average
of six notches. Currently, 69.1% of the portfolio has a Fitch
derived rating below investment grade and 55.5% has a rating in
the 'CCC' rating category or lower, compared to 49.8% and 36.1%,
respectively, at last review.

The transaction entered an Event of Default in July 2009 and
subsequently, the majority holders of the class A-2 notes, the
senior most class outstanding at that time, voted to accelerate
the maturity of the transaction. As a result, since the November
2009 payment date, all principal amortizations and excess interest
proceeds have been diverted to amortize the class A-2 notes, and
will continue to do so until the notes are paid in full.

The affirmation of the class A-2 notes is primarily attributed to
the increased amount of the credit enhancement (CE) available to
these notes, resulting from the continued deleveraging of the
capital structure, which in Fitch's view outweighs the
deterioration in the underlying portfolio. Since the last review,
$11.9 million, or 23.9%, of the class A-2 notes' original balance
has amortized down. Approximately $1.7 million of interest
proceeds was used to amortize the notes, over the same time
period. As of the May 2011 payment date, $22.8 million, or 45.6%,
of the class A notes' principal balance has repaid. Based on the
maturity profile of the outstanding pool, Fitch expects the
remaining balance to be paid down within the next two to three
years.

Fitch maintains a Negative Outlook on the class A-2 notes, due to
the relatively limited amount of CE surplus available to protect
the notes against any potential deterioration in the credit
quality of the underlying portfolio.

Fitch does not assign Rating Outlooks to classes rated 'CCC' or
below.

Fitch has also affirmed the Loss Severity (LS) rating of the class
A-2 notes at 'LS4'. The LS rating indicates the tranches'
potential loss severity given default, as evidenced by the ratio
of tranche size to the base-case loss expectation for the
collateral, as explained in Fitch's 'Criteria for Structured
Finance Loss Severity Ratings'. The LS rating should always be
considered in conjunction with the notes' long-term credit rating.
Fitch does not assign LS ratings to tranches rated 'CCC' and
below.

As a result of the acceleration of maturity, the class B notes
have not received any of their interest payments since the
November 2009 payment date and will have interest shortfalls at
least until class A-2 is outstanding. Missed interest constitutes
a default for this non-deferrable class.

The affirmation of the class C notes indicates continued
expectation of principal shortfall at their stated maturity.
Losses expected from the distressed and defaulted assets in the
portfolio (rated 'CCsf' or lower) already exceed the class'
current credit enhancement levels. The principal balance of this
class continues to be written up by the amount of interest owed.

MKP III is a cash flow structured finance collateralized debt
obligation (SF CDO) that closed on April 7, 2004 and is monitored
by MKP Capital Management, LLC. As per the May 2011 trustee
report, the current portfolio is primarily composed of residential
mortgage-backed securities (68.4%), commercial mortgage-backed
securities (26.7%), SF CDOs (4.4%), and commercial and consumer
asset-backed securities (0.5%), all from the 2002 through 2005
vintage transactions.


ML-CFC COMMERCIAL: DBRS Confirms 'BB' Rating on Class D Loan
------------------------------------------------------------
DBRS has confirmed all classes of ML-CFC Commercial Mortgage
Trust, Series 2006-1 as follows:

Classes A-1A, A2, A3, A-3B, A-3FL, A-4, A-SB, AM and X, at AAA
(sf)
Classes AN-FL and AJ at A (high) (sf)
Class B at BBB (sf)
Class C at BBB (low) (sf)
Class D at BB (sf)
Class E at B (sf)
Classes F and G at CCC (sf)
Classes H, J, K, L, M, N, and P at C (sf)

In addition, DBRS recognizes that Classes G through P having
Interest in Arrears. All trends are Stable.  DBRS also confirmed
the shadow-rating for Southern California Ground Lease Portfolio
(Prospectus ID#42, 0.66% of the current pool balance) at 'A'.

Three specially serviced loans continue to remain points of
concern regarding projected loss to the trust.

Inglewood Park (Prospectus ID#11, 1.75% of the pool) is the third
largest loan in special servicing.  Collateral for this loan
consists of six office/flex buildings located in Largo, Maryland,
approximately ten miles east of Washington, D.C.  The property's
performance has been weak since issuance and an April 2011 rent
roll indicated the property to be 50% occupied.  The loan was
structured with a $5.2 million holdback that was to be released
upon achievement of certain performance hurdles.  These hurdles
were never met, and the loan balance was paid down by the amount
of the hold back in early 2010. In addition, the lender approved
the December 2010 sale of one of the original seven buildings
securing the loan at issuance.  The $5.3 million in proceeds
resulting from this sale went to pay down the loan's outstanding
balance.  A receiver is in place at the property to handle
management, leasing, property improvement, and possibly position
the asset for sale.  DBRS anticipates significant losses
associated with this loan, especially given the fact that total
advances outstanding exceed $7.9 million.

Colonial Mall Glynn Place (Prospectus ID#18, 1.17% of the current
pool balance) is secured by a regional mall located in coastal
Georgia in the city of Brunswick.  The property featured a Steve &
Barry's store at issuance that served as collateral for the loan
and contributed more than 10% of the total property income.  Steve
& Barry's closed the store at the subject property when the
company liquidated, and the space remains vacant.  As of June
2010, the asset was 51% occupied. The loan was scheduled to mature
in November 2010, and is now considered non-performing matured
balloon.  A receiver was appointed in October 2010 with the intent
to sell the property.  DBRS will continue to monitor this loan.

U Stor It Self Storage Portfolio (Prospectus ID#20, 1.16% of the
current pool balance) is collateralized by four self-storage
properties located in the Chicago area.  This loan was transferred
to the special servicer after the borrower indicated that the
properties were operating on negative cash flow.  At issuance, an
up-front reserve was held because of the low occupancy of two of
the properties.  It appears that $1.6 million of this reserve is
still held by the lender and could ultimately be used to pay down
the balance of the loan; however, the total outstanding advances
to the loan exceed $3 million, which is more than one year's debt
service. The special servicer is reportedly pursuing a note sale.
DBRS will continue to follow the resolution of this loan.

Since the last review in June 2010, two of the top ten loans,
based on current balance, Prince Georges Center II (Prospectus
ID#10, 2.31% of the current pool balance) and East Thunderbird
Square (Prospectus ID#12, 1.91% of the current pool balance), have
transferred to the special servicer.

Prince Georges Center is secured by an office property in
Hyattsville, Maryland.  The building is 100% occupied by a
government tenant. Payment to reserve funds was due to increase
when the borrower failed to secure the tenant's renewal by
December 2010, and the loan was transferred to special servicing
in March 2011 when the reserve was not adequately funded by the
borrower.  The borrower continues to pay monthly debt service;
however, the cash is being held while the borrower negotiates a
lease renewal with the existing tenant, whose lease is scheduled
to expire in September 2012.

East Thunderbird Square is secured by an unanchored retail
property in Scottsdale, Arizona.  The loan was transferred to the
special servicer in April 2011 for payment default.  The borrower
has been able to increase occupancy at the property from 47% at
YE2010 to 64% as of May 2011.  A $5.6 million letter of credit has
been cashed and is being held by the Master Servicer.  Leverage at
the property, on a per square foot basis, is considered reasonable
at $205.

The remaining top-ten loans are performing well with a
weighted-average DSCR of 1.62x. Some of these loans have
experienced significant improvement to cash flow since issuance.
Two crossed-collateralized loans secured by hotels, Ashford Hotel
Portfolio 2 (Prospectus ID#4, 6.55% of the current pool balance)
and Ashford Hotel Portfolio 3 (Prospectus ID#5, 5.43% of the
current pool balance), are exhibiting stable performance.  These
two top-ten loans are performing with a weighted-average YE2010
DSCR of 1.50x, up from 1.40x at YE2009, which is considered very
strong given the recent economic instability of the hospitality
industry in the current market.  The transaction's remaining
shadow-rated loan, Southern California Ground Lease Portfolio
(Prospectus ID#42, 0.66% of the current pool balance) has
experienced a 40% increase to cash flow since issuance.

As a part of its review, DBRS analyzed the servicer's watchlist,
the specially serviced loans, the top fifteen loans and one shadow
rated loan.  Combined, these loans represent approximately 67% of
the pool balance.


MMAF EQUIPMENT: Moody's Assigns Provisional Ratings to Lease
------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings of
(P)P-1 (sf) to the Class A-1 Notes, (P)Aaa (sf) to the Class A-2,
Class A-3, Class A-4 and Class A-5 Notes, (P)Aa3 (sf) to the Class
B Notes, (P)A2 (sf) to the Class C Notes, and (P) Baa2 (sf) to the
Class D Notes, to be issued by MMAF Equipment Finance LLC 2011-A
(Issuer). The servicer and sponsor is MassMutual Asset Finance
LLC, a subsidiary of Massachusetts Mutual Life Insurance Company
(Aa2/P-1).

The complete rating action is:

Issuer: MMAF Equipment Finance LLC 2011-A

$117,000,000 Class A-1, rated (P)P-1 (sf)

$158,000,000 Class A-2, rated (P)Aaa (sf)

$153,000,000 Class A-3, rated (P)Aaa (sf)

$180,000,000 Class A-4, (P)Aaa (sf)

$88,990,000 Class A-5, (P)Aaa (sf)

$21,350,000 Class B, (P)Aa3 (sf)

$21,360,000 Class C, (P)A2 (sf)

$15,540,000 Class D, (P)Baa2 (sf)

RATINGS RATIONALE

The ratings are based on an assessment of the quality and
diversity of the obligors under the loans and leases, with the
majority rated investment grade; the historical performance of the
servicer's portfolio, with only a few cases of delinquency or
loss; credit enhancement including subordination,
overcollateralization, reserve account funded at closing, and
excess spread; the legal and cash flow structure of the
transaction, and the servicing arrangements. MassMutual Asset
Finance LLC (MMAF) as the servicer and sponsor has engaged
Portfolio Financial Servicing Company (PFSC) as the subservicer
and backup servicer while Babson Capital Management LLC (Babson
Capital) is the performance guarantor of MMAF's obligations as
servicer under the servicing agreement.

