/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/111127.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, November 27, 2011, Vol. 15, No. 329 Headlines ACE SECURITIES: Moody's Raises Rating of M Notes to 'Ba1' ALPINE SECURITIZATION: DBRS Confirms Liquidity Facility at 'BB' AMMC CLO: S&P Gives 'BB' Rating on Class E Deferrable Notes ASSET REPACKAGING: S&P Lowers Rating on Class B to 'CCC' ASTORIA CAPITAL: Fitch Affirms 'BB-' Preferred Stock Rating BAKER STREET: S&P Raises Rating on Class E Notes to 'B+' BALL 2007-BMB1: Moody's Lowers Rating of Cl. G Notes to 'Ba1' BANC OF AMERICA: Fitch Lowers Rating on Two Class. Certs. at 'Dsf' BANC OF AMERICA: S&P Cuts 3 Classes of Certificates Ratings to 'D' BANC OF AMERICA: S&P Lowers Ratings on 2 Classes to 'CC' BAYVIEW FIN'L: Fitch Lowers Rating on 6 Sr. Classes to 'CCCsf' CALIFORNIA DEPT: Moody's Gives Ratings to Revenue Bonds CAVALRY CLO: S&P Affirms Rating on Class D Notes at 'BB' CGMT 2007-FL3: Moody's Raises Rating of Cl. G Notes to Ba1 (sf) CLARIS IV: DBRS Downgrades Rating of Class I-B Swap to 'BB' CLYDESDALE STRATEGIC: S&P Raises Rating on Class D Notes to 'B+' COBALT CMBS: Fitch Junks Rating on 7 Super Sr. Note Classes COMM MORTGAGE: Fitch Raises Rating on Class Q-PC to 'CCCsf' CREDIT SUISSE: Fitch Affirms Rating on 19 Note Classes CWCAPITAL COBALT: S&P Keeps 'D' Ratings on 5 Classes of Notes DB MORTGAGE: Fitch Affirms Primary Servicer Rating at 'CPS2' DENALI CAPITAL: Moody's Raises Rating of Cl. B-1L Notes to 'B1' DENALI CAPITAL: Moody's Raises Rating of Class B-2L Notes to 'Ba2' DYRDEN XXII: S&P Gives 'BB' Rating on Class D Deferrable Notes EMPORIA PREFERRED: Moody's Raises Rating of Class D Notes to 'Ba1' FIRST 2004-II: S&P Raises Rating on Class C Notes From 'BB+' FRASER SULLIVAN: S&P Gives 'BB' Rating on Class D Deferrable Notes FREMONT SUBPRIME: Moody's Lowers Rating of Cl. 2-A-2 Notes to Ca GALLATIN CLO: S&P Raises Rating on Class B-2L Notes to 'BB' GCO EDUCATION: Fitch Confirms Rating on Class 2007-1 C-1L at 'Bsf' GE COMMERCIAL: DBRS Confirms 'CCC' Ratings on Three Certificates GLOBAL LEVERAGED: Moody's Raises Rating of Class D Notes to 'Ba1' GRAMERCY REAL: Moody's Lowers Rating of Cl. A-1 Notes to Ba3 (sf) GREENWICH CAPITAL: Assumed Losses Cue Fitch to Lower Ratings GREYLOCK SYNTHETIC: S&P Withdraws 'BB-' Rating on Class A3-JPYFMS GSC CAPITAL: S&P Raises Rating on Class F Notes to 'CCC+' GSMS 2004-GG2: Moody's Affirms Rating of Cl. E Notes at 'Ba1' GSMS 2010-C2: Moody's Affirms Rating of Cl. E Notes at 'Ba2' HEDGED MUTUAL: S&P Reinstates Series 2005-2 Certs. Rating at 'D' INDEPENDENCE III: S&P Keeps 'D' Ratings on 2 Classes of Notes INTEGRAL FUNDING: S&P Removes 'CCC-' Class D Rating From Watch Pos JPMCC 2006-CIBC17: Moody's Lowers Rating of Cl. A-J Notes to Ba3 KATONAH III: S&P Raises Ratings on 2 Classes of Notes From 'BB-' KCD IP: Moody's Reviews Ratings for Possible Downgrade KEYCORP STUDENT: Fitch Affirms Rating on Class II-C Loan at 'BBsf' KEYCORP STUDENT: Fitch Junks Rating on Class II-D Loan KNIGHTSBRIDGE CLO: Moody's Raises Rating of Class E Notes to 'Ba2' MAPS CLO: Moody's Raises Rating of Class E Notes to Baa3 From Caa1 MARQUETTE US/EUROPEAN: Moody's Raises Rating of Class C-1 to 'Ba1' MCG COMM'L: Moody's Raises Rating of Class D Notes to Baa3 From B3 ML-CFC COMM: Fitch Affirms Junk Rating on 15 Senior Note Classes MORGAN STANLEY: Expected Losses Cue Fitch to Downgrade Ratings MORGAN STANLEY: Moody's Raises Rating of Cl. A-2 Notes to Ba2 (sf) MOSELLE CLO: Moody's Raises Rating of Class A-3E Notes From Ba2 MRU STUDENT: S&P Lowers Rating on Class B Notes to 'D' MSC 2006-SRR2: S&P Lowers Ratings on 2 Classes of Notes to 'D' N-STAR REAL: Fitch Junks Rating on Eight Note Classes NEWSTAR COMMERCIAL: Moody's Raises Rating of Class D Notes to Ba1 NOMURA CRE: Fitch Affirms Junk Ratings on Eighteen Note Classes OFSI FUND: Moody's Raises Rating of Class D Notes to Ba2 (sf) OPSI FUND: S&P Affirms Ratings on 2 Classes of Notes at 'CCC-' PANTHEON INC: Moody's Puts Rating on Cl. K Certificate to 'Caa2' RACE POINT: Moody's Raises Rating of Class E Notes to B2 (sf) REVE SPC: S&P Cuts Ratings on 3 Series of CDOs From 'CCC-' to 'D' RIVERSIDE PARK: S&P Gives 'BB' Rating on Class D Deferrable Notes ROCKWALL CDO: S&P Removes 'B+' Rating on Class A-3 From Watch ROSEMONT CLO: Fitch Affirms 'CCsf' Rating on $12 Million Notes SARGAS CLO: Moody's Raises Rating of US$14MM Notes to Ba3 (sf) STONEHEALTH RE: Fitch Withdraws Preferred Securities BB+ Rating STUDENT LOAN: S&P Puts 'BB' Ratings on 2 Cert. Classes on Watch T2 INCOME: S&P Raises Rating on Class E Notes From 'BB' TRAPEZA CDO: Moody's Raises Rating of Class A-2 Notes to 'B3' US RMBS: Fitch Cuts Rating on 243 Distressed Bonds to 'Dsf' VISTA LEVERAGED: S&P Puts 'BB+' Sr. Notes Rating on Watch Neg WACHOVIA CRE: Moody's Raises Cl. A-1B Notes Rating to Ba1 (sf) WELLS FARGO: Fitch Puts Rating on Two Note Classes at Low-B * S&P Lowers Ratings on 387 Classes of Certificates to 'D' * S&P Lowers Ratings on 201 Classes From 87 US RMBS Transactions ********* ACE SECURITIES: Moody's Raises Rating of M Notes to 'Ba1' --------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 13 manufactured housing loans-backed securities (MH) aggregating $461 million from 11 transactions, upgraded the ratings of 14 MH securities aggregating $148 million from 10 transactions, and confirmed the rating of 1 MH security aggregating $11 million from 1 transaction. The collateral backing these transactions consists primarily of manufactured housing loans. The MH securities are seasoned and were issued between 1992 and 2005. RATINGS RATIONALE The loss projections account for continued weakness in the macro economy and the recent performance of the sector. Cumulative losses have increased modestly to approximately 19% and serious delinquencies, measured as a percentage of outstanding balance, have remained stable at approximately 3%. Payment deferrals, a common loss mitigation tool masks true delinquencies and can account up to half the outstanding pool balance. Deferments are granted to borrowers who could not pay the full arrears but have demonstrated the ability to make future installments. Repayment plans are the capitalization of past due payments to cure the delinquencies. While deferrals can reduce overall default rates, deferred accounts that are re-classified as current are still riskier than loans that have been contractually current. Re-default rates on deferred accounts are similar to subprime borrowers at 65%. To estimate losses, Moody's first forecasted losses on the loans that had a payment deferral based on 65% re-default rates and 85% severity assumptions. Secondly, losses were projected on the remaining loans that have not had any payment deferral based on Moody's annual conditional prepayment rates (CPR), annual constant default rates (CDR), and 85% severity assumptions. The CPR rate is derived from the average of actual CPR observed over the last six months. The CDR rate is based on pipeline defaults -- derived from days-aged delinquencies and Moody's assumptions for default based on days delinquent or REO (15% for 30 days delinquent loans, 30% for 60 days delinquent loans, 90% for more than 90 days delinquent loans, and 100% for loans in REO). Moody's has further assumed that both CDR and CPR will remain constant over the life of each deal. A sudden reversal in the existing trend of projected prepayments, defaults and losses is not anticipated for these deals as they are well seasoned. The losses from loans that had a deferrals and those from the remaining loans based on the CPR-CDR approach are weighed to calculate the total projected loss for the deal. Rating Actions To assess the rating implications Moody's calculated a deal specific loss projection and compared it to the tranches' credit enhancement from subordination; excess spread; and reserve account and third-party support (if any) and the timing of principal repayment. The actions for bonds rated Aaa, Aa, A, and Baa considered where full expected principal repayment exceeds 5, 7, 10, and 10 years respectively because of uncertainty of cash flows and losses. 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. Securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. 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. Moody's now projects unemployment rate to start declining by fourth quarter of 2011. The principal methodology used in these ratings was "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Moody's noted that on November 22, 2011, it released a Request for Comment, in which the rating agency has requested market feedback on potential changes to its rating methodology for Interest-Only Securities. If the revised methodology is implemented as proposed the rating on Bank of America MH Contract 1997-2 Class A-IO maybe negatively affected. Please refer to Moody's request for Comment, titled "Proposal Changing the Global Rating Methodology for Structured Finance Interest-Only Securities," for further details regarding the implications of the proposed methodology change on Moody's rating. Please see the Credit Policy page on www.moodys.com for a copy of this methodology and the Request for Comment. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website. Complete rating actions are: Issuer: ACE Securities Corp. Manufactured Housing Trust 2003-MH1 Cl. A-4, Downgraded to A1 (sf); previously on Nov 2, 2011 Aaa (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to A2 (sf); previously on Nov 2, 2011 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: BankAmerica Manufactured Housing Contract Trust II Series 1997-1 M, Upgraded to Ba1 (sf); previously on Nov 2, 2011 B1 (sf) Placed Under Review for Possible Upgrade Issuer: BankAmerica MH Contract 1997-2 A-IO, Downgraded to B2 (sf); previously on Nov 2, 2011 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: BankAmerica MH Contract 1998-2 M, Upgraded to Aa3 (sf); previously on Nov 2, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade Issuer: BankAmerica MH Contract, Series 1998-1 M, Confirmed at Baa1 (sf); previously on Nov 2, 2011 Baa1 (sf) Placed Under Review for Possible Upgrade Issuer: Conseco Finance Securitizations Corp. Series 2002-1 Class A-1, Upgraded to A1 (sf); previously on Nov 2, 2011 Baa1 (sf) Placed Under Review for Possible Upgrade Issuer: CountryPlace Manufactured Housing Contract 2005-1 Cl. A-3, Downgraded to Baa3 (sf); previously on Nov 2, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-4, Downgraded to Baa3 (sf); previously on Nov 2, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Deutsche Financial Capital Securitization, 1997-I Class A-3, Upgraded to Aa2 (sf); previously on Nov 2, 2011 A3 (sf) Placed Under Review for Possible Upgrade Class A-4, Upgraded to Aa2 (sf); previously on Nov 2, 2011 A3 (sf) Placed Under Review for Possible Upgrade Class A-5, Upgraded to Aa2 (sf); previously on Nov 2, 2011 A3 (sf) Placed Under Review for Possible Upgrade Class A-6, Upgraded to Aa2 (sf); previously on Nov 2, 2011 A3 (sf) Placed Under Review for Possible Upgrade Issuer: FirstFed Corp. Manufactured Housing Contract Series 1997-1 Class B, Upgraded to A3 (sf); previously on Nov 2, 2011 Ba3 (sf) Placed Under Review for Possible Upgrade Issuer: Green Tree Financial Corporation MH 1992-02 B, Downgraded to Ca (sf); previously on Nov 2, 2011 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Green Tree Financial Corporation MH 1993-01 B, Downgraded to Ca (sf); previously on Nov 2, 2011 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Green Tree Financial Corporation MH 1993-02 B, Downgraded to Ca (sf); previously on Nov 2, 2011 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Green Tree Financial Corporation MH 1994-01 A-5, Downgraded to Baa3 (sf); previously on Nov 2, 2011 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: Green Tree Financial Corp. MH Series 1996-2 M-1, Downgraded to Caa1 (sf); previously on Nov 2, 2011 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Green Tree Financial Corporation - Green Tree MH Contracts, Series 1995-2 B-1, Upgraded to Aa3 (sf); previously on Nov 2, 2011 Ba1 (sf) Placed Under Review for Possible Upgrade Issuer: Green Tree Financial Corporation MH 1996-06 M-1, Downgraded to Caa2 (sf); previously on Nov 2, 2011 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Green Tree Financial Corporation MH 1998-8 A-1, Downgraded to B1 (sf); previously on Nov 2, 2011 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Green Tree Financial Corporation MH Series 1997-1 A-5, Upgraded to Aa3 (sf); previously on Nov 2, 2011 A2 (sf) Placed Under Review for Possible Upgrade A-6, Upgraded to Aa3 (sf); previously on Nov 2, 2011 A2 (sf) Placed Under Review for Possible Upgrade Issuer: Green Tree Financial Corporation-MH Contract Series 1997-5 M-1, Downgraded to Caa1 (sf); previously on Nov 2, 2011 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Green Tree MH Sr/Sub Series 1995-7 M-1, Upgraded to A1 (sf); previously on Nov 2, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade Issuer: Green Tree Series 1995-4 M-1, Upgraded to Aa2 (sf); previously on Nov 2, 2011 A3 (sf) Placed Under Review for Possible Upgrade Issuer: GreenTree Manufactured Housing Contract Senior/Subordinate Pass-Through Certificates, Series 1995-5 M-1, Upgraded to Aa3 (sf); previously on Nov 2, 2011 A2 (sf) Placed Under Review for Possible Upgrade ALPINE SECURITIZATION: DBRS Confirms Liquidity Facility at 'BB' --------------------------------------------------------------- DBRS, Inc. (DBRS) has confirmed the rating of R-1 (high) (sf) for the Commercial Paper (CP) issued by Alpine Securitization Corp. (Alpine), an asset-backed commercial paper (ABCP) vehicle administered by Credit Suisse, New York branch. In addition, DBRS has confirmed the ratings and revised the tranche sizes of the aggregate liquidity facilities (the Liquidity) provided to Alpine by Credit Suisse. The $7,758,998,398 aggregate liquidity facilities are tranched as: -- $7,448,166,715 rated AAA (sf) -- $65,620,177 rated AA (sf) -- $32,207,602 rated A (sf) -- $52,140,469 rated BBB (sf) -- $45,249,703 rated BB (sf) -- $50,554,996 rated B (sf) -- $65,058,736 unrated (sf) The ratings are based on July 31, 2011 data. The CP rating reflects the AAA credit quality of Alpine's asset portfolio. The updated credit quality aspect of the CP rating is based on both the portfolio of assets and the available program- wide credit enhancement (PWCE). The rationale for the CP rating is based on the updated AAA credit quality assessment as well as DBRS' prior and ongoing review of legal, operational and liquidity risks associated with Alpine's overall risk profile. The ratings assigned to the Liquidity reflect the credit quality of Alpine's asset portfolio based on an analysis that assesses each transaction to a term standard. The tranching of the Liquidity reflects the credit risk of the portfolio at each rating level. The tranche sizes are expected to vary each month based on changes in portfolio composition. For Alpine, both the CP and the Liquidity ratings use DBRS' simulation methodology, which was developed to analyze diverse ABCP conduit portfolios. This analysis uses the DBRS CDO Toolbox simulation model, with adjustments to reflect the unique structure of an ABCP conduit and its underlying assets. DBRS determines attachment points for risk based on an analysis of the portfolio and models the portfolio based on key inputs such as asset ratings, asset tenors and recovery rates. The attachment points determine the portion of the exposure rated AAA, AA, A through B as well as unrated. DBRS models the portfolio on an ongoing basis to reflect changes in Alpine's portfolio composition and credit quality. The rating results are updated and posted on the DBRS website. The principal methodology is the Asset-Backed Commercial Paper Criteria Report: U.S. & European ABCP Conduits, which can be found on DBRS' website under Methodologies. AMMC CLO: S&P Gives 'BB' Rating on Class E Deferrable Notes ----------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to AMMC CLO IX Ltd./AMMC CLO IX Corp.'s $408.5 million floating-rate notes. The note issuance is a CLO securitization backed by a revolving pool consisting primarily of broadly syndicated senior-secured loans. The preliminary ratings are based on information as of Nov. 21, 2011. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view 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 (CDO) criteria (see "Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published Sept. 17, 2009). The transaction's legal structure, which is expected to be bankruptcy remote. The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior-secured term loans. The 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 0.35%-13.84%," 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 subordinated portfolio manager fees, uncapped administrative expenses and fees, portfolio manager incentive fees, and payments to the subordinated notes. Standard & Poor's 17g-7 Disclosure Report SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com/1111280.pdf Preliminary Ratings Assigned AMMC CLO IX Ltd./AMMC CLO IX Corp. Class Rating Amount (mil. $) A AAA (sf) 290.0 B AA (sf) 43.0 C-1 (deferrable) A (sf) 17.5 C-2 (deferrable) A (sf) 17.5 D (deferrable) BBB (sf) 19.5 E (deferrable) BB (sf) 21.0 Subordinated notes NR 41.5 NR -- Not rated. ASSET REPACKAGING: S&P Lowers Rating on Class B to 'CCC' -------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on two classes from two Asset Repackaging Vehicle Ltd. transactions and removed them from CreditWatch with negative implications. "In addition, we affirmed our ratings on 51 classes from these two transactions and five additional Asset Repackaging Vehicle Ltd. transactions, and removed them from CreditWatch negative. We also withdrew our rating on class A1 from Asset Repackaging Vehicle Ltd.'s series 2009-14 as the class was paid in full. This rating was on CreditWatch negative prior to being withdrawn. All of the Asset Repackaging Vehicle Ltd. transactions are residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transactions," S&P said. The payment waterfalls for each of these transactions were amended to reflect: A sequential payment of interest; A defined coupon on the bonds of the lesser of one month LIBOR and 8%; Using available principal collections to pay interest and interest shortfalls before principal payments on each of the bonds sequentially from A-1 to B; and Allowing for excess interest to be available to pay principal. This allows for the bond balance in the resecuritization to be lower than the collateral balance of the underlying certificates creating overcollateralization. "The most senior payment in the waterfall for these transactions is to reimburse the issuer for the payment of any corporation taxes. However, because the issuer is a Cayman Island entity and is not assessed any corporation taxes due to current Cayman Island tax law, our stresses assume the current tax status is maintained and no taxes are assessed," S&P said. Prior to these revisions, interest was paid pro rata and pari passu to each of the re-REMIC classes based on the interest received from the underlying certificates backing these re-REMIC transactions. Additionally, in the prior structures, interest was only available to pay interest and principal was only available to pay principal. "On Dec. 15, 2010, we placed our ratings on 54 classes from the seven transactions in this review on CreditWatch negative, along with ratings from a group of other RMBS re-REMIC securities (for more information, see 'S&P Corrects: 1,196 Ratings On 129 U.S. RMBS Re-REMIC Transactions Placed On CreditWatch Negative'). Additionally, on April 1, 2011, we provided an update on the CreditWatch placements and provided clarification regarding our analysis of interest payment amounts within re-REMIC transactions (see 'Standard & Poor's Provides An Update On Outstanding RMBS Re- REMIC CreditWatch Placements And Outlines Their Resolution')," S&P related. "Our ratings on the re-REMIC classes are intended to address the timely payment of interest and ultimate 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 applied our loss assumptions and loss projections to the underlying collateral to identify the principal and interest amounts that could be passed through from the underlying securities under our rating scenario stresses. We stressed our loss projections at various rating categories to assess whether the re-REMIC classes could withstand the stressed losses associated with their ratings while receiving timely payment of interest and principal consistent with our criteria," S&P said. "In applying our loss projections we incorporated, where applicable, our revised loss assumptions into our review (see 'Revised Lifetime Loss Projections For Prime, Subprime, And Alt-A U.S. RMBS Issued In 2005-2007,' published on March 25, 2011). Some of the transactions affected by the revised loss assumptions are associated with the re-REMICs we reviewed (see tables 1 and 2 for the overall prior and revised vintage- and product-specific lifetime loss projections as percentages of the original structure balance)," S&P said. Table 1 Lifetime Loss Projections For Prime And Subprime RMBS (Percent of original balance) Prime RMBS Subprime RMBS aggregate aggregate Vintage Updated Prior Updated Prior 2005 5.5 4.00 18.25 15.40 2006 9.25 6.60 38.25 35.00 2007 11.75 9.75 48.50 43.20 Table 2 Lifetime Loss Projections For Alternative-A RMBS (Percent of original balance) Fixed/aggregate Long-reset Vintage Updated Prior Updated Prior 2005 13.75 11.25 12.75 9.60 2006 29.50 26.25 25.25 25.00 2007 36.00 31.25 31.75 26.25 Short-reset/hybrid Option ARM Vintage Updated Prior Updated Prior 2005 13.25 14.75 15.50 13.25 2006 30.00 30.50 34.75 26.75 2007 41.00 40.75 43.50 37.50 "As a result of this review, we lowered our ratings on class B from Asset Repackaging Vehicle Ltd.'s series 2009-13 and class B from Asset Repackaging Vehicle Ltd.'s series 2009-14 based on our assessment of principal and/or interest shortfalls from the underlying securities that would impair the re-REMIC classes at the applicable rating stresses. The affirmations reflect our assessment of the likelihood that the re-REMIC classes will receive timely interest and the ultimate payment of principal under the applicable stressed assumptions," S&P stated. Rating Actions Asset Repackaging Vehicle Limited Series 2009-13 Class To From A3 A (sf) A (sf)/Watch Neg A4 BBB (sf) BBB (sf)/Watch Neg A5 BB+ (sf) BB+ (sf)/Watch Neg A6 BB (sf) BB (sf)/Watch Neg A7 BB- (sf) BB- (sf)/Watch Neg B CCC (sf) B (sf)/Watch Neg Asset Repackaging Vehicle Limited Series 2009-14 Class To From A1 NR AAA (sf)/Watch Neg A2 AA (sf) AA (sf)/Watch Neg A3 A (sf) A (sf)/Watch Neg A4 BBB (sf) BBB (sf)/Watch Neg A5 BB+ (sf) BB+ (sf)/Watch Neg A6 BB (sf) BB (sf)/Watch Neg A7 BB- (sf) BB- (sf)/Watch Neg B B- (sf) B (sf)/Watch Neg Asset Repackaging Vehicle Limited Series 2009-16 Class To From A1 AAA (sf) AAA (sf)/Watch Neg A2 AA (sf) AA (sf)/Watch Neg A3 A (sf) A (sf)/Watch Neg A4 BBB (sf) BBB (sf)/Watch Neg A5 BB+ (sf) BB+ (sf)/Watch Neg A6 BB (sf) BB (sf)/Watch Neg A7 BB- (sf) BB- (sf)/Watch Neg B B (sf) B (sf)/Watch Neg Asset Repackaging Vehicle Limited Series 2009-18 Class To From A1 AAA (sf) AAA (sf)/Watch Neg A2 AA (sf) AA (sf)/Watch Neg A3 A (sf) A (sf)/Watch Neg A4 BBB (sf) BBB (sf)/Watch Neg A5 BB+ (sf) BB+ (sf)/Watch Neg A6 BB (sf) BB (sf)/Watch Neg A7 BB- (sf) BB- (sf)/Watch Neg B B (sf) B (sf)/Watch Neg Asset Repackaging Vehicle Limited Series 2009-19 Class To From A1 AAA (sf) AAA (sf)/Watch Neg A2 AA (sf) AA (sf)/Watch Neg A3 A (sf) A (sf)/Watch Neg A4 BBB (sf) BBB (sf)/Watch Neg A5 BB+ (sf) BB+ (sf)/Watch Neg A6 BB (sf) BB (sf)/Watch Neg A7 BB- (sf) BB- (sf)/Watch Neg B B (sf) B (sf)/Watch Neg Asset Repackaging Vehicle Limited Series 2009-21 Class To From A1 AAA (sf) AAA (sf)/Watch Neg A2 AA (sf) AA (sf)/Watch Neg A3 A (sf) A (sf)/Watch Neg A4 BBB (sf) BBB (sf)/Watch Neg A5 BB+ (sf) BB+ (sf)/Watch Neg A6 BB (sf) BB (sf)/Watch Neg A7 BB- (sf) BB- (sf)/Watch Neg B B (sf) B (sf)/Watch Neg Asset Repackaging Vehicle Limited Series 2009-22 Class To From A1 AAA (sf) AAA (sf)/Watch Neg A2 AA (sf) AA (sf)/Watch Neg A3 A (sf) A (sf)/Watch Neg A4 BBB (sf) BBB (sf)/Watch Neg A5 BB+ (sf) BB+ (sf)/Watch Neg A6 BB (sf) BB (sf)/Watch Neg A7 BB- (sf) BB- (sf)/Watch Neg B B (sf) B (sf)/Watch Neg ASTORIA CAPITAL: Fitch Affirms 'BB-' Preferred Stock Rating ----------------------------------------------------------- Fitch Ratings has affirmed Astoria Financial Corp.'s (AF) long- and short-term Issuer Default Ratings (IDRs) at 'BBB-' and 'F3', respectively. Concurrently, the Rating Outlook has been revised to Negative from Stable. The Outlook Revision reflects relatively weak financial performance in comparison to similarly-rated peers, stagnant asset quality metrics as well as the 4Q12 maturity of $250 million senior notes at the parent company. Conversely, the rating affirmation recognizes AF's favorable loss experience and ability to remain profitable through the current credit cycle even as many banks have recorded losses. Fitch continues to maintain AF's ratings lower than Astoria Federal Savings & Loan Association (AFSLA). The primary driver for the one notch difference is management of liquidity at the holding company as well as the upcoming debt maturity. The holding company maintains a limited amount of liquid assets and relies on quarterly dividends from the thrift subsidiary, which require regulatory approval. Fitch is somewhat concerned with the refinancing risk given the limited amount of investor appetite for bank paper. Once the debt maturity gets resolved, the likelihood of AF's ratings going below their current level will be greatly reduced. The performance of AF's loan portfolio is closely tied to the overall economic environment, and more particularly to the level of unemployment in its primary markets. In Fitch's view, the unemployment rate in New York, currently at 8.0%, is likely to continue putting pressure on the level of NPAs in the 1 - 4 family portfolio for the foreseeable future. That being said, the level of charge-offs should remain low because AF's historically low-LTV underwriting standards provide a significant cushion to declines in property values. Annualized NCOs totaled just 0.49% of average loans during the first nine months of 2011, which is well below AF's similarly-rated peers. AF's Alt-A portfolio, primarily stated income verified asset mortgages, has been the main source of delinquencies and charge- offs, particularly in loans that were made outside of AF's primary market. The multifamily and commercial real estate (CRE) portfolios have experienced minimal credit deterioration, which is reflective of the rent-controlled nature of many of the properties backing these loans and low LTVs at origination (generally around 60%). Operating performance has remained stagnant during the first nine months of 2011 as net interest income and non-interest income decreased and non-interest expenses went up. Loan growth remains a significant challenge for AF as its balance sheet has shrunk by 10% over the past year. A permanent reduction in the conforming loan limits may help growth in the 1 - 4 family portfolio. The other driver is the resumption of multifamily lending, which has created a pipeline of approximately $250 million as of Sept. 30, 2011. However, Fitch expects that AF's profitability metrics will continue to lag behind similarly-rated peers. Fitch views AF's reentry into the NY multifamily market with some caution. This market is very competitive and a number of new players have emerged over the past year. That being said, AF has hired an experienced team and plans to continue lending against the same conservative credit standards it has used in the past. The company has indicated that most of the collateral will be rent-controlled or rent-stabilized properties, which have performed exceptionally well through various economic cycles. Furthermore, AF should be able to earn more attractive yields on the multifamily loans than its 1-4 family product. The improvement in AF's capital ratios, which has resulted mainly from balance sheet contraction over the last several quarters, is viewed positively. Lower dividends on common stock and lack of share buyback activity have also helped strengthen capital metrics. The tangible equity to tangible assets ratio was 6.55% at Sept. 30, 2011, which is up from 5.63% at Sept. 30, 2010. Fitch takes into account AF's low loss experience when comparing its capital ratios with peers. Capital levels are likely to remain around current levels as the balance sheet stops shrinking. The Dodd-Frank Act eliminated AF's primary regulator, the Office of Thrift Supervision and transferred regulatory authority to the Office of the Comptroller of the Currency for the thrift subsidiary and to the Federal Reserve for the holding company. Fitch believes that this change in regulators will lead to more robust risk and liquidity management processes, particularly at the holding company level. The specifics of the new requirements have not yet been detailed by the new regulators; however, Fitch's ratings incorporate AF's ability to meet any new regulatory standards. Factors that may negatively affect the ratings: -- Stagnant or rising levels of NPAs or increased credit losses; -- Lack of improvement in operating performance; -- Inability to refinance the upcoming debt maturity at AF; -- Meaningful reduction in regulatory and/or tangible capital levels. Factors that may have positive rating implications on AF's ratings and Outlook include: -- Continued improvement in profitability metrics; -- Meaningful decline in the level of NPAs; -- Institution of a more formalized liquidity management policy at the parent company. Fitch has affirmed these ratings with a Negative Outlook: Astoria Financial Corp. -- Long-Term IDR at 'BBB-'; -- Short-Term IDR at 'F3'; -- Viability rating at 'bbb-'; -- Individual Rating at 'C'; -- Senior unsecured at 'BBB-'; -- Support at '5'; -- Support Floor at 'NF'. Astoria Federal Savings & Loan -- Long-Term IDR at 'BBB'; -- Long-term Deposits at 'BBB+'; -- Short-Term IDR at 'F2'; -- Short-Term Deposits at 'F2'; -- Viability rating at 'bbb'; -- Individual Rating at 'C'; -- Support at '5'; -- Support Floor at 'NF'. Astoria Capital Trust I -- Preferred stock at 'BB-' BAKER STREET: S&P Raises Rating on Class E Notes to 'B+' -------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on four classes of notes issued Baker Street CLO II Ltd., a collateralized loan obligation (CLO) transaction managed by Seix Advisors. "We removed three of these ratings from CreditWatch with positive implications. We also affirmed our ratings on the class A-1 and A- 2 notes," S&P said. "The upgrades reflect improved performance we have observed in the deal's underlying asset portfolio since we reviewed the transaction in January 2011, while the affirmations demonstrate adequate credit quality commensurate with the current rating levels," S&P related. "Since the Dec. 3, 2009, trustee report, which we used for our January 2011 analysis, the deal has had a decrease in the amount of assets that they are holding as defaulted to 3.2% ($12.3 million) from 8.9% ($34.1 million) based on the Oct. 7, 2011, trustee report. The 'CCC' assets also decreased during the same time period from 6.6% ($25.6 million) to 6.0% ($23.1 million). The improvement in the underlying collateral benefited the overcollateralization (O/C) ratios for all classes according to the Oct. 7, 2011, trustee report: The class A/B O/C ratio is 121.13%, up from 117.60% in December 2009; the class C O/C ratio is 113.52%, up from 110.21% in December 2009; the class D O/C ratio is 108.36%, up from 105.20% in December 2009; and the class E O/C ratio is 104.94%, up from 101.89% in December 2009," S&P related. 