/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/120226.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, February 26, 2012, Vol. 16, No. 56 Headlines ALM V: Moody's Assigns Provisional Rating to Five Classes of CLO ALT-A: Moody's Lowers Rating of Cl. I-A-1 Notes to 'Caa1' BANC OF AMERICA 2007-BMB1: S&P Cuts 2 Cert Classes Ratings to 'D' BEAR STEARNS: Expected Losses Cue Fitch to Affirm Ratings CAPITAL ONE: Moody's Confirms 'Ba1' Counterparty Instrument Rating CD 2007-CD4: Moody's Reviews 'B1' Rating of Cl. A-J Notes CDO REPACK: S&P Lowers Rating on Class E-1 Notes to 'D' CLAREGOLD TRUST: Moody's Reviews 'Ba3' Rating of Cl. F Notes CREDIT SUISSE: Expected Losses Cue Fitch to Lower Ratings CRESI FINANCE: Moody's Affirms 'Ba1' Rating of Cl. F Notes CSFB 2002-CKS4: Moody's Lowers Cl. F Notes Rating to 'Ba2' EAST LANE RE: S&P Gives 'BB' Rating on Series 2012 Class A Notes EXETER AUTOMOBILE: S&P Gives 'BB' Rating on Class D Fixed Notes FIRST INVESTORS: DBRS Puts Provisional Rating of 'BB' to Class E FIRST INVESTORS: S&P Gives 'BB' Rating on Class E Fixed Notes FORD CREDIT: Moody's Assigns Definitive Ratings to Series 2012-1 FORD CREDIT: Moody's Assigns Definitive Ratings to Series 2012-2 FORTRESS CREDIT: Moody's Moody's Upgrades Ratings of Seven Classes FOUNDERS GROVE: S&P Affirms Rating on Class D Notes at 'B+' GMACC 2002-C3: Moody's Lowers Rating of Cl. H Notes to 'Ba1' GS MORTGAGE: Fitch Affirms Rating on $25 Mil. Notes at 'BB-sf' JP MORGAN: Fitch Affirms Rating on Four Note Classes at 'Dsf' JP MORGAN: Fitch Affirms Rating on Super Senior Classes JP MORGAN: Losses Prompt Fitch to Downgrades Rating on Notes LB MULTIFAMILY: Moody's Affirms Rating of Cl. A-1 Notes at 'Caa1' LB-UBS 2006-C4: S&P Lowers Ratings on 2 Classes of Certs. to 'D' LCM X: S&P Gives 'BB' Rating on Class E Deferrable Notes MERRILL LYNCH: DBRS Confirms Class F Rating at 'BB' MERRILL LYNCH: DBRS Confirms Class G Rating at 'BB' MICHIGAN HIGHER: Moody's Reviews Ratings of Two Tranches MISSISSIPPI HIGHER: Moody's Reviews Ratings for Possible Downgrade ML-CFC COMMERCIAL: Fitch Downgrades Rating on Nine Note Classes MLFA 2007-CANADA: Moody's Reviews 'Ba1' Rating of Cl. F Notes MLFA 2007-CANADA: Moody's Reviews 'Ba1' Rating of Cl. F Notes MORGAN STANLEY: Moody's Raises Rating of Class I-A Notes to 'Ba2' MORGAN STANLEY: S&P Lowers Rating on Class L Cert. to 'D' OCTAGON INVESTMENT: Moody's Gives (P)Ba3 Rating to Class E Notes OCTAGON INVESTMENT: S&P Raises Rating on Class D Notes to 'BB' OCTAGON INVESTMENT: S&P Rates Class E Deferrable Notes 'BB-' PACIFIC SHORES: Moody's Lowers Rating of Class A Notes to 'Ba1' REALT 2007-2: Moody's Affirms Rating of Cl. F Notes at 'Ba1' RESTRUCTURED ASSET: Moody's Raises Rating of Cl. A-1B Notes to Ba1 REVE SPC: S&P Lowers Rating on Class A Notes to 'D' on Losses ROSEDALE CLO: S&P Lowers Rating on Class D Notes to 'BB+' SCORE TRUST: Moody's Reviews Rating of Asset-Backed Notes SEAWALL SPC: S&P Lowers Rating on Notes From 'B' to 'CCC-' TRAPEZA CDO: Moody's Raises Rating of Class B Notes to 'Ba1' TRAPEZA CDO: Moody's Raises Rating for Class B-1 Notes to 'Ba2' UNITED ARTISTS: Moody's Affirms 'B3' Rating of 1995-A Notes ZAIS INVESTMENT: S&P Raises Rating on Class A-4 Notes to 'BB-' ZOO HF3: Fitch Withdraws Rating on Four Mezzanine Notes * S&P Places Ratings on 16 Tranches from 15 US CDOs on Watch Pos * S&P Lowers Ratings on 59 Classes From 23 RMBS Transactions * S&P Lowers Ratings on 405 Classes of Certificates to 'D' ********* ALM V: Moody's Assigns Provisional Rating to Five Classes of CLO ---------------------------------------------------------------- Moody's Investors Service has assigned these provisional ratings