The notes are secured by equipment loans and leases and related
equipment. The 2011-A securitized pool includes approximately 55%
leases and 45% loans. Most of the leases are operating leases
where the lessor (the Issuer) has exposure to residual value at
lease maturity. Approximately 20.6% (on an undiscounted basis) of
the pool by securitized value consists of residuals. Of this
amount, 12.9% is supported by guarantees from the related obligor,
while unsupported residuals account for approximately 7.7% of the
pool. Relative to the prior transaction, MMAF Equipment Finance
LLC 2009-A ("MMAF 2009-A"), this transaction has a somewhat lower
initial hard credit enhancement. However, excess spread in this
transaction is greater than that in MMAF 2009-A, allowing for
greater build-up in overcollateralization. The top obligor in this
transaction is the U.S. government, representing 13.75% of the
pool, up from 12.16% in the MMAF 2009-A transaction. The top five
obligors in this transaction represent 28.18% of the total
securitized pool, as compared to a 23.78% top five obligor
concentration in the MMAF 2009-A deal, an indication of overall
lower diversity in the current transaction.

A previous securitization by an affiliate of MMAF performed within
Moody's expectations, with the subordinated tranches being
upgraded since it closed in 2006. The transaction experienced no
losses since its inception, and paid off in 2010. Similarly, MMAF
2009-A has experienced minimal delinquencies and no losses since
inception.

Key credit metrics on the collateral pool include the weighted
average rating of the obligors, the Diversity Score (see
explanation in "Principal Methodology" below), and the break-even
recovery rate on liquidated collateral in the event of an obligor
default.

The weighted average rating of the rated obligors in the pool is
Baa2, while the average rating for the pool was estimated to be
Ba1 if those obligors which are not rated by Moody's
(approximately 24% of the securitization value of the pool) were
assigned a default rating of B2. As a comparison, MMAF 2009-A had
the same weighted average rating on the rated obligors in its
collateral pool, as well as the same (Ba2) rating on the pool as a
whole assuming a B2 rating for the unrated obligors.

The Diversity Score for the MMAF 2011-A collateral pool is 29,
meaning that the pool of obligors will have a similar default
profile as a pool of 29 independent and equal-sized obligors with
the same rating as the weighted average rating of the pool. This
diversity score is lower, i.e. weaker, then the MMAF 2009-A
transaction, which had an estimated Diversity Score of 40.

Finally, the estimated break-even recovery rate for the Class A
Notes is approximately 56%, approximately 64% for the Class B
Notes, approximately 67% for the Class C Notes, and approximately
70% for the Class D Notes, levels which are similar to the break-
even recovery rates on the MMAF 2009-A transaction. At 64%, the
breakeven recovery rate for the Class B Notes is materially higher
than the estimated break-even recovery rate for the Aa2-rated
Class B Notes in the MMAF 2009-A transaction, leading to the Aa3
rating assignment for the Class B Notes in this transaction.

V-SCORE AND LOSS SENSITIVITY

The V Score for this transaction is assessed as Low/Medium, the
same as the V Score assigned to the U.S. equipment lease and loan
sector (large issuers). The V Score indicates a low to medium
degree of variability regarding critical assumptions used in the
rating process. In particular, the overall Low/Medium V Score for
this transaction is driven by the Low/Medium score for historical
sector performance, the Low/Medium Score for sponsor/originator
historical performance and data adequacy, the Medium score of
complexity and market value sensitivity, and the Low/Medium Score
for governance. MMAF 2011-A's score for sponsor/originator
historical performance and data adequacy is Low/Medium, lower than
the Medium score for the sector, due to the very low delinquencies
and zero cumulative net losses on either of the two prior
transactions. MMAF 2011-A's score for complexity and market value
sensitivity is Medium, the same as the sector, due to transaction
complexity that is the same as the sector (Medium for both MMAF
2011-A and the sector), but greater analytic complexity and market
value sensitivity than the sector (Medium for MMAF 2011-A and
Low/Medium for the sector). MMAF 2011-A's score of Low/Medium for
governance is weaker than the sector's score of Low, given the
lesser experience of, arrangements among, and oversight of
transaction parties in the MMAF 2011- A transaction compared to
more seasoned issuers.

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: For this exercise, Moody's
analyzed stress scenarios assessing the potential model-indicated
ratings impact if (a) the assumed weighted average rating of the
obligors were to immediately decline from Ba1 to Ba2, Ba3 and B1
and (b) the assumed recovery rates were to decrease in 5%
increments from 65% down to 50% for the Class A Notes, 70% down to
55% for the Class B Notes, 75% down to 60% for the Class C Notes,
and 80% down to 65% for the Class D Notes. The following
descriptions provide a summary of the results. For complete
details, see the presale report.

Using such assumptions, the Aaa initial rating for the Class A-2,
Class A-3, A-4 and Class A-5 of the notes might change as follows
based purely on the model results: (a) If the assumed weighted
average rating of obligors is Ba1, the maximum change will be one
notch to Aa1 as the recovery rate decreases to 50%; (b) If the
weighted average rating of obligors is Ba2, the maximum change
will be four notches to A1 as the recovery rate decreases to 50%;
(c) If the weighted average rating of obligors is Ba3, the maximum
change will be seven notches to Baa1 as recovery rate decreases to
50%; and (d) If the weighted average rating of obligors is B1, the
maximum change will be ten notches to Ba1 as the recovery rate
decreases to 50%.

The Aa3 initial rating for the Class B of the notes might change
as follows: (a) If the weighted average rating of obligors is Ba1,
the maximum change will be three notches to A3 as the recovery
rate decreases to 55%; (b) If the weighted average rating of
obligors is Ba2, the maximum change will be seven notches to Ba1
as the recovery rate decreases to 55%; (c) If the weighted average
rating of obligors is Ba3, the maximum change will be eleven
notches to B2 as recovery rate decreases to 55%; and (d) If the
weighted average rating of obligors is B1, the maximum change will
be more than twelve notches to below B3 as the recovery rate
decreases to 55%.

The A2 initial rating for the Class C of the notes might change as
follows: (a) If the weighted average rating of obligors is Ba1,
the maximum change will be three notches to Baa2 as the recovery
rate decreases to 60%; (b) If the weighted average rating of
obligors is Ba2, the maximum change will be seven notches to Ba3
as the recovery rate decreases to 60%; (c) If the weighted average
rating of obligors is Ba3, the maximum change will be more than
ten notches to below B3 as the recovery rate decreases to 60%; and
(d) If the weighted average rating of obligors is B1, the maximum
change will be more than ten notches to below B3 as the recovery
rate decreases to 60%.

The Baa2 initial rating for the Class D of the notes might change
as follows: (a) If the weighted average rating of obligors is Ba1,
the maximum change will be two notches to Ba1 as the recovery rate
decreases to 65%; (b) If the weighted average rating of obligors
is Ba2, the maximum change will be six notches to B2 as the
recovery rate decreases to 65%; (c) If the weighted average rating
of obligors is Ba3, the maximum change will be more than seven
notches to below B3 as the recovery rate decreases to 65%; and (d)
If the weighted average rating of obligors is B1, the maximum
change will be more than seven notches to below B3 as the recovery
rate stays at 65%.

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.

PRINCIPAL METHODOLOGY

A hybrid approach was used for this transaction. Qualitatively,
the principal methodology used in rating traditional equipment
lease transactions, "Moody's Approach to Rating Securities Backed
Equipment Leases and Loans" dated as of April 2, 2007, was used.
This publication is available on www.moodys.com in the Rating
Methodologies sub-directory under the Research & Ratings tab. The
quantitative analysis normally used for equipment lease
transactions was not used as the equipment lease pool in this
transaction, like the sponsor's portfolio generally, is dominated
by leases and loans with investment grade corporate obligors. In
contrast to a traditional equipment lease pool, but similar to a
fleet leasing pool, incidences of default are extremely low but
individual obligor concentrations are high. As such the approach
used for fleet leasing ABS, which is similar to what is used in
rating CLO transactions, was used in analyzing this transaction.
This approach utilizes two techniques. The first technique is
called binomial expansion technique (BET) and is described in the
reports "The Binomial Expansion Method Applied to CBO/CLO
Analysis", December 13, 1996, and "Moody's Approach to Rating
Collateralized Loan Obligations", June 22, 2011, published by
Moody's Investors Service. In addition, a second technique
utilizing Moody's CDOROM model was also utilized. A detailed
description of the model is provided in the Appendix to the
CDOROMv2.8.4 User Guide, dated January 13, 2011, available at
www.moodys.com.

Under the BET method, the pool of obligors is mapped to a
hypothetical or proxy pool of independent and equal-sized
obligors, and the loss distribution from the proxy pool generated
by the BET method is used to reflect the loss distribution of the
actual pool. The number of independent and equal-sized obligors is
called the Diversity Score of the actual pool. The probability of
default of the obligors is determined by the average rating on the
pool. A loss distribution can be generated by using the BET
method. The loss distribution generated by the BET method is input
into a cash flow model to determine the expected loss on the bonds
to determine their appropriate ratings at given credit enhancement
levels.

The CDOROM model uses Monte Carlo simulation to generate the loss
distribution based on actual obligor concentrations and ratings,
which is then applied to the same cash flow model as in the BET
method, to determine the ratings on the bonds. The CDOROM model
does not rely on a proxy pool. Instead, it directly models the
loss distribution of the pool using Monte Carlo simulations based
on the probability of default of each obligor, which is
represented by its rating, and actual sizes of the obligors in the
pool, their industry classifications, and the correlation among
the obligors and industries. Specifically, the CDOROM is used to
generate probability of default distribution, then the probability
of default distribution generated by the CDOROM model is fed into
the cash flow model to replace the probability of default
distribution based on the BET method. The resulting loss
distribution based is then used to generate expected losses on the
bonds to determine their appropriate ratings at given credit
enhancement levels.

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. Equipment Lease and Loan ABS Sector" are
available on moodys.com.


MONTANA RE: A.M. Best Downgrades Debt Ratings to 'b'
----------------------------------------------------
A.M. Best Co. has downgraded the debt ratings to "b" from "bb-"
on $100 million series 2009-1 Class A and to "ccc" from "b" on
$75 million series 2009-1 Class B principal-at-risk variable rate
notes both due December 7, 2012, issued by Montana Re Ltd. (Grand
Cayman, Cayman Islands).  Both ratings have been removed from
under review with negative implications and assigned a stable
outlook.

The rating actions are in response to A.M. Best's receipt of new
attachment probabilities using the RiskLink Version 11 U.S.
Hurricane Model from Risk Management Solutions Inc., the
calculation agent and modeling firm involved in the transaction.
The updated attachment probabilities using the RiskLink Version 11
showed a significant increase when compared to the attachment
probabilities previously calculated with the archived model, which
was used in the initial modeling of the transaction.