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 Baker Street CLO II Ltd. Rating Class To From B AA- (sf) A+ (sf) C A- (sf) BBB+ (sf)/Watch Pos D BBB- (sf) B+ (sf)/Watch Pos E B+ (sf) CCC- (sf)/Watch Pos Ratings Affirmed Baker Street CLO II Ltd. Class Rating A-1 AA+ (sf) A-2 AA+ (sf) BALL 2007-BMB1: Moody's Lowers Rating of Cl. G Notes to 'Ba1' ------------------------------------------------------------- Moody's Investors Service (Moody's) downgraded eight classes, confirmed two classes and affirmed six classes of Banc of America Large Loan, Inc. Commercial Mortgage Pass-Through Certificates, Series 2007-BMB1. Cl. A-1, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-2, Downgraded to Aa1(sf); previously on Nov 9, 2011 Aaa (sf) Placed Under Review for Possible Downgrade Cl. X, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. B, Downgraded to A1 (sf); previously on Nov 9, 2011 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. C, Downgraded to A3 (sf); previously on Nov 9, 2011 A2 (sf) Placed Under Review for Possible Downgrade Cl. D, Downgraded to Baa1 (sf); previously on Nov 9, 2011 A3 (sf) Placed Under Review for Possible Downgrade Cl. E, Downgraded to Baa2 (sf); previously on Nov 9, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. F, Downgraded to Baa3 (sf); previously on Nov 9, 2011 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. G, Downgraded to Ba1 (sf); previously on Nov 9, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. H, Downgraded to Ba3 (sf); previously on Nov 9, 2011 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. J, Confirmed at B2 (sf); previously on Nov 9, 2011 B2 (sf) Placed Under Review for Possible Downgrade Cl. K, Confirmed at Caa2 (sf); previously on Nov 9, 2011 Caa2 (sf) Placed Under Review for Possible Downgrade Cl. L, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. FMH-1, Affirmed at A2 (sf); previously on Mar 4, 2009 Downgraded to A2 (sf) Cl. FMH-2, Affirmed at Baa2 (sf); previously on Mar 4, 2009 Downgraded to Baa2 (sf) RATINGS RATIONALE The downgrades are due to negative credit migration in the Smart and Final Portfolio loan, the MSREF Hotel Portfolio loan, and the Readers Digest loan as well as the concerns of refinancing risk for the eight loans that mature in the next nine months. 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 placed ten classes on review for possible downgrade on November 9, 2011. This action concludes Moody's review. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the previous review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Large Loan Model v 8.2 which is used for both large loan and single borrower transactions. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. The model also incorporates a supplementary tool to allow for the testing of the credit support at various rating levels. The scenario or "blow-up" analysis tests the credit support for a rating assuming that all loans in the pool default with an average loss severity that is commensurate with the rating level being tested. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (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. DEAL PERFORMANCE As of the October 17, 2011 distribution date, the transaction's certificate balance decreased by approximately 23% to $1.33 billion from $1.73 billion at securitization due to the payoff of four loans and principal pay downs associated with five loans. The Certificates are collateralized by ten floating- rate loans ranging in size from 1% to 24% of the pooled trust mortgage balance. The pool has not experienced any losses to date nor are there any interest shortfalls. Currently one loans (1.2% of pooled balance) is in special servicing. The Readers Digest loan ($16 million) is secured by a single tenant office campus located in Chappaqua, New York and was fully leased to Readers Digest. Reader's Digest vacated the property in the end of 2010. As of September 2011, the property is 2% occupied. A 2010 appraisal values the property at $6.2 million which is significantly below the pooled balance. The property is being marketed for sale. Moody's credit estimate is C, the same as last review. Moody's weighed average pooled loan to value (LTV) ratio is 84% compared to 85% at last review and 68% at securitization. Moody's pooled stressed DSCR is 1.34X, similar to last review and 1.50X at securitization. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. Large loan transactions generally have a Herf of less than 20. The pool has a Herf of 6, the same as last review. The three largest exposures represent 64% of the pooled balance. The largest pooled exposure is the Farallon MHC Portfolio Loan which consists of a pooled portion of $316 million (24% of the pool) and non-pooled portion of $72.7 million which supports three non-pooled or rake classes. The loan is a 44% pari-passu interest in a $888 million senior mortgage which is secured by 273 cross- collateralized and cross-defaulted mobile home communities located throughout the country. The loan was transferred to special servicing in July 2010 due to refinancing concerns and modified in April 2011. The modification included a loan extension through 2015 with an option to extend 2 additional years, a capture of excess cash flow, and a requirement for all net proceeds from sales to be remitted to the lender. The floating rate loan has paid down 14% since last review. The loan continues to perform. Moody's current pooled LTV is 60% and stressed DSCR is 1.67X. Moody's current credit estimate for the pooled balance is Aa2, the same as last review. Moody's current credit estimate for the non- pooled or rake classes FMH-1 and FMH-2 are A2 and Baa2, respectively, the same as last review. The second largest pooled exposure is the Stamford Office Portfolio loan ($301.5 million; 23%) which is secured by seven office properties totaling 1.7 million square feet located in Stamford, Connecticut. As of September 2011, the properties were 82% occupied, similar to last review. The cash flow has been stressed due to concessions. In 2010, the loan was modified and extended through August 2012 with two 1-year extensions. Moody's current credit estimate is B1, the same as last review. The OSI Restaurant Portfolio loan ($233 million; 18%) is the third largest loan in the pool and is secured by 343 properties located in 35 states. The loan is a 50% pari-passu interest in a $466 million senior mortgage. The cash flow has been stable since securitization and the loan has paid down approximately $9 million. Moody's current pooled LTV is 75% and stressed DSCR is 1.41X. Moody's current credit estimate is Ba1, the same as last review. BANC OF AMERICA: Fitch Lowers Rating on Two Class. Certs. at 'Dsf' ------------------------------------------------------------------ Fitch Ratings has downgraded nine classes of Banc of America Commercial Mortgage Inc., series 2006-3 commercial mortgage pass- through certificates, due to further deterioration in performance including increased loss expectations on specially serviced loans. Fitch modeled losses of 8.6% (13.6% cumulative transaction losses which includes losses realized to date). Modeled losses include expected losses on loans in special servicing and on performing loans with declines in performance indicative of a higher probability of default. The increase in modeled losses as well as the largest contributor to modeled losses is the Rushmore Mall(5.8% of the pool). The loan transferred to special servicing following Fitch's last rating action and the special servicer has recently obtained a valuation significantly below its debt. The interest-only loan is secured by a 737,725 square foot (sf) regional mall located in Rapid City, SD, slightly north of the CBD and approximately seven miles from the Ellsworth Airforce Base. Built in 1978 and renovated in 1993, the mall is anchored by Sears (124,215 sf) and JC Penney (89,909 sf). The mall has 421,948 sf of in-line space. The sponsors are Simon Property Group and The Macerich Group. JC Penny has indicated that it will relocate unless the borrower constructs a new, 104,000 square foot store at the property for them to occupy. The borrower has indicated that it is not willing to invest in the property to construct the new space without a loan modification. Given the potential of the borrower and the special servicer failing to come to an agreement on a modification, Fitch modeled significant losses. The loan currently has positive cash flow, but the dispute could have a large impact on the mall's performance. The second largest contributor to losses is the Phoenix Airport Marriott loan (3.8%) which is secured by a 345-room hotel located 1.5 miles from the Phoenix International Airport. At issuance, the property reported an average daily occupancy of 68.1%, and revenue per available room (RevPar) of $94.32. According to the Smith Travel Research for the trailing 12 months (TTM) ended February 2011, occupancy and RevPAR were 53.8% and $71.35 respectively. While this represents a 14.4% increase in TTM RevPAR, the property is still significantly underperforming issuance expectations. The servicer-reported year end (YE) 2010 net operating income debt service coverage ratio (NOI DSCR) was 0.80 times (x), compared with 1.62x at issuance. Recent losses to the trust were primarily the result of the disposition of six former Boscov's properties. Total losses on the disposition were approximately 115% of the loan amount as fees and advances consumed all of the sales proceeds. There were originally eight single-tenant retail assets in the pool, with total principal balance of $131.5 million (6.8%). Boscov's Inc. was the borrower and tenant. The stores were closed after Boscov's filed Chapter 11 bankruptcy on Aug. 4, 2008. The properties are attached to shopping centers, four of which are owned by Simon Properties Group, Inc., two by General Growth Properties and one by CBL & Associates Properties, Inc. As of the November 2011 distribution date, the pool's aggregate principal balance decreased by 17.1% to $1.63 billion from $1.96 billion at issuance. Fitch has identified 35 loans (38.4%) as Fitch Loans of Concern, which includes seven specially serviced loans (8.6%). There are no defeased loans in the pool. Class A-M has been assigned a Negative Rating Outlook reflecting several sub-performing loans which remain current, as well as a significant exposure to properties in tertiary markets. Fitch has downgraded these classes: -- $196.5 million class A-M to 'AAsf' from 'AAAsf', Outlook to Negative from Stable; -- $152.3 million class A-J to 'CCCsf' from 'BBsf', RE 100%; -- $41.8 million class B to 'CCsf' from 'CCCsf', RE 100%; -- $19.7 million class C to 'Csf', RE 30% from 'CCCsf', RE 100%; -- $31.9 million class D to 'Csf', RE 0% from 'CCCsf', RE 45%; -- $17.2 million class E to 'Csf' from 'CCsf', RE 0%;; -- $22.1 million class F to 'Dsf' from 'CCsf', RE 0%; -- $17.2 million class G to 'Dsf' from 'Csf', RE 0%; -- $22.1 million class H to 'Dsf' from 'Csf', RE 0%. Fitch has affirmed these classes: -- $56.9 million class A-3 at 'AAAsf', Outlook Stable; -- $1.01 billion class A-4 at 'AAAsf', Outlook Stable; -- $97.8 million class A-1A at 'AAAsf', Outlook Stable. Classes J, K, L and M have been reduced to zero due to realized losses and remain at 'Dsf', RE 0%. Classes A-1 and A-2 have paid in full. Fitch does not rate classes N, O or P. BANC OF AMERICA: S&P Cuts 3 Classes of Certificates Ratings to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' on three classes of commercial mortgage pass-through certificates from Banc of America Commercial Mortgage Inc.'s series 2002-2, a U.S. commercial mortgage-backed securities (CMBS) transaction. "Concurrently, we placed our ratings on two classes from the same transaction on CreditWatch with negative implications," S&P related. The downgrades to 'D (sf)' follow principal losses that were detailed in the Nov. 14, 2011, trustee remittance report. According to the November remittance report, the aggregate principal losses totaling $41.9 million resulted from the liquidation of three assets that were with the special servicer, C-III Asset Management LLC (C-III). The aggregate beginning scheduled principal balance of these three assets was $48.5 million resulting in a weighted average loss severity of 86.4%. According to the November Remittance report, the class K certificates experienced a 5.3% loss to the original principal balance of $36.6 million. The class L reported a 100% loss to the original principal balance of $12.9 million. According to the November remittance, the class M experienced a 100% loss to the original principal balance of $12.9 million. In addition, class P (not rated) experienced a 100% loss to its beginning principal balance of $14.1 million. "The negative CreditWatch placements reflect Standard & Poor's preliminary analysis of the transaction, the transaction structure, and liquidity available to the trust. We also considered five specially serviced assets ($32.8 million. 5.1%) and the transactions near-term maturities ($368.8 million, 57.3%), which excludes defeased loans," S&P said. "Standard & Poor's expects to resolve the CreditWatch negative placements as we complete our review of the workout process for all of the specially serviced assets and review the credit characteristics of the remaining loans in the pool," S&P said. Ratings Lowered Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2002-2 Rating Class To From Credit enhancement K D (sf) BB- (sf) 0% L D (sf) B- (sf) 0% M D (sf) CCC+ (sf) 0% Ratings Placed On CreditWatch Negative Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2002-2 Rating Class To From Credit enhancement H BBB+/Watch Neg(sf) BBB+ (sf) 9.0% J BBB-/Watch Neg(sf) BBB- (sf) 5.5 BANC OF AMERICA: S&P Lowers Ratings on 2 Classes to 'CC' -------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 39 classes from eight U.S. residential mortgage-backed securities (RMBS) transactions and removed 36 of them from CreditWatch with negative implications. "Concurrently, we raised our ratings on 18 classes from eight of the transactions in this review. In addition, we affirmed our ratings on 13 classes from seven of the transactions reviewed and removed four of them from CreditWatch negative. We also withdrew our ratings on two classes from Deutsche Alt-A Securities Inc. Mortgage Loan Trust 2005-5 based on our interest-only (IO) criteria. Both classes were on CreditWatch negative prior to the withdrawal," S&P raised. The 18 RMBS transactions in this review are backed by Alternative- A (Alt-A) or prime jumbo mortgage loan collateral issued from 2005 through 2007. "On May 11, 2011, we placed a number of U.S. RMBS ratings on CreditWatch with negative implications (see '7,389 Ratings From 2005-2007 U.S. Prime, Subprime, And Alt-A RMBS On Watch Neg Due To Revised Loss Projections'). For revised transaction specific loss projections associated with these transactions, see 'RMBS: Transaction-Specific Lifetime Loss Projections For Prime, Subprime, And Alternative-A U.S. RMBS Issued In 2005-2007,' published June 27, 2011," S&P related. "The downgrades reflect our belief that the projected credit enhancement for the affected classes will be insufficient to cover the projected losses at the applicable rating levels. The affirmations reflect our belief that the projected credit enhancement for these classes is sufficient to cover projected losses associated with these rating levels," S&P said. "Among other factors, the upgrades reflect our view of a decrease in delinquencies within the structures associated with these classes. This has caused a decrease to the remaining projected losses for these classes, which can now withstand more stressful scenarios. The upgrades to 'B- (sf)', 'B (sf)' or 'BB (sf)' from 'CCC (sf)' reflect our opinion that these classes are no longer projected to default based on the credit enhancement available to cover the projected losses. In addition, each of the upgrades reflects our assessment that the projected credit enhancement for each of the upgraded classes will be more than sufficient to cover projected losses at the revised rating levels; however, we are limiting the extent of the upgrades to reflect our view of the ongoing market risk," S&P related. "The affirmed 'CCC (sf)' and 'CC (sf)' ratings reflect our assessment that the credit enhancement for these classes will remain insufficient to cover projected losses," S&P said. "The rating actions take transaction specific loss projections where applicable into account. In order to maintain a 'B' rating on a class, we assessed whether, in our view, a class could absorb the remaining base-case loss assumptions we used in our analysis. For Alt-A 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. For additional structure-level information regarding delinquencies and cumulative losses for these transactions through the October 2011 remittance period please see: Losses And Delinquencies* Adjustable Rate Mortgage Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2005-10 241 7.89 1.11 23.45 23.45 2005-8 529 19.81 9.06 36.09 32.98 Banc of America Fdg Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2006-7 334 39.30 2.41 18.12 0.00 Banc of America Funding Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2005-3 255 37.53 0.26 7.25 0.00 2005-F 794 39.30 5.75 30.78 25.95 2007-C 643 53.85 7.02 38.42 0.00 Deutsche Alt-A Securities Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2005-5 625 48.54 4.68 18.39 16.30 Impac CMB Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2005-2 1,200 17.43 4.39 14.97 10.74 MASTR Alternative Loan Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2005-3 399 41.51 1.56 18.84 11.82 Merrill Lynch Mortgage Investors Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2005-A3 317 23.92 5.84 34.27 27.75 Merrill Lynch Mortgage Investors Trust MLMI Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2005-A7 463 45.02 1.68 15.14 11.15 MortgageIT Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2005-1 883 26.19 2.82 9.99 7.06 Nomura Asset Acceptance Corporation Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2005-AR4 501 23.53 9.43 22.92 19.55 Opteum Mortgage Acceptance Corporation Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2005-4 1,322 36.11 8.90 16.25 13.50 RALI Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2005-QA4 525 30.61 5.72 15.26 9.49 WaMu Mortgage Pass-Through Certificates Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2005-AR17 1,591 31.30 5.09 34.92 30.24 2006-AR7 295 27.97 8.32 40.54 36.37 2006-AR7 696 45.05 8.71 42.67 35.54 2006-AR7 284 47.41 6.93 31.99 26.35 Wells Fargo Mortgage Backed Securities Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2007-14 560 21.24 0.22 5.17 2.78 2007-14 5,000 43.40 1.88 9.50 6.55 *Cumulative losses represent the percentage of the original pool balance, and total and severe delinquencies represent the percentage of the current pool balance. The information below shows average pool factor, cumulative loss, and total and severe delinquency information by vintage for Alt-A collateral as of the October 2011 distribution period. 2005 Vintage Average Average Average Average pool factor cumulative total severe (%) losses (%) delinquencies (%) delinquencies (%) 30.21 6.27 30.52 25.67 2006 Vintage Average Average Average Average pool factor cumulative total severe (%) losses (%) delinquencies (%) delinquencies (%) 40.90 14.31 40.57 35.04 2007 Vintage Average Average Average Average pool factor cumulative total severe (%) losses (%) delinquencies (%) delinquencies (%) 53.85 14.70 39.99 34.12 The information shows average pool factor, cumulative loss, and total and severe delinquency information by vintage for prime jumbo collateral as of the October 2011 distribution period. 2005 Vintage Average Average Average Average pool factor cumulative total severe (%) losses (%) delinquencies (%) delinquencies (%) 36.69 1.89 13.74 10.86 2006 Vintage Average Average Average Average pool factor cumulative total severe (%) losses (%) delinquencies (%) delinquencies (%) 41.42 3.43 18.07 14.50 2007 Vintage Average Average Average Average pool factor cumulative total severe (%) losses (%) delinquencies (%) delinquencies (%) 48.90 3.53 19.14 15.37 Subordination, overcollateralization (prior to its depletion), and excess spread, when applicable, provide credit support for the affected transactions. Ratings Lowered Banc of America Funding 2005-3 Trust Series 2005-3 Rating Class CUSIP To From B-2 05946XWY5 CC (sf) CCC (sf) B-3 05946XWZ2 CC (sf) CCC (sf) Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005- AR4 Series 2005-AR4 Rating Class CUSIP To From III-A-2 65535VNN4 CC (sf) CCC (sf) IV-A-2 65535VMZ8 CC (sf) CCC (sf) V-A-4 65535VNM6 CC (sf) CCC (sf) Ratings Lowered And Removed From Creditwatch Negative Banc of America Funding 2005-3 Trust Series 2005-3 Rating Class CUSIP To From 1-A-1 05946XVH3 AA (sf) AAA (sf)/Watch Neg 1-A-2 05946XVJ9 AA (sf) AAA (sf)/Watch Neg 1-A-3 05946XVK6 AA (sf) AAA (sf)/Watch Neg 1-A-4 05946XVL4 AA (sf) AAA (sf)/Watch Neg 1-A-5 05946XVM2 AA (sf) AAA (sf)/Watch Neg 1-A-6 05946XVN0 AA (sf) AAA (sf)/Watch Neg 1-A-7 05946XVP5 AA (sf) AAA (sf)/Watch Neg 1-A-8 05946XVQ3 AA (sf) AAA (sf)/Watch Neg 1-A-9 05946XVR1 AA (sf) AAA (sf)/Watch Neg 1-A-10 05946XVS9 AA (sf) AAA (sf)/Watch Neg 1-A-11 05946XVT7 AA (sf) AAA (sf)/Watch Neg 1-A-12 05946XVU4 AA (sf) AAA (sf)/Watch Neg 1-A-13 05946XVV2 AA (sf) AAA (sf)/Watch Neg 1-A-14 05946XVW0 AA (sf) AAA (sf)/Watch Neg 1-A-16 05946XVY6 AA (sf) AAA (sf)/Watch Neg 1-A-17 05946XVZ3 AA (sf) AAA (sf)/Watch Neg 1-A-18 05946XWA7 AA (sf) AAA (sf)/Watch Neg 1-A-19 05946XWB5 AA (sf) AAA (sf)/Watch Neg 1-A-20 05946XWC3 AA (sf) AAA (sf)/Watch Neg 1-A-22 05946XWE9 AA (sf) AAA (sf)/Watch Neg 1-A-23 05946XWF6 AA (sf) AAA (sf)/Watch Neg 1-A-24 05946XWG4 AA (sf) AAA (sf)/Watch Neg 1-A-25 05946XWH2 AA (sf) AAA (sf)/Watch Neg 30-IO 05946XWL3 AA (sf) AAA (sf)/Watch Neg 30-PO 05946XWM1 AA (sf) AAA (sf)/Watch Neg B-1 05946XWX7 CCC (sf) BBB (sf)/Watch Neg Banc of America Funding 2005-F Trust Series 2005-F Rating Class CUSIP To From 5-A-1 05946XZB2 B- (sf) AA (sf)/Watch Neg Deutsche Alt-A Securities Inc. Mortgage Loan Trust 2005-5 Series 2005-5 Rating Class CUSIP To From I-A-1 251510HL0 B (sf) AAA (sf)/Watch Neg MASTR Alternative Loan Trust 2005-3 Series 2005-3 Rating Class CUSIP To From 2-A-1 576434M50 B- (sf) AA- (sf)/Watch Neg 3-A-1 576434M68 B- (sf) A+ (sf)/Watch Neg Merrill Lynch Mortgage Investors Trust Series 2005-A3 Series 2005-A3 Rating Class CUSIP To From A-1 59020UVQ5 AA+ (sf) AAA (sf)/Watch Neg A-2 59020UVR3 AA+ (sf) AAA (sf)/Watch Neg WaMu Mortgage Pass-Through Certificates Series 2005-AR17 Trust Series 2005-AR17 Rating Class CUSIP To From X 92922F7Y8 CCC (sf) BB+ (sf)/Watch Neg WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust Series 2006-AR7 Rating Class CUSIP To From 1A 93363CAA7 CCC (sf) BB (sf)/Watch Neg RATINGS RAISED Adjustable Rate Mortgage Trust 2005-10 Series 2005-10 Rating Class CUSIP To From 6-A-1 007036TP1 BB (sf) CCC (sf) 6-A-2-1 007036TQ9 BB (sf) B- (sf) 6-A-2-2 007036TR7 BB (sf) CCC (sf) Adjustable Rate Mortgage Trust 2005-8 Series 2005-8 Rating Class CUSIP To From 7-A-1-1 007036QR0 BB (sf) CCC (sf) 7-A-2 007036QT6 BB (sf) CCC (sf) 7-A-3-1 007036QU3 BB (sf) BB- (sf) 7-A-3-2 007036QV1 BB (sf) CCC (sf) Banc of America Fdg 2006-7 Trust Series 2006-7 Rating Class CUSIP To From 1-A-1 05951KAB9 B- (sf) CCC (sf) Banc of America Funding 2007-C Trust Series 2007-C Rating Class CUSIP To From 7-A-3 059522AE2 BB (sf) CCC (sf) Impac CMB Trust Series 2005-2 Series 2005-2 Rating Class CUSIP To From 1-M-1 45254NNB9 B (sf) CCC (sf) Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A7 Series 2005-A7 Rating Class CUSIP To From I-A-2 59020UE43 B (sf) CCC (sf) MortgageIT Trust 2005-1 Series 2005-1 Rating Class CUSIP To From 1-M-1 61913PAS1 BB (sf) B (sf) 1-M-2 61913PAT9 BB (sf) CCC (sf) 1-B-1 61913PAW2 B- (sf) CCC (sf) Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005- AR4 Series 2005-AR4 Rating Class CUSIP To From III-A-1 65535VMX3 B (sf) CCC (sf) IV-A-1 65535VMY1 B- (sf) CCC (sf) V-A-2 65535VNB0 B- (sf) CCC (sf) V-A-3 65535VNL8 B- (sf) CCC (sf) Ratings Affirmed And Removed From Creditwatch Negative Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005- AR4 Series 2005-AR4 Rating Class CUSIP To From I-A 65535VMV7 AAA (sf) AAA (sf)/Watch Neg II-A 65535VMW5 AA- (sf) AA- (sf)/Watch Neg Opteum Mortgage Acceptance Corp. Series 2005-4 Rating Class CUSIP To From II-A1 68383NCF8 A- (sf) A- (sf)/Watch Neg WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust Series 2006-AR7 Rating Class CUSIP To From 3A 93363CAC3 B- (sf) B- (sf)/Watch Neg ratings affirmed Adjustable Rate Mortgage Trust 2005-10 Series 2005-10 Class CUSIP Rating 6-B-1 007036UB0 CC (sf) Adjustable Rate Mortgage Trust 2005-8 Series 2005-8 Class CUSIP Rating 7-A-1-2 007036QS8 CCC (sf) 7-A-4 007036QW9 CCC (sf) Banc of America Funding 2005-3 Trust Series 2005-3 Class CUSIP Rating B-4 05946XXA6 CC (sf) B-5 05946XXB4 CC (sf) Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005- AR4 Series 2005-AR4 Class CUSIP Rating V-A-1 65535VNA2 AA+ (sf) RALI Series 2005-QA4 Trust Series 2005-QA4 Class CUSIP Rating A-II-1 76110H4G1 CCC (sf) WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust Series 2006-AR7 Class CUSIP Rating 2A 93363CAB5 CCC (sf) 3A-1B 93363CAD1 CCC (sf) BAYVIEW FIN'L: Fitch Lowers Rating on 6 Sr. Classes to 'CCCsf' -------------------------------------------------------------- Fitch Ratings has taken various rating actions on 16 classes of Bayview Financial Revolving Asset Trust (BFAT) 2005-A and 2005-E. The six senior classes in the BFAT transactions have been downgraded to 'CCCsf' from 'BBsf' or 'Bsf' due to projected principal loss and interest shortfalls in the 'Bsf' rating stress scenario. The rating actions reflect an increasing risk of default for the senior classes due to poor performance of the underlying collateral and the structural features of the BFAT transactions. All classes have received principal payments pro-rata since the revolving period ended in 2009, and there are no performance triggers that will change the payment structure to re-direct cash flow to the senior classes. The pro-rata pay structure decreases the credit enhancement of the senior classes over time, since the subordinate classes receive principal payments as well as principal writedowns due to losses. The BFAT transactions are securitized by a mix of Small Balance Commercial Micro transactions, two collateral pools of Subprime residential loans, a collateral pool of Canadian Small Balance Commercial loans, and several classes from Bayview Commercial Asset Trust 2008-2, 2008-3, and 2008-4 transactions. To determine the base-case default projection for the Small Balance Commercial collateral, Fitch used the vintage average default assumptions used in its latest Alt-A sector review. For the Subprime collateral, Fitch used the vintage average default assumptions used in its latest Subprime sector review. The vintage average default assumptions were adjusted based on each pool's performance. To determine the severity assumptions, Fitch used the vintage average of the actual severities of loans that were liquidated over the past 12 months. After determining each underlying pool's projected base-case and stressed scenario loss assumptions, Fitch performed cash flow analysis to ascertain the amount of collateral loss that the rated classes incur in the 'AAA' through 'B' rating stresses. Fitch's rating actions are: Bayview Financial Revolving Asset Trust 2005-A -- Class A1 (073250BM3) downgraded to 'CCCsf/RR2' from 'BBsf'; Outlook Negative; -- Class A2A (073250BN1) downgraded to 'CCCsf/RR2' from 'BBsf'; Outlook Negative; -- Class A2B (073250BP6) downgraded to 'CCsf/RR2' from 'Bsf'; Outlook Negative; -- Class M1 (073250BQ4) downgraded to 'Csf/RR3' from 'CCCsf/RR2'; -- Class M2 (073250BR2) downgraded to 'Csf/RR4' from 'CCsf/RR3; -- Class M3 (073250BS0) downgraded to 'Csf/RR5' from 'CCsf/RR3; -- Class B1 (073250BT8) affirmed at 'Csf/RR5' from 'Csf/RR4'; -- Class B2 (073250BU5) affirmed at 'Csf/RR5' from 'Csf/RR4'. Bayview Financial Revolving Asset Trust 2005-E -- Class A1 (073250BV3) downgraded to 'CCCsf/RR2' from 'BBsf'; Outlook Negative; -- Class A2A (073250CB6) downgraded to 'CCCsf/RR2' from 'BBsf'; Outlook Negative; -- Class A2B (073250CC4) downgraded to 'CCsf/RR3' from 'Bsf'; Outlook Negative; -- Class M1 (073250BW1) downgraded to 'Csf/RR4' from 'CCCsf/RR3; -- Class M2 (073250BX9) downgraded to 'Csf/RR5' from 'CCsf/RR3'; -- Class M3 (073250BY7) downgraded to 'Csf/RR5' from 'CCsf/RR4'; -- Class B1 (073250BZ4) affirmed at 'Csf/RR6' from 'Csf/RR4'; -- Class B2 (073250CA8) affirmed at 'Csf/RR6'; from 'Csf/RR5'. These actions were reviewed by a committee of Fitch analysts. CALIFORNIA DEPT: Moody's Gives Ratings to Revenue Bonds ------------------------------------------------------- Moody's Investors Service has assigned the rating of Aa3 to the California Department of Veterans Affairs, Home Purchase Revenue Bonds, Series 2011 A in the approximate amount of $172.7 million and 2011 B in the approximate amount of $4 million. Moody's has also affirmed all outstanding bonds issued under the program, including the Veterans General Obligation Bonds rated Aa2. The outlook is stable. Moody's Rating Issue: Home Purchase Revenue Bonds, Series 2011 A; Rating: Aa3; Sale Amount: $172,700,000; Expected Sale Date: 11/30/2011; Rating Description: Revenue: Other Issue: Home Purchase Revenue Bonds, Series 2011 B; Rating: Aa3; Sale Amount: $4,000,000; Expected Sale Date: 11/30/2011; Rating Description: Revenue: Other RATING RATIONALE: The Aa3 rating is based on favorable mortgage portfolio quality, sound capital base and management's ability to limit program risk. Also reflected in the rating are unique factors in the program's risk profile, particularly as compared with other program's in our portfolio as well as other factors that may result in increased pressure on financial resources and profitability. These factors include the weak California housing market environment and the economic downturn the State is facing and the program's struggle to regain profitability after several years of operating losses. Strengths: -- Sound capital base as demonstrated by program asset-to-debt ratio (PADR) of 112%, excluding loan loss, and favorable fund balance despite the fact that the program continues to experience net operating losses. -- Favorable mortgage portfolio quality characterized by highly seasoned loans and low loan-to-value -- Management willingness and ability to implement cost and debt reduction measures in response to sector pressures -- No variable rate debt Challenges: -- Significant exposure to the deteriorated credit quality of Radian Guaranty (rated Ba3) -- The weak California housing market environment and the economic downturn the State is facing continue to put pressure on the program's balance sheet. -- The combination of low levels of new contract originations and low interest rate environment continue to pressure performance and challenge the program's ability to regain profitability. Outlook The outlook for the Veterans revenue bonds is stable based on our expectation that the program will remain financially viable under the most plausible loss projections over the next eighteen to twenty four months given the program's financial resources. What Would Make the Rating Go Up Reversal of current negative financial and operating trend for several reporting periods, resulting in high levels of overcollateralization for the program. What Would Make the Rating Go Down Significant increase in program delinquencies and foreclosures, or program operating losses that results in an increase in potential loan loss and/or liquidity stresses. Significant decline in the overall financial performance of the 1943 Fund and performance of the loan portfolio. The principal methodology used in this rating was Moody's Rating Approach For Single Family, Whole-Loan Housing Programs published in May 1999. CAVALRY CLO: S&P Affirms Rating on Class D Notes at 'BB' -------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on the class A-1a, A-1b, A-2, B-1, B-2, C, and D notes from Cavalry CLO I Ltd. and the class A notes from Washington Boulevard 2009-1. Cavalry CLO I is a collateralized loan obligation (CLO) transaction managed by Regiment Capital Management LLC. Washington Boulevard 2009-1 closed in October 2009 and is backed by the class A-1b notes from Cavalry CLO I. The transaction has sufficient credit enhancement available to support the rated notes, which is evident in that all of the overcollateralization (O/C) tests are currently passing. 