The notes provide Flagstone Reassurance Suisse S.A. with this
protection: Class A notes -- $100 million protection against U.S.
hurricanes and Class B notes -- $75 million protection against
U.S. hurricanes and earthquakes.  The protections are based on a
modified property claim services index trigger on a per occurrence
basis covering a three-year period (November 30, 2009 to November
30, 2012).


MORGAN STANLEY: DBRS Cuts Ratings on Five Loan Classes to 'C'
-------------------------------------------------------------
DBRS has downgraded these 14 classes of the Morgan Stanley Capital
I Trust, Series 2005-HQ6 transaction:

Class AJ from AA (low) to A (low)
Class B from A (high) to BBB (high)
Class C from A to BBB
Class D from A (low) to BBB (low)
Class E from BBB to BB (high)
Class F from BBB to BB (low)
Class G from BBB (low) to B

The trends for the classes are Stable.

Class H from BB (high) to CCC
Class J from BB (low) to CCC
Class K from B (low) to C
Class L from CCC to C
Class N from CCC to C
Class M from CCC to C
Class O from CCC to C

DBRS has also confirmed these 11 other classes in the transaction
with Stable trends:

Class A-1A at AAA
Class A-2A at AAA
Class A-2B at AAA
Class A-3 at AAA
Class A-4A at AAA
Class A-4B at AAA
Class A-AB at AAA
Class P at C
Class Q at C
Class X-1 at AAA
Class X-1 at AAA

DBRS also notes that these classes have interest in arrears as of
the June 2011 remittance report:

Class K
Class L
Class M
Class N
Class O
Class P
Class Q

The unrated Class S also has interest in arrears as of the June
2011 remittance report.

This rating action is primarily due to the outlook for the largest
loans currently in special servicing in the pool, with particular
concern for Prospectus ID#13, Oviedo Marketplace.  This loan
currently represents 2.13% of the outstanding pool balance, as of
the June 2011 remittance report.  The loan transferred to special
servicing in April 2009, because of the bankruptcy of the parent
company of the borrower, General Growth Properties, Inc. (GGP).
Since the loan's transfer, GGP has signed a deed-in-lieu of
foreclosure, with the servicer taking title in November 2010.

The collateral for this loan consists of 557,000 sf of in-line and
cinema space in a regional mall located 13 miles northeast of
Orlando. The cinema space is occupied by Regal Cinemas, on a lease
that expires in 2018; the other three anchors are Macy's,
Dillard's, and Sears.  Those three tenants own their own parcels
and operate on Reciprocal Easement Agreements (REAs), which expire
in 2019.  The Q3 2009 DSCR of 0.93x reflected a 15% drop from the
2008 levels for the in-line occupancy to 70% for that period.  In
addition to lower occupancy, there was substantial rollover in
2008, with leases representing 44% of issuance EGI expiring.  This
was the result of the property having been completed in 1998 and
the predominance of ten-year leases.  While many of these expiring
leases were renewed, the renewal rental rates were often at least
25% lower than the previous rate.  Also, there are many tenants
that now pay percentage rent in lieu of base rent, which is often
an indication of poor sales levels.  The most recent in-line
occupancy reported by the servicer in May 2011 was 40.15%,
excluding temporary tenants; for the same period, the overall mall
occupancy was 63.66%, also excluding temporary tenants.  The mall
faces competition from another regional mall located 15 miles to
the west, Alamonte Mall, which has the same three anchors plus a
JC Penney and a movie theater operated by AMC.

The special servicer reported plans for upgrades to the exterior
lighting and signage in the near term; the mall is also being
renamed "Oviedo Mall".  Although the current vacancy at the
property is being heavily marketed, there have been no permanent
leases signed outside of the renewals in recent months.  The
special servicer also reports the property is in the process of
being prepared to be marketed for sale.  DBRS anticipates interest
in the mall will be minimal due to the mall's poor sales
performance in the past two years.  Furthermore, the most recent
appraisal, from August 2010, valued the property at $16.1 million,
indicating a significant decline from issuance, when the property
was valued at $92.1 million.  That value is supported by the May
2011 NOI figure for the property, as provided by the special
servicer.  As such, DBRS foresees a significant loss will be taken
on this loan, which currently has a balance of $49.8 million, all
of which is held by the trust.

The second largest loan in special servicing is Prospectus ID#23,
County Line Commerce Center, which represented 1.03% of the
outstanding pool balance, as of the June 2011 remittance report.
This loan was transferred to the special servicer in March 2009,
because of imminent default, and the property became REO in
September 2010.  The collateral consists of five industrial and
office buildings, with a total of 400,000 sf located north of
Philadelphia.  As of the June 2011 remittance report, the property
was 73% occupied.  Although the most recent occupancy is a decline
from 81% at Q3 2009, the most recent NOI figure projected by the
servicer, as of June 2011, is indicative of a 35% decline from the
underwritten figure, with the property 74% occupied at issuance.
The subject is located in the Bucks County submarket, which had a
Q1 2011 availability rate for office of 19.8%, according to Reis.

An appraisal from June 2010 valued the property at $20.5 million,
suggesting a loss to the trust would be significant given the
loan's current balance of $24.1 million and outstanding advances
in excess of $1 million as of the June 2011 remittance report.
Furthermore, based on the most recent projected annual NOI figures
provided by the special servicer, DBRS determined an approximate
value of $22.8 million, indicating that an updated appraisal could
find the property value has declined even further from issuance
when it was valued at $37.5 million.  The special servicer reports
that the property is not currently being marketed for sale; DBRS
will continue to monitor this loan closely for developments in the
disposal strategy for this loan.

There are five loans in the top fifteen loans on the servicer's
watchlist.  Combined, those loans represent 34.88% of the pool
balance, as of the June 2011 remittance report.  The three largest
of those loans are detailed below.

Prospectus ID#1, Lincoln Square Retail, is collateralized by a
503,178 square foot retail center comprised of four separate
buildings in Manhattan's Upper West Side on Broadway between 66th
Street and 68th Street.  The loan represents 14.26% of the pool
balance, as of the June 2011 remittance report, and is on the
servicer's watchlist because of a low DSCR.  At YE2010, the DSCR
had fallen to 1.07x from 1.36x at issuance.  Although some of the
decline can be attributed to a drop in occupancy from 98% in 2008
and 2009 to 87 % at YE2010, after the loss of Barnes & Noble, it
also appears that revenue from one tenant is significantly
understated because of a form of percentage rent not being
reported.  The subject is well-located in a highly desirable
shopping district and benefits from an experienced sponsor with
significant exposure and experience with large-market retail.
DBRS will continue to monitor this loan closely.

Prospectus ID#2, 1500 Broadway, is on the servicer's watchlist
because the largest tenant, with 19% of the NRA, vacated at the
end of its lease term in September 2009.  The subject property is
a 513,563 sf 33-story Class A office building located on Broadway
between 43rd Street and 44th Street in New York City.  In addition
to office space, the NRA includes a five-story vertical space that
the borrower developed and leased to a subsidiary of The Walt
Disney Company. This, in part, serves as the studio for ABC's Good
Morning America. Occupancy fell to 72% as of Q3 2010 when the
tenant Daniel J. Edelman (19% of the NRA) vacated its space upon
lease expiry in September 2009.  The DSCR at Q2 2010 was still
relatively healthy at 1.07x.

There is a leasing reserve with a current balance of $5.6 million.
This reserve amounts to $57 psf on the vacated block of space,
which would help cover a significant portion of the total leasing
costs associated with that space.  In addition, even though
CoStar's Class A Times Square submarket rental rate has decreased
more than $20 psf from its peak to $68 psf, it is still
significantly higher than Daniel J. Edelman's total rent
(including expense recoveries) of $51 psf. DBRS does not
anticipate the borrower having trouble making debt service
payments in the near future.

Prospectus ID#10, Coronado Centre, comprises 5.03% of the
outstanding pool balance as of the June 2011 remittance report and
is on the servicer's watchlist for monitoring after a return from
the special servicer in March 2010.  This loan was transferred to
the special servicer when the borrower filed for bankruptcy
protection in conjunction with the bankruptcy filing of its parent
company, General Growth Properties, Inc. (GGP).  The collateral
for the loan is approximately 527,000 square feet of a 1.1 million
square foot regional mall in Albuquerque, New Mexico.  The loan
was extended past its original maturity date of June 2010 to
December 6, 2016.  The property was previously on the watchlist
because of the bankruptcy of Mervyn's (21% of the NRA).  Mervyn's
contributed only 6.6% of the annual base rent and it was known at
issuance that it would be vacating the property.  Other anchor
tenants at the property include JC Penney, Macy's, Foley's and
Sears.  In Q1 2010, a 15-screen movie theater took the former
Mervyn's space with occupancy reported at 85.5%, as of YE2010. The
whole-loan DSCR at YE2010 was 1.14x, according to the servicer.
There is approximately $35 million of subordinate debt outside the
trust, bringing the whole loan per square foot to $308.  DBRS will
monitor this loan closely as the property continues to stabilize.

As of the June 2011 remittance report, the trust has experienced
realized losses in excess of $34 million due to the liquidation of
14 loans between April 2009 and June 2011.  The weighted-average
loss severity is in excess of 50% for those loans, which is in-
line with the DBRS anticipated losses on the remaining 20 loans
that remain with the special servicer as of the June 2011
remittance report.

As part of the review, DBRS analyzed the servicer's watchlist, the
delinquent loans, the specially serviced loans, and the top
fifteen loans in the pool.  Combined, these loans represent 80.54%
of the outstanding pool balance as of the June 2011 remittance
report.


MORGAN STANLEY: Fitch Affirms 'D' Rating on Class N-RQK Certs.
--------------------------------------------------------------
Fitch Ratings has affirmed Morgan Stanley Capital I Inc.
commercial mortgage pass-through certificates, series 2006-XLF
reflecting Fitch's base case loss expectation of 7.2%.

The transaction is collateralized by two loans: one hotel (78.5%)
with an amended final maturity in 2015 and one cooperative housing
development (21.5%) with an amended final maturity in 2013.

The ResortQuest Kauai interest only loan is collateralized by a
311 room full service hotel located on a fee-simple beach front
parcel of land in the city of Kapaa, along the east coast of
Kauai, HI. The loan transferred to the special servicer January
2009 due to imminent default. The property was sold in October
2010 and the note assumed for $38 million, which resulted in a
$5.2 million realized loss to the N-RQK non pooled rake bond. The
loan was modified with a 2015 maturity
and the establishment of cap ex and debt service reserves, and the
property was re-flagged as a Courtyard Marriott. The property's
performance has declined significantly since issuance, as Hawaii
tourism suffered and performance projections never realized. In
addition, the property is currently undergoing renovations to
common areas including the pool and roof. As of April 2011,
occupancy, ADR and RevPAR was 37.2%, $98 and $37, respectively,
compared to the underwriter's stabilized estimates of 81.1%, $165
and $134. The new borrower is covering the debt service
shortfalls, as operations do not cover the debt.

The Lafayette Estates is collateralized by the 900-unit Lafayette
Morrison affordable housing property located in the Soundview
section of the Bronx, NY. The units have been converting into
individually owned cooperative units. In 2009 the Lafayette
Boynton property was released resulting in significant paydown to
the loan. The loan is currently being paid as units are sold which
results in monthly curtailment of $100,000 to $1 million. There
are currently 701 unsold
units.

Fitch affirms these pooled certificates:

  -- $8.3 million class H at 'A/LS4'; Outlook Stable;

  -- $23.3 million class J at 'BBB/LS4'; Outlook Stable;

  -- $6.8 million class K at 'BB/LS5'; Outlook Negative;

  -- $5 million class L at 'D/RR6'.

Fitch affirms these non-pooled component certificates:

  -- $2.5 million class N-LAF at 'BBB'; Outlook Stable;

  -- $1.8 million class O-LAF at 'BBB-'; Outlook Stable;

  -- $4 million class N-RQK at 'D/RR6'.

Classes A-1 through G and N-SDF have been paid in full. The
ratings of interest only classes X-1 and X-2 had previously been
withdrawn.


MORGAN STANLEY: Fitch Takes Actions on MSDW 2000-LIFE2
--------------------------------------------------------
Fitch Ratings has downgraded one and upgraded one class of Morgan
Stanley Dean Witter Capital I Trust's (MSDW) commercial mortgage
pass-through certficates, series 2000-LIFE2.

The downgrade reflects an increase in Fitch modeled losses to
14.27% of the remaining pool; modeled losses of the original pool
are at 2.27%, including losses already incurred to date. Fitch
expects losses from loans currently in special servicing to
deplete class N, O, and P and impact class M significantly.

The upgrade is a result of increased credit enhancement due to a
pay down of 80% since Fitch's last rating action. As of the June
2011 distribution date, the pool's aggregate principal balance has
reduced by 91.8% to $62.8 million from $765.3 million at issuance.
Interest shortfalls totaling $1,069,205 are currently affecting
classes K through P.

Of the original 103 loans, 13 loans remain outstanding. Fitch has
identified 11 loans (47.2%) as Fitch Loans of Concern, which
includes 10 specially-serviced loans (56.2%). Of the 10 loans in
special servicing, three loans (21.7%) are in foreclosure, four
assets (16.4%) are real estate owned (REO), one loan (6.3%) is
past maturity and non-performing, and two loans (11.8%) are past
maturity and performing.

The largest contributor to modeled losses is a 68,100 square foot
(sf) industrial building (5.7%) located in Jacksonville, FL. The
loan returned to the master servicer in March 2011 as a modified
loan. The loan modification changed the payments from principal
and interest to interest only and extended the maturity date until
June 2012. The most recent servicer-reported occupancy declined
from 83.4% at year end (YE) 2009 to 49.09% as of January 2010.

The second largest contributor to modeled losses is a 60,000 sf
office building located in Greece, NY which is a suburb 10 miles
northwest of Rochester. The loan was transferred to Special
Servicing in July 2010 due to imminent maturity default and was
converted to REO in January 2011 via Deed-in-Lieu of foreclosure.
The servicer-reported occupancy as of May 2011 was 57% with only
one tenant occupying that space.

The third largest contributor to modeled losses is a 66 unit
apartment complex located in Eastpointe, MI near Detroit. The loan
was transferred to special servicing in September 2009 due to
monetary default and was foreclosed on in September 2010. The
property has been marketed for sale and the special servicing is
reviewing purchase offers.

Fitch stressed the cash flow of the remaining loans by applying a
5% reduction to 2009 or 2010 fiscal year-end (YE) net operating
income, and applying an adjusted market cap rate between 8.10% and
11.50% 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. The current weighted average DSCR is 1.71
times.

Fitch has downgraded and revised Recovery Ratings on this class:

   -- $4 million class L to 'C/RR2' from 'CC/RR1'.

Fitch has upgraded this class:

   -- $18.4 million class E to 'AA/LS3' from 'A+/LS3'; Outlook
      Stable.

Fitch has affirmed these classes and revised Outlooks, Loss
Severity and Recovery Ratings:

   -- $7.7 million class F at 'A-'; LS to 'LS3' from 'LS4';
      Outlook Stable;

   -- $3.1 million class G at 'BBB+/LS5'; Outlook Stable;

   -- $9.6 million class H at 'BBB-'; LS to 'LS3' from 'LS4';
      Outlook to Stable from Negative;

   -- $9.2 million class J at 'CCC/RR1';

   -- $3.1 million class K at 'CCC'; RR to 'RR2' from 'RR1';

   -- $6.7 million class M at 'C'; RR to 'RR5' from 'RR4'.

The $1.2 million class N and the zero balance class O remain at
'D/RR6'. Class P, which is not rated by Fitch has been reduced to
zero from $5.7 million at issuance due to realized losses. Classes
A-1, A-2, B, C, and D have paid in full.

Fitch withdraws the ratings of the interest-only class X.


MORGAN STANLEY: Moody's Downgrades $313 Mil. of Subprime RMBS
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches from two Morgan Stanley RMBS transactions issued between
2005 to 2007.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, subprime residential mortgage loans. The actions are a
result of the recent performance review of subprime pools and
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE7

Cl. A-2c, Downgraded to Ba1 (sf); previously on Dec 28, 2010
Upgraded to A3 (sf)

Cl. M-2, Downgraded to Ca (sf); previously on Dec 28, 2010
Upgraded to Caa3 (sf)

Issuer: Morgan Stanley Home Equity Loan Trust 2007-2

Cl. A-1, Downgraded to Caa3 (sf); previously on Jul 15, 2010
Downgraded to Ba3 (sf)

Cl. A-2, Downgraded to Ca (sf); previously on Jul 15, 2010
Downgraded to Caa3 (sf)


MORGAN STANLEY: Moody's Upgrades $210.8 Mil. of Alt-A RMBS
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four
tranches issued by Morgan Stanley Mortgage Loan Trust 2005-5AR.

RATINGS RATIONALE

The collateral backing the transaction consists primarily of
first-lien, Alt-A residential mortgage loans. The actions are a
result of the recent performance review of Alt-A pools and reflect
Moody's updated loss expectations on Alt-A pools issued from 2005
to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.

To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

In the rating action, some tranches were upgraded. The upgrades
are a result of improved performance and/or certain structural
features. In certain transactions there are structural features
whereby the tranches are receiving more principal payments than
anticipated, supporting the upgrades.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Morgan Stanley Mortgage Loan Trust 2005-5AR

Cl. 1-A-1, Upgraded to Baa3 (sf); previously on Apr 26, 2010
Downgraded to B2 (sf)

Cl. 1-A-3, Upgraded to A2 (sf); previously on Apr 26, 2010
Downgraded to Baa2 (sf)

Cl. 1-A-4, Upgraded to Ba3 (sf); previously on Apr 26, 2010
Downgraded to Caa3 (sf)

Cl. 1-M-1, Upgraded to Caa3 (sf); previously on Apr 26, 2010
Downgraded to C (sf)


MORGAN STANLEY: Moody's Upgrades Rating on ACES SPC Series 2008-2
-----------------------------------------------------------------
Moody's Investors Service did this rating action on Morgan Stanley
ACES SPC Series 2008-2, a collateralized debt obligation
transaction (the " Collateralized Synthetic Obligation" or "CSO").

The CSO, issued in 2006, references a portfolio of corporate loan
obligations.

Issuer: Morgan Stanley ACES SPC Series 2008-2

   -- US$6.5M Secured Floating Rate Notes due 2012 (Ref No :r169h)
      Notes, Upgraded to B3 (sf); previously on Mar 12, 2009
      Downgraded to Ca (sf)

RATING RATIONALE

Moody's rating action is the result of the shorten time to
maturity and the level of credit enhancement remaining.

The current remaining life of the transaction is 0.70 years.

Since the last rating action, the portfolio has experienced eleven
credit events for a loss of 3.6% and has a remaining effective
subordination of 5.61%.

Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are given in terms
of the number of notches' difference versus the base case, where
higher notches correspond to lower expected losses, and vice-
versa:

* Market Implied Ratings ("MIRs") are modeled in place of the
  corporate fundamental ratings to derive the default probability
  of the reference entities in the portfolio. The gap between an
  MIR and a Moody's corporate fundamental rating is an indicator
  of the extent of the divergence in credit view between Moody's
  and the market. The result of this run is comparable to the one
  of the base case.

In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.

The principal methodology used in these ratings was "Moody's
Approach to Corporate Collateralized Synthetic Obligations"
published in September 2009.

Moody's analysis for this transaction is based on CDOROM v2.8.

Moody's Investors Service did not receive or take into account a
third-party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six months.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Corporate Synthetic
Obligations", key model inputs used by Moody's in its analysis may
be different from the manager/arranger's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".

Moody's does not run a separate loss and cash flow analysis other
than the one already done by the CDOROM model. For a description
of the analysis, refer to the methodology and the CDOROM user's
guide on Moody's website.

Moody's analysis of CSOs is subject to uncertainties, the primary
sources of which include complexity, governance and leverage.
Although the CDOROM model captures many of the dynamics of the
Corporate CSO structure, it remains a simplification of the
complex reality. Of greatest concern are (a) variations over time
in default rates for instruments with a given rating, (b)
variations in recovery rates for instruments with particular
seniority/security characteristics and (c) uncertainty about the
default and recovery correlations characteristics of the reference
pool. Similarly on the legal/structural side, the legal analysis
although typically based in part on opinions (and sometimes
interpretations) of legal experts at the time of issuance, is
still subject to potential changes in law, case law and the
interpretations of courts and (in some cases) regulatory
authorities. The performance of this CSO is also dependent on on-
going decisions made by one or several parties, including the
Manager and the Trustee. Although the impact of these decisions is
mitigated by structural constraints, anticipating the quality of
these decisions necessarily introduces some level of uncertainty
in our assumptions. Given the tranched nature of CSO liabilities,
rating transitions in the reference pool may have leveraged rating
implications for the ratings of the CSO liabilities, thus leading
to a high degree of volatility. All else being equal, the
volatility is likely to be higher for more junior or thinner
liabilities.