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 we deem necessary. Ratings Affirmed Cavalry CLO I Ltd. Class Rating A-1a AAA (sf) A-1b AAA (sf) A-2 AA (sf) B-1 A (sf) B-2 A (sf) C BBB (sf) D BB (sf) Washington Boulevard 2009-1 Class Rating A AAA (sf) CGMT 2007-FL3: Moody's Raises Rating of Cl. G Notes to Ba1 (sf) --------------------------------------------------------------- Moody's Investors Service (Moody's) upgraded eight classes and affirmed five classes of Citigroup 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 Aaa (sf); previously on Jul 20, 2011 Upgraded to Aa3 (sf) Cl. B, Upgraded to Aa2 (sf); previously on Jul 20, 2011 Upgraded to A2 (sf) Cl. C, Upgraded to A1 (sf); previously on Jul 20, 2011 Upgraded to Baa1 (sf) Cl. D, Upgraded to A2 (sf); previously on Jul 20, 2011 Upgraded to Baa2 (sf) Cl. E, Upgraded to A3 (sf); previously on Jul 20, 2011 Upgraded to Baa3 (sf) Cl. F, Upgraded to Baa2 (sf); previously on Jul 20, 2011 Upgraded to Ba2 (sf) Cl. G, Upgraded to Ba1 (sf); previously on Oct 21, 2010 Downgraded to B1 (sf) Cl. H, Upgraded to B1 (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. HTT-1, Affirmed at Ba3 (sf); previously on Oct 21, 2010 Confirmed at Ba3 (sf) RATINGS RATIONALE The upgrades are due to the payoff of one loan 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 CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based Large Loan Model v 8.2. 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 July 20, 2011. As of the November 15, 2011 distribution date, the transaction's certificate balance decreased by approximately 63% to $314.3 million from $845.8 billion at securitization due to the payoff of ten loans and principal pay downs associated with four loans. The Certificates are collateralized by six floating- rate loans ranging in size from 2% to 42% of the pooled trust mortgage balance. The largest three loans account for 86% of the pooled balance. The pool is comprised of only hotel properties. The pool has not experienced losses since securitization. There are no loans in special servicing. As of the November remittance report, interest shortfalls totaled $3,424 to Class K and $4,416 to rake Class AVA. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. Moody's weighed average pooled loan to value (LTV) ratio is 88%, the same as last review, and 59% at securitization. Moody's pooled stressed DSCR is 1.47X compared to 1.23X 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 3, compared to 4 at last review. The largest pooled exposure is the Fairmont Scottsdale Princess loan ($133 million; 42% 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 September 2011 was $138.82, up 12.6% from the RevPAR for the same period in 2010 of $123.29. According to Smith Travel Research, RevPAR for Phoenix increased 10.3% for the same period. Moody's current LTV is over 100% and stressed DSCR is 0.99X. Moody's current credit estimate is Caa3, the same as last review. The second largest loan in the pool is the Hilton Garden Inn Times Square loan ($77.5 million; 24.7% 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 September 2011 was $254.41, up 6.9% from the RevPAR for the same period in 2010 of $237.98. According to Smith Travel Research, RevPAR for New York increased 13.6% for the same period. Moody's current LTV is 60.2% and stressed DSCR is 1.93X. Moody's current credit estimate for the pooled balance is A3, the same as last review. The Hampton Inn Times Square loan ($60 million; 19.1% of the pool balance) is the third largest loan in the pool which is collateralized by a 300 key hotel in Times Square, Manhattan. RevPAR for the trailing twelve month (TTM) period ending September 2011 was $248.75, up 9.8% from the RevPAR for the same period in 2010 of $226.55. According to Smith Travel Research, RevPAR for New York increased 13.6% for the same period. Moody's current LTV is 62.0% and stressed DSCR is 1.87X. Moody's current credit estimate for the pooled balance is Baa1, the same as last review. CLARIS IV: DBRS Downgrades Rating of Class I-B Swap to 'BB' ----------------------------------------------------------- DBRS, Inc., has downgraded the ratings on the Class I-A Swap, Class I-B Swap, and Class I-C Swap issued by Claris IV Limited - Series 36. Claris IV Limited - Series 36 is collateralized primarily by a portfolio of U.S. residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), collateralized loan obligations (CLOs) and other asset-backed securities (ABS). The DBRS ratings of the Class I-A Swap, Class I-B Swap, and Class I-C Swap address the probability of breaching their respective attachment points as defined in the transaction documents at or prior to their maturity dates. The actions reflect the deterioration in credit quality of the underlying collateral pool since the transaction was last confirmed on October 15, 2010. The principal methodology is Rating US & European Structured Finance CDO Restructurings, which can be found on DBRS' website under Methodologies. This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU. Claris IV Limited - Series 36 Class I-A Swap, Series 36 Downgraded BBB (sf) -- Nov 22, 2011 Claris IV Limited - Series 36 Class I-B Swap, Series 36 Downgraded BB (high) (sf) -- Nov 22, 2011 Claris IV Limited - Series 36 Class I-C Swap, Series 36 Downgraded B (high) (sf) -- Nov 22, 2011 CLYDESDALE STRATEGIC: S&P Raises Rating on Class D Notes to 'B+' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the A-1, A-2, B, C-1, C-2, and D notes from Clydesdale Strategic CLO I Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Nomura Corporate Research and Asset Management. "At the same time, we removed the class A-2, B, C-1, C-2, and D note ratings from CreditWatch, where we placed them with positive implications on Sept. 2, 2011," S&P said. "The upgrades mainly reflect an improvement in the performance of the transaction's underlying asset portfolio, as well as paydowns to the class A-1 notes, since we lowered our ratings on all of the notes in December 2009, following the application of our September 2009 collateralized debt obligation (CDO) criteria," S&P said. "As of the October 2011 trustee report, the transaction had $5.04 million of defaulted assets. This was down from the $23.45 million of defaulted assets noted in the October 2009 trustee report, which we used for our December 2009 rating actions. Additionally, the trustee reported $8.29 million in assets from obligors rated in the 'CCC' category in October 2011, compared with $18.92 million in October 2009," S&P said. The upgrades also reflect an improvement in the overcollateralization (O/C) available to support the notes, partially due to paydowns to the class A-1 notes since the December 2009 rating actions. Since that time, the transaction has paid down the class A-1 notes by approximately $80.1 million, reducing their outstanding note balance to 63.74% of its original balance at issuance. The trustee reported the O/C ratios in the October 2011 monthly report: The class A O/C ratio was 129.90%, compared with a reported ratio of 117.74% in October 2009; The class B O/C ratio was 118.42%, compared with a reported ratio of 110.60% in October 2009; The class C O/C ratio was 111.43%, compared with a reported ratio of 106.03% in October 2009; and The class D O/C ratio was 106.29%, compared with a reported ratio of 102.57% in October 2009. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating And CreditWatch Actions Clydesdale Strategic CLO I Ltd. Rating Class To From A-1 AAA (sf) AA+ (sf) A-2 AA+ (sf) A+ (sf)/Watch Pos B A+ (sf) BBB+ (sf)/Watch Pos C-1 BBB (sf) B+ (sf)/Watch Pos C-2 BBB (sf) B+ (sf)/Watch Pos D B+ (sf) CCC- (sf)/Watch Pos COBALT CMBS: Fitch Junks Rating on 7 Super Sr. Note Classes ----------------------------------------------------------- Fitch Ratings has affirmed the super senior and mezzanine classes of commercial mortgage pass-through certificates Cobalt CMBS Commercial Mortgage Trust series 2006-C1. The downgrades reflect an increase in Fitch modeled losses attributed to updated values on specially serviced loans. Fitch modeled losses of 13.5% of the current pool balance. As of the October 2011 distribution date, the pool's aggregate principal balance (including rakes) has decreased 11.7% to $2.26 billion from $2.56 billion at issuance. Fitch has designated 44 loans (32.9%) as Fitch Loans of Concern, including 22 (22.5%) specially serviced loans. Fitch expects classes D through L may be fully depleted from losses associated with the specially serviced assets and class C to be significantly impacted. As of October 2011, cumulative interest shortfalls in the amount of $13.1 million are affecting classes B through P. The largest contributor to modeled losses is the Continental Towers (5.1% of the pool) which consist of three 12-story office buildings totaling approximately 932,854 square feet (sf) located in Rolling Meadows, IL. The loan transferred to special servicing on Jan. 19, 2010 due to imminent default as a result of a significant decline in occupancy. The property became real estate owned asset (REO) in June 2010 through a deed in lieu of foreclosure and the special servicer is working to lease-up the properties. As of July 2011, overall occupancy was 54% compared to 90.2% at issuance. The second largest contributor to modeled losses is the DHL Perimeter Building located in Scottsdale, AZ. This property was 100% leased to DHL with a lease expiration date of June 20, 2012. In fourth quarter 2009, DHL paid a lease termination fee and vacated the building. The loan transferred to the special servicer in March 2010 due to technical default. According to the loan documents, the borrower is required to post a $3 million letter of credit nine months prior to lease expiration if DHL did not renew. The loan is currently in foreclosure. As of March 2011, the property is 28% occupied. The third largest contributor to modeled losses is the North Bay Village loan, which is secured by a three-building, 114,399 sf retail/office project plus a 5,750 sf unleased pad site in Bonita Springs, FL. The loan transferred to special servicing on Aug. 5, 2009 due to monetary default. The largest tenant, a home furnishings retailer, occupied a 60,000 sf single-story building but filed for bankruptcy in February 2011 and subsequently closed. The borrower and one of the loan sponsors also filed for bankruptcy protection. Special servicer is pursuing foreclosure while also considering a loan modification. Fitch has downgraded and assigned Recovery Ratings to these classes as indicated: -- $208.8 million class AJ to 'CCC/RR1' from 'BB'; -- $50.6 million class B to 'CC/RR2' from 'B'; -- $28.5 million class C to 'CC/RR6' from 'B-'; -- $34.8 million class D to 'C/RR6' from'CCC/RR1'; -- $22.1 million class E to 'C/RR6' from'CCC/RR3'; -- $28.5 million class F to 'C/RR6' from 'CC/RR6'; -- $25.3 million class G to 'C/RR6' from 'CC/RR6'. Fitch has affirmed these classes and revised Outlooks as indicated: -- $218.7 million class A-2 at 'AAA'; Outlook Stable; -- $138.9 million class A-AB at 'AAA'; Outlook Stable; -- $102.3 million class A-3 at 'AAA'; Outlook Stable; -- $723.7 million class A-4 at 'AAA'; Outlook Stable; -- $374.1 million class A-1A at 'AAA'; Outlook Stable; -- $253.1 million class A-M at 'AAA'; Outlook to Negative from Stable; -- $34.8 million class H at 'C/RR6'; -- $6.3 million class J at 'C/RR6'; -- $9.5 million class K at 'C/RR6'; -- $5 million class L at 'D/RR6'; -- $15.8 million class AMP-E1 at 'BB'; Outlook Stable; -- $6.1 million class AMP-E2 at 'BB'; Outlook Stable. Classes M through O have been depleted due to recognized losses and remain at 'D/RR6'. Fitch does not rate class P. Fitch has withdrawn the rating on the interest-only class IO at previous review. COMM MORTGAGE: Fitch Raises Rating on Class Q-PC to 'CCCsf' ----------------------------------------------------------- Fitch Ratings has upgraded the rating on one class of COMM Mortgage Trust 2005-FL10: -- Class Q-PC to 'CCCsf/RR6' from 'Dsf/RR6'. The upgrade follows the trustee's restatement of monthly distribution statements dating back to April 2010. Prior distribution statements erroneously reflected a principal loss to the nonpooled class Q-PC associated with the Palisades Center loan, which caused Fitch to downgrade the class to 'Dsf/RR6'. CREDIT SUISSE: Fitch Affirms Rating on 19 Note Classes ------------------------------------------------------ Fitch Ratings has affirmed 19 and downgraded two below investment grade classes of Credit Suisse Commercial Mortgage Trust, series 2006-C1 (CSMC 2006-C1) commercial mortgage pass-through certificates. Fitch modeled losses of 5.5% of the remaining pool; expected losses on the original pool balance total 5.2%, including losses already incurred. The pool has experienced $22.3 million (0.7% of the original pool balance) in realized losses to date. Fitch has designated 107 loans (29.1%) as Fitch Loans of Concern, which includes 26 specially serviced assets (8.5%). Fitch expects classes O through S to be fully depleted from losses associated with the specially serviced assets. As of the October 2011 distribution date, the pool's aggregate principal balance has been reduced by 18% to $2.46 billion from $3 billion at issuance. Only one loan (0.1%) has defeased since issuance. Interest shortfalls are currently affecting classes K through S. The largest contributor to Fitch modeled losses is a loan (3.1% of pool balance) secured by a 360,000 sf office property located in MacLean, VA. The third largest tenant, Adobe Systems (7.6%), vacated its space in March 2011. As of the August 2011 rent roll, occupancy declined to 80% from 86% in September 2010. The next largest contributor to Fitch modeled losses is a loan (0.7%) secured by a 314 all suites hotel located in Phoenix, AZ. Property performance remains poor with the trailing 12 month June 2011 debt service coverage ratio reported by the servicer at 0.55 times (x). The loan remains current, as of the October 2011 distribution date. The third largest contributor to Fitch modeled losses is a specially serviced loan (0.4%) secured by two industrial properties located in Butler, IN and South Haven, MI. The bankrupt single tenant vacated both properties in late 2009. While the Indiana property has since been re-leased, the Michigan property remains vacant. The special servicer is pursuing foreclosure. Fitch has affirmed these classes as indicated: -- $236.6 million class A-3 at 'AAAsf'; Outlook Stable; -- $132.4 million class A-AB at 'AAAsf'; Outlook Stable; -- $698 million class A-4 at 'AAAsf'; Outlook Stable; -- $513.4 million class A-1A at 'AAAsf'; Outlook Stable; -- $300.4 million class A-M at 'AAAsf'; Outlook Stable; -- $236.5 million class A-J at 'AAsf'; Outlook Stable; -- $18.8 million class B at 'AAsf'; Outlook Stable; -- $37.5 million class C at 'Asf'; Outlook Stable; -- 33.8 million class D at 'BBBsf'; Outlook Stable; -- $22.5 million class E at 'BBBsf'; Outlook Stable; -- $33.8 million class F at 'BBsf'; Outlook Stable; -- $30 million class G at 'BBsf'; Outlook Negative; -- $33.8 million class H at 'Bsf'; Outlook Negative; -- $30 million class J at 'B-sf'; Outlook Negative; -- $37.5 million class K at 'CCCsf/RR1'; -- $15 million class L at 'CCCsf/RR1'; -- $11.3 million class M at 'CCCsf/RR1'; -- $11.3 million class N at 'CCsf/RR3'; -- $3.8 million class O at 'CCsf/RR6'. Fitch has downgraded these classes as indicated: -- $3.8 million class P to 'Csf/RR6' from 'CCsf/RR6'; -- $7.5 million class Q to 'Csf/RR6' from 'CCsf/RR6'. CWCAPITAL COBALT: S&P Keeps 'D' Ratings on 5 Classes of Notes ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class C and D notes from CWCapital COBALT III Synthetic CDO Ltd., a hybrid collateralized debt obligation of commercial mortgage- backed securities (CDO of CMBS) transaction. "At the same time, we removed the ratings from CreditWatch negative," S&P said. The rating actions are primarily due to the increase in the level of defaults within the transaction's underlying portfolio that reduced the credit support available to the notes. "According to the Oct. 27, 2011 trustee report, the transaction had $78.9 million in defaulted positions, with an estimated recovery value of $6.08 million. This was up from $49.75 million in defaulted positions as of the July 27, 2010 trustee report, which we referenced for our September 2010 rating action, when we last downgraded the notes," S&P said. "Due to the increase in defaults and low recovery values, the amount of performing obligations to support the notes has declined and is currently inadequate to support the outstanding liabilities. The rating actions reflect our view that the classes have little realistic prospects of repayment and are unlikely to receive any future principal payments," S&P said. Ratings Lowered And Removed From CreditWatch Negative CWCapital COBALT III Synthetic CDO Ltd. Rating Class To From C D (sf) CCC- (sf)/Watch Neg D D (sf) CCC- (sf)/Watch Neg Other Outstanding Ratings CWCapital COBALT III Synthetic CDO Ltd. Class Rating A D (sf) B D (sf) E D (sf) F D (sf) G D (sf) Transaction Information Issuer: CWCapital COBALT III Synthetic CDO I Ltd. Coissuer: CWCapital COBALT III Synthetic CDO I LLC Transaction type: Hybrid CDO of CMBS DB MORTGAGE: Fitch Affirms Primary Servicer Rating at 'CPS2' ------------------------------------------------------------ Fitch Ratings affirms DB Mortgage Services, LLC's (DBMS) commercial mortgage-backed securities (CMBS) primary servicer rating at 'CPS2' and special servicer rating at 'CSS3+'. The servicer rating affirmations are based on the company's increased participation in the CMBS market via the Freddie Mac CME program, minimal employee turnover over the past three years, and its continued strong focus on staff training. Both ratings also consider the strength and tenure of senior management as well as the financial strength of parent company Deutsche Bank, rated 'AA- ' with a Negative Rating Outlook by Fitch. Deutsche Bank is an active participant in the commercial real estate market, with extensive experience in originating, financing, and securitizing commercial real estate debt. DBMS is the servicing and asset management arm of Deutsche Bank Berkshire Mortgage, an active originator for Fannie Mae, Freddie Mac and FHA. As of Sept. 30, 2011, DBMS's commercial mortgage primary servicing portfolio consisted of 2,148 loans totaling $28.8 billion, of which 49 loans totaling $1.1 billion were CMBS. As of the same date, DBMS was the named special servicer for 46 CMBS loans totaling $1.1 billion and was actively specially servicing 52 non-CMBS loans totaling $409.6 million. DENALI CAPITAL: Moody's Raises Rating of Cl. B-1L Notes to 'B1' --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Denali Capital CLO VI, Ltd.: US$100,000,000 Class A-1LR Variable Funding Notes Due April 2020, Upgraded to Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed Under Review for Possible Upgrade; US$277,000,000 Class A-1L Floating Rate Notes Due April 2020, Upgraded to Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed Under Review for Possible Upgrade; US$27,000,000 Class A-2L Floating Rate Notes Due April 2020, Upgraded to A1 (sf); previously on June 22, 2011 A3 (sf) Placed Under Review for Possible Upgrade; US$24,000,000 Class A-3L Floating Rate Notes Due April 2020, Upgraded to Baa3 (sf); previously on June 22, 2011 Ba1 (sf) Placed Under Review for Possible Upgrade; US$19,000,000 Class B-1L Floating Rate Notes Due April 2020, Upgraded to B1 (sf); previously on June 22, 2011 Caa1 (sf) Placed Under Review for Possible Upgrade; and US$16,000,000 Class C-1 Combination Notes Due April 2020 (current outstanding rated balance $8,818,262), Upgraded to A3 (sf); previously on June 22, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade. In addition, Moody's has confirmed the rating of this note: US$14,000,000 Class B-2L Floating Rate Notes Due April 2020, Confirmed at Caa3 (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 rating actions also reflect consideration of credit improvement of the underlying portfolio since the rating action in October 2009. Based on the trustee report dated October 7, 2011, the weighted average rating factor is 2569 compared to 2891 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 $474.2 million, defaulted par of $9.6 million, a weighted average default probability of 19.46% (implying a WARF of 2775), a weighted average recovery rate upon default of 50.4%, and a diversity score of 80. 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 certain collateral pool characteristics will continue to maintain a positive "cushion" relative to the covenant requirements. 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. Denali Capital CLO VI, Ltd., issued in March 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans with significant exposure to senior secured loans of middle market issuers. The methodologies used in this rating were "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011 and "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. 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) 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 with 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. 3) 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 generally analyzes the impact of assuming the worse of reported and covenanted values for weighted average rating factor, weighted average spread, and diversity score. However, as part of the base case, Moody's considered current levels for spread, diversity, and weighted average rating factor due to the limited time remaining until the end of reinvestment period. DENALI CAPITAL: Moody's Raises Rating of Class B-2L Notes to 'Ba2' ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of these notes issued by Denali Capital CLO VII, Ltd.: US$42,000,000 Class A-2L Floating Rate Notes Due January 2022, Upgraded to Aa3 (sf); previously on June 22, 2011 A1 (sf) Placed Under Review for Possible Upgrade; US$41,000,000 Class A-3L Floating Rate Notes Due January 2022, Upgraded to A3 (sf); previously on June 22, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade; US$22,500,000 Class B-1L Floating Rate Notes Due January 2022, Upgraded to Baa3 (sf); previously on June 22, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade; US$18,000,000 Class B-2L Floating Rate Notes Due January 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 "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 $786 million, defaulted par of $11 million, a weighted average default probability of 21.80% (implying a WARF of 2780), a weighted average recovery rate upon default of 50.48%, and a diversity score of 88. 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. Denali Capital CLO VII, Ltd., issued in May 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in 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 201. 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. DYRDEN XXII: S&P Gives 'BB' Rating on Class D Deferrable Notes -------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Dryden XXII Senior Loan Fund/Dryden XXII Senior Loan Fund Corp.'s $271.8 million floating-rate notes. The note issuance is a collateral debt obligation (CDO) transaction backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Nov. 17, 2011. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view 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 (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate CDO criteria (see "Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published Sept. 17, 2009); The transaction's legal structure, which is expected to be bankruptcy remote; The diversified collateral portfolio, which primarily comprises broadly syndicated speculative-grade senior secured term loans; The asset 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 0.41%-13.83%," S&P said; and The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. Standard & Poor's 17g-7 Disclosure Report SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111277.pdf Preliminary Ratings Assigned Dryden XXII Senior Loan Fund/Dryden XXII Senior Loan Fund Corp. Class Rating Amount (mil. $) A-1 AAA (sf) 195.0 A-2 AA (sf) 26.85 B (deferrable) A (sf) 24.30 C (deferrable) BBB (sf) 13.65 D (deferrable) BB (sf) 12.00 Subordinated notes NR 32.20 NR -- Not rated. EMPORIA PREFERRED: Moody's Raises Rating of Class D Notes to 'Ba1' ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of these notes issued by Emporia Preferred Funding III, Ltd.: US$26,845,000 Class B Second Priority Senior Notes Due 2021, Confirmed at Aa2 (sf); previously on June 22, 2011 Aa2 (sf) Placed Under Review for Possible Upgrade; US$37,170,000 Class C Third Priority Subordinated Deferrable Notes Due 2021, Upgraded to A3 (sf); previously on June 22, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade; US$20,650,000 Class D Fourth Priority Subordinated Deferrable Notes Due 2021, Upgraded to Ba1 (sf); previously on June 22, 2011 Ba3 (sf) Placed Under Review for Possible Upgrade; US$18,585,000 Class E Fifth Priority Subordinated Deferrable Notes Due 2021, 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. Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since October 2009, when the ratings were confirmed. Based on the October 2011 trustee report, the weighted average rating factor is currently 2894 compared to 3316 in September 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 $391 million, defaulted par of $12 million, a weighted average default probability of 26% (implying a WARF of 3308), a weighted average recovery rate upon default of 49%, and a diversity score of 54. 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. Emporia Preferred Funding III, Ltd., issued on March 15, 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans of middle market issuers. 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 also notes that a material proportion of the collateral pool includes debt obligations whose credit quality has been assessed through Moody's Credit Estimates ("CEs"). Moody's analysis reflects the application of certain stresses with respect to the default probabilities associated with CEs. Specifically, the default probability stresses include (1) a one-notch equivalent downgrade assumed for CEs updated between 12-15 months ago; and (2) assuming an equivalent of Caa3 for CEs that were not updated within the last 15 months. 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 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. 3) Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability stresses Moody's may assume in lieu of updated credit estimates. FIRST 2004-II: S&P Raises Rating on Class C Notes From 'BB+' ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class B and C notes from First 2004-II CLO Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Crescent Capital Group L.P., and removed them from CreditWatch with positive implications. "At the same time, we affirmed our ratings on the class A-1 and A-2 notes," S&P said. "The upgrades mainly reflect an improvement in the overcollateralization (O/C) available to support the rated notes following $166.7 million in paydowns to the A-1 and A-2 notes since the December 2010 trustee report, which we referenced for our January 2011 rating actions," S&P related. As of the Oct. 4, 2011, trustee report, each of the transaction's overcollateralization (O/C) ratios has improved since December 2010: The class A O/C ratio is 168.7% versus 128.7%; The class B O/C ratio is 133.0% versus 116.1%; and The class C O/C ratio is 116.5% versus 109.0%. "The affirmations of our ratings on the class A-1 and A-2 notes reflect the availability of credit support at the current rating levels," S&P said. "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 said. Rating And CreditWatch Actions First 2004-II CLO Ltd. Rating Class To From B AA+ (sf) A (sf)/Watch Pos C BBB+ (sf) BB+ (sf)/Watch Pos Ratings Affirmed First 2004-II CLO Ltd. Class Rating A-1 AAA (sf) A-2 AAA (sf) FRASER SULLIVAN: S&P Gives 'BB' Rating on Class D Deferrable Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its ratings to Fraser Sullivan CLO VI Ltd./Fraser Sullivan CLO VI Corp.'s $355.2 million floating-rate notes. The transaction is a cash flow collateralized loan obligation securitization of a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's assessment of: The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation 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 asset manager's experienced management team. "Our projections regarding the timely interest and ultimate principal payments on the rated notes, which we assessed using our cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.43%-13.84%," S&P said. "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," S&P said. Standard & Poor's 17g-7 Disclosure Report SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com/1111285.pdf Ratings Assigned Fraser Sullivan CLO VI Ltd./Fraser Sullivan CLO VI Corp. Class Rating Amount (mil. $) A-1 AAA (sf) 265.0 A-2 AA (sf) 16.0 B (deferrable) A (sf) 36.3 C (deferrable) BBB (sf) 18.3 D (deferrable) BB (sf) 19.6 Equity NR 53.49 NR -- Not rated. FREMONT SUBPRIME: Moody's Lowers Rating of Cl. 2-A-2 Notes to Ca ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one tranche issued by Fremont Home Loan Trust 2006-B. Complete rating actions are: Issuer: Fremont Home Loan Trust 2006-B Cl. 2-A-2, Downgraded to Ca (sf); previously on Apr 29, 2010 Downgraded to Caa3 (sf) RATINGS RATIONALE The collateral backing this transaction consists primarily of first-lien, subprime residential mortgage loans. The action is a result of the group II senior certificates' principal waterfall "crossing over" -- changing from sequential to pro rata after the erosion of the mezzanine certificates. Our lifetime expected collateral loss has not changed from our previous publication. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology " published in July 2011. Other factors used in this rating are described in "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009. 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. GALLATIN CLO: S&P Raises Rating on Class B-2L Notes to 'BB' ----------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2L, A-3L, B-1L, and B-2L notes from Gallatin CLO II 2005-1 Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by UrsaMine Credit Advisors. "At the same time, we affirmed our rating on the class A-1L," S&P said. "The upgrades reflect the improved performance we have observed in the deal's underlying asset portfolio since we downgraded the notes on Jan. 26, 2010. As of the Oct. 3, 2011, trustee report, the transaction had only $6.6 million in defaulted assets, compared with the $29.32 million noted in the Dec. 2, 2009, trustee report, which we referenced for our January 2010 rating actions. The affirmation reflects the credit support available to the class A-1L notes at the current rating level," S&P said. The transaction has also benefited from an increase in the overcollateralization (O/C) available to support the rated notes. The trustee reported these O/C ratios in the Oct. 3, 2011, monthly report: The A-2L O/C ratio was 123.39%, compared with a reported ratio of 120.72% in December 2009; The A-3L O/C ratio was 115.88%, compared with a reported ratio of 113.37% in December 2009; The B-1L O/C ratio was 109.23%, compared with a reported ratio of 106.86% in December 2009; and The B-2L O/C ratio was 106.01%, compared with a reported ratio of 103.71% in December 2009. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Actions Gallatin CLO II 2005-1 Ltd. Rating Class To From A-2L AA (sf) A+ (sf) A-3L A+ (sf) BBB+ (sf) B-1L BBB (sf) B+ (sf) B-2L BB (sf) CCC- (sf) Rating Affirmed Gallatin CLO II 2005-1 Ltd. Class Rating A-1L AA+ (sf) Transaction Information Issuer: Gallatin CLO II 2005-1 Ltd. Coissuer: Gallatin CLO II 2005-1 (Delaware) Corp. Collateral manager: UrsaMine Credit Advisors Trustee: The Bank of New York Mellon Transaction type: Cash flow CLO GCO EDUCATION: Fitch Confirms Rating on Class 2007-1 C-1L at 'Bsf' ------------------------------------------------------------------ Fitch Ratings confirms the ratings as listed below on the student loan notes issued from GCO Education Loan Funding (ELF) Master Trust II (the Trust). Fitch has been requested to confirm its existing ratings in connection with the addition of Nelnet Servicing LLC (Nelnet), as a subservicer of the Trust. Consistent with its statements on policies regarding rating confirmations in structured finance transactions (dated Jan. 13, 2009) and student loan confirms (May 8, 2009), Fitch is treating this request as a notification. The Trust has entered a servicing agreement with Nelnet. Fitch has reviewed the agreement, including the fee schedules, and has determined that it will not adversely affect the Trust. Additionally, Fitch believes Nelnet to be a capable servicer of student loans under the Federal Family Education Loan Program. Based on the information provided, Fitch has determined these changes will not have an impact on the existing ratings at this time. This determination only addresses the effect of the changes on the current ratings assigned by Fitch to the securities listed below. This determination does not address whether these changes are permitted by the terms of the documents. It does not address whether these changes are in the best interests of, or prejudicial to, some or all of the holders of the securities listed. The notes issued from GCO ELF Master Trust II are currently rated by Fitch: -- 2006-2 A-1AR 'AAAsf'; Outlook Stable; -- 2006-2 A-1RRN 'AAAsf'; Outlook Stable; -- 2006-2 A-2AR 'AAAsf'; Outlook Stable; -- 2006-2 A-2L 'AAAsf'; Outlook Stable; -- 2006-2 A-3AR 'AAAsf'; Outlook Stable; -- 2006-2 A-3L 'AAAsf'; Outlook Stable; -- 2006-2 A-4AR 'AAAsf'; Outlook Stable; -- 2007-1 A-5AR 'AAAsf'; Outlook Stable; -- 2007-1 A-5L 'AAAsf'; Outlook Stable; -- 2007-1 A-6AR 'AAAsf'; Outlook Stable; -- 2007-1 A-6L 'AAAsf'; Outlook Stable; -- 2007-1 A-7AR 'AAAsf'; Outlook Stable; -- 2007-1 A-7L 'AAAsf'; Outlook Stable; -- 2006-2 B-1AR 'Bsf'; Outlook Stable; -- 2006-2 B-2AR 'Bsf'; Outlook Stable; -- 2006-2 B-3AR 'Bsf'; Outlook Stable; -- 2007-1 C-1L 'Bsf'; Outlook Stable. GE COMMERCIAL: DBRS Confirms 'CCC' Ratings on Three Certificates ---------------------------------------------------------------- DBRS has upgraded these three classes of the GE Commercial Mortgage Corporation, Series 2004-C2 Commercial Mortgage Pass- Through Certificates: Class B from AA (high) (sf) to AAA (sf) Class C from AA (sf) to AA (high) (sf) Class D from A (high) (sf) to AA (sf) The trends for the above classes are Stable. In addition these 11 classes were confirmed with Stable trends: Class A-3 at AAA (sf) Class A-4 at AAA (sf) Class A-1A at AAA (sf) Class E at A (sf) Class F at A (low) (sf) Class G at BBB (high) (sf) Class H at BBB (low) (sf) Class J at BB (sf) Class K at B (sf) Class L at B (low) (sf) Class X-1 at AAA (sf) These classes were also confirmed: Class M at CCC (sf) Class N at CCC (sf) Class O at CCC (sf) These rating actions reflect the overall performance of the pool, which has shown a collateral reduction of 28.50% since issuance, with 11 loans, representing 8.23% of the pool, defeased as of the October 2011 remittance report. The pool has shown a weighted- average NCF growth of 13.76% since issuance, and had a weighted- average DSCR of 1.64x as of the most recent year-end figures for each of the loans. The performance of the largest 16 loans in the pool is quite strong, with a weighted-average NCF growth of 29.49% since issuance for the 15 loans reporting YE2010 figures and a weighted-average DSCR (WADSCR) of 1.87x. There are 23 loans on the servicer's watchlist, representing 20.04% of the outstanding pool balance. Of these loans, eight individually represent more than 1.0% of the pool balance, three of which are in the top fifteen loans in the transaction. The weighted-average NCF decline since issuance for the loans on the watchlist is 23.23%, with a weighted-average DSCR of 0.98x, as of the most recent year-end information available for these loans. There is one loan in special servicing, representing 0.55% of the current pool balance, Prospectus ID#64, Tanglewood Plaza. This loan is secured by a 49,000 sf retail property located in Naples, Florida, approximately 30 miles south of Cape Coral. The immediate vicinity includes similar retail development and several hotel properties. The loan was transferred to the special servicer in December 2010 when the borrower requested relief due to declining cash flow at the property. At YE2009, the occupancy was at 86% and the DSCR was at 0.89x; the special servicer reports that the March 2011 occupancy was 96% with the YE2010 DSCR up slightly to 0.91x. The loan is due for the April 2011 payment and all scheduled payments due thereafter. The current loan per square foot is $113. A February 2011 appraisal valued the property at $5 million, just below the current outstanding balance of $5.44 million. Previous negotiations with the borrower for forbearance have fallen through and the special servicer reports that a foreclosure has been filed. DBRS anticipates a loss to the trust as a result of the liquidation of this loan that could be in excess of $1.9 million as the asset is located in a relatively remote location and has experienced difficulty in recent years maintaining rental rates consistent with those in place at issuance. The largest loan on the servicer's watchlist is Prospectus ID#7, Stonebriar Plaza, representing 2.79% of the current pool balance. This loan is secured by a retail center located 25 miles north of Dallas in Frisco, Texas, just off of Highway 121 near the Stonebriar Center, a 1.6 million sf regional mall anchored by Dillard's, Macy's, Nordstrom, and a 24-screen AMC movie theater. The largest tenant at the subject property is Toys "R" Us, with 27% of the NRA on a lease through 2014. The loan is on the servicer's watchlist for a low DSCR and occupancy declines since issuance. At YE2010, the A-note DSCR was at 0.57x and the occupancy was at 66.7%.. The occupancy has suffered since losing two large tenants to bankruptcy: Shoe Pavilion in 2008, which occupied 17% of the NRA, and Ultimate Electronics in 2010, which occupied 18% of the NRA. The property occupancy improved with the signing of Sun & Ski Sports in June 2010 for 10% of the NRA on a ten-year lease. The property was 79.4% occupied as of the April 2011 rent roll. The servicer reported in October 2011 thatCasual Male was recently signed, and will bring the property occupancy to 87.1% when the store opens in early 2012. Reis reports the average vacancy rate for community shopping centers built between 2000 and 2009 in this submarket to be 9.0% as of Q3 2011; the overall vacancy rate for the submarket for the period is 10.9% but is projected to increase to 11.2% by YE2012 due to a 5.4% increase in market inventory in 2012. The current trust loan leverage of $165 psf is considered high given the current market conditions. DBRS will continue to monitor the loan closely for developments. Another loan on the servicer's watchlist is Prospectus ID#19, Knox Park Village Retail, representing 1.68% of the current pool balance. The loan is on the watchlist for a low DSCR, which was at 0.71x at YE2009 and 0.77x at YE2010. Theproperty has suffered occupancy issues dating back to 2008, when it fell to 79% and again to 63% at YE2009. The April 2011 rent roll shows an occupancy rate of 78.6%; however, although a new tenant took occupancy in Q2 2011 for approximately 5.7% of the NRA, the property's largest tenant with approximately 10% of the NRA vacated upon lease expiration at May 2011, and the property occupancy was reportedly 73.8% at the time of the June 2011 servicer's site inspection. The loan is secured by a mixed-use low-rise property with approximately 50,000 sf of office space and 30,000 sf of retail. The retail component is well-occupied, with 100% of the units leased as of the April 2011 rent roll; tenants include Pei Wei Asian Diner, Sport Clips and Jersey Mike's Subs. The subject, constructed in 2003, is well-located in north Dallas, on the west side of the North Central Expressway, near Highland Park. According to Reis, the Oaklawn submarket had average asking rents for office space of $20 psf with an office vacancy rate of 20.7% at Q3 2011, down from 21.4% at Q2 2011. The submarket's retail rents average approximately $35 psf for retail space constructed between 2000 and 2009. Asking rents for the subject's vacant office space are between $15 and $18 psf, according to the servicer, with the property's retail rents averaging approximately $38 psf as of the April 2011 rent roll. The current loan per square foot is $207 and is considered moderate for this property given its submarket and historical performance. 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, including the loans on the servicer's watchlist and in special servicing. GLOBAL LEVERAGED: Moody's Raises Rating of Class D Notes to 'Ba1' ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Global Leveraged Capital Credit Opportunity Fund I: US$265,000,000 Class A First Priority Senior Notes Due 2018 (current balance of $247,878,449), Upgraded to Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed Under Review for Possible Upgrade; US$39,000,000 Class B Second Priority Senior Notes Due 2018, Upgraded to Aa2 (sf); previously on June 22, 2011 A2 (sf) Placed Under Review for Possible Upgrade; US$40,500,000 Class C Third Priority Subordinated Deferrable Notes Due 2018, Upgraded to Baa1 (sf); previously on June 22, 2011 Ba1 (sf) Placed Under Review for Possible Upgrade; US$23,750,000 Class D Fourth Priority Subordinated Deferrable Notes Due 2018, Upgraded to Ba1 (sf); previously on June 22, 2011 B1 (sf) Placed Under Review for Possible Upgrade; US$18,500,000 Class E-1 Fifth Priority Subordinated Deferrable Notes Due 2018, Upgraded to Ba3 (sf); previously on June 22, 2011 Caa3 (sf) Placed Under Review for Possible Upgrade; US$7,750,000 Class E-2 Fifth Priority Subordinated Deferrable Notes Due 2018, Upgraded to Ba3 (sf); previously on June 22, 2011 Caa3 (sf) Placed Under Review for Possible Upgrade; and US$25,000,000 Class I Combination Notes Due 2018 (current rated balance of $3,676,532, as calculated by Moody's), Upgraded to Caa1 (sf); previously on June 22, 2011 Ca (sf) Placed Under Review for Possible Upgrade. Moody's has also downgraded the rating of the following notes: SGD13,200,000 Class P-2 Principal Protected Notes Due 2018 (current outstanding rated balance of $11,178,454), Downgraded to Baa1 (sf); previously on June 22, 2011 A2 (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 the consideration of credit improvement of the underlying portfolio and an increase in the transaction's overcollateralization since the last rating action in October 2009. Based on the trustee report dated September 1, 2011, the weighted average rating factor is 3158 compared to 4002 in August 2009. In the same report, Class A/B, Class C, Class D, and Class E overcollateralization ratios are reported at 141.70%, 124.27%, 115.90%, and 107.88%, respectively, versus August 2009 levels of 135.19%, 119.19%, 111.46%, and 104%, respectively. The rating action on the Class P-2 notes reflects a change to Moody's rating of the Class P-2 SGD Strip, which consists of SGD13,200,000 in face value of a Singapore dollar denominated stripped zero coupon bond due December 20, 2018, issued by Merrill Lynch & Co., Inc. Moody's downgraded the senior unsecured rating of Merrill Lynch & Co., Inc. to Baa1 on September 21, 2011. On June 22, 2011, Moody's erroneously placed the Class P-2 notes on watch for possible upgrade along with more than 4,000 CLO tranches potentially affected by Moody's revised CLO methodology. Because the Class P-2 notes contain the senior unsecured debt of Merrill Lynch & Co., Inc., the notes should not have been included in that watch action. 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 $403.16 million, defaulted par of $31.4 million, distressed par of $8.7 million, a weighted average default probability of 32.31% (implying a WARF of 4071), a weighted average recovery rate upon default of 43.56%, and a diversity score of 53. 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. Global Leveraged Capital Credit Opportunity Fund I, issued in December 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans with significant exposure to senior secured loans of middle market issuers. The methodologies used in this rating were "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011 and "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 and distressed assets: Market value fluctuations in defaulted and distressed 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 and distressed recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2) 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 generally analyzes 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. 3) Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided with 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. 4) 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. GRAMERCY REAL: Moody's Lowers Rating of Cl. A-1 Notes to Ba3 (sf) ----------------------------------------------------------------- Moody's has downgraded three and affirmed two ratings of classes of Notes issued by Gramercy Real Estate CDO 2007-1, Ltd. The downgrades are due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor (WARF), and the increased potential risk of an occurrence of Event of Default (EOD) if the senior par value test fails. The affirmations are primary due to other 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 and collateralized loan obligation (CRE CDO CLO) transactions. Moody's rating action is: Cl. A-1, Downgraded to Ba3 (sf); previously on Dec 1, 2010 Downgraded to Baa3 (sf) Cl. A-2, Downgraded to B3 (sf); previously on Dec 1, 2010 Downgraded to Ba3 (sf) Cl. A-3, Downgraded to Caa3 (sf); previously on Dec 1, 2010 Downgraded to Caa2 (sf) Cl. B-FL, Affirmed at Caa3 (sf); previously on Dec 1, 2010 Downgraded to Caa3 (sf) Cl. B-FX, Affirmed at Caa3 (sf); previously on Dec 1, 2010 Downgraded to Caa3 (sf) RATINGS RATIONALE Gramercy Real Estate CDO 2007-1, Ltd. is a revolving cash CRE CDO. As of the November 8, 2011 Trustee report, the transaction is backed by a portfolio of commercial mortgage backed securities (CMBS) (71.9%), whole loans (14.1% of the pool balance), mezzanine loans (10.2%), and B-Notes (3.8%). The aggregate Note balance of the transaction, including Preferred Shares, has decreased to $1.09 billion from $1.1 billion at issuance, due to approximately $18.2 million in pay-downs to the Class A-1 Notes and capitalized deferred interest on the PIK-able classes from failure of the Par Value Coverage Tests. Currently, the transaction is under- collateralized by $28.6 million (2.6% of original aggregate Note balance) mainly due to realized losses. Also, the Class A/B Par Value Coverage Test has an increased risk of failure, and if failure occurs, the transaction will experience an Event of Default. There are two assets with a par balance of $56.5 million (5.3% of the current pool balance) that are considered Defaulted Securities as of the November 8, 2011 Trustee report, compared to three assets (6.6% of the pool balance) at last review. Moody's is expecting high losses to occur once they are realized. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated credit estimates for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom- dollar WARF of 3,046 compared to 2,795 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (0.5% , the same as that at last review), A1-A3 (0.3% compared to 1.3% at last review), Baa1-Baa3 (26.2% compared to 24.5% at last review), Ba1-Ba3 (14.4% compared to 22.7% at last review), B1-B3 (29.3% compared to 29.2% at last review), and Caa1- C (29.3% compared to 21.8% 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 5.6 years, the same as that at last review. The modeled WAL reflects the current WAL with assumptions about extensions. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 25.1% compared to 25.3% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 12.2% compared to 19.8% 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 25.1% to 15.1% or up to 35.1% would result in average rating movement on the rated tranches of 0 to 2 notches downward and 0 to 2 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty is the extent of the slowdown in growth in the current macroeconomic environment and performance in the commercial real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. The hotel and multifamily sectors are continuing to show signs of recovery through the third quarter of 2011. Improvements in the office sector continue, with fundamentals in Gateway cities the strongest. However the sector is closely tied to employment with currently weak fundamentals. The retail sector has been at a standstill following eleven consecutive quarters of rent deflation. The availability of debt capital continues to improve with monetary policy expected to remain supportive and interest rate hikes postponed. Moody's central global macroeconomic scenario reflects an overall downward revision of forecasts since last quarter , amidst ongoing fiscal consolidation efforts, household and banking sector deleveraging, persistently high unemployment levels, and weak housing markets that will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in November 2010, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. GREENWICH CAPITAL: Assumed Losses Cue Fitch to Lower Ratings ------------------------------------------------------------ Fitch Ratings downgrades seven classes of Greenwich Capital Commercial Funding Corp., series 2007-GG9, commercial mortgage pass-through certificates, due to further deterioration of performance, increased loss expectations on the specially serviced loans and higher than expected realized losses from dispositions. The downgrades reflect an increase in Fitch modeled losses across the pool, which includes assumed losses on loans in special servicing and on performing loans with declines in performance indicative of a higher probability of default. Fitch modeled losses of 10.7% (11.3% cumulative transaction losses, which includes losses realized to date) based on expected losses on the specially serviced loans and loans assumed to not refinance at maturity. Classes A-M and A-MFL Outlooks were revised to Negative, as further collateral underperformance may lead to a downgrade. Should cash flows deteriorate further on the performing loans, or if realized losses exceed current expectations on the specially serviced loans, downgrades of these classes are possible. As of the November 2011 distribution date, the pool's aggregate principal balance has decreased 5.6% to $6.21 billion from $6.58 billion at issuance. As of November 2011, there are cumulative interest shortfalls in the amount of $14.4 million, currently affecting classes J through S. Fitch has designated 83 loans (55.4%) as Fitch Loans of Concern, which includes 34 specially serviced loans (23.3%). The largest contributor to loss is the Schron Industrial Portfolio (4.9%) The loan is secured by a portfolio of 36 industrial properties located in Nassau and Suffolk Counties on Long Island, NY. The portfolio was originally underwritten to a stabilized cash flow with the expectation that below market rents would increase to market levels. In actuality many of the tenants have been severely affected by the economic downturn. The loan transferred to the special servicer in December 2010 for imminent default. The loan remains over 90 days delinquent. The borrower and the special servicer continue to discuss a possible loan modification. A recent valuation indicates significant losses. The second largest contributor to loss is the specially serviced Peachtree Center (3.3%) in Atlanta, GA. The collateral consists of six office buildings totaling 2.4 million square feet (sf), three parking garages and a 134,024 sf retail center. The loan transferred to special servicing in February 2010 due to imminent default. A loan modification has closed whereby the borrower will post an additional $15 million to the leasing cost reserve account and the loan will have a springing A/B structure. Upon maturity in 2012, the loan will be bifurcated into a $140 million A-note and a $67.6 million B-note both of which will mature in 2015. A recent appraisal indicates a value significantly below the loan amount. The third largest contributor to loss (2.2%) is secured by the Hyatt Regency Bethesda. The collateral is a 390 room full-service hotel. The loan transferred to special servicing in December 2009 due to imminent default. The hotel has been adversely affected by the economic downturn. A receiver is in place and the property is being marketed for sale. A recent valuation indicates significant losses. Fitch has downgraded and revised Outlooks on these classes as indicated: -- $575.3 million class A-J to 'Bsf' from 'BBsf'; Outlook to Negative from Stable; -- $32.9 million class B to 'CCCsf/RR1' from 'Bsf'; -- $57.5 million class F to 'CCsf/RR1' from 'CCCsf/RR1'; -- $65.8 million class J to 'Csf/RR6' from 'CCsf/RR6'; -- $65.8 million class K to 'Csf/RR6' from 'CCsf/RR6'; -- $32.9 million class L to 'Csf/RR6' from 'CCsf/RR6'; -- $16.4 million class M to 'Csf/RR6' from 'CCsf/RR6'. Fitch has affirmed and revised the Outlooks and Recovery Ratings on these classes as indicated: -- $557.6 million class A-M at 'AAAsf'; Outlook to Negative from Stable; -- $100 million class A-MFL at 'AAAsf'; Outlook to Negative from Stable; -- $57.5 million class G to 'CCsf/RR6' from 'CCsf/RR3'; Additionally, Fitch has affirmed these classes as indicated: -- $1.05 billion class A-2 at 'AAAsf'; Outlook Stable; -- $86 million class A-3 at 'AAAsf'; Outlook Stable; -- $88 million class A-AB at 'AAAsf'; Outlook Stable; -- $2.67 billion class A-4 at 'AAAsf'; Outlook Stable; -- $426.3 million class A-1A at 'AAAsf'; Outlook Stable; -- $98.6 million class C at 'CCCsf/RR1'; -- $41.1 million class D at 'CCCsf/RR1'; -- $41.1 million class E at 'CCCsf/RR1'; -- $82.2 million class H at 'CCsf/RR6'; -- $24.7 million class N at 'Csf/RR6'; -- $16.4 million class O at 'Csf/RR6'; -- $16.4 million class P at 'Csf/RR6'; -- $8.2 million class Q at 'Csf/RR6'. GREYLOCK SYNTHETIC: S&P Withdraws 'BB-' Rating on Class A3-JPYFMS ----------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its 'BBB+ (sf)' and 'BB- (sf)' ratings on the class A1-$LMS and A3-JPYFMS notes issued by Greylock Synthetic CDO 2006's series 1 and 4 two synthetic corporate investment-grade collateralized debt obligation (CDO) transactions. The rating withdrawals follow the complete redemption and cancellation of the notes. Ratings Withdrawn Greylock Synthetic CDO 2006 Series 1 Rating Class To From A1-$LMS NR BBB+ (sf) Greylock Synthetic CDO 2006 Series 4 Rating Class To From A3-JPYFMS NR BB- (sf) NR -- Not rated. GSC CAPITAL: S&P Raises Rating on Class F Notes to 'CCC+' --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class D and F notes from GSC Capital Corp. Loan Funding 2005-1, a U.S. collateralized loan obligation (CLO) transaction managed by GSC Partners. "We also affirmed our ratings on the class A-1, A-2, B, C, and E notes. At the same time, we removed our ratings on the class B, C, D, E, and F notes from CreditWatch, where we placed them with positive implications on Sep. 2, 2011," S&P related. "The upgrades reflect the improved performance we have observed in the transaction since our February 2010 rating actions. According to the Sept. 22, 2011, trustee report, the transaction held approximately $12.6 million in defaulted assets, down from $27.4 million noted in the January 2010 trustee report. Additionally, approximately 14% of the collateral pool consisted of assets from obligors rated in the 'CCC' category in September 2011, down from 21% in January 2010," S&P said. "We affirmed our ratings on the A-1, A-2, B, C, and E notes to reflect the sufficient credit support available at the current rating levels," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating And CreditWatch Actions GSC Capital Corp. Loan Funding 2005-1 Rating Class To From B AA+ (sf) AA+ (sf)/Watch Pos C AA (sf) AA (sf)/Watch Pos D A+ (sf) A (sf)/Watch Pos E BB+ (sf) BB+ (sf)/Watch Pos F CCC+ (sf) CCC- (sf)/Watch Pos Ratings Affirmed GSC Capital Corp. Loan Funding 2005-1 Class Rating A-1 AAA (sf) A-2 AAA (sf) GSMS 2004-GG2: Moody's Affirms Rating of Cl. E Notes at 'Ba1' ------------------------------------------------------------- Moody's Investors Service (Moody's) downgraded the ratings of four classes and affirmed 14 classes of GS Mortgage Securities Corp. II, Commercial Mortgage Pass-Through Certificates, Series 2004- GG2: Cl. A-1A, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-5, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-6, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Dec 9, 2010 Confirmed at Aa2 (sf) Cl. C, Affirmed at A1 (sf); previously on Dec 9, 2010 Downgraded to A1 (sf) Cl. D, Affirmed at Baa2 (sf); previously on Dec 9, 2010 Downgraded to Baa2 (sf) Cl. E, Affirmed at Ba1 (sf); previously on Dec 9, 2010 Downgraded to Ba1 (sf) Cl. F, Downgraded to B2 (sf); previously on Dec 9, 2010 Downgraded to B1 (sf) Cl. G, Downgraded to Caa2 (sf); previously on Dec 9, 2010 Downgraded to Caa1 (sf) Cl. H, Downgraded to Ca (sf); previously on Dec 9, 2010 Downgraded to Caa3 (sf) Cl. J, Downgraded to C (sf); previously on Dec 9, 2010 Downgraded to Ca (sf) Cl. K, Affirmed at C (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. O, Affirmed at C (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. X-C, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) RATINGS RATIONALE The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 5.7% of the current pooled balance, as compared to 5.2% at last review. Moody's stressed scenario loss is 12.1% of the current pooled balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. 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 performance in the commercial real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. The hotel and multifamily sectors are continuing to show signs of recovery through the first half of 2011, while recovery in the non-core office and retail sectors are tied to the pace of the recovery of the broader economy. Core office markets are showing signs of recovery through lending and leasing activity. 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 as the most likely scenario through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations, however the downside risks to the outlook have risen since last quarter. The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.60 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 pool has a Herf of 28 as compared to 30 at last review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated December 9, 2010. DEAL PERFORMANCE As of the November 14, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 21% to $2.05 billion from $2.60 billion at securitization. The Certificates are collateralized by 116 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 42% of the pool. Three loans, representing 21% of the pool, have investment grade credit estimates. Nine loans, representing 16% of the pool, have defeased and are secured by US Government securities. Twenty-nine loans, representing 17% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC; formerly the Commercial Mortgage Securities Association) monthly reporting package. Eight loans have been liquidated resulting in $24 million of realized losses (49% average loss severity). Eleven loans, representing 6% of the pool, are currently in special servicing. The largest specially serviced loan is the University Mall Loan ($36 million -- 1.7% of the pool), which is secured by a 560,000 SF mall located in Carbondale, Illinois. The loan was transferred to special servicing in July 2008 due to imminent default. The two largest tenants at the center were Steve and Barry's and Goody's, both of which filed for bankruptcy protection in 2008 and subsequently vacated the center. The master servicer recognized a $22 million appraisal reduction for this loan, which is similar to Moody's loss estimate. The remaining specially serviced loans are a mix of retail, industrial and office properties. The master servicer has recognized an aggregate $73 million appraisal reduction for nine of the specially serviced loans. Moody's estimates an aggregate loss of approximately $80 million (47% expected loss based on an 84% probability of default) for all of the specially serviced loans. Moody's has assumed a high default probability for eight poorly performing loans representing 3% of the pool and has estimated a $10 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2010 and partial year 2011 operating results for 99% and 85% of the conduit loans, respectively. The conduit portion of the pool excludes specially serviced, troubled and defeased loans as well as loans with credit estimates. Moody's weighted average conduit LTV is 93% compared to 96% at last review. Moody's net cash flow reflects a weighted average haircut of 10% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual and stressed DSCRs are 1.42X and 1.20X, respectively, compared to 1.44X and 1.17X 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. Based on the most recent remittance statement, Classes H through P have experienced cumulative interest shortfalls totaling $8.7 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. The largest loan with a credit estimate is the Grand Canal Shoppes at the Venetian Loan ($166 million -- 8.0% of the pool), which represents a pari-passu interest in a $375 million first mortgage. The loan is secured by a 537,000 SF mall located within the Venetian Casino Resort in Las Vegas, Nevada. The property was 93% leased as of June 2011 compared to 94% at last review. Comparable in-line sales are strong at $904 PSF based on the trailing twelve months ending June 2011, however, tenant sales are still 10% below the $1,008 PSF reported at securitization. Moody's credit estimate and stressed DSCR are Baa3 and 1.24X, respectively, compared to A3 and 1.32X at last review. The second loan with a credit estimate is the Daily News Building Loan ($139 million -- 6.7% of the pool), which is secured by a 1.1 million SF office building located in the Grand Central submarket of New York City. The property was 90% leased as of June 2011 compared to 98% at last review. During Moody's last review the property's cash flow was stressed due to lease rollover risk. Although occupancy declined, only 3% of the remaining leases expire in 2011-12. Moody's credit estimate and stressed DSCR are Baa1 and 1.70X, respectively, compared to Baa1 and 1.69X at last review. The third loan with a credit estimate is the Garden State Plaza Loan ($130 million -- 6.3% of the pool), which represents a pari- passu interest in a $520 million first mortgage. The loan is secured by the borrower's interest in a 2.0 million SF super- regional mall located in Paramus, New Jersey. The mall is anchored by Macy's, Nordstrom, J.C. Penney, Neiman Marcus and Lord & Taylor. The property was 98% leased as of December 2010, which is the same as at last review. Property performance has improved slightly since last review. The loan sponsors are Westfield America Inc. and affiliates of Prudential Assurance Co. Ltd. Moody's credit estimate and stressed DSCR are Aa3 and 1.52X, respectively, compared to A1 and 1.47X at last review. The top three conduit loans represent 12% of the pool balance. The largest loan is the Stony Point Fashion Park Loan ($104 million -- 5.0% of the pool), which is secured by the borrower's interest in a 665,000 SF regional mall located in Richmond, Virginia. The mall is anchored by Dillard's, Dick's Sporting Goods, and Saks Fifth Ave. The property was 84% leased as of July 2011 compared to 72% at last review. The loan is current, but is on the watchlist for low DSCR. Moody's LTV and stressed DSCR are 125% and 0.76X, respectively, compared to 123% and 0.77X at last review. The second largest loan is the Destin Commons Loan ($76 million -- 3.7% of the pool), which is secured by a 480,000 SF regional shopping center located in Destin, Florida. The shopping center is anchored by Belk Resort Store, Rave Motion Pictures, and Bass Pro Shops. The property was 100% leased as of September 2011, the same as at last review. Moody's LTV and stressed DSCR are 90% and 1.08X, respectively, compared to 96% and 1.02X at last review. The third largest loan is the Town & Country Resort Loan ($62 million -- 3.0% of the pool), which is secured by a 966-room, unflagged full service hotel located in San Diego, California. Property performance improved in 2010 as Revenue per available room, RevPAR, increased to $73 from $67 in 2009. Moody's LTV and stressed DSCR are 78% and 1.52X, respectively, compared to 87% and 1.36X at last review. GSMS 2010-C2: Moody's Affirms Rating of Cl. E Notes at 'Ba2' ------------------------------------------------------------ Moody's Investors Service (Moody's) affirmed the ratings of nine classes of GS Mortgage Securities Trust, Commercial Mortgage Pass- Through Certificates, Series 2010-C2 as follows: Cl. A-1, Affirmed at Aaa (sf); previously on Dec 30, 2010 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Dec 30, 2010 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Dec 30, 2010 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed at A2 (sf); previously on Dec 30, 2010 Definitive Rating Assigned A2 (sf) Cl. D, Affirmed at Baa3 (sf); previously on Dec 30, 2010 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed at Ba2 (sf); previously on Dec 30, 2010 Definitive Rating Assigned Ba2 (sf) Cl. F, Affirmed at B2 (sf); previously on Dec 30, 2010 Definitive Rating Assigned B2 (sf) Cl. X-A, Affirmed at Aaa (sf); previously on Dec 30, 2010 Definitive Rating Assigned Aaa (sf) Cl. X-B, Affirmed at Aaa (sf); previously on Dec 30, 2010 Definitive Rating Assigned Aaa (sf) RATINGS RATIONALE This is the first full review of the trust since securitization. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 1.9% of the current balance. Moody's stressed scenario loss is 8.2% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. 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 performance in the commercial real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. The hotel and multifamily sectors are continuing to show signs of recovery through the first half of 2011, while recovery in the non-core office and retail sectors are tied to pace of recovery of the broader economy. Core office markets are showing signs of recovery through lending and leasing activity. 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 as the most likely scenario through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations, however the downside risks to the outlook have risen since last quarter. The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.60 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 25 the same as at securitization. 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. DEAL PERFORMANCE As of the November 14, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 0.9% to $867 million from $876 million at securitization. The Certificates are collateralized by 43 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten non- defeased loans representing 52% of the pool. The pool contains six loans with investment grade credit estimates, representing 16% of the pool. One loan, representing 1% of the pool, is on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. There are no loans in special servicing. Moody's was provided with full year 2010 operating results for 100% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 92% compared to 94% at securitization. Moody's net cash flow reflects a weighted average haircut of 13.8% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Excluding special serviced, troubled loans and credit estimates Moody's actual and stressed DSCRs are 1.60X and 1.18X, respectively, compared to 1.59X and 1.13X at securitization. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the Cole Portfolio I Loan ($31.5 million -- 3.6% of the pool balance), which is secured by a fee interest in 20 single tenant properties located across 13 states. The portfolio consists of 17 retail properties, two industrial properties, and one ground leased parcel of land that is improved with a retail building. In aggregate, the portfolio contains approximately 555,095 square feet (SF) that was 100% occupied as of September 2010. Moody's credit estimate and stressed DSCR are Baa3 and 1.49X, respectively, the same as at securitization. The second largest loan with a credit estimate is the Cole Portfolio II Loan ($30.0 million -- 3.5%), which is secured by a fee interest in 14 single tenant properties and one multi-tenant property located across 11 states. The portfolio consists of 14 retail properties and one industrial property. In aggregate, the portfolio contains approximately 331,521 SF that was 100% occupied as of September 2010. Moody's credit estimate and stressed DSCR are Baa3 and 1.51X, respectively, the same as at securitization. The third largest loan with a credit estimate is the Payless and Brown Industrial Portfolio Loan ($28.2 million -- 3.2%), which is secured by two single tenant industrial properties. The Payless Distribution Center represents the larger of the two properties, comprises approximately 801,651 SF of the Northbrook Industrial Park in Brookville, Ohio. The property was built in 2008 and has 32' ceiling heights, three grade drive-in doors 76 dock high doors, and approximately 24,853 SF of office space. The remainder of the collateral is represented by The Brown Shoe Distribution Center, a 351,723 SF warehouse/distribution building located in Lebec, California within the Tenjon Industrial Complex. The property was built in 2008 and has 32' ceiling heights, a single grade drive-in door, 38 exterior docks with levelers, and approximately 11,869 SF of office space. Moody's credit estimate and stressed DSCR are Baa2 and 1.72X, respectively, the same as at securitization. The fourth largest loan with a credit estimate is the ARC Credit Portfolio 2 Loan ($19.6 million -- 2.3%), which is secured by 10 single tenant retail properties across five states. In aggregate, the portfolio contains approximately 116,107 SF that was 100% occupied as of September 2010. All of the properties are occupied by investment grade tenants. Moody's credit estimate and stressed DSCR are A3 and 1.64X, respectively, the same as at securitization. The fifth largest loan with a credit estimate is the Washington Group Plaza Loan ($19.2 million -- 2.2%), which is secured by an office park consisting of four buildings built in 2004 across 24 acres located in Boise, ID. In aggregate, the buildings contain approximately 556,083 SF that was 91% as of September 2010. All of the properties are occupied by investment grade tenants. Moody's credit estimate and stressed DSCR are Baa2 and 1.68X, respectively, compared to Baa2 and 1.66X at securitization. The sixth largest loan with a credit estimate is the Ruxton Towers Loan ($12.3 million -- 1.4%), which is secured by a 16- story apartment building containing 208 units and built in 1927. The property is located in the Central Park West Historic District of New York, NY and was 95% occupied as of September 2010. Moody's credit estimate and stressed DSCR are Aa3 and 1.51X, respectively, compared to Aa3 and 1.49X at securitization. The top three conduit loans represent 25% of the pool. The largest conduit loan is the 52 Broadway Loan ($88.0 million -- 10.1%), which is secured by a 19-story, 399,935 SF, Class B office building located in downtown New York, NY. The property was constructed in 1982 and renovated in 2002 at a cost of $4.5 million ($11.25 PSF). The United Federation of Teachers has occupied the entire building since the 2002 renovation. They are currently operating under a long term net lease expiring in August 2034. Moody's LTV and stressed DSCR are 110% and 0.93X, respectively, the same as at securitization. The second largest conduit loan is the Cleveland Office Portfolio Loan ($64.2 million -- 7.4%), which is secured by two separate office properties located at the intersection of East 9th Street and St Clair Avenue NE in downtown Cleveland, Ohio. One Cleveland Center is a 34-story, Class A high-rise office building containing approximately 543,728 SF. The building was constructed in 1983 and renovated in 2009. The Penton Media Building is a 20-story, Class A- high-rise office building containing approximately 600,291SF. The building was constructed in 1974 and has never undergone a major renovation. Both properties offer attached parking garages and ground floor retail. Moody's LTV and stressed DSCR are 91% and 1.16X, respectively, compared to 92% and 1.15X at securitization. The third largest conduit loan is the Station Square Loan ($61.2 million -- 7.0%), which is secured by a 669,982 SF mixed use property located in Pittsburgh, Pennsylvania. The property is comprised of five buildings containing 449,384 SF of office space and 220,308 SF of retail space, two open-air parking lots offering approximately 2,500 spaces, a covered parking garage offering 1,210 spaces, docks leased to the Gateway Clipper Fleet, marina slips, an outdoor amphitheater leased to a third party operator, and land under a gas stations owned by a third party operator. The age of the improvements vary, with the oldest structure built in 1897 and the newest structure built in 2001. The property was 84.6% occupied as of November 1, 2010. Moody's LTV and stressed DSCR are 94% and 1.10X, respectively, compared to 95% and 1.08X at securitization. HEDGED MUTUAL: S&P Reinstates Series 2005-2 Certs. Rating at 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on the certificates from Hedged Mutual Fund Fee Trust 2005-2 by reinstating it and simultaneously lowering it to 'D (sf)'. "We lowered our rating because the transaction did not pay the full principal balance due to the certificates by its Oct. 4, 2011, maturity and final payment date. On the Oct. 4 payment date, the certificates were paid down $37.624 million, ($37.439 million from the reserve account), leaving a $30.782 million outstanding principal balance," S&P said. "We incorrectly withdrew the 'CCC (sf)' rating on the certificates at maturity in light of the principal shortfall on the stated maturity date. The rating action corrects this," S&P said. Hedged Mutual Fund Fee Trust was issued in 2005 and is collateralized by 12b-1 and CDSC fees from various mutual fund families. Rating Corrected Hedged Mutual Fund Fee Trust Series 2005-2 Rating Class To Interim From 2005 Fltg D (sf) CCC (sf) NR NR -- Not rated. INDEPENDENCE III: S&P Keeps 'D' Ratings on 2 Classes of Notes ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class A-1 and B notes from Independence III CDO Ltd., a U.S. collateralized debt obligation (CDO) transaction backed by residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), and other asset-backed securities. "We removed our rating on the class A-1 notes from CreditWatch negative," S&P said. "The downgrade of the A-1 notes reflects the deterioration in the credit quality available to support the notes since our August 2010 rating action, when we lowered the rating on the A-1 notes. As of the Oct. 3, 2011, trustee report, the transaction's A-1 notes had a total of $112.3 million in principal outstanding, backed by approximately $123.0 million in performing assets, with $39.6 million of these assets in the 'CCC' rating category. As of October 2011, the transaction held $27.3 million in assets considered either defaulted or written-down, compared with $17.2 million in the July 2010 trustee report, which we referenced for our August 2010 rating actions," S&P said. "The downgrade of the B notes reflects our opinion that the transaction has insufficient collateral to return the rated principal amount currently due on the notes," S&P said. "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 said. Rating Actions Independence III CDO Ltd. Rating Class To From A-1 CCC (sf) B (sf)/Watch Neg B CC (sf) CCC- (sf) Other Ratings Outstanding Independence III CDO Ltd. Class Rating C-1 D (sf) C-2 D (sf) INTEGRAL FUNDING: S&P Removes 'CCC-' Class D Rating From Watch Pos ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A-2, A-3, B, and C notes from Integral Funding Ltd. and removed three of these ratings from CreditWatch with positive implications. "At the same time, we affirmed our ratings on the class A-1 and D notes and removed our rating on the class D notes from CreditWatch with positive implications. Integral Funding Ltd. is a collateralized loan obligation transaction that closed in September 2007," S&P related. "The upgrades reflect the improved performance we have observed in the deal since our last rating action in January 2011. According to the Oct. 5, 2011, trustee report, the transaction held $20.4 million in defaulted assets and $44.8 million in assets rated 'CCC', down from $34.8 million in defaulted assets and $72.7 million in assets rated 'CCC' as of the Dec. 6, 2010, trustee report, which we used in our January 2011 analysis. The class A-1 notes have paid down over $373 million since our January 2011 rating action," S&P said. Due to the decrease in defaults and 'CCC' rated assets and the paydowns to the class A notes, the transaction has also benefited from an increase in overcollateralization (O/C) available to support the rated notes. The trustee reported these principal coverage tests in the Oct. 5, 2011 trustee report: The class A test was 145.23%, compared with a reported test of 126.03% in December 2010; The class B test was 124.53%, compared with a reported test of 114.95% in December 2010; and The class C test was 114.97%, compared with a reported test of 109.35% in December 2010. The affirmations reflect the sufficient credit support available to the notes at the current rating levels. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Actions Integral Funding Ltd. Rating Class To From A-2 AAA (sf) AA+ (sf) A-3 AA+ (sf) AA- (sf)/Watch Pos B A+ (sf) BBB+ (sf)/Watch Pos C BBB- (sf) B+ (sf)/Watch Pos D CCC- (sf) CCC- (sf)/Watch Pos Rating Affirmed Integral Funding Ltd. Class Rating A-1 AAA (sf) JPMCC 2006-CIBC17: Moody's Lowers Rating of Cl. A-J Notes to Ba3 ---------------------------------------------------------------- Moody's Investors Service (Moody's) downgraded the ratings of four classes and affirmed 17 classes of JP Morgan Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2006- CIBC17: Cl. A-SB, Affirmed at Aaa (sf); previously on Feb 20, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-1, Affirmed at Aaa (sf); previously on Feb 20, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Feb 20, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Feb 20, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Feb 20, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-M, Downgraded to A1 (sf); previously on Nov 10, 2011 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. A-J, Downgraded to Ba3 (sf); previously on Nov 10, 2011 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. B, Downgraded to B3 (sf); previously on Nov 10, 2011 B2 (sf) Placed Under Review for Possible Downgrade Cl. C, Downgraded to Caa1 (sf); previously on Nov 10, 2011 B3 (sf) Placed Under Review for Possible Downgrade Cl. D, Affirmed at Caa2 (sf); previously on Dec 2, 2010 Downgraded to Caa2 (sf) Cl. E, Affirmed at Caa3 (sf); previously on Dec 2, 2010 Downgraded to Caa3 (sf) Cl. F, Affirmed at Ca (sf); previously on Dec 2, 2010 Downgraded to Ca (sf) Cl. G, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. H, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. P, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. X, Affirmed at Aaa (sf); previously on Feb 20, 2007 Definitive Rating Assigned Aaa (sf) RATINGS RATIONALE The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. On November 10, 2011 Moody's placed Classes AM through C on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 11.2% of the current pooled balance, as compared to 10.0% at last review. Moody's stressed scenario loss is 22.1% of the current pooled balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. 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 performance in the commercial real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. The hotel and multifamily sectors are continuing to show signs of recovery through the first half of 2011, while recovery in the non-core office and retail sectors are tied to the pace of the recovery of the broader economy. Core office markets are showing signs of recovery through lending and leasing activity. 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 as the most likely scenario through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations, however the downside risks to the outlook have risen since last quarter. The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.60 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 pool has a Herf of 29 as compared to 30 at last review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (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. DEAL PERFORMANCE As of the November 14, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 3% to $2.46 billion from $2.54 billion at securitization. The Certificates are collateralized by 147 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 47% of the pool. The pool does not contain any defeased loans or loans with credit estimates. Forty-eight 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; formerly the Commercial Mortgage Securities Association) monthly reporting package. Two loans have been liquidated resulting in $2 million of realized losses (22% average loss severity). Eighteen loans, representing 21% of the pool, are currently in special servicing. At last review only 9% of the pool was in special servicing. The largest specially serviced loan is the Bank of America Plaza Loan ($263 million -- 10.7%), which represents a pari passu interest in a $363 million A-note. The collateral is a 1.25 million SF office property located in Atlanta, Georgia. The loan transferred to special servicing in February 2011 for imminent default. The loan is currently less than one month delinquent. The property's largest tenant, Bank of America, reduced its footprint by approximately 200,000 SF and had its rent reduced by approximately $18 per square foot. The property was appraised for $202 million in March 2011. The servicer has not yet recognized an appraisal reduction for this loan, but Moody's estimates a 27% loss. The remaining specially serviced loans are a mix of multifamily, office, industrial, retail and hotel properties. The master servicer has recognized an aggregate $123 million appraisal reduction for 15 of the specially serviced loans. Moody's estimates an aggregate loss of approximately $197 million (39% expected loss based on an 87% probability of default) for all of the specially serviced loans. Moody's has assumed a high default probability for 20 poorly performing loans representing 9% of the pool and has estimated a $34 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2010 and partial year 2011 operating results for 93% and 79% of the conduit loans, respectively. The conduit portion of the pool excludes specially serviced and troubled loans. Moody's weighted average conduit LTV is 110% compared to 114% at last review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed DSCRs are 1.33X and 0.96X, respectively, compared to 1.32X and 0.95X 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. Based on the most recent remittance statement, Classes F through NR have experienced cumulative interest shortfalls totaling $7.8 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. The top three performing conduit loans represent 20% of the pool balance. The largest loan is the Brixmor Heritage Portfolio Loan ($221 million -- 9.0%) f/k/a the Centro Heritage Portfolio Loan. In June 2011 an affiliate of Blackstone Real Estate Partners VI L.P acquired 585 community and neighborhood shopping centers and related retail assets from Centro Properties Group for approximately $9 billion. The 14 cross defaulted and cross collateralized retail assets that secure the Brixmor Heritage Portfolio Loan were part of the $9 billion transaction. The collateral properties are located in 10 states and have a weighted average occupancy of 93% as of August 2011. Moody's LTV and stressed DSCR are 81% and 1.21X compared to 82% and 1.18X at last review. The second largest loan is the CNL Center I & II Loan ($138 million -- 5.6%), which is secured by two Class A office buildings located in downtown Orlando, Florida. CNL Financial and several affiliates lease 44% of the net rentable area with 2014 and 2021 lease expirations. The properties are 99% leased as of June 2011 compared to 96% at last review. Moody's LTV and stressed DSCR are 106% and 0.94X compared to 109% and 0.94X at last review. The third largest loan is the Residence Inn Times Square Loan ($137 million -- 5.6%), which is secured by a 357-room extended stay hotel located in the Garment District of Manhattan. The loan is current, but is on watchlist for low DSCR. Revenue per available room, RevPAR, increased 10% to $232 in 2010 from $211 in 2009. Although property performance has improved the collateral remains highly leveraged. Moody's LTV and stressed DSCR are 134% and 0.86X as compared to 133% and 0.93X at securitization. KATONAH III: S&P Raises Ratings on 2 Classes of Notes From 'BB-' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B-1, B-2, C-1, C-2, D-1, and D-2 notes from Katonah III Inc., a collateralized loan obligation (CLO) transaction managed by Sankaty Advisors LLC., and removed the ratings from CreditWatch with positive implications. "At the same time, we affirmed our rating on the class A notes," S&P related. "The transaction is in its amortization phase and continues to pay down the class A notes. Based on the October 2011 monthly report, the class A note balance was $99.06 million (approximately 31% of its original balance), down from $226.01 million in December 2010, which we used for our January 2011 analysis when we last upgraded the notes," S&P said. Due to the lower balance, all the tranches experienced an increase in their overcollateralization (O/C) ratios. The trustee reported these O/C ratios in the October 2011 monthly report: The A O/C ratio was 199.93%, compared with a reported ratio of 143.56% in December 2010; The B O/C ratio was 142.42%, compared with a reported ratio of 121.98% in December 2010; The C O/C ratio was 126.91%, compared with a reported ratio of 114.65% in December 2010; and The D O/C ratio was 116.12%, compared with a reported ratio of 109.06% in December 2010. In addition, the transaction has only $715,588 in defaults, down from $6.64 million in December 2010. Some of the defaulted positions were disposed at values higher than the assumed recovery rates. "Due to the improvement in credit support, we raised our ratings on the class B-1, B-2, C-1, C-2, D-1, and D-2 notes. We affirmed our rating on the class A note based on its existing credit support," 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 Actions Katonah III Inc. Rating Class To From B-1 AAA (sf) AA- (sf)/Watch Pos B-2 AAA (sf) AA- (sf)/Watch Pos C-1 A+ (sf) BBB+ (sf)/Watch Pos C-2 A+ (sf) BBB+ (sf)/Watch Pos D-1 BBB+ (sf) BB- (sf)/Watch Pos D-2 BBB+ (sf) BB- (sf)/Watch Pos Rating Affirmed Katonah III Inc. Class Rating A AAA (sf) KCD IP: Moody's Reviews Ratings for Possible Downgrade ------------------------------------------------------ Moody's Investors Service has placed under review for possible downgrade the Asset-Backed Notes issued by KCD IP, LLC. The notes, all of which are held by a wholly-owned, consolidated subsidiary of Sears in support of its insurance activities, are secured by royalties for Kenmore, Craftsman and DieHard trademarks in the United States and its Territories. Moody's rating on the notes addresses ultimate payment of interest and principal by the final legal maturity and does not address timeliness of current interest payments. The complete rating action is: Issuer: KCD IP, LLC Asset-Backed Notes, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on May 19, 2006, Assigned Baa2 (sf) RATING RATIONALE The review is precipitated by declines in Sears Holding Corp. (Sears) sales since the deal was issued in May 2006, as well as the weakened financial strength of Sears over the course of that timeframe, during which it was downgraded from Ba1 to Ba3. Sears, through its Sears, Roebuck and Co and Kmart subsidiaries (lessees) accounts for nearly all sales of Kenmore, Craftsman, and DieHard products. The sales of these brands depend in large part on Sears, and as such, lower revenues of Sears may translate to revenue declines in these brands. Sears was downgraded to Ba3 with a Negative Outlook in July 2011, reflecting continued negative trends in revenues, operating margins, and market position. The negative rating outlook primarily reflects uncertainties around the company's ability to arrest recent declines in sales and operating margins. In addition to the aforementioned factors, the interest on the notes has increased from 6.9% at closing to 7.9%. Consequently, the notes now have a lower interest coverage ratio and will have less funds available for principal amortization when the interest only phase ends in June of 2012. Housing sales contribute strongly to the demand for tools and appliances, which represent the majority of the sales revenue backing KCD IP, LLC. Moody's does not expect a strong housing recovery in the immediate future. Furthermore, high unemployment has stretched out the replacement cycle for major appliances and lowered the demand for discretionary tool purchases. METHODOLOGY Moody's analyzes cash flow income to the securitization and evaluates its sufficiency to repay the principal and any accrued interest on the notes by legal maturity. Moody's uses Monte Carlo simulation, with lessee default and sales revenues of Kenmore, Craftsman, and DieHard as the main simulated variables. The derived expected revenues are fed through the transaction's priority of payments to assess potential performance of the notes under expected and stressed scenarios. Moody's considers the resulting expected reduction in yield, default frequency and expected loss on the notes in making a rating decision. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found in the Rating Methodologies sub-directory on Moody's website. KEYCORP STUDENT: Fitch Affirms Rating on Class II-C Loan at 'BBsf' ----------------------------------------------------------------- Fitch Ratings affirms the ratings on student loan notes issued by KeyCorp Student Loan Trust 2005-A (Group II). The Rating Outlook remains Negative. Fitch's 'U.S. Private SL ABS Criteria' and 'Global Structured Finance Rating Criteria' were used to review the ratings. The affirmation on all student loan notes are based on sufficient loss coverage multiples commensurate with the ratings. The Negative Outlook is maintained on all the notes, and is consistent with Fitch's negative view of the private student loan sector in general. As of September 2011, parity, including the reserve account, for the class II-A, II-B, and II-C notes are at 155.62%, 115.61%, and 103.04%, respectively. Review of KeyCorp Student Loan Trust 2005-A (Group II) is based on collateral performance data as of September 2011. The loss coverage multiples were determined by comparing the projected net loss amount to available credit enhancement for the rating categories of KeyCorp Student Loan Trust 2005-A (Group II). Fitch used both data provided by KeyCorp and proxy data from other issuers to form a loss timing curve representative of each pool depending on loan composition. After giving credit to the seasoning of loans in repayment, Fitch applied the trust's current cumulative gross level to the loss timing curve to derive the expected gross losses over the projected remaining life. A recovery rate of 15% was applied, which was the level that was assumed during at the trust's initial review. Credit enhancement consists of subordination, excess spread, overcollateralization (OC), and a reserve account for the II-A and II-B notes. The class II-C notes benefit from OC, excess spread and the reserve account. Fitch assumed excess spread to be the lesser of the current annualized excess spread; the average historical excess spread; and the most recent 12-month average spread, and applied that same rate over the remaining life. The private student loan collateral consists primarily of Key Alternative Loans originated to undergraduate students. The trusts also include a combination of graduate student loans, career loans, consolidation loans, and CampusDoor loans marketed through the direct to consumer channel. Fitch has affirmed these ratings: KeyCorp Student Loan Trust 2005-A (Group II): -- Class II-A-2 at 'AAsf'; Outlook Negative; -- Class II-A-3 at 'AAsf'; Outlook Negative; -- Class II-A-4 at 'AAsf'; Outlook Negative; -- Class II-B at 'BBBsf'; Outlook Negative; -- Class II-C at 'BBsf'; Outlook Negative. KEYCORP STUDENT: Fitch Junks Rating on Class II-D Loan ------------------------------------------------------ Fitch Ratings affirms the ratings on the class II-A, II-B and II-C notes and downgrades the II-D note issued by KeyCorp Student Loan Trust 2004-A (Group II). The Rating Outlook remains Negative on the class II-A, II-B, and II-C notes. Fitch's 'U.S. Private SL ABS Criteria' and 'Global Structured Finance Rating Criteria' were used to review the ratings. The affirmation on all the class II-A, II-B, and II-C notes are based on sufficient loss coverage multiples commensurate with the ratings. As of October 2011, parities, including the reserve account, for the class II-A, II-B, and II-C are at 150.98%, 128.73% and 104.16%, respectively. The downgrade of the II-D note reflects significant deterioration of the private student collateral. Furthermore, the loss coverage multiple was indicative of a lower rating for the II-D note. The total parity continued to decrease from 96.03% to 95.09% (parity includes the reserve) since the last review a year ago. The Negative Outlook is maintained based on Fitch's negative view of the private student loan sector in general, as well as, the trust's overall performance. Review of KeyCorp Student Loan Trust 2004-A (Group II) is based on collateral performance data as of October 2011. Loss coverage multiples were determined by comparing the projected net loss amount to available credit enhancement for the rating categories of KeyCorp Student Loan Trust 2004-A (Group II). Fitch used both data provided by KeyCorp and proxy data from other issuers to form a loss timing curve representative of each pool depending on loan composition. After giving credit to the seasoning of loans in repayment, Fitch applied the trust's current cumulative gross level to the loss timing curve to derive the expected gross losses over the projected remaining life. A recovery rate of 15% was applied, which was the level was assumed during at the trust's initial review. Credit enhancement consists of excess spread, overcollateralization, and a reserve account for the class II-A, II-B, and II-C notes. The class II-D notes benefit from excess spread and the reserve account. Fitch assumed excess spread to be the lesser of the current annualized excess spread; the average historical excess spread; and the most recent 12-month average spread, and applied that same rate over the remaining life. The private student loan collateral consists primarily of Key Alternative Loans originated to undergraduate students. The trusts also include a combination of graduate student loans, career loans, consolidation loans, and CampusDoor loans marketed through the direct to consumer channel. Fitch has taken these rating actions: KeyCorp Student Loan Trust 2004-A (Group II) -- Class II-A-2 affirmed at 'AAAsf'; Outlook Negative; -- Class II-B affirmed at 'AAsf'; Outlook Negative; -- Class II-C affirmed at 'BBBsf'; Outlook Negative; -- Class II-D downgraded to 'CCsf' from 'B-sf'. KNIGHTSBRIDGE CLO: Moody's Raises Rating of Class E Notes to 'Ba2' ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of these notes issued by Knightsbridge CLO 2007-1 Ltd.: US$35,000,000 Class C Senior Secured Deferrable Floating Rate Notes Due 2022, Upgraded to A3 (sf); previously on June 22, 2011 Baa1 (sf) Placed Under Review for Possible Upgrade; US$22,000,000 Class D Secured Deferrable Floating Rate Notes Due 2022, Upgraded to Baa3 (sf); previously on June 22, 2011 Ba1 (sf) Placed Under Review for Possible Upgrade; US$22,000,000 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. In addition, Moody's has confirmed the ratings of these notes: US$20,000,000 Class A-2 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$30,000,000 Class B Senior Secured Floating Rate Notes Due 2022, 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 "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 $481.9 million, defaulted par of $26.1 million, a weighted average default probability of 28.56% (implying a WARF of 3704), a weighted average recovery rate upon default of 49.47%, and a diversity score of 41. 