The base case scenario modeled fits into the central macroeconomic
scenario predicted by Moody's of a sluggish recovery scenario in
the corporate universe. Should macroeconomics conditions evolve,
the CSO ratings will change to reflect the new economic
conditions.


MORGAN STANLEY: Moody's Upgrades Rating on ACES SPC Series 2008-3
-----------------------------------------------------------------
Moody's Investors Service did this rating action on Morgan Stanley
ACES SPC Series 2008-3, a collateralized debt obligation
transaction (the " Collateralized Synthetic Obligation" or "CSO").

The CSO, issued in 2008, references a portfolio of corporate loan
obligations.

Issuer: Morgan Stanley ACES SPC Series 2008-3

US$12,173,000 Secured Floating Rate Notes due 2012 (Ref No :
r169j) Notes, Upgraded to Ba2 (sf); previously on Jan 28, 2011
Upgraded to Ba3 (sf)

RATING RATIONALE

Moody's rating action is the result of shorten time to maturity
and the level of credit enhancement remaining.

The current remaining life of the transaction is 0.94 years.

Since the last rating action, the portfolio has not experienced
any credit events and has a remaining effective subordination of
7.64%.

Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are given in terms
of the number of notches' difference versus the base case, where
higher notches correspond to lower expected losses, and vice-
versa:

* Market Implied Ratings ("MIRs") are modeled in place of the
  corporate fundamental ratings to derive the default probability
  of the reference entities in the portfolio. The gap between an
  MIR and a Moody's corporate fundamental rating is an indicator
  of the extent of the divergence in credit view between Moody's
  and the market. The result of this run is comparable to the one
  of the base case.

* Moody's conducts a sensitivity analysis consisting of notching
  down by one the ratings of reference entities in the most
  referenced industry in the transaction's reference portfolio,
  the Healthcare & Pharmaceuticals industry. The result from this
  run is one notch lower than that modeled under the base case.

In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.

The principal methodology used in these ratings was "Moody's
Approach to Corporate Collateralized Synthetic Obligations"
published in September 2009.

Moody's analysis for this transaction is based on CDOROM v2.8.

Moody's Investors Service did not receive or take into account a
third-party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six months.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Corporate Synthetic
Obligations", key model inputs used by Moody's in its analysis may
be different from the manager/arranger's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".

Moody's does not run a separate loss and cash flow analysis other
than the one already done by the CDOROM model. For a description
of the analysis, refer to the methodology and the CDOROM user's
guide on Moody's website.

Moody's analysis of CSOs is subject to uncertainties, the primary
sources of which include complexity, governance and leverage.
Although the CDOROM model captures many of the dynamics of the
Corporate CSO structure, it remains a simplification of the
complex reality. Of greatest concern are (a) variations over time
in default rates for instruments with a given rating, (b)
variations in recovery rates for instruments with particular
seniority/security characteristics and (c) uncertainty about the
default and recovery correlations characteristics of the reference
pool. Similarly on the legal/structural side, the legal analysis
although typically based in part on opinions (and sometimes
interpretations) of legal experts at the time of issuance, is
still subject to potential changes in law, case law and the
interpretations of courts and (in some cases) regulatory
authorities. The performance of this CSO is also dependent on on-
going decisions made by one or several parties, including the
Manager and the Trustee. Although the impact of these decisions is
mitigated by structural constraints, anticipating the quality of
these decisions necessarily introduces some level of uncertainty
in our assumptions. Given the tranched nature of CSO liabilities,
rating transitions in the reference pool may have leveraged rating
implications for the ratings of the CSO liabilities, thus leading
to a high degree of volatility. All else being equal, the
volatility is likely to be higher for more junior or thinner
liabilities.

The base case scenario modeled fits into the central macroeconomic
scenario predicted by Moody's of a sluggish recovery scenario in
the corporate universe. Should macroeconomics conditions evolve,
the CSO ratings will change to reflect the new economic
conditions.


MORGAN STANLEY: Moody's Upgrades Rating of CDS Ref. #ZZRSS, a CSO
-----------------------------------------------------------------
Moody's Investors Service did this rating action on Morgan Stanley
CDS Ref. #ZZRSS, a collateralized debt obligation transaction.

The CSO, a CDS entered in 2010, references a portfolio of
corporate names.

Transaction: Morgan Stanley CDS Ref. #ZZRSS

US$750,000,000 Credit Derivative Transaction due June 20, 2014
(Ref. #ZZRSS), Upgraded to Aa2 (sf); previously on Oct 22, 2010
Assigned A2 (sf)

RATING RATIONALE

Moody's rating action is the result of the credit quality
improvement of the portfolio, the shortened time to maturity and
the level of credit enhancement remaining in the transaction.

Since inception, the portfolio has not experienced any credit
event. The 10-year weighted average rating factor (WARF) of the
reference portfolio improved from 3,300 to 3,000, equivalent to
B3. There are six reference entities with a negative outlook
compared to seven reference entities with a positive outlook and
one entity on watch for downgrade versus one on watch for upgrade.
The transaction is a super senior credit default swap with close
to 46% of subordination and a current remaining life of 3 years.

Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are given in terms
of the number of notches' difference versus the base case, where
higher notches correspond to lower expected losses, and vice-
versa:

* Market Implied Ratings ("MIRs") are modeled in place of the
  corporate fundamental ratings to derive the default probability
  of the reference entities in the portfolio. The gap between an
  MIR and a Moody's corporate fundamental rating is an indicator
  of the extent of the divergence in credit view between Moody's
  and the market. The result of this run is not materially
  different than that of the base case.

* Moody's reviews a scenario consisting of reducing the maturity
  of the CSO by 6 months, keeping all other parameters constant.
  The result of this run is not significantly different than that
  of the base case.

* Moody's performs a stress analysis consisting of defaulting all
  entities rated Caa1 and below. The result of this run is two
  notches lower than in the base case.

In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.

The principal methodology used in these ratings was "Moody's
Approach to Corporate Collateralized Synthetic Obligations"
published in September 2009.

Moody's analysis for this transaction is based on CDOROM v2.8.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Corporate Synthetic
Obligations", key model inputs used by Moody's in its analysis may
be different from the manager/arranger's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".

Moody's does not run a separate loss and cash flow analysis other
than the one already done by the CDOROM model. For a description
of the analysis, refer to the methodology and the CDOROM user's
guide on Moody's website.

Moody's analysis of CSOs is subject to uncertainties, the primary
sources of which include complexity, governance and leverage.
Although the CDOROM model captures many of the dynamics of the
Corporate CSO structure, it remains a simplification of the
complex reality. Of greatest concern are (a) variations over time
in default rates for instruments with a given rating, (b)
variations in recovery rates for instruments with particular
seniority/security characteristics and (c) uncertainty about the
default and recovery correlations characteristics of the reference
pool. Similarly on the legal/structural side, the legal analysis
although typically based in part on opinions (and sometimes
interpretations) of legal experts at the time of issuance, is
still subject to potential changes in law, case law and the
interpretations of courts and (in some cases) regulatory
authorities. The performance of this CSO is also dependent on on-
going decisions made by one or several parties, including the
Manager and the Trustee. Although the impact of these decisions is
mitigated by structural constraints, anticipating the quality of
these decisions necessarily introduces some level of uncertainty
in our assumptions. Given the tranched nature of CSO liabilities,
rating transitions in the reference pool may have leveraged rating
implications for the ratings of the CSO liabilities, thus leading
to a high degree of volatility. All else being equal, the
volatility is likely to be higher for more junior or thinner
liabilities.

The base case scenario modeled fits into the central macroeconomic
scenario predicted by Moody's of a sluggish recovery scenario in
the corporate universe. Should macroeconomics conditions evolve,
the CSO ratings will change to reflect the new economic
conditions.


MORGAN STANLEY: S&P Withdraws 'B' Rating on Class IA Notes
----------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'B (sf)' rating on
the IA notes issued by Morgan Stanley Managed ACES SPC's series
2006-8, a synthetic collateralized debt obligation transaction.

"We received the unwind notice for these notes from the arranger.
We subsequently withdrew our rating on the notes following the
redemption," S&P related.


NELNET STUDENT: Fitch Affirms Senior, Subordinate Notes
--------------------------------------------------------
Fitch Ratings affirms both senior and subordinate student loan
notes at 'AAAsf' and 'BBB-sf' issued by Nelnet Student Loan Trust
series 2007-2. The Rating Outlook remains Stable. Fitch used its
'Global Structured Finance Rating Criteria' and 'U.S. FFELP
Student Loan ABS Rating Criteria', as well as the refined basis
risk criteria to review the ratings.

The ratings on the senior and subordinate notes are affirmed based
on the sufficient level of credit to cover the applicable risk
factor stresses. Credit enhancement for the senior and subordinate
notes consists of overcollateralization and projected minimum
excess spread, while the senior notes also benefit from
subordination provided by the class B notes.

Fitch has taken these rating actions:

Nelnet Student Loan Trust, Series 2007-2:

   -- Class A-2L affirmed at 'AAAsf/LS1'; Outlook Stable;

   -- Class A-3L affirmed at 'AAAsf/LS1'; Outlook Stable;

   -- Class A-4AR1 affirmed at 'AAAsf/LS1'; Outlook Stable;

   -- Class A-4AR2 affirmed at 'AAAsf/LS1'; Outlook Stable;

   -- Class B-1 affirmed at 'BBsf/LS3'; Outlook Stable;

   -- Class B-2 affirmed at 'BBsf/LS3'; Outlook Stable.


NEW YORK MORTGAGE: Moody's Downgrades $85 Million of Alt-A RMBS
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of five
tranches issued by New York Mortgage Trust 2005-3.

RATINGS RATIONALE

The collateral backing the transaction consists primarily of
first-lien, Alt-A residential mortgage loans. The actions are a
result of the recent performance review of Alt-A pools and reflect
Moody's updated loss expectations on Alt-A pools issued from 2005
to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: New York Mortgage Trust 2005-3

Cl. A-1, Downgraded to Baa2 (sf); previously on Jun 4, 2010
Downgraded to A2 (sf)

Cl. A-2, Downgraded to A2 (sf); previously on Jun 4, 2010
Downgraded to A1 (sf)

Cl. A-3, Downgraded to Baa3 (sf); previously on Jun 4, 2010
Downgraded to A3 (sf)

Cl. M-1, Downgraded to B2 (sf); previously on Jun 4, 2010
Downgraded to Ba2 (sf)

Cl. M-2, Downgraded to C (sf); previously on Jun 4, 2010
Downgraded to Caa1 (sf)


NEWPORT WAVES: Moody's Upgrades Ratings on Collaterized Debt
------------------------------------------------------------
Moody's Investors Service did the rating actions on Newport Waves
CDO, a collateralized debt obligation transaction.

The CSO, issued in 2007, references a portfolio of corporate
bonds.

Issuer: Newport Waves CDO

   -- Series 1 $15,000,000 Sub-Class A3-$LMS Notes Due 2014,
      Upgraded to B2 (sf); previously on Mar 11, 2009 Downgraded
      to B3 (sf)

   -- Series 2 $32,500,000 Sub-Class A3-$LMS Notes Due 2017,
      Upgraded to B2 (sf); previously on Oct 8, 2010 Downgraded to
      B3 (sf)

   -- Series 2 $10,000,000 Sub-Class A3A-$LMS Notes Due 2017,
      Upgraded to B2 (sf); previously on Oct 8, 2010 Downgraded to
      B3 (sf)

   -- Series 2 $38,000,000 Sub-Class A4-$L Notes Due 2017,
      Upgraded to B3 (sf); previously on Oct 8, 2010 Downgraded to
      Caa1 (sf)

   -- Series 2 $1,000,000 Sub-Class A4A-$L Notes Due 2017,
      Upgraded to B3 (sf); previously on Oct 8, 2010 Downgraded to
      Caa1 (sf)

   -- Series 2 $2,000,000 Sub-Class A6-$L Notes Due 2017, Upgraded
      to Caa2 (sf); previously on Oct 8, 2010 Downgraded to Caa3
      (sf)

   -- Series 2 $2,000,000 Sub-Class A6A-$L Notes Due 2017,
      Upgraded to Caa2 (sf); previously on Oct 8, 2010 Downgraded
      to Caa3 (sf)

   -- Series 5 $50,000,000 Sub-Class A1-$LMS Notes Due 2014,
      Upgraded to Ba2 (sf); previously on Oct 8, 2010 Downgraded
      to Ba3 (sf)

   -- Series 5 $60,000,000 Sub-Class A3-$LMS Notes Due 2014,
      Upgraded to B2 (sf); previously on Mar 11, 2009 Downgraded
      to B3 (sf)

   -- Series 6 Yen1,000,000,000 Sub-Class A6-YL Notes Due 2017,
      Upgraded to Caa2 (sf); previously on Oct 8, 2010 Downgraded
      to Caa3 (sf)

   -- Series 8 EUR10,000,000 Sub-Class A3-ELS Notes Due 2017,
      Upgraded to B2 (sf); previously on Oct 8, 2010 Downgraded to
      B3 (sf)

   -- Series 10 $10,000,000 Sun-Class A5-$L Notes Due 2017,
      Upgraded to Caa1 (sf); previously on Oct 8, 2010 Downgraded
      to Caa2 (sf)

RATINGS RATIONALE

Moody's rating actions are the result of the level of credit
enhancement remaining in the transaction, the credit stability of
the underlying portfolio and shortened time to maturity.

Since the last rating review in September 2010, the 10-year
weighted average rating factor (WARF) of the portfolio improved
from 464 to 444, equivalent to Baa3. There are 22 reference
entities with a negative outlook compared to 6 entities with a
positive outlook and 17 entities on watch for downgrade and one on
watch for upgrade.

Since inception, the portfolio has experienced three credit
events. There have been no additional credit events since the last
ratings action.

The remaining life of the tranches is 5.9 for those Notes maturing
in 2017 and 2.9 years for those Notes maturing in 2014.

Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are given in terms
of the number of notches' difference versus the base case, where
higher notches correspond to lower expected losses, and vice-
versa:

* Market Implied Ratings ("MIRs") are modeled in place of the
  corporate fundamental ratings to derive the default probability
  of the reference entities in the portfolio. The gap between an
  MIR and a Moody's corporate fundamental rating is an indicator
  of the extent of the divergence in credit view between Moody's
  and the market. The result of this run is between two and four
  notches below that modeled in the base case.

* Moody's conducts a sensitivity analysis consisting of notching
  down by one the ratings of reference entities in the Banking,
  Finance, Insurance and Real Estate sectors. The result from this
  run is approximately one notch lower then modeled in the base
  case.

* Removing the notch-down adjustment on ratings of all reference
  entities on negative outlook and/or on watch for downgrade
  generates a result that is comparable to the base case.

* Moody's performs a stress analysis consisting of defaulting all
  entities rated Caa1 and below. The result of this run is between
  one and five notches lower than in the base case.

In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.

The principal methodology used in these ratings was "Moody's
Approach to Corporate Collateralized Synthetic Obligations"
published in September 2009.

Moody's analysis for this transaction is based on CDOROM v2.8.

Moody's Investors Service did not receive or take into account a
third-party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six months.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Corporate Synthetic
Obligations", key model inputs used by Moody's in its analysis may
be different from the manager/arranger's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".

Moody's does not run a separate loss and cash flow analysis other
than the one already done by the CDOROM model. For a description
of the analysis, refer to the methodology and the CDOROM user's
guide on Moody's website.

Moody's analysis of CSOs is subject to uncertainties, the primary
sources of which include complexity, governance and leverage.
Although the CDOROM model captures many of the dynamics of the
Corporate CSO structure, it remains a simplification of the
complex reality. Of greatest concern are (a) variations over time
in default rates for instruments with a given rating, (b)
variations in recovery rates for instruments with particular
seniority/security characteristics and (c) uncertainty about the
default and recovery correlations characteristics of the reference
pool. Similarly on the legal/structural side, the legal analysis
although typically based in part on opinions (and sometimes
interpretations) of legal experts at the time of issuance, is
still subject to potential changes in law, case law and the
interpretations of courts and (in some cases) regulatory
authorities. The performance of this CSO is also dependent on on-
going decisions made by one or several parties, including the
Manager and the Trustee. Although the impact of these decisions is
mitigated by structural constraints, anticipating the quality of
these decisions necessarily introduces some level of uncertainty
in our assumptions. Given the tranched nature of CSO liabilities,
rating transitions in the reference pool may have leveraged rating
implications for the ratings of the CSO liabilities, thus leading
to a high degree of volatility. All else being equal, the
volatility is likely to be higher for more junior or thinner
liabilities.

The base case scenario modeled fits into the central macroeconomic
scenario predicted by Moody's of a sluggish recovery scenario in
the corporate universe. Should macroeconomics conditions evolve,
the CSO ratings will change to reflect the new economic
conditions.


NOMURA ASSETS: Moody's Upgrades Rating of $22.5 Mil. of Alt-A RMBS
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches from two RMBS transactions, backed by Alt-A loans, issued
by Nomura Asset Acceptance Corporation.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, Alt-A residential mortgage loans. The actions are a
result of the recent performance review of Alt-A pools and reflect
Moody's updated loss expectations on Alt-A pools issued from 2005
to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology" published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

In the rating action, some tranches were upgraded. The upgrades
are a result of improved performance and/or certain structural
features. In certain transactions there are structural features
whereby the tranches are receiving more principal payments than
anticipated, supporting the upgrades.

The above mentioned approach is adjusted slightly when estimating
losses on pools left with a small number of loans to account for
the volatile nature of small pools. Even if a few loans in a small
pool become delinquent, there could be a large increase in the
overall pool delinquency level due to the concentration risk. To
project losses on pools with fewer than 100 loans, Moody's first
estimates a "baseline" average rate of new delinquencies for the
pool that varies from 10% to 21% on average. The baseline rates
are higher than the average rate of new delinquencies for larger
pools for the respective vintages.

Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 10.00%, the adjusted rate of new delinquency would
be 10.10%. in addition, if current delinquency levels in a small
pool is low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.2 to 2.0 for current
delinquencies ranging from less than 2.5% to greater than 50%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology" publication.

The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2005-AR1

Cl. I-A-1, Upgraded to A3 (sf); previously on Jul 12, 2010
Downgraded to Baa3 (sf)

Cl. I-A-2, Upgraded to Baa2 (sf); previously on Jul 12, 2010
Downgraded to Ba1 (sf)

Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2005-AR4

Cl. II-A, Upgraded to Ba1 (sf); previously on Jul 12, 2010
Downgraded to B2 (sf)


NORTHWOODS CAPITAL: Moody's Raises Ratings of CLO Notes
-------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Northwoods Capital VIII, Limited:

US$30,000,000 Class B Senior Secured Floating Rate Notes due 2022,
Upgraded to Aa3 (sf); previously on June 22, 2011 A2 (sf) Placed
Under Review for Possible Upgrade;

US$37,500,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2022, Upgraded to Baa1 (sf); previously on June 22, 2011
Baa3(sf) Placed Under Review for Possible Upgrade;

US$32,500,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2022, Upgraded to Baa3 (sf); previously on June 22, 2011
Ba2 (sf) Placed Under Review for Possible Upgrade;

US$10,000,000 Class E Secured Deferrable Floating Rate Notes due
2022, Upgraded to Ba2 (sf); previously on June 22, 2011 B1 (sf)
Placed Under Review for Possible Upgrade;

US$11,500,000 Type III Composite Obligations due 2022 (current
rated balance of $9,200,687), Upgraded to Ba1 (sf); previously on
June 22, 2011 Ba3 (sf) Placed Under Review for Possible Upgrade.