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. Knightsbridge CLO 2007-1 Ltd., issued in December of 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans of middle market issuers. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" 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 levels higher than the covenant levels due to the large difference between the reported and covenant levels. 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. MAPS CLO: Moody's Raises Rating of Class E Notes to Baa3 From Caa1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of these notes issued by MAPS CLO Fund I LLC: US$32,000,000 Class B Second Priority Senior Subordinate Floating Rate Notes Due December 21, 2017, Upgraded to Aaa (sf); previously on June 22, 2011 Aa2 (sf) Placed Under Review for Possible Upgrade; US$31,000,000 Class C Third Priority Senior Subordinate Deferrable Floating Rate Notes Due December 21, 2017, Upgraded to Aaa (sf); previously on June 22, 2011 Baa1 (sf) Placed Under Review for Possible Upgrade; US$20,950,000 Class D-1 Fourth Priority Junior Subordinate Deferrable Floating Rate Notes Due December 21, 2017, Upgraded to A1 (sf); previously on June 22, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade; US$6,800,000 Class D-2 Fourth Priority Junior Subordinate Deferrable Fixed Rate Notes Due December 21, 2017, Upgraded to A1 (sf); previously on June 22, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade; US$17,000,000 Class E Fifth Priority Junior Subordinate Deferrable Floating Rate Notes Due December 21, 2017, Upgraded to Baa3 (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. Moody's notes that the Class A-1, A-2 and A-3 Notes have been paid down by $60.8 million (approximately 51%), $26.5 million (approximately 53%) and $38.0 million (approximately 51%), respectively, since the rating action in August 2009. As a result of the de-leveraging, the overcollateralization ratios have increased since the rating action in August 2009. Based on the latest trustee report dated October 11, 2011, the Class A/B, Class C, Class D and Class E overcollateralization ratios are reported at 172.2%, 143.0%, 124.1%, 114.9%, respectively, versus July 2009 levels of 139.5%, 125.3%, 114.9%, 109.4%, 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 $263.6 million, defaulted par of $3.6 million, a weighted average default probability of 21.54% (implying a WARF of 3402), a weighted average recovery rate upon default of 49.88%, and a diversity score of 52. 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. MAPS CLO Fund I LLC, issued in December 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans, with significant exposure to loans of middle market loan issuers. 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) De-leveraging: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. De-leveraging 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) 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. MARQUETTE US/EUROPEAN: Moody's Raises Rating of Class C-1 to 'Ba1' ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of these notes issued by Marquette US/European CLO, P.L.C.: US$103,905,000 Class A-1A Senior Secured Floating Rate Dollar Notes Due 2020, Upgraded to Aa1 (sf); previously on June 22, 2011 A1 (sf) Placed Under Review for Possible Upgrade; US$11,545,000 Class A-1B Senior Secured Floating Rate Dollar Notes Due 2020, Upgraded to A2 (sf); previously on June 22, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade; EUR 86,151,000 Class A-2 Senior Secured Floating Rate Euro Notes Due 2020, Upgraded to Aa3 (sf); previously on June 22, 2011 A3 (sf) Placed Under Review for Possible Upgrade; US$2,550,000 Class B-1 Senior Secured Floating Rate Dollar Notes Due 2020, Upgraded to Baa1 (sf); previously on June 22, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade; EUR 7,500,000 Class B-2 Senior Secured Floating Rate Euro Notes Due 2020, Upgraded to Baa1 (sf); previously on June 22, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade; US$10,000,000 Class C-1 Secured Floating Rate Dollar Notes Due 2020, Upgraded to Ba1 (sf); previously on June 22, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade; EUR7,937,000 Class C-2 Secured Floating Rate Euro Notes Due 2020, Upgraded to Ba1 (sf); previously on June 22, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade; US$9,500,000 Class D-1 Secured Floating Rate Dollar Notes Due 2020, Upgraded to B2 (sf); previously on June 22, 2011 B3 (sf) Placed Under Review for Possible Upgrade; EUR7,540,000 Class D-2 Secured Floating Rate Euro Notes Due 2020, Upgraded to B2 (sf); previously on June 22, 2011 B3 (sf) Placed Under Review for Possible Upgrade; US$3,000,000 Class E-1 Secured Floating Rate Dollar Notes Due 2020, Upgraded to Caa1 (sf); previously on June 22, 2011 Caa3 (sf) Placed Under Review for Possible Upgrade; EUR2,381,000 Class E-2 Secured Floating Rate Euro Notes Due 2020, Upgraded to Caa1 (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. 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, including principal proceeds, of $309 million, no defaulted par, a weighted average default probability of 18.5% (implying a WARF of 2831), a weighted average recovery rate upon default of 49.3%, and a diversity score of 58. 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. 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. Marquette US/European CLO, P.L.C., issued in July 2006, is a multicurrency collateralized loan obligation backed primarily by a portfolio of senior secured loans denominated in US Dollars and Euros. 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 2016 which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the managers' investment strategies 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) 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 worse of reported and covenanted values for weighted average rating factor, weighted average coupon, and diversity score. However, Moody's considered weighted average life and weighted average spread levels better than the covenant levels given the limited time in the deal's reinvestment period. 3) Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the redit 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. 4) Currency Exposure: The deal has significant exposure to non-USD denominated assets. Volatilities in foreign exchange rates may have an impact on interest and principal proceeds available to the transaction, which may affect the expected loss of rated tranches. MCG COMM'L: Moody's Raises Rating of Class D Notes to Baa3 From B3 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of these notes issued by MCG Commercial Loan Trust 2006-1: US$106,250,000 Class A-1 First Priority Senior Notes due 2018 (current outstanding balance of $63,388,858), Upgraded to Aaa (sf); previously on June 22, 2011 A1 (sf) Placed Under Review for Possible Upgrade; US$50,000,000 Class A-2 First Priority Senior Notes due 2018 (current outstanding balance of $2,983,005), Upgraded to Aaa (sf); previously on June 22, 2011 A1 (sf) Placed Under Review for Possible Upgrade; US$85,000,000 Class A-3 First Priority Senior Delayed Draw Notes due 2018 (current outstanding balance of $50,711,086), Upgraded to Aaa (sf); previously on June 22, 2011 A1 (sf) Placed Under Review for Possible Upgrade; US$58,750,000 Class B Second Priority Senior Notes due 2018, Upgraded to Aa1 (sf); previously on June 22, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade; US$45,000,000 Class C Third Priority Senior Subordinate Deferrable Notes due 2018, Upgraded to A2 (sf); previously on June 22, 2011 Ba3 (sf) Placed Under Review for Possible Upgrade; US$47,500,000 Class D Fourth Priority Junior Subordinate Deferrable Notes due 2018 (current outstanding balance of $46,494,278), Upgraded to Baa3 (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 the amortization of the senior notes since the rating action in June 2010. The Class A Notes have been paid down by approximately 40% or $80 million since June 2010. As a result of the amortization, the overcollateralization ratios have increased. Based on the latest trustee report dated October 17, 2011, the Class A/B, Class C and Class D overcollateralization ratios are reported at 167.77%, 142.60% and 123.11%, respectively, versus June 2010 levels of 169.99%, 144.06% and 124.08%, respectively. Moody's notes that these reported overcollateralization ratios do not reflect the impact of the recent pay down of the Class A and Class D notes, which were reduced by $79 million and $1 million, respectively, on the October 20, 2011 payment date. 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 $348 million, defaulted par of $8 million, a weighted average default probability of 34.38% (implying a WARF of 5212), a weighted average recovery rate upon default of 43.76%, and a diversity score of 22. 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. MCG Commercial Loan Trust 2006-1, issued in April 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans, with significant exposure to loans of middle market loan issuers. 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) De-leveraging: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. De-leveraging 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) Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability stresses Moody's may assume in lieu of updated credit estimates. Moody's also conducted stress tests to assess the collateral pool's concentration risk in obligors bearing a credit estimate that constitute more than 3% of the collateral pool. ML-CFC COMM: Fitch Affirms Junk Rating on 15 Senior Note Classes ---------------------------------------------------------------- Fitch Ratings has affirmed the super senior classes and downgraded nine classes of ML-CFC Commercial Mortgage Trust's commercial mortgage pass-through certificates, series 2007-6. The downgrades reflect an increase in Fitch modeled losses across the pool and greater certainty of losses. Fitch modeled losses have increased from 14.1% to 16.8% of the original pool based on updated valuations of specially serviced loans, many of which experienced cash flow declines from the prior year. There are currently 18 specially serviced loans (30.7%) in the pool. As of the October 2011 distribution date, the pool's aggregate principal balance was $2.1 billion, down from $2.15 billion at issuance. There are no defeased loans. There are cumulative interest shortfalls in the amount of $9 million currently affecting classes D through Q. Fitch has identified 59 loans (52.26%) as Fitch Loans of Concern, which includes 18 specially serviced loans (30.7%). The Negative Rating Outlooks on the AM classes reflect the uncertainty of valuations on the recently transferred specially serviced loans as well as the final resolution of Peter Cooper Village/Stuyvesant Town (PCV/ST). The largest contributor to losses was MKSP Retail Portfolio - A, which is secured by eight neighborhood, regional, and power centers located in four distinct markets in Florida. Five properties are located in the Orlando metropolitan statistical area (MSA), one in the Palm Beach MSA, one in the Ft. Lauderdale MSA, and one in Port Charlotte in southwest Florida. Significant tenants include Publix, Bed Bath & Beyond, Bealls, and Ross Dress for Less. The loan transferred to special servicing in March 2011 with the borrower requesting a restructure of the loan. Property performance has steadily declined due to weak local retail markets, which has resulted in lower rents and a drop in occupancy from 88% at issuance to 77% as of June 2011. The servicer- reported debt service coverage ratio for the first nine months of 2010 was 0.97 times (x). Fitch's loss expectations for the loan have increased due to the recent decline in performance. The second largest contributor to losses was Peter Cooper Village/Stuyvesant Town (PCV/ST) (19.04%), which comprises 56 multi-story buildings, situated on 80 acres, and includes a total of 11,227 apartments. The loan transferred to special servicing in November 2009. Property performance continues to be below what is needed to service the debt; however, the securitized loan balance per unit ($267,213) is low relative to other NYC multi family properties. The most recent servicer-reported debt service coverage ratio (DSCR) is 0.63 and occupancy is 95% as of December 2010. The third largest contributor to losses was MKSP Retail Portfolio B, which is secured by one grocery-anchored and one unanchored retail center in two distinct markets in Florida. The grocery- anchored center is located in Ft. Lauderdale, and the unanchored center is located in Palm Beach County. Significant tenants include Winn Dixie and CVS. Total occupancy on the portfolio has gradually declined from 92% at issuance to 70% as of June 2011, driven by occupancy at the Palm Beach County property. As a result, servicer-reported June 2010 debt service coverage ratio dropped to 0.59x from 1.19x at issuance. Fitch downgrades these classes: -- $214.6 million class AM to 'BBB-sf' from 'AAsf'; Outlook Negative; -- $107.4 million class AJ to 'CCCsf/RR1' from 'B-sf'; -- $75 million class AJ-FL to 'CCCsf/RR1' from 'B-sf'; -- $18.8 million class E to 'CCsf/RR1' from 'CCCsf/RR1'; -- $24.1 million class F to 'CCsf/RR1' from 'CCCsf/RR1'; -- $26.8 million class H to 'Csf/RR3' from 'CCsf/RR6'; -- $5.4 million class J to 'Csf/RR6' from 'CCsf/RR6'; -- $5.4 million class K to 'Csf/RR6' from 'CCsf/RR6'; -- $5.4 million class L to 'Csf/RR6' from 'CCsf/RR6'. In addition, Fitch affirms these classes: -- $1.2 million class A-1 at 'AAAsf'; Outlook Stable; -- $170.4 million class A-2 at 'AAAsf'; Outlook Stable; -- $150 million class A-2FL at 'AAAsf'; Outlook Stable; -- $60.7 million class A-3 at 'AAAsf'; Outlook Stable; -- $729 million class A-4 at 'AAAsf'; Outlook Stable; -- $349 million class A-1A at 'AAAsf'; Outlook Stable; -- $42.9 million class B at 'CCCsf/RR1'; -- $16.1 million class C at 'CCCsf/RR1'; -- $34.9 million class D at 'CCCsf/RR1'; -- $24.1 million class G at 'CC/RR1'; RR to 'RR1' from 'RR3'; -- $5.4 million class M at 'C/RR6'; -- $5.4 million class N at 'C/RR6'; -- $5.4 million class P at 'C/RR6'. Fitch does not rate class Q. The rating on class X was previously withdrawn. MORGAN STANLEY: Expected Losses Cue Fitch to Downgrade Ratings -------------------------------------------------------------- Fitch Ratings affirms 15 and downgrades four classes of Morgan Stanley Capital I (MSCI) Trust, Series 2007-IQ13, commercial mortgage pass through certificates. The downgrades are due to additional certainty of expected losses on the loans in special servicing. The affirmations are the result of a decrease in expected losses attributed primarily to the liquidation of several specially serviced loans and the payoff of the second largest loan in the pool. The Fitch modeled losses of 10.1% (10.7% cumulative transaction losses which includes losses realized to date) is a decrease from 12.3% as of the last review. Smaller-than-average class sizes continue to make below investment grade rated bonds susceptible to downgrade. Fitch expects classes L thru H to be fully depleted by losses on specially serviced loans and class G to be significantly impacted. As of October 2011, there are cumulative interest shortfalls in the amount of $4.5 million currently affecting classes F through P. As of the October 2011 distribution date, the pool's aggregate principal balance has been paid down by 13.9% to $1.4 billion from $1.6 billion at issuance. There is one defeased loan representing 3.0% of the pool. Fitch has identified 44 loans (30.4%) as Fitch Loans of Concern, which includes 14 specially serviced loans (9.4%). In total, there are currently 14 loans (9.4%) in special servicing, which consists of four loans (3.7%) as real estate owned (REO), five loans (3.2%) in foreclosure, four loans (1.0%) that are 90 days delinquent and one loan (1.5%) that is current. At Fitch's last review there were 15 loans (17.8%) in special servicing consisting of one loan (0.9%) that was REO, one loan (0.7%)in foreclosure, nine loans (5.4%) that were 60 to 90 days delinquent and four loans (10.8%) that were current. The largest contributor to losses is the 75-101 Federal Street loan (14.9%) which is secured by two interconnected, class A office buildings comprising 811,687 square feet (sf) in Boston's financial district. Occupancy of the property has improved to 80% as of September 2011 from 75% at year-end 2009. Net Operating Income has also increased 7% from year-end 2009 to year-end 2010; however, cashflow is insufficient to service the debt with a DSCR of 0.93x at year-end 2010. The borrower is coming out-of-pocket to keep the loan current. Fitch's expected losses remain consistent with the losses at the last review. The second largest contributor to losses is the Northridge I asset (1.9%), which is an office property in Herndon, VA totaling 123,208 square feet (sf). The loan transferred to special servicing in February 2010 and is currently real-estate owned. The property is being marketed for sale. The third largest contributor to losses is West Garret Place (1.1%), which is a suburban office property in Annapolis, MD totaling 72,052 sf. The loan transferred to special servicing in January 2010 due to imminent default and became real-estate owned in October 2011. The servicer is working to increase occupancy prior to sale of the property. Fitch downgrades and assigns Recovery Ratings to these classes as indicated: -- $14.3 million class G to 'CCsf/RR3' from 'CCCsf/RR1'; -- $18.4 million class H to 'Csf/RR6' from 'CCCsf/RR2'; -- $8.2 million class J to 'Csf/RR6' from 'CCsf/RR6'; -- $2.0 million class K to 'Csf/RR6' from 'CCsf/RR6'. Additionally, Fitch affirms and assigns Rating Outlooks and Recovery Ratings to these classes as indicated: -- $10.7 million class A-1 at 'AAAsf'; Outlook Stable; -- $315.9 million class A-1A at 'AAAsf'; Outlook Stable; -- $114.8 million class A-2 at 'AAAsf'; Outlook Stable; -- $64 million class A-3 at 'AAAsf'; Outlook Stable; -- $448.8 million class A-4 at 'AAAsf'; Outlook Stable; -- $163.9 million class A-M at 'AAsf'; Outlook Stable; -- $149.6 million class A-J at 'Bsf'; Outlook to Stable from Negative; -- $32.8 million class B at 'CCCsf/RR1'; -- $16.4 million class C at 'CCCsf/RR1'; -- $16.4 million class D at 'CCCsf/RR1'; -- $14.3 million class E at 'CCCsf/RR1'; -- $18.4 million class F at 'CCCsf/RR1'; -- $3.2 million class L at 'Dsf/RR6'. MORGAN STANLEY: Moody's Raises Rating of Cl. A-2 Notes to Ba2 (sf) ------------------------------------------------------------------ Moody's has upgraded the ratings of nine and affirmed the ratings of two classes of Notes issued by Morgan Stanley 2007-XLC1, Ltd. The upgrades are primarily due to additional $212.7 million in amortization to the Class A-1 Notes and improvement of the par value and interest coverage ratios since last review. The affirmations are due to 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 and collateralized loan obligation (CRE CDO CLO) transactions. Moody's rating action is: Cl. A-1, Upgraded to Aa3 (sf); previously on Dec 9, 2010 Downgraded to Ba1 (sf) Cl. A-2, Upgraded to Ba2 (sf); previously on Dec 9, 2010 Downgraded to B3 (sf) Cl. B, Upgraded to B3 (sf); previously on Dec 9, 2010 Downgraded to Caa2 (sf) Cl. C, Upgraded to Caa1 (sf); previously on Dec 9, 2010 Downgraded to Caa3 (sf) Cl. D, Upgraded to Caa2 (sf); previously on Dec 9, 2010 Downgraded to Caa3 (sf) Cl. E, Upgraded to Caa3 (sf); previously on Dec 9, 2010 Downgraded to Ca (sf) Cl. F, Upgraded to Caa3 (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. G, Upgraded to Caa3 (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. H, Upgraded to Caa3 (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Dec 9, 2010 Downgraded to C (sf) RATINGS RATIONALE Morgan Stanley 2007-XLC1, Ltd. is a static cash CRE CDO transaction backed by a portfolio of mezzanine debt (69.7% of the pool balance), whole loans (18.5%), and B-Note debt (11.8%). As of the November 9, 2011 Trustee report, the aggregate Note balance of the transaction has decreased to $379.7 million from $826.8 million at issuance. There are four assets with a par balance of $83.5 million (24.6% of the current pool balance) that are considered Defaulted Collateral Interests as of the November 9, 2011 Trustee report, compared to four assets with a par balance of $88.4 million (16.4% of the pool balance) at last review. Moody's expects significant losses from those Defaulted Collateral Interests 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 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 6,520 compared to 6,007 at last review. The distribution of current ratings and credit estimates is as follows: Aaa- Aa3 (0.5% compared to 0.4% at last review), Baa1- Baa3 (4.3% compared to 4.3% at last review), B1-B3 (21.9% compared to 25.8% at last review), and Caa1-C (73.3% compared to 69.3% 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 2.3 years compared to 2.1 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 8.0% compared to 9.4% 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 41.0% compared to 16.2% 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, changing the recovery rate assumption down from 8.0% to 0.0% or up to 18.0% would result in average rating movement on the rated tranches of 0 to 2 notches downward and 0 to 3 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and performance in the commercial real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. The hotel and multifamily sectors are continuing to show signs of recovery through the third quarter of 2011. Improvements in the office sector continue, with fundamentals in Gateway cities the strongest. However the sector is closely tied to employment with currently weak fundamentals. The retail sector has been at a standstill following eleven consecutive quarters of rent deflation. The availability of debt capital continues to improve with monetary policy expected to remain supportive and interest rate hikes postponed. Moody's central global macroeconomic scenario reflects an overall downward revision of forecasts since last quarter, amidst ongoing fiscal consolidation efforts, household and banking sector deleveraging, persistently high unemployment levels, and weak housing markets that will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in November 2010, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. MOSELLE CLO: Moody's Raises Rating of Class A-3E Notes From Ba2 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Moselle CLO S.A.: EUR85,500,000 Class A-1E Floating Rate Notes due 2020 (current balance of EUR73,719,763), Upgraded to Aaa (sf); previously on June 22, 2011 Aa3 (sf) Placed Under Review for Possible Upgrade; US$85,500,000 Class A-1L Floating Rate Notes due 2020 (current balance of $73,719,763), Upgraded to Aaa (sf); previously on June 22, 2011 Aa3 (sf) Placed Under Review for Possible Upgrade; EUR35,500,000 Class A-1LE Variable Principal Notes due 2020 (current balance of EUR30,608,790), Upgraded to Aaa (sf); previously on June 22, 2011 Aa3 (sf) Placed Under Review for Possible Upgrade; US$35,500,000 Class A-1LE Variable Principal Notes-2 due 2020 (current balance of $30,608,790), Upgraded to Aaa (sf); previously on June 22, 2011 Aa3 (sf) Placed Under Review for Possible Upgrade; EUR13,750,000 Class A-2E Floating Rate Notes due 2020, Upgraded to Aa1 (sf); previously on June 22, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade; US$13,750,000 Class A-2L Floating Rate Notes due 2020, Upgraded to Aa1 (sf); previously on June 22, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade; EUR6,800,000 Class A-3E Floating Rate Notes due 2020, Upgraded to A1 (sf); previously on June 22, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade; US$6,800,000 Class A-3L Floating Rate Notes due 2020, Upgraded to A1 (sf); previously on June 22, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade; EUR16,000,000 Class B-1E Floating Rate Notes due 2020, Upgraded to Baa3 (sf); previously on June 22, 2011 Caa1 (sf) Placed Under Review for Possible Upgrade; US$16,000,000 Class B-1L Floating Rate Notes due 2020, Upgraded to Baa3 (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 result primarily from 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 rating actions reflect the deleveraging of the Class A-1E Notes, Class A-1L Notes, and Class A-LE Variable Principal Notes, which have been paid down by approximately 11% or EUR21.4 million in total (based on the EUR/USD exchange rate in the October 20, 2011 trustee report) since the last rating action in September 2009. The deleveraging was a result of paydowns of the senior notes due to overcollateralization ratio failures. As a result of the deleveraging, the overcollateralization ratios have increased since the last rating action in September 2009. As of the latest trustee report dated October 20, 2011, the Senior Class A, Class A and Class B-1 overcollateralization ratios are reported at 121.52%, 114.90%, and 112.30%, respectively, versus July 2009 levels of 110.60%%, 105.06% and 103.23%, respectively, and all overcollateralization tests are currently in compliance. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" 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 of EUR284.8 million, defaulted par of EUR0.9 million, weighted average default probability of 19.19% (implying a WARF of 2773), a weighted average recovery rate upon default of 47.66%, and a diversity score of 69. 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. Moselle CLO S.A., issued in October 2005, is a multicurrency collateralized loan obligation, backed primarily by a portfolio of senior secured loans denominated in U.S. dollars and Euros. 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 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. Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence 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. 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. 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. 4. 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. 5. Currency exposure: The deal has significant exposure to non-USD denominated assets and liabilities. A material mismatch between the non-USD assets and the non-USD liabilities may affect the expected loss of rated tranches. MRU STUDENT: S&P Lowers Rating on Class B Notes to 'D' ------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on the class B notes from MRU Student Loan Trust 2007-A to 'D (sf)' from 'CC (sf)'. "We lowered our rating on class B to 'D (sf)' because it failed to receive timely interest payments on the Nov. 14, 2011, interest payment date. The missed interest payments occurred because the transaction breached its class B note interest trigger through a failed parity-based test. This breach caused the class B interest payment to be prioritized after principal payments to class A in the transaction's payment waterfall, and funds were insufficient to make the interest payment on the November payment date. On a quarterly basis, the transaction tests the class B note interest trigger, and the transaction can cure the breach if it passes the appropriate performance tests on subsequent distribution dates. The reserve account is not available to make class B interest payments when this trigger is breached," S&P said. "We believe this transaction will continue to breach its class B interest reprioritization trigger for the foreseeable future. The downgrade reflects our assessment of the continued adverse performance trends within the underlying pool of private student loans, including the accelerated pace at which the transaction has been realizing defaults and high levels of loans that are not making payments. Additionally, due to the failed auction rate market, this transaction has what we consider a high cost of funds, as discussed in "MRU Student Loan Trust 2007-A Class A and B Ratings Lowered," published Nov. 11, 2011. Together, these factors result in decreasing parity as the transaction uses current principal payments to make interest payments to the noteholders. As of the Oct. 17, 2011, distribution date the class B parity (calculated as the current pool balance plus the reserve account over the class A and class B note balance) was 86.76%," S&P said. "The class B note interest trigger breaches if either (1) the cumulative default trigger exceeds 12% (as of the Oct. 17, 2011, distribution date, the actual default level was 9.22%) and the sum of the assets divided by the class A and B note balance is less than 90% (as of the Oct. 17, 2011, distribution date, we calculated this parity based test at 86.76%, which is down from 90.64% as of the April 15, 2011, distribution date) or (2) the class A note balance exceeds the assets (as of the Oct. 17, 2011, distribution date, we calculated this parity-based test at 99.63%, which is down from 104.13% as of the April 15, 2011, distribution date). The specific definitions for the assets and note balances used in these tests are as defined in the indenture. Currently, the trigger is failing part 2 of this test, and we expect it to continue breaching this test in the future. The cumulative default trigger is measured against the cumulative default rate listed in the table below, based on the corresponding quarterly distribution date," S&P said. Quarterly distribution Cumulative default date rate (%) October 2011 12.00 October 2012 14.00 October 2013 16.00 October 2014 17.00 October 2015 18.00 October 2016 19.00 October 2017 20.00 MSC 2006-SRR2: S&P Lowers Ratings on 2 Classes of Notes to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class M and N notes from SPGS SPC, acting for the account of MSC 2006-SRR2 Segregated Portfolio to 'D (sf)' from 'CC (sf)'. The downgrades follow a number of write-downs in the underlying reference portfolio, causing the class M notes to incur partial principal losses and the class N notes to incur full principal losses. Ratings Lowered SPGS SPC, acting for the account of MSC 2006-SRR2 Segregated Portfolio Rating Class To From M D (sf) CC (sf) N D (sf) CC (sf) N-STAR REAL: Fitch Junks Rating on Eight Note Classes ----------------------------------------------------- Fitch Ratings has downgraded nine classes issued by N-Star Real Estate CDO III Ltd. (N-Star III) as a result of significant negative credit migration on the underlying collateral. Since Fitch's last rating action in December 2010, approximately 40.8% of the underlying collateral has been downgraded. Currently, 72.5% of the portfolio has a Fitch derived rating below investment grade and 43.7% has a rating in the 'CCC' category and below, compared to 65.4% and 30.7%, respectively, at the last review. As of the Oct. 23, 2011 trustee report, 21.1% of the underlying collateral is experiencing interest shortfalls, compared to 4.7% at the prior review. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. Based on this analysis, the class A through B notes' breakeven rates are generally consistent with the ratings assigned below. For the class C-1 through D notes, Fitch analyzed each class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class C-1 notes have been downgraded to 'CCCsf'. Similarly, the class C-2 and D notes have been downgraded to 'CCsf', indicating that default is probable. The Negative Outlook on the class A-1 notes reflects the potential for further deterioration on the underlying collateral. Fitch does not assign Outlooks to classes rated 'CCC' and below. N-Star III is a collateralized debt obligation (CDO) that closed on March 10, 2005. The transaction is backed by 93 securities from 80 obligors. The current portfolio consists of 78.7% commercial mortgage backed securities (CMBS) from the 1998 through 2009 vintages, 11.3% are commercial real estate loans (CRELs), 8.4% are structured finance CDOs, 1.4% are real estate investment trust (REIT) debt securities, and 0.2% are residential mortgage backed securities (RMBS). Fitch has taken these actions as indicated below: -- $244,635,062 class A-1 notes downgraded to 'Bsf' from 'BBsf'; Outlook Negative; -- $14,872,148 class A-2A notes downgraded to 'CCCsf' from 'Bsf'; -- $4,957,383 class A-2B notes downgraded to 'CCCsf' from 'Bsf'; -- $14,872,148 class B notes downgraded to 'CCCsf' from 'Bsf'; -- $4,957,383 class C-1A notes downgraded to 'CCCsf' from 'Bsf'; -- $5,948,859 class C-1B notes downgraded to 'CCCsf' from 'Bsf'; -- $9,229,655 class C-2A notes downgraded to 'CCsf' from 'CCCsf'; -- $1,982,953 class C-2B notes downgraded to 'CCsf' from 'CCCsf'; -- $9,180,081 class D notes downgraded to 'CCsf' from 'CCCsf'. NEWSTAR COMMERCIAL: Moody's Raises Rating of Class D Notes to Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by NewStar commercial Loan Trust 2007-1: US$336,500,000 Class A-1 Notes Due 2022 (current balance of $318,586,748), Upgraded to Aaa (sf); previously on June 22, 2011 Aa2 (sf) Placed Under Review for Possible Upgrade; US$100,000,000 Class A-2 Notes Due 2022, Upgraded to Aaa (sf); previously on June 22, 2011 Aa2 (sf) Placed Under Review for Possible Upgrade; US$24,000,000 Class B Notes Due 2022, Upgraded to Aa3 (sf); previously on June 22, 2011 A2 (sf) Placed Under Review for Possible Upgrade; US$58,500,000 Class C Notes due 2022, Upgraded to Baa1 (sf); previously on June 22, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade; US$27,000,000 Class D Notes due 2022, Upgraded to Ba1 (sf); previously on June 22, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade; US$29,100,000 Class E 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 $582.5 million, a charged-off loans balance of $20.2 million, a weighted average rating factor of 3962, a weighted average recovery rate upon default of 49.11%, and a diversity score of 40. 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. NewStar Commercial Loan Trust 2007-1, issued in June of 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans of middle market issuers. 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. 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) 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. 2) Recovery of charged-off loans: 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) 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. NOMURA CRE: Fitch Affirms Junk Ratings on Eighteen Note Classes --------------------------------------------------------------- Fitch Ratings has affirmed all classes of Nomura CRE CDO 2007-2, Ltd. /LLC (Nomura 2007-2) reflecting Fitch's base case loss expectation of 46.8%, a slight increase from 45.2% at last rating action. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. Since the latest rating action and as of the October 2011 trustee report, the transaction has paid down slightly by $3.6 million (0.4% of the original deal balance). An additional $47 million is currently held in principal cash. Since the latest rating action, the disposal of four loans has resulted in realized losses of approximately $25 million. The percentage of defaulted assets and Fitch Loans of Concern has increased to 47.4% and 21.1%, respectively, compared to 36.7% and 13.1% at the latest rating action. The Fitch derived weighted average rating of the rated securities has declined to 'CC' from 'CCC-' due to two additional commercial real estate collateralized debt obligation (CRE CDO) bonds defaulting since the latest rating action. Since the latest rating action, four loans were sold at an average loss rate of 31%, three loans were repaid, one loan was restructured, and four new loans were added. Nomura 2007-2 is a commercial CRE CDO managed by C-III Investment Management LLC. The transaction has a five-year reinvestment period that ends in February 2013. As of the October 2011 trustee report and per Fitch categorizations, the CDO was substantially invested as follows: whole loans/A-note (75.4%), B-notes (9%), commercial mortgage-backed securities (CMBS: 5.1%), CRE CDO (4%), CRE mezzanine loans (2%), and principal cash (4.5%). As of the October 2011 trustee report, all overcollateralization ratios breached their covenants. Classes D and below are not receiving any interest payments. Interest is being capitalized on these classes. The capitalized interest totals $8.7 million. Under Fitch's methodology, approximately 79.3% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 7.9% from, generally, either year end 2010 or trailing 12-month second quarter 2011. Fitch estimates recoveries to be 40.9%. The largest component of Fitch's base case loss expectation is the B-note (6%) portion of a loan on a portfolio of 20 office properties in Washington, D.C. and Seattle, WA. The collateral for the loan consists of the first mortgages on 16 office properties, the pledge of the mortgage and the borrower's ownership interest in one office property, and the pledge of cash flows from three office properties. The senior loan and B-note were both transferred to special servicing in April 2010 for imminent default. The borrower and the special servicer have negotiated a modification whereby the asset manager expects no interest payments to the B-note during the extension period. Fitch modeled a full loss on this B-note position. The next largest component of Fitch's base case loss expectation is a whole loan (7.6%) initially secured by an eight property multifamily portfolio located in Texas, Indiana, Florida, North Carolina, and Tennessee. In the fourth quarter of 2008, the collateral manager took title to the property via the default of a mezzanine loan held outside the CDO. The collateral manager has sold six of the properties in the portfolio and is currently marketing the remaining two properties for sale. Fitch modeled a term default with a substantial loss in its base case scenario. The third largest component of Fitch's base case loss expectation is the modeled loss on classes H and K (5.1%) of MSCI 2007-IQ14. These bonds are defaulted and are currently experiencing interest shortfalls. Fitch modeled a substantial loss on these bonds in its base case scenario. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. Per Fitch criteria, cash flow modeling was not performed as part of the analysis as the difference in expected loss from the latest rating action is less than 10%. Fitch has affirmed and assigned Recovery Estimates (REs) to these classes: -- $459.6 million class A-1 at 'CCCsf'; RE 95%; -- $75 million class A-R at 'CCCsf'; RE 95%; -- $60.7 million class A-2 at 'CCCsf'; RE 0%; -- $70.5 million class B at 'CCCsf'; RE 0%; -- $26.6 million class C at 'CCCsf'; RE 0%; -- $27.5 million class D at 'CCsf'; RE 0%; -- $20.8 million class E at 'CCsf'; RE 0%; -- $22 million class F at 'CCsf'; RE 0%; -- $25.5 million class G at 'Csf'; RE 0%; -- $20.7 million class H at 'Csf'; RE 0%; -- $26 million class J at 'Csf'; RE 0%; -- $24.4 million class K at 'Csf'; RE 0%; -- $9.5 million class L at 'Csf'; RE 0%; -- $6.2 million class M at 'Csf'; RE 0%; -- $9 million class N at 'Csf'; RE 0%; -- $14.7 million class O at 'Csf'; RE 0%. OFSI FUND: Moody's Raises Rating of Class D Notes to Ba2 (sf) ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by OFSI Fund III, Ltd: US$200,000,000 Class A-1 Floating Rate Notes Due September 20, 2019, Upgraded to Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed Under Review for Possible Upgrade; US$140,625,000 Class A-2 Floating Rate Notes Due September 20, 2019, Upgraded to Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed Under Review for Possible Upgrade; US$39,500,000 Class B Floating Rate Notes Due September 20, 2019, Upgraded to Aa3 (sf); previously on June 22, 2011 A1 (sf) Placed Under Review for Possible Upgrade; US$36,500,000 Class C Floating Rate Notes Due September 20, 2019, Upgraded to Baa1 (sf); previously on June 22, 2011 Ba1 (sf) Placed Under Review for Possible Upgrade; US$28,750,000 Class D Floating Rate Notes Due September 20, 2019, Upgraded to Ba2 (sf); previously on June 22, 2011 B1 (sf) Placed Under Review for Possible Upgrade; US$11,500,000 Class E1 Fixed Rate Notes Due September 20, 2019, Upgraded to Ba3 (sf); previously on June 22, 2011 Caa2 (sf) Placed Under Review for Possible Upgrade; US$9,125,000 Class E2 Floating Notes Due September 20, 2019, Upgraded to Ba3 (sf); previously on June 22, 2011 Caa2 (sf) Placed Under Review for Possible Upgrade; and US$25,500,000 Class I Combination Notes Due September 20, 2019 (current Rated Balance of $12,209,541, as calculated by Moody's), Upgraded to Ba1 (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 the consideration of credit improvement of the underlying portfolio since the rating action in August 2009. Based on the September 2011 trustee report, the weighted average rating factor is currently 3000 compared to 3625 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 $495.7 million, defaulted par of $5.6 million, a weighted average default probability of 27.05% (implying a WARF of 3754), a weighted average recovery rate upon default of 47.54%, and a diversity score of 45. Moody's generally analyzes deals in their reinvestment period by assuming the worse of reported and covenanted values for all collateral quality tests. 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. OFSI Fund III, Ltd., issued in September 20, 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans with significant exposure to senior secured loans of middle market issuers. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. In addition, the methodology "Using the Structured Note Methodology to Rate CDO Combo-Notes" published in February 2004 was also used. 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) 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. 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 and diversity score. However, as part of the base case, Moody's considered spread level higher than the covenant level due to the large difference between the reported and covenant levels. OPSI FUND: S&P Affirms Ratings on 2 Classes of Notes at 'CCC-' -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, B, C, and D notes from OFSI Fund III Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Orchard First Source Asset Management LLC. "At the same time, we affirmed our ratings on the class E-1 and E-2 notes, and we removed our ratings on all classes of notes from CreditWatch, where we placed them with positive implications on Sept. 2, 2011," S&P said. "The upgrade reflects improved performance we have observed in the deal's underlying asset portfolio since we lowered our ratings on all of the classes on Dec. 29, 2009, following the application of our September 2009 corporate collateralized debt obligation (CDO) criteria. As of the Sept. 30, 2011, trustee report, the transaction's asset portfolio had $5.66 million in defaulted obligations and approximately $89.64 million in assets from obligors rated in the 'CCC' range. This was a decrease from $50.36 million in defaulted obligations and approximately $157.56 million in assets from obligors rated in the 'CCC' range noted in the Sept. 30, 2009, trustee report, which we used for our December 2009 rating actions," S&P said. "We also observed an increase in the overcollateralization available to support the rated notes," S&P related. The trustee reported the overcollateralization (O/C) ratios in the Sept. 30, 2011 monthly report: The class A/B O/C ratio was 131.11%, compared with a reported ratio of 126.64% in September 2009; The class C O/C ratio was 119.62%, compared with a reported ratio of 115.55% in September 2009; The class D O/C ratio was 111.90%, compared with a reported ratio of 108.09% in September 2009; and The class E O/C ratio was 106.95%, compared with a reported ratio of 103.30% in September 2009. "We affirmed our ratings on the class E-1 and E-2 notes to reflect our belief that the credit support available is commensurate with the current ratings," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating And CreditWatch Actions OFSI Fund III Ltd. Rating Class To From A-1 AA+ (sf) AA (sf)/Watch Pos A-2 AA+ (sf) AA (sf)/Watch Pos B AA (sf) A+ (sf)/Watch Pos C A (sf) BBB (sf)/Watch Pos D BB+ (sf) B+ (sf)/Watch Pos E-1 CCC- (sf) CCC- (sf)/Watch Pos E-2 CCC- (sf) CCC- (sf)/Watch Pos PANTHEON INC: Moody's Puts Rating on Cl. K Certificate to 'Caa2' ---------------------------------------------------------------- Moody's Investors Service placed ten pooled classes of Banc of America Large Loan, Inc. Commercial Mortgage Pass-Through Certificates, Series 2007-BMB1 on review for possible downgrade. Moody's rating action is: Cl. A-2, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. B, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 4, 2009 Downgraded to Aa3 (sf) Cl. C, A2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 4, 2009 Downgraded to A2 (sf) Cl. D, A3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 4, 2009 Downgraded to A3 (sf) Cl. E, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 4, 2009 Downgraded to Baa1 (sf) Cl. F, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 4, 2009 Downgraded to Baa2 (sf) Cl. G, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 4, 2009 Downgraded to Baa3 (sf) Cl. H, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Dec 2, 2010 Downgraded to Ba2 (sf) Cl. J, B2 (sf) Placed Under Review for Possible Downgrade; previously on Dec 2, 2010 Downgraded to B2 (sf) Cl. K, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Dec 2, 2010 Downgraded to Caa2 (sf) RATINGS RATIONALE The classes have been placed under review for possible downgrade due to the deterioration of credit quality, pending maturities, and anticipated losses to the trust. As of the October 17, 2011 distribution date, the transaction's certificate balance decreased by approximately 23% to $1.33 billion from $1.73 billion at securitization due to the payoff of four loans and principal pay downs associated with five loans. The Certificates are collateralized by ten floating-rate loans ranging in size from 1% to 24% of the pooled trust mortgage balance. The largest three loans account for 64% of the pooled balance. The pool has not experienced any losses to date. There are currently two loans in special servicing (24.9% of pooled balance) which are the Farallon MHC Portfolio loan (23.7%) and the Reader's Digest loan (1.2%). The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior review is summarized in a press release dated December 2, 2011. The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review will focus on the potential losses from specially serviced loans and the performance of the overall pool. RACE POINT: Moody's Raises Rating of Class E Notes to B2 (sf) ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Race Point III CLO: US$451,200,000 Class A Senior Secured Floating Rate Notes Due 2020, Upgraded to Aa2 (sf); previously on June 22, 2011 A3 (sf) Placed Under Review for Possible Upgrade; US$25,200,000 Class B Senior Secured Floating Rate Notes Due 2020, Upgraded to A3 (sf); previously on June 22, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade; US$42,000,000 Class C Secured Deferrable Floating Rate Notes Due 2020, Upgraded to Baa3 (sf); previously on June 22, 2011 B1 (sf) Placed Under Review for Possible Upgrade; US$31,200,000 Class D Secured Floating Rate Notes Due 2020, Upgraded to Ba3 (sf); previously on June 22, 2011 Caa1 (sf) Placed Under Review for Possible Upgrade; US$10,800,000 Class E Secured Floating Rate Notes Due 2020, Upgraded to B2 (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. 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, including principal proceeds, of $618 million, defaulted par of $2.3 million, a weighted average default probability of 22.5% (implying a WARF of 3020), a weighted average recovery rate upon default of 47.6%, and a diversity score of 70. These default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends, and collateral manager latitude for trading the collateral are also factors. Race Point III CLO, issued in April 2006, is a multicurrency collateralized loan obligation backed primarily by a portfolio of senior secured loans denominated in US Dollars, Euros, and Pounds Sterling. 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 2016 which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the managers' investment strategies 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 selling defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 3) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming worse of reported and covenanted values for weighted average rating factor, weighted average coupon, and diversity score. Moody's considered weighted average spread levels higher than the covenant levels due to the large difference between the reported and covenant levels. 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. 5) Currency Exposure: The deal has significant exposure to non-USD denominated assets. Volatilities in foreign exchange rates may have an impact on interest and principal proceeds available to the transaction, which may affect the expected loss of rated tranches. REVE SPC: S&P Cuts Ratings on 3 Series of CDOs From 'CCC-' to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the notes issued by REVE SPC's series 48, 54, and 61, three synthetic collateralized debt obligations (CDO) transactions. The downgrades follow a number of recent credit events within the transactions' underlying portfolios. Specifically, write-downs in the underlying reference portfolios have caused the notes to incur partial principal losses. Ratings Lowered REVE SPC Series 48 Rating Class To From Notes D (sf) CCC-(sf) REVE SPC Series 54 Rating Class To From A D (sf) CCC-(sf) REVE SPC Series 61 Rating Class To From A D (sf) CCC-(sf) RIVERSIDE PARK: S&P Gives 'BB' Rating on Class D Deferrable Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Riverside Park CLO Ltd./Riverside Park CLO Corp.'s $369.0 million floating-rate notes following the transaction's effective date as of Oct. 28, 2011. Most U.S. cash flow collateralized debt 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 said. "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 said. "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. S&P said, "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. (For more information on our criteria and our analytical tools, see 'Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs,' published Sept. 17, 2009.)" "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 said. "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 said. Standard & Poor's 17g-7 Disclosure Report SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com/1111158.pdf Ratings Affirmed Riverside Park CLO Ltd./Riverside Park CLO Corp. Class Rating Amount (mil. $) A-1 AAA (sf) 266.000 A-2 AA (sf) 32.000 B (deferrable A (sf) 36.000 C (deferrable) BBB (sf) 20.000 D (deferrable) BB (sf) 15.000 Subordinated notes NR 108.396 NR -- Not rated. ROCKWALL CDO: S&P Removes 'B+' Rating on Class A-3 From Watch ------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on the class A-1LA, A-1LB, A-2L, A-3L, B-1L, and B-2L notes from Rockwall CDO II Ltd., a collateralized loan obligation (CLO) transaction managed by Highland Capital Management L.P. "t the same time, we removed our ratings on the class A-1LA, A-1LB, A-2L, and A-3L notes from CreditWatch, where we placed them with positive implications on Sept. 2, 2011," S&P related "The affirmations of the class A-1LA, A-1LB, A-2L, A-3L, B-1L, and B-2L notes reflect the availability of credit support at the current rating levels. Additionally, based on information contained in a recent trustee report, we believe the Rockwall II CDO Ltd. transaction has experienced a note cancellation, whereby subordinate debt issued by the CLO was retired before the debt was paid out, as originally contemplated through the payment waterfall. We have generally seen such actions take place either after the CDO manager purchases the debt using principal proceeds at a discount from par, or after the subordinate noteholders submitted the debt for cancellation without payment. To the extent we believe that other types of CDO transactions have been subject to cancellation of subordinate notes in a similar fashion, we have and will continue to take action separately," S&P said. The affirmations reflect two primary factors: "The application of our updated corporate CDO criteria to these transactions (for more information, see 'Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published Sept. 17, 2009, on RatingsDirect on the Global Credit Portal, at www.globalcreditportal.com)," S&P related. "Additional stresses that reflect our view of increased credit risks and credit stability considerations regarding tranches of CDOs that have experienced note cancellations," S&P said. "In our opinion, cancellation of subordinate debt affects two of the five key areas of our analytical framework that we describe in our 'Principles-Based Rating Methodology For Global Structured Finance Securities' article, which we published May 29, 2007. The cancellation of subordinate debt primarily affects the payment structure and cash flow mechanics of a transaction. We also believe that debt cancellation affects credit stability (see 'Standard & Poor's To Explicitly Recognize Credit Stability As An Important Rating Factor,' published Oct. 15, 2008)," S&P said Payment Structure And Cash Flow Mechanics "When we analyze a CDO transaction for the purpose of forming an opinion on the creditworthiness of a tranche, the structural features represent a key factor. The overcollateralization (O/C) tests and other interest/principal diversion mechanisms have a significant impact on the cash flow modeling results, which form a significant part of our rating methodology. Generally, all other things being equal, the redemption or cancellation of subordinate debt in a CDO makes the subordinate coverage tests less likely to fail, which, in our view, may have the effect of diluting the structural features originally designed to protect the senior notes from credit deterioration or losses in the underlying CDO portfolio," S&P related. "The senior notes in most cash flow CDOs benefit from protection provided by an interest/principal coverage test. When the coverage test is breached, or fails, the transaction documents typically provide that first interest collections and then principal proceeds that would otherwise be paid to more subordinate notes and equity are applied to reduce the principal of the senior notes. In our opinion, the cancellation of subordinate debt and resulting alteration of interest/principal diversion test calculations diminishes our ability to rely for purposes of our credit analysis on these structural elements of the transaction (and the potential credit support they are designed to provide to the senior notes) when we apply our quantitative modeling to the transaction," S&P said. Credit Stability Standard & Poor's explicitly recognizes credit stability as a factor in its ratings (see "Standard & Poor's To Explicitly Recognize Credit Stability As An Important Rating Factor," published on Oct. 15, 2008). "In our view, the O/C tests and related structural features enhance the credit stability of the senior notes in a CDO. When these structural features are altered in a manner that diminishes their effectiveness, the credit stability of the senior tranches may be reduced. Accordingly, we believe the cancellation of subordinate debt and the potential resulting impact on the transaction's above-described structural features could create greater uncertainty as to whether the ratings meet our criteria for credit stability," S&P related. Analytical Approach "In the case of transactions we believe have experienced subordinated debt cancellations, our surveillance reviews will include the application of an additional rating stress designed to assess the potential creditworthiness of the affected transactions without the support of interest diversion tests linked to outstanding subordinated tranches," S&P said. Accordingly, S&P took this approach in its review of the transaction: "We generated cash flow analysis using two scenarios. The first scenario gave effect to the current balances of the notes (including any note cancellations) when modeling the interest or principal diversion mechanisms. For purposes of the second scenario, we assumed that currently outstanding subordinated tranches had been cancelled and, accordingly, we only reflected the balance of the senior notes in the calculation of any interest or principal diversion mechanisms," S&P related. "For each tranche, we applied the lower of the rating levels indicated by the cash flow analysis under the two scenarios described as the starting point for our rating analysis," S&P said. "We then reviewed the level of cushion relative to our credit stability criteria and made further adjustments to the ratings that we believe are appropriate," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating And CreditWatch Actions Rockwall CDO II Ltd. Rating Class To From A-1LA BBB+ (sf) BBB+ (sf)/Watch Pos A-1LB BB+ (sf) BB+ (sf)/Watch Pos A-2L BB- (sf) BB- (sf)/Watch Pos A-3L B+ (sf) B+ (sf)/Watch Pos Ratings Affirmed Rockwall CDO II Ltd. Class Rating B-1L CCC+ (sf) B-2L CCC- (sf) ROSEMONT CLO: Fitch Affirms 'CCsf' Rating on $12 Million Notes -------------------------------------------------------------- Fitch Ratings has upgraded three classes of notes and affirmed one class of notes issued by Rosemont CLO, Ltd./Corp. (Rosemont CLO) : -- $3,807,984 class B-1 notes upgraded to 'AAAsf' from 'Asf'; Outlook Stable; -- $1,480,883 class B-2 notes upgraded to 'AAAsf' from 'Asf'; Outlook Stable; -- $13,200,000 class C notes upgraded to 'BBBsf' from 'BBsf'; Outlook Stable; -- $12,000,000 class D notes affirmed at 'CCsf/RR2'. The upgrades of the class B-1 and B-2 notes (collectively, class B) and the class C notes reflect the increasing credit enhancement available to these notes via continued amortization of the underlying collateral, in addition to the relatively stable performance of the underlying loan portfolio. Fitch also maintains Stable Outlooks on the class B and C notes reflecting its expectation of stable rating performance over the next one to two years. Since Fitch's last review in December 2010 the class A notes, which had a balance of approximately $21 million at the time, have been paid in full, leaving the class B notes as the senior-most remaining class of notes. After the Oct. 17, 2011 payment, the remaining total par of the class B notes stands at approximately $5.3 million. Fitch currently considers the performing portfolio balance to be approximately $29.2 million, providing significant overcollateralization (OC) to the class B notes. The class C notes also benefit from improved coverage levels, as evidenced by the increase in the class C OC ratio to 144.6% as of the Oct. 6, 2011 trustee report from 124.3% as of the Oct. 29, 2010 report, while the average rating quality of the performing portfolio has remained in the 'B/B-' range over this time. The class D notes are slightly overcollateralized, as evidenced by the current class D OC ratio of 100.2%. These notes remain highly vulnerable to any future deterioration in the portfolio, and an ultimate principal impairment to the notes remains probable. Fitch has affirmed the notes at 'CCsf', and has affirmed the Recovery Rating at 'RR2' based on the total discounted future cash flows projected to be available to these bonds in a base-case default scenario. These discounted cash flows yielded an ultimate recovery projection in a range between 71% and 90%, which is representative of an 'RR2' on Fitch's Recovery Rating scale. This review was conducted under the framework described in the report 'Global Rating Criteria for Corporate CDOs' using the Portfolio Credit Model (PCM) for projecting future default and recovery levels for the underlying portfolio. These default and recovery levels were then utilized in Fitch's cash flow model under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. The class B and D notes passed the various stress scenarios at rating levels consistent with the ratings assigned above. The class C notes passed the stress scenarios at a rating level higher than the rating assigned above; however, Fitch's rating considers additional sensitivity for the potential inability of future defaulted loans to produce recoveries consistent with criteria assumptions prior to the transaction's legal maturity in higher rating stress scenarios. Over 60% of current performing loans are scheduled to mature within 12 months of the transaction's legal maturity date in October 2013. Fitch's standard assumption for recovery lag on US loans is 12 months. Fitch considered the uncertain timing of defaulted recoveries in these rating stress scenarios to be a potential risk factor for the class C notes. Rosemont CLO is a collateralized debt obligation (CDO) that closed on Jan. 8, 2002 and currently has a performing portfolio primarily comprised of senior secured loans from 29 obligors. The transaction is managed by Deerfield Capital Management LLC, a subsidiary of CIFC Corp. Deerfield Capital Corp. merged with Commercial Industrial Finance Corp. in April 2011, creating a newly named entity CIFC Corp. The transaction's reinvestment period ended in January 2007. SARGAS CLO: Moody's Raises Rating of US$14MM Notes to Ba3 (sf) -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Sargas CLO I: US$21,000,000 B Notes, Upgraded to A2 (sf); previously on June 22, 2011 A3 (sf) Placed Under Review for Possible Upgrade; US$17,000,000 C Notes, Upgraded to Baa3 (sf); previously on June 22, 2011 Ba1 (sf) Placed Under Review for Possible Upgrade; US$14,000,000 D Notes, Upgraded to Ba3 (sf); previously on June 22, 2011 B1 (sf) Placed Under Review for Possible Upgrade; US$5,000,00 Type I Composite Notes (current rated balance of $2,232,646), Upgraded to Aa1 (sf); previously on June 22, 2011 Aa2 (sf) Placed Under Review for Possible Upgrade. In addition, Moody's confirmed the ratings of the following notes: US$7,750,000 A-2A Notes, Confirmed at Aa2 (sf); previously on June 22, 2011 Aa2 (sf) Placed Under Review for Possible Upgrade; US$3,250,000 A-2B Notes, 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 "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Today's 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. Today's action also reflects that the deal has benefited from an improvement in the credit quality of the underlying portfolio and an increase in the transaction's overcollateralization since the last rating action in September 2009. Based on the latest trustee report from October 2011, the weighted average rating factor is currently 2786 compared to 3095 in the August 2009 report. The Class A, Class B, Class C and Class D overcollateralization ratios are reported at 128.7%, 118.4%, 111.2% and 105.9%, respectively, versus August 2009 levels of 125.7%, 115.7%, 108.6% and 103.5%, 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 $309.7 million, defaulted par of $8.9 million, a weighted average default probability of 21.4% (implying a WARF of 3103), a weighted average recovery rate upon default of 49.9%, and a diversity score of 48. 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. Sargas CLO I, issued in August 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans, with significant exposure to loans of middle market issuers. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. In addition, the rating methodology "Using the Structured Note Methodology to Rate CDO Combo-Notes" published in February 2004 was also used. 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) 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. 2) 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 generally analyzes 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. STONEHEALTH RE: Fitch Withdraws Preferred Securities BB+ Rating --------------------------------------------------------------- Fitch Ratings has withdrawn the 'BBB+' Issuer Default Rating of Stoneheath Re and the 'BB+' rating of Stoneheath Re's preferred securities. The Rating Outlook was Stable prior to the withdrawal. The ratings are withdrawn due to the reorganization of the rated entity. Stoneheath Re is being wound up, with the holders of the non-cumulative perpetual preferred securities issued by Stoneheath Re in December 2006 receiving on Nov. 16, 2011 one XLIT Ltd. (formerly XL Group Ltd.) series D preference ordinary share (rated 'BB+' by Fitch), which were issued on Oct. 15, 2011, in exchange for each Stoneheath Re security. Fitch has withdrawn these Stoneheath Re ratings: -- IDR at 'BBB+'; -- $350 million non-cumulative perpetual preferred at 'BB+'. STUDENT LOAN: S&P Puts 'BB' Ratings on 2 Cert. Classes on Watch --------------------------------------------------------------- Standard & Poor's Ratings Services placed its 'BB' ratings on Student Loan ABS Repackaging Trust Series 2007-1's class 5-A-l and 5-A-IO certificates on CreditWatch with negative implications. "The ratings on the class 5-A-l and 5-A-IO certificates are dependent on the lower of (i) the higher of our ratings on the underlying securities, NCF Grantor Trust 2005-1's class A-5-1 and A-5-2 certificates due March 26, 2035 ('BB (sf)/Watch Neg'), and Ambac Assurance Corp. (not rated), which provides a financial guarantee insurance policy on the underlying securities; and (ii) our long-term rating on Deutsche Bank AG (A+/Stable/A-1), which provides an interest rate hedge," S&P said. "The rating actions follow the Nov. 11, 2011, placement of our 'BB' ratings on the underlying securities on CreditWatch negative. We may take subsequent rating actions on the certificates due to changes in our ratings on the swap counterparty or the underlying securities," S&P said. T2 INCOME: S&P Raises Rating on Class E Notes From 'BB' ------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B, C, D, and E notes from T2 Income Fund CLO I Ltd., a collateralized loan obligation (CLO) transaction managed by T2 Advisors LLC, and removed the ratings from CreditWatch with positive implications. "At the same time, we affirmed our rating on the class A notes," S&P said. "The transaction is in its reinvestment period and its performance has improved since our last rating action in March 2010, when we affirmed the ratings on the notes. As per the most recent trustee report as of November 2011, the transaction has only one defaulted asset that has a par value of $3.19 million. This has declined from $8.34 million in February 2010, which we used for our March 2010 analysis. Some of the defaulted assets were disposed at values higher than our assumed recovery rates," S&P said. As a result, all the tranches experienced an increase in their overcollateralization (O/C) ratios. The trustee reported these O/C ratios in the November 2011 monthly report: The A/B O/C ratio was 145.94%, compared with a reported ratio of 140.76% in February 2010; The C O/C ratio was 131.85%, compared with a reported ratio of 127.17% in February 2010; The D O/C ratio was 126.84%, compared with a reported ratio of 122.34% in February 2010; and The E O/C ratio was 120.73%, compared with a reported ratio of 116.44% in February 2010. In addition, the transaction's credit quality has improved during this period. As per the November 2011 monthly report, the trustee disclosed that the transaction had $20.98 million in 'CCC' rated collateral; the corresponding number in February 2010 was nearly double at $39.56 million. The decline in this number points to the higher quality of the assets that currently back the notes. Standard & Poor's also notes that the trustee calculates the weighted average spread of the transaction at 5.01% as of November 2011; this has increased from 4.18% in February 2010. "Due to the improvement in the credit support, we raised our ratings on the class B, C, D, and E notes and removed them from CreditWatch. We affirmed our rating on the class A note based on its existing credit support," S&P related. 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 T2 Income Fund CLO I Ltd. Rating Class To From B AA+ (sf) AA (sf)/Watch Pos C AA- (sf) A (sf)/Watch Pos D A+ (sf) BBB (sf)/Watch Pos E BBB+ (sf) BB (sf)/Watch Pos Rating Affirmed T2 Income Fund CLO I Ltd. Class Rating A AAA (sf) TRAPEZA CDO: Moody's Raises Rating of Class A-2 Notes to 'B3' ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on these notes issued by Trapeza CDO XII, Ltd. US$250,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2042, (current balance of $231,964,018.77 ), Upgraded to Baa1; previously on July 13, 2010 Downgraded to Baa3; US$68,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2042, Upgraded to B3; previously on July 13, 2010 Downgraded to Caa1. RATINGS RATIONALE According to Moody's, the rating upgrade action taken is primarily the result of the improvement in the credit quality of the underlying portfolio. The improvement in credit quality of the portfolio is indicated by a weighted average rating factor (WARF) decrease to 1383, from 2320, as of the last rating action date. Trapeza CDO XII, Ltd, issued on March 15, 2007, is a collateralized debt obligation backed by a portfolio of bank and insurance trust preferred securities (the 'TRUP CDO'). On July 13, 2010, the date of the last rating action, Moody's downgraded two classes of notes as a result of the deterioration in the credit quality of the transaction's underlying portfolio. In Moody's opinion, the banking sector outlook continues to remain negative although there have been some recent signs of stabilization. The pace of bank failures in 2011 has declined compared to 2009 and 2010, and some of the previously deferring banks have resumed interest payment on their trust preferred securities. The portfolio of this CDO is mainly composed of trust preferred securities issued by small to medium sized U.S. community banks that are generally not publicly rated by Moody's. To evaluate their credit quality, Moody's uses RiskCalc model, an econometric model developed by Moody's KMV, to derive credit scores for these non-publicly rated bank trust preferred securities. Moody's evaluation of the credit risk for a majority of bank obligors in the pool relies on FDIC financial data received as of Q2-2011. Moody's also evaluates the sensitivity of the rated transactions to the volatility of the credit estimates, as described in Moody's Rating Implementation Guidance "Updated Approach to the Usage of Credit Estimates in Rated Transactions," October 2009. Moody's performed a number of sensitivity analyses of the results to some of the key factors driving the ratings. The sensitivity of the model results to changes in the WARF (representing a slight improvement and a slight deterioration in the credit quality of the collateral pool) was examined. If WARF is increased by 463 to 1850 from the base case of 1387, the model results in an expected loss that is one notch worse than the result of the base case for the Senior Notes. Similarly, if the WARF is decreased by 137 to 1250, expected losses are one notch better than the base case results. Moody's also took into consideration, both quantitatively and qualitatively, the possibility that some of the deferring banks in the portfolio may resume interest payments on their trust preferred securities. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. Moody's considers as well the structural protections in the transaction, the risk of triggering an Event of Default, the recent deal performance in the current market conditions, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. The principal methodology used in this rating was "Moody's Approach to Rating TRUP CDOs" published in May 2011. Due to the impact of revised and updated key assumptions referenced in these rating methodologies, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, Moody's Asset Correlation, and weighted average recovery rate, may be different from the trustee's reported numbers. The transaction's portfolio was modeled, according to Moody's rating approach, using CDOROM v.2.8 to develop the default distribution from which the Moody's Asset Correlation parameter was obtained. This parameter was then used as an input in a cash flow model using CDOEdge. CDOROM v.2.8 is available on moodys.com under Products and Solutions -- Analytical models, upon return of a signed free license agreement. US RMBS: Fitch Cuts Rating on 243 Distressed Bonds to 'Dsf' ----------------------------------------------------------- Fitch Ratings has downgraded 243 distressed bonds in 132 U.S. RMBS transactions to 'Dsf'. The downgrades indicate that the bonds have incurred a principal write-down. Of the bonds downgraded to 'Dsf', all classes were previously rated 'Csf'. All ratings below 'Bsf' indicate a default is expected. As part of this review, the Recovery Ratings of the defaulted bonds were not revised. Additionally, the review only focused on the bonds which defaulted and did not include any other bonds in the affected transactions. Of the 243 classes affected by these downgrades, 116 are Alt-A, 83 are Prime and 33 are Subprime. The remaining transaction types are other sectors. The majority of the bonds (53%) have Recovery Ratings of either 'RR5' or 'RR6' indicating that minimal recovery is expected, while 45% have Recovery Ratings of either 'RR2' or 'RR3', which indicates anywhere from 50%-90% of the outstanding balance is expected to be recovered. The spreadsheet also details Fitch's assignment of Recovery Ratings (RRs) to the transactions. The Recovery Rating scale is based upon the expected relative recovery characteristics of an obligation. For structured finance, Recovery Ratings are designed to estimate recoveries on a forward-looking basis while taking into account the time value of money. VISTA LEVERAGED: S&P Puts 'BB+' Sr. Notes Rating on Watch Neg ------------------------------------------------------------- Standard & Poor's Ratings Services placed on CreditWatch with negative implications its rating on the senior notes from Vista Leveraged Income Fund, a U.S. collateralized loan obligation (CLO) transaction managed by MJX Asset Management LLC. Based on the Nov. 1, 2011, trustee report, the transaction held $55.97 million in principal cash and $154.59 million in underlying collateral. Approximately 99% of the underlying collateral held in the deal has a maturity date after legal final maturity date and final payment date of the transaction, Jan. 26, 2012. As of the November 2011 trustee report, the outstanding balance remaining on the senior notes is $153.60 million. "We are placing our rating on the senior notes on CreditWatch with negative implications as the transaction is subject to potential market value risks due to the remaining collateral that will need to be liquidated and proceeds used to pay down the senior notes," S&P said. Standard & Poor's will continue to review whether, in its view, the rating on the notes remains consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating And CreditWatch Actions Vista Leveraged Income Fund Rating Class To From Senior notes BB+ (sf)/Watch Neg BB+ (sf) WACHOVIA CRE: Moody's Raises Cl. A-1B Notes Rating to Ba1 (sf) -------------------------------------------------------------- Moody's has upgraded the ratings of ten classes and affirmed the ratings of seven classes of Notes issued by Wachovia CRE CDO 2006- 1, Ltd. due to improvement in the underlying collateral as evidenced by the Moody's weighted average rating factor (WARF) and weighted average recovery rate (WARR). The manager has invested the cash balance available as of Moody's last review in higher quality loan collateral. The affirmations are due to 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. Moody's rating action is: Cl. A-1A, Upgraded to Aa3 (sf); previously on Apr 7, 2009 Downgraded to A2 (sf) Cl. A-1B, Upgraded to Ba1 (sf); previously on Apr 7, 2009 Downgraded to Ba3 (sf) Cl. A-2A, Affirmed at Aaa (sf); previously on Apr 7, 2009 Confirmed at Aaa (sf) Cl. A-2B, Upgraded to Baa1 (sf); previously on Apr 7, 2009 Downgraded to Baa3 (sf) Cl. B, Upgraded to Ba3 (sf); previously on Apr 7, 2009 Downgraded to B2 (sf) Cl. C, Upgraded to B1 (sf); previously on Apr 7, 2009 Downgraded to Caa1 (sf) Cl. D, Upgraded to B2 (sf); previously on Apr 7, 2009 Downgraded to Caa1 (sf) Cl. E, Upgraded to B2 (sf); previously on Apr 7, 2009 Downgraded to Caa2 (sf) Cl. F, Upgraded to B3 (sf); previously on Apr 7, 2009 Downgraded to Caa2 (sf) Cl. G, Upgraded to Caa1 (sf); previously on Apr 7, 2009 Downgraded to Caa2 (sf) Cl. H, Upgraded to Caa2 (sf); previously on Apr 7, 2009 Downgraded to Caa3 (sf) Cl. J, Affirmed at Caa3 (sf); previously on Apr 7, 2009 Downgraded to Caa3 (sf) Cl. K, Affirmed at Caa3 (sf); previously on Apr 7, 2009 Downgraded to Caa3 (sf) Cl. L, Affirmed at Caa3 (sf); previously on Apr 7, 2009 Downgraded to Caa3 (sf) Cl. M, Affirmed at Caa3 (sf); previously on Apr 7, 2009 Downgraded to Caa3 (sf) Cl. N, Affirmed at Caa3 (sf); previously on Apr 7, 2009 Downgraded to Caa3 (sf) Cl. O, Affirmed at Caa3 (sf); previously on Apr 7, 2009 Downgraded to Caa3 (sf) RATINGS RATIONALE Wachovia CRE CDO 2006-1, Ltd. is a currently static cash CRE CDO CLO transaction (the reinvestment period ended on September 26, 2011) backed by a portfolio of a-notes and whole loans (92.1% of the pool balance), commercial mortgage backed securities (CMBS) (4.8%), real estate investment trust (REIT) debt (1.5%), b-notes (0.8%) and mezzanine loans (0.8%). As of the September 26, 2011 Note Valuation report, the aggregate Note balance of the transaction, including preferred shares, has declined to $1,299.1 million from $1,300.0 million at issuance, with the paydown directed to the Class A-1A and Class A-2A Notes, as a result of amortization of the underlying collateral. There are three assets with a par balance of $32.3 million (2.4% of the current pool balance) that are considered Defaulted Securities as of the October 17, 2011 Trustee report. While there have been no losses to the trust to date, Moody's does expect low to moderate 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 3,476 compared to 5,474 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (3.3% compared to 5.8% at last review), A1-A3 (2.9% compared to 2.6% at last review), Baa1-Baa3 (3.3% compared to 2.7% at last review), Ba1-Ba3 (23.6% compared to 3.8% at last review), B1-B3 (49.7% compared to 29.2% at last review), and Caa1- C (17.2% compared to 55.9% 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 5.0 years compared to 8.0 years at last review. The modeled WAL includes current assumptions about extensions on the underlying loan collateral. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 54.4% compared to 50.6% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 18.8% compared to 14.4% 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 54.4% to 44.4% or up to 64.4% would result in average modeled rating movement on the rated tranches of 0 to 4 notches downward and 0 to 7 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 is the extent of the slowdown in growth in the current macroeconomic environment and performance in the commercial real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. The hotel and multifamily sectors are continuing to show signs of recovery through the third quarter of 2011. Improvements in the office sector continue, with fundamentals in Gateway cities the strongest. However the sector is closely tied to employment with currently weak fundamentals. The retail sector has been at a standstill following eleven consecutive quarters of rent deflation. The availability of debt capital continues to improve with monetary policy expected to remain supportive and interest rate hikes postponed. Moody's central global macroeconomic scenario reflects an overall downward revision of forecasts since last quarter, amidst ongoing fiscal consolidation efforts, household and banking sector deleveraging, persistently high unemployment levels, and weak housing markets that will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in November 2010, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. WELLS FARGO: Fitch Puts Rating on Two Note Classes at Low-B ----------------------------------------------------------- Fitch Ratings has assigned these ratings to Wells Fargo Bank, N.A. WFRBS Commercial Mortgage Trust 2011-C5 commercial mortgage pass- through certificates: -- $66,527,000 class A-1 'AAAsf'; Outlook Stable; -- $118,410,000 class A-2 'AAAsf'; Outlook Stable; -- $107,908,000 class A-3 'AAAsf'; Outlook Stable; -- $470,955,000 class A-4 'AAAsf'; Outlook Stable; -- $849,728,000* class X-A 'AAAsf'; Outlook Stable; -- $85,928,000 class A-S 'AAAsf'; Outlook Stable; -- $54,557,000 class B 'AAsf'; Outlook Stable; -- $40,918,000 class C 'Asf'; Outlook Stable; -- $25,915,000 class D 'BBB+sf'; Outlook Stable; -- $49,101,000 class E 'BBB-sf'; Outlook Stable; -- $17,731,000 class F 'BBsf'; Outlook Stable; -- $16,367,000 class G 'Bsf'; Outlook Stable. Fitch does not rate the $241,415,970 interest-only class X-B, or the $36,826,970 class H. * S&P Lowers Ratings on 387 Classes of Certificates to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 387 classes of mortgage pass-through certificates from 259 U.S. residential mortgage-backed securities (RMBS) transactions to 'D (sf)' and removed one of them from CreditWatch with negative implications. "In addition, we placed our ratings on seven other classes from two of these transactions on CreditWatch with negative implications. The transactions within this review were issued between 2001 and 2009," S&P related. The complete rating list is available for free at: http://bankrupt.com/misc/S&P_1123RMBSRatingsList.pdf "The downgrades reflect our assessment of the impact that principal write-downs had on the affected classes during recent remittance periods. Prior to the rating actions, we rated 1.03% of these classes 'B- (sf)' or higher, and we rated 98.97% 'CCC (sf)' or 'CC (sf)'. We placed our ratings on certain classes on CreditWatch negative if they were within a loan group that included a class with ratings we lowered from 'B- (sf)' or higher," S&P said. Approximately 74.42% of the defaulted classes were from transactions backed by Alternative-A (Alt-A) or subprime mortgage loan collateral. The 387 defaulted classes consist of: * 216 classes from Alt-A transactions (55.81% of all defaults); * 84 from prime jumbo transactions (21.71%); * 72 from subprime transactions (18.60%); * Six from resecuritized real estate mortgage investment conduit (re-REMIC) transactions; * Five from reperforming transactions; * One from a small balance commercial loan transaction; * One from an RMBS home equity line of credit (HELOC) transaction; * One from a closed-end second-lien transaction; and * One from a seasoned loan transaction. "We lowered our ratings on four classes to 'D (sf) from 'B- (sf)' or higher. These classes were from transactions backed by prime jumbo, RMBS closed-end second-lien, RMBS HELOC, and RMBS reperforming collateral. A combination of subordination, excess spread, and overcollateralization (where applicable) provide credit enhancement for all of the transactions in this review," S&P said. "We expect to resolve the CreditWatch placements after we complete our review of the related transactions. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs, and it will adjust its ratings as it considers appropriate in accordance with its criteria," S&P said. * S&P Lowers Ratings on 201 Classes From 87 US RMBS Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 201 classes from 87 U.S. residential mortgage-backed securities (RMBS) transactions and removed one of them from CreditWatch with negative implications. "Concurrently, we raised our rating on class IV-M-2 from one of the downgraded transactions -- Credit Suisse First Boston Mortgage Securities Corp. Series 2003-AR20. Additionally, we affirmed our ratings on 644 classes from the transactions with downgrades and three additional transactions and removed one of them from CreditWatch negative. We also withdrew our ratings on nine classes from six transactions based on our interest-only (IO) criteria," S&P said. The complete rating list is available for free at: http://bankrupt.com/misc/S&P_RMBS_111811.pdf The 90 RMBS transactions in this review are backed by Alternative- A (Alt-A) mortgage loan collateral issued from 2001 through 2003. "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. For certain classes, the downgrade incorporated our interest shortfall criteria (refer to 'Methodology for Assessing The Impact Of Interest Shortfalls On U.S. RMBS,' published Sept. 23, 2011)," S&P said. "The upgrade of class IV-M-2 from Credit Suisse First Boston Mortgage Securities Corp.'s series 2003-AR20 reflects our belief that the amount of projected credit enhancement available for this class is sufficient to cover our projected losses at this rating level," S&P related. "The affirmations reflect our belief that the amount of projected credit enhancement available for these classes is sufficient to cover our projected losses at these rating levels," S&P said. "The rating withdrawals reflect the application of our interest- only criteria," S&P said. "In order to maintain a 'B' rating on a class, we assessed whether, in our view, a class could absorb the remaining base-case loss assumptions we used in our analysis. 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," S&P stated. For additional structure-level information regarding delinquencies and cumulative losses for these transactions through the September 2011 remittance period please see: Losses and Delinquencies* Alternative Loan Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2002-23 400 5.16 0.23 14.17 13.54 2002-24 500 4.30 0.15 26.76 18.76 2002-28 460 8.45 2.16 33.18 20.30 2002-29 300 4.90 0.47 7.58 7.59 2002-37 1,050 6.66 0.30 16.09 10.97 2003-12 685 15.31 0.36 12.11 8.47 2003-13 500 6.37 0.87 23.15 18.37 2003-16 400 9.42 0.66 24.33 16.44 2003-17 300 15.65 0.22 14.87 10.42 2003-19 698 18.40 0.32 10.19 6.60 2003-22 264 16.37 0.17 10.08 5.36 2003-23 725 19.99 0.26 9.09 6.28 2003-25 364 11.71 0.05 11.45 8.19 2003-30 890 20.00 0.38 11.34 7.97 2003-31 350 17.04 0.10 14.85 10.79 2003-32 250 14.28 0.00 12.99 9.41 2003-36 263 23.28 0.72 26.01 16.79 2003-38 300 15.50 0.31 17.88 15.37 2003-45 845 28.38 0.19 10.02 6.79 2003-47 787 29.94 0.27 9.11 5.32 2003-5 315 9.80 0.16 14.09 10.52 2003-6 531 12.45 0.38 13.41 9.16 Banc of America Alternative Loan Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2003-1 325 18.57 0.38 5.19 3.51 2003-2 604 21.34 0.27 7.17 4.42 Bear Stearns Asset Backed Securities Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2002-AC1 557 2.57 0.68 27.13 21.38 2003-AC3 245 9.35 1.35 17.03 10.81 CitiGroup Mortgage Loan Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2003-UP2 310 7.83 0.38 8.78 6.77 Credit Suisse First Boston Mortgage Securities Corp. Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2001-33 1,088 0.00 0.00 0.00 0.00 2001-33 160 1.67 0.00 44.01 24.88 2002-26 72 4.69 0.75 6.35 6.35 2002-26 602 2.82 1.82 28.68 22.28 2002-26 804 1.56 0.04 2.72 2.72 2002-26 176 0.00 0.00 0.00 0.00 2002-9 564 4.07 1.02 19.59 13.82 2002-9 430 1.24 0.63 25.96 20.47 2002-AR13 334 0.72 0.05 14.90 14.90 2002-AR13 190 1.28 0.88 16.64 14.39 2002-AR2 140 0.87 0.36 39.58 33.15 2002-AR2 185 1.56 1.20 6.63 6.63 2002-AR25 218 0.87 0.81 48.52 41.83 2002-AR25 478 1.19 0.14 16.77 16.77 2002-AR31 803 1.46 0.02 5.37 5.37 2002-AR31 82 0.71 0.61 36.33 36.33 2003-AR12 176 1.61 1.46 54.35 50.35 2003-AR12 669 5.59 0.25 13.90 13.56 2003-AR15 277 1.91 0.74 24.49 22.82 2003-AR15 494 5.32 0.08 13.45 8.98 2003-AR2 238 3.68 0.53 13.19 8.40 2003-AR2 462 3.95 0.04 3.42 2.89 2003-AR20 408 8.19 0.13 14.50 14.16 2003-AR20 231 4.19 1.39 17.00 7.11 2003-AR22 464 8.58 0.40 2.49 2.49 2003-AR22 205 3.46 0.92 6.61 6.61 2003-AR5 319 2.79 0.73 22.31 22.31 2003-AR5 197 1.88 0.06 26.96 26.96 2003-AR9 291 2.73 0.09 6.86 6.86 2003-AR9 257 2.70 1.00 25.42 16.18 Deutsche Alt-A Securities Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2003-1 247 13.20 0.30 10.29 9.47 Impac CMB Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2003-2F 265 14.19 0.23 3.37 2.55 2003-4 13 5.16 0.00 0.00 0.00 2003-4 300 14.60 0.55 7.00 4.63 2003-4 270 2.17 0.21 26.91 25.31 Impac Secured Assets Corp. Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2003-1 287 13.65 0.42 4.69 3.93 2003-2 200 18.15 0.48 11.15 9.39 2003-3 400 22.75 0.36 7.44 4.87 MASTR Adjustable Rate Mortgages Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2003-3 306 9.86 0.15 19.07 15.99 MASTR Alternative Loan Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2002-1 285 3.13 0.30 17.44 8.97 2002-2 493 4.51 0.73 19.85 11.23 2003-2 578 10.97 0.39 11.08 7.69 2003-3 437 7.43 0.43 21.98 15.77 2003-4 455 12.49 0.19 12.99 8.18 2003-5 264 20.91 0.20 4.73 3.21 2003-5 796 21.32 0.64 9.09 5.76 2003-6 371 23.90 0.62 4.59 2.68 Nomura Asset Acceptance Corporation Alternative Loan Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2003-A1 210 8.24 0.61 16.45 12.66 2003-A2 231 6.85 2.19 28.41 22.59 RALI Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2002-QS10 211 2.04 0.19 6.64 6.64 2002-QS11 240 8.42 0.88 14.19 7.72 2002-QS12 372 6.80 0.59 15.16 11.45 2002-QS14 265 7.37 0.46 13.69 6.94 2002-QS17 421 9.95 0.76 12.71 8.10 2002-QS19 685 9.64 0.52 13.00 7.92 2002-QS3 507 4.38 0.52 17.75 11.57 2002-QS9 426 4.46 0.63 12.71 4.71 2003-QS1 476 11.25 0.68 13.41 6.84 2003-QS10 687 17.61 0.57 7.70 3.58 2003-QS11 636 19.43 0.84 9.27 5.48 2003-QS13 637 22.59 0.57 9.66 5.65 2003-QS15 530 24.96 0.91 7.50 4.47 2003-QS2 422 13.09 0.57 11.31 6.83 2003-QS4 452 14.40 0.58 11.85 7.36 2003-QS6 373 14.28 0.58 10.79 6.28 2003-QS7 323 18.13 0.67 7.15 4.33 Residential Asset Securitization Trust Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2002-L 217 2.96 0.02 20.82 8.10 2002-L 183 2.66 0.07 22.41 11.71 2002-M 245 2.63 0.02 6.25 0.32 2002-N 401 4.76 0.01 9.72 3.49 2002-O 400 4.14 0.14 25.61 14.22 2002-P 351 5.55 0.12 12.76 8.08 2003-A 401 6.38 0.19 14.10 4.92 2003-B 452 8.58 0.29 10.62 5.39 2003-D 350 10.09 0.39 23.52 14.95 2003-E 302 19.01 0.12 12.31 8.61 2003-H 475 10.55 0.02 2.53 1.98 2003-I 303 20.01 0.22 11.41 7.16 Structured Asset Securities Corp. Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2002-23XS 538 5.02 0.63 23.70 22.58 2003-12XS 291 4.15 1.31 20.99 14.19 2003-25XS 273 9.51 1.42 21.76 16.22 2003-3XS 312 4.84 1.24 26.05 22.14 WaMu Mortgage Backed Pass-Through Certificates Original Pool Cum. Total Severe balance factor losses delinquencies delinquencies Series (mil. $) (%) (%) (%) (%) 2001-AR5 835 1.78 0.00 19.30 15.38 *Original balance represents the original collateral balance for the structure represented. Pool factor represents the percentage of the original pool balance remaining. Cumulative losses are a percentage of the original pool balance, and total and severe delinquencies are percentages of the current pool balance. The information shows average pool factor, cumulative loss, and total and severe delinquency information by vintage for pre-2005 vintage Alt-A collateral as of the September 2011 distribution period. Pre-2003 Vintage Average Average Average Average pool factor cumulative total severe (%) losses (%) delinquencies (%) delinquencies (%) 3.37 0.52 17.02 6.82 2003 Vintage Average Average Average Average pool factor cumulative total severe (%) losses (%) delinquencies (%) delinquencies (%) 14.67 0.48 10.72 6.97 2004 Vintage Average Average Average Average pool factor cumulative total severe (%) losses (%) delinquencies (%) delinquencies (%) 17.09 1.67 19.43 9.26 Subordination, overcollateralization (prior to its depletion), and excess spread, when applicable, provide credit support for the affected transactions. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers" public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors" Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland, USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Denise Marie Varquez, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2011. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $775 for 6 months delivered via e- mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Christopher Beard at 240/629-3300. *** End of Transmission ***