In addition, Moody's confirmed the ratings of these notes:

US$162,500,000 Class A-1 Senior Secured Floating Rate Notes due
2022, Confirmed at Aa1 (sf); previously on June 22, 2011 Aa1 (sf)
Placed Under Review for Possible Upgrade;

US$175,000,000 Class A-2 Senior Secured Revolving Floating Rate
Notes due 2022, Confirmed at Aa1 (sf); previously on June 22, 2011
Aa1 (sf) Placed Under Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

Moody's notes that this deal is structured with a high weighted
average rating factor and a low diversity score. As of the June
2011 report, the weighted average rating factor is currently 3028
and securities rated Caa1 or lower (based on instrument rating)
make up approximately 10.96% of the underlying portfolio. The
percentage of securities rated Caa1 or lower based on Moody's
default probability rating is significantly higher. The diversity
score is currently 42. The deal also has a substantial exposure to
non-secured loans and senior unsecured bonds. As a result of the
high exposure, the weighted average recovery rate upon default of
the recovery is only 45.59%.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $513 million,
defaulted par of $18 million, a weighted average default
probability of 29.12% (implying a WARF of 3596), a weighted
average recovery rate upon default of 45.59%, and a diversity
score of 35. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.

Northwoods Capital VIII, Limited, issued in June 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

Other Factors used in this rating are described in "Using the
Structured Note Methodology to Rate CDO Combo-Notes" published in
February 2004.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

1) Recovery of defaulted assets: Market value fluctuations in
   defaulted assets reported by the trustee and those assumed to
   be defaulted by Moody's may create volatility in the deal's
   overcollateralization levels. Further, the timing of recoveries
   and the manager's decision to work out versus sell defaulted
   assets create additional uncertainties. Moody's analyzed
   defaulted recoveries assuming the lower of the market price and
   the recovery rate in order to account for potential volatility
   in market prices.

2) Weighted average life: The notes' ratings are sensitive to the
   weighted average life assumption of the portfolio, which may be
   extended due to the manager's decision to reinvest into new
   issue loans or other loans with longer maturities and/or
   participate in amend-to-extend offerings. Moody's tested for a
   possible extension of the actual weighted average life in its
   analysis.

3) Other collateral quality metrics: The deal is allowed to
   reinvest and the manager has the ability to deteriorate the
   collateral quality metrics' existing cushions against the
   covenant levels. Moody's analyzed the impact of assuming the
   worse of reported and covenanted values for weighted average
   rating factor, weighted average spread, weighted average
   coupon, and diversity score. However, as part of the base case,
   Moody's considered a spread level higher than the covenant
   level due to the large difference between the reported and
   covenant level.


NYLIM FLATIRON: Moody's Upgrades Ratings of CLO Notes
-----------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by NYLIM Flatiron CLO 2006-1 Ltd.:

US$301,000,000 Class A-1 Floating Rate Senior Notes Due 2020,
Upgraded to Aaa (sf); previously on June 22, 2011 Aa2 (sf) Placed
Under Review for Possible Upgrade;

US$15,000,000 Class A-2B Floating Rate Senior Notes Due 2020,
Upgraded to Aa1 (sf); previously on June 22, 2011 Aa3 (sf) Placed
Under Review for Possible Upgrade;

US$19,500,000 Class A-3 Floating Rate Senior Notes Due 2020,
Upgraded to Aa2 (sf); previously on June 22, 2011 A1 (sf) Placed
Under Review for Possible Upgrade;

US$28,500,000 Class B Deferrable Floating Rate Senior Notes Due
2020, Upgraded to A2 (sf); previously on June 22, 2011 Baa1 (sf)
Placed Under Review for Possible Upgrade;

US$36,500,000 Class C Deferrable Floating Rate Senior Subordinate
Notes Due 2020, Upgraded at Ba1 (sf); previously on June 22, 2011
Ba3 (sf) Placed Under Review for Possible Upgrade;

US$17,500,000 Class D Deferrable Floating Rate Subordinate Notes
Due 2020, Upgraded to B1 (sf); previously on June 22, 2011 Caa2
(sf) Placed Under Review for Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

The actions also reflect consideration of credit improvement of
the underlying portfolio since the rating action in August 2009.
Based on the latest trustee report from June 2011, the weighted
average rating factor is currently 2167 compared to 2606 in the
August 2009 report.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $594 million, a
weighted average default probability of 17.51% (implying a WARF of
2436), a weighted average recovery rate upon default of 50.00% ,
and a diversity score of 67. These default and recovery properties
of the collateral pool are incorporated in cash flow model
analysis where they are subject to stresses as a function of the
target rating of each CLO liability being reviewed. The default
probability is derived from the credit quality of the collateral
pool and Moody's expectation of the remaining life of the
collateral pool. The average recovery rate to be realized on
future defaults is based primarily on the seniority of the assets
in the collateral pool. In each case, historical and market
performance trends and collateral manager latitude for trading the
collateral are also factors.

NYLIM Flatiron CLO 2006-1 Ltd., issued in July 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior, 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

Collateral quality metrics: The deal is allowed to reinvest and
the manager has the ability to deteriorate the collateral quality
metrics' existing cushions against the covenant levels. Moody's
analyzed the impact of assuming the worse of reported and
covenanted values for weighted average rating factor, weighted
average spread, weighted average coupon, and diversity score.
However, as part of the base case, Moody's considered spread
levels higher than the covenant levels due to the large difference
between the reported and covenant levels.


OAK HILL: Moody's Upgrades Ratings of CLO Notes
-----------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Oak Hill Credit Partners IV, Limited:

US$70,000,000 Class A-1a Senior Secured Revolving Floating Rate
Notes Due 2021 Upgraded to Aaa (sf); previously on June 22, 2011
Aa1 (sf) Placed Under Review for Possible Upgrade;

US$385,000,000 Class A-1b Senior Secured Floating Rate Notes Due
2021 Upgraded to Aaa (sf); previously on June 22, 2011 Aa1 (sf)
Placed Under Review for Possible Upgrade;

US$30,800,000 Class A-2a Senior Secured Floating Rate Notes Due
2021 Upgraded to Aa1 (sf); previously on June 22, 2011 A2 (sf)
Placed Under Review for Possible Upgrade;

US$5,000,000 Class A-2b Senior Secured Fixed Rate Notes Due 2021
Upgraded to Aa1 (sf); previously on June 22, 2011 A2 (sf) Placed
Under Review for Possible Upgrade;

US$21,000,000 Class B-1 Senior Secured Deferrable Floating Rate
Notes Due 2021 Upgraded to A1 (sf); previously on June 22, 2011
Baa3 (sf) Placed Under Review for Possible Upgrade;

US$18,000,000 Class B-2 Senior Secured Deferrable Fixed Rate Notes
Due 2021 Upgraded to A1 (sf); previously on June 22, 2011 Baa3
(sf) Placed Under Review for Possible Upgrade;

US$12,800,000 Class C-1 Secured Deferrable Floating Rate Notes Due
2021 Upgraded to Ba1 (sf); previously on June 22, 2011 B3 (sf)
Placed Under Review for Possible Upgrade;

US$24,200,000 Class C-2 Secured Deferrable Fixed Rate Notes Due
2021 Upgraded to Ba1 (sf); previously on June 22, 2011 B3 (sf)
Placed Under Review for Possible Upgrade;

US$20,000,000 Class C-3 Secured Deferrable Discount Notes Due 2021
Upgraded to Ba1 (sf); previously on June 22, 2011 B3 (sf) Placed
Under Review for Possible Upgrade;

US$6,000,000 Type II Composite Notes Due 2021 (current outstanding
Rated Balance of $504,435); Upgraded to Aa3 (sf); previously on
June 22, 2011 Ba3 (sf) Placed Under Review for Possible Upgrade;

US$14,700,000 Type III Composite Notes Due 2021 (current
outstanding Rated Balance of $6,711,931); Upgraded to A3 (sf);
previously on June 22, 2011 Ba3 (sf) Placed Under Review for
Possible Upgrade;

US$5,000,000 Type V Composite Notes Due 2021 (current outstanding
Rated Amount of $3,369,762); Upgraded to Aa3 (sf); previously on
June 22, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade;

US$15,000,000 Type VI Composite Notes Due 2021 (current
outstanding Rated Balance of $8,083,118); Upgraded to Aaa (sf);
previously on June 22, 2011 A1 (sf) Placed Under Review for
Possible Upgrade.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.

Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $642.5 million,
defaulted par of $0.6 million, a weighted average default
probability of 18.48% (implying a WARF of 2673), a weighted
average recovery rate upon default of 50.24%, and a diversity
score of 49. Moody's generally analyzes deals in their
reinvestment period by assuming the worse of reported and
covenanted values for all collateral quality tests. However, in
this case given the limited time remaining in the deal's
reinvestment period, Moody's analysis reflects the benefit of
assuming a higher likelihood that the collateral pool
characteristics will continue to maintain a positive "cushion"
relative to the covenant requirements, as seen in the actual
collateral quality measurements. The default and recovery
properties of the collateral pool are incorporated in cash flow
model analysis where they are subject to stresses as a function of
the target rating of each CLO liability being reviewed. The
default probability is derived from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The average recovery rate to be realized on
future defaults is based primarily on the seniority of the assets
in the collateral pool. In each case, historical and market
performance trends and collateral manager latitude for trading the
collateral are also factors.

Oak Hill Credit Partners IV, Limited, issued in July 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.

The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011. Please see the Research & Ratings page on
www.moodys.com for a copy of this methodology.

A secondary methodology used was "Using the Structured Note
Methodology to Rate CDO Combo-Notes" published in February 2004.

Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.

Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.

Sources of additional performance uncertainties are:

Collateral quality metrics: The deal is allowed to reinvest and
the manager has the ability to deteriorate the collateral quality
metrics' existing cushions against the covenant levels.


OPTEUM MORTGAGE: Moody's Upgrades $321.1 Mil. of Alt-A RMBS
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of seven
tranches and downgraded the ratings of four tranches from three
RMBS transactions, backed by Alt-A loans, issued by Opteum
Mortgage Acceptance Corporation.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, Alt-A residential mortgage loans. The actions are a
result of the recent performance review of Alt-A pools and reflect
Moody's updated loss expectations on Alt-A pools issued from 2005
to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology " published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

In the rating action, some tranches were upgraded. The upgrades
are a result of improved performance and/or certain structural
features. In certain transactions there are structural features
whereby the tranches are receiving more principal payments than
anticipated, supporting the upgrades.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Opteum Mortgage Acceptance Corporation Asset Backed Pass-
Through Certificates 2005-4

Cl. I-A1B, Downgraded to Ba1 (sf); previously on Jan 12, 2011
Downgraded to Baa2 (sf)

Cl. I-A2, Downgraded to Ca (sf); previously on Jan 12, 2011
Downgraded to B3 (sf)

Cl. II-A1, Downgraded to Ba3 (sf); previously on Jan 12, 2011
Confirmed at Baa3 (sf)

Cl. M-1, Downgraded to C (sf); previously on Jan 12, 2011
Downgraded to Caa3 (sf)

Issuer: Opteum Mortgage Acceptance Corporation, Asset Backed Pass-
Through Certificates, Series 2005-1

Cl. M-1, Upgraded to A3 (sf); previously on Apr 15, 2010
Downgraded to Baa3 (sf)

Cl. M-2, Upgraded to Baa3 (sf); previously on Apr 15, 2010
Downgraded to B2 (sf)

Cl. M-3, Upgraded to B1 (sf); previously on Apr 15, 2010
Downgraded to Caa2 (sf)

Cl. M-4, Upgraded to Caa3 (sf); previously on Apr 15, 2010
Downgraded to C (sf)

Issuer: Opteum Mortgage Acceptance Corporation, Asset Backed Pass-
Through Certificates, Series 2005-2

Cl. A-I-3, Upgraded to A1 (sf); previously on Apr 15, 2010
Downgraded to Baa1 (sf)

Cl. M-1, Upgraded to Ba1 (sf); previously on Apr 15, 2010
Downgraded to B1 (sf)

Cl. M-2, Upgraded to B2 (sf); previously on Apr 15, 2010
Downgraded to Caa3 (sf)


OPTION ONE: Moody's Downgrades $195 Mil. of Subprime RMBS
---------------------------------------------------------
Moody's Investors Service has downgraded the ratings of seven
tranches from three RMBS transactions, backed by Subprime loans,
issued by Option One Mortgage Loan Trusts.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of
first-lien, Subprime residential mortgage loans. The actions are a
result of the recent performance review of Subprime pools and
reflect Moody's updated loss expectations on Subprime pools issued
from 2005 to 2008.

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 factors used in these ratings are described
in "2005 -- 2008 US RMBS Surveillance Methodology" published in
July 2011, which accounts for the updated performance and outlook.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.

To assess the rating implications of the updated loss levels on
Subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.

Certain securities, as noted below, are insured by financial
guarantors. For securities insured by a financial guarantor, the
rating on the securities is the higher of (i) the guarantor's
financial strength rating and (ii) the current underlying rating
(i.e., absent consideration of the guaranty) on the security. The
principal methodology used in determining the underlying rating is
the same methodology for rating securities that do not have a
financial guaranty and is as described earlier.

The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.

Complete rating actions are:

Issuer: Option One Mortgage Loan Trust 2007-5

Cl. II-A-1, Downgraded to Ba2 (sf); previously on Aug 6, 2010
Downgraded to Baa2 (sf)

Issuer: Option One Mortgage Loan Trust 2007-6

Cl. II-A-1, Downgraded to Ba3 (sf); previously on Dec 3, 2010
Downgraded to A3 (sf)

Issuer: Option One Mortgage Loan Trust 2007-FXD2

Cl. II-A-1, Current rating at Aa3 (sf); previously on Nov 12, 2009
Confirmed at Aa3 (sf)

Underlying Rating: Downgraded to B1 (sf); previously on Aug 6,
2010 Downgraded to Ba2 (sf)

Financial Guarantor: Assured Guaranty Municipal Corp. (Confirmed
at Aa3, Outlook Negative on Nov. 12, 2009)

Cl. II-A-2, Current rating at Aa3 (sf); previously on Nov 12, 2009
Confirmed at Aa3 (sf)

Underlying Rating: Downgraded to Ca (sf); previously on Aug 6,
2010 Downgraded to Caa3 (sf)

Financial Guarantor: Assured Guaranty Municipal Corp. (Confirmed
at Aa3, Outlook Negative on Nov. 12, 2009)

Cl. II-A-6, Current rating at Aa3 (sf); previously on Nov 12, 2009
Confirmed at Aa3 (sf)

Underlying Rating: Downgraded to Ca (sf); previously on Aug 6,
2010 Downgraded to Caa3 (sf)

Financial Guarantor: Assured Guaranty Municipal Corp. (Confirmed
at Aa3, Outlook Negative on Nov. 12, 2009)

Issuer: Option One Mortgage Loan Trust 2005-3

Cl. A-1B, Downgraded to Aa1 (sf); previously on Dec 3, 2010
Confirmed at Aaa (sf)

Cl. A-5, Downgraded to Aa1 (sf); previously on Dec 3, 2010
Confirmed at Aaa (sf)

Cl. M-1, Downgraded to A3 (sf); previously on Aug 6, 2010
Downgraded to A1 (sf)

Cl. M-2, Downgraded to B3 (sf); previously on Aug 6, 2010
Downgraded to B1 (sf)

Cl. M-3, Downgraded to Ca (sf); previously on Aug 6, 2010
Downgraded to Caa2 (sf)


OXFORD FINANCE: Moody's Assigns Definitive Rating to Notes
----------------------------------------------------------
Moody's Investors Service has assigned a definitive rating of A2
(sf) to the asset-backed notes (notes) issued by Oxford Finance
Funding Trust 2011-1. The notes are backed by a static pool of
term loans extended by Oxford Finance LLC (Oxford) to early- to
middle-stage growth companies, often venture capital-backed,
operating in the life sciences and health care sector. Oxford, a
specialty finance company with a focus on the life science and
health care sector, is the sponsor, originator and servicer. The
complete rating action is:

Issuer: Oxford Finance Funding Trust 2011-1

Asset-Backed Notes, Definitive Rating Assigned A2 (sf)

RATINGS RATIONALE

The rating is based on the following (1) historic performance of
Oxford's portfolio, with low incidence of default and low net loss
rate during the past nearly ten years, (2) assessed quality of the
loans in the pool, (3) overcollateralization in the form of
advance rate against the outstanding principal of the loans, (4)
loan terms which are primarily fully amortizing over approximately
5 years- this repayment profile results in high cash flow and
relatively short tenor, (5) structure which features a static pool
(with limited substitution of defaulted or delinquent loans)
backing a single class of notes and which applies all excess cash
flow as additional principal until the notes are repaid, (6) US
Bank (rated Aa2) as backup servicer for the transaction, and (7)
unrated Oxford's partial ownership by Sumitomo Corporation of
America (A2).

Credit support to the notes includes (i) overcollateralization
initially 32%, and is expected to grow with time as notes pay down
and (ii) excess spread- the weighted cash yield of the loans
(11.8%, as of the statistical calculation date) produces an
expected excess spread of approximately 8% per annum.

The loan pool, as of the statistical cut-off date, is comprised of
senior loans to 51 life science companies (83 % of the portfolio)
and 9 health care companies (17% of the portfolio). Life science
companies develop biotechnological, pharmaceutical products,
therapeutics and/or medical devices. Each such product or device
may be in early to late phase of testing or been approved by the
U.S. Food and Drug Administration. Healthcare companies provide
skilled nursing, hospital and/or other healthcare services. The
largest obligor is 5.3% of the initial pool balance and the top
five obligors comprise 24.6% of the initial pool balance. The
weighted average remaining term of the loans is 35 months and the
weighted average life of the loan pool is 24.6 months.

Oxford extends secured loans to life science and health care
companies. Life science companies in Oxford's portfolio typically
are venture capital backed companies where the equity, provided by
investors who specialize in the sector, is large relative to the
senior debt. Oxford's loans to life sciences companies have a
tenor of 3 to 5 years and typically provide working capital
between drug/product development milestones. Health care companies
in Oxford's portfolio are operating companies with proven steady,
positive cash flow. Oxford loans to health care companies, with a
typical term of 3 to 5 years, provides working capital to these
operating companies.

While 83% of the pool is classified as life sciences, obligors of
the underlying loans are in diverse sectors within life sciences
such as Specialty Pharmaceuticals, Therapeutics, Surgical Devices,
Diagnostics, Non-invasive devices, OTC, Implantable Devices etc. A
test phase/ development failure of one drug of a company within
any sector will have little bearing on other companies in that or
another sector unless they are also pursuing a drug targeting a
similar issue with similar test or development plans. The diverse
pursuits of the life-science obligors within this portfolio
therefore implies low risk of correlated defaults for business
reasons as opposed to financing availability. The obligors are
generally exposed to the risk of availability of future financing
and as described below Moody's methodology addresses this risk.

The principal methodology used in rating the transaction is
described below. Other methodologies and factors that may have
been considered in the process of rating this issuer can also be
found in the Research & Ratings directory, in the Rating
Methodologies sub-directory on www.moodys.com.

Finally, it should be noted that Moody's ratings address only the
timely payment of interest and ultimate payment of principal on or
before the legal final date of this transaction. It does not
address the payment of any amounts referred to as Supplemental
Interest.

V-SCORE AND LOSS SENSITIVITY

Moody's V Score. The V Score for this transaction is Medium/High.
The V Score indicates "Medium/High" 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).

This transaction, which is a first time issuance of predominantly
early- to medium-stage life science companies, has an overall
"medium/high" score because of (a) limited cross-industry
historical data in the niche sector in which Oxford operates, (b)
analytical complexity and, (c) lack of prior securitization
experience of Oxford. Mitigating these uncertainties are (i) data
provided by Oxford on its portfolio since 2002, which to an extent
does reflect the sector, (ii) simple transaction structure, (iii)
limited market value risk in the transaction, (iv) experience of
US Bank, as the backup servicer, (v) the alignment of interests
due to the substantial amount of equity in the transaction which
is held by the sponsor.

Moody's Parameter Sensitivities. For this exercise, stress
scenarios were analyzed to assess the potential model-indicated
ratings impact if (a) the base case assumed modeled ratings of
each obligor, depending on its category, fell one notch to B3,
Caa1 or Caa2, and (b) the default probability multiplier was
increased from the base case of 1.50x to 1.75x, 2.00x, 2.25x or
2.50x. Applying such assumptions, the A2 initial rating of the
notes might change as follows: (i) with the base case individual
obligor rating, the A2 initial note rating would (a) remain at A2
if default multiplier is 1.75x, (b) drop to Baa2 if default
multiplier is 2.00x, (c) drop to Ba2 if default multiplier is
2.25x, and, (c) drop to B1 if default multiplier is 2.50x; and
(ii) if individual obligor rating is one notch lower than base
case assumption, the A2 initial note rating would (a) drop to Ba1
if default multiplier is 1.50x, (b) drop to B2 if default
multiplier is 1.75x, (c) drop to below B3 for each default
multiplier of 2.00x, 2.25x, and 2.50x.

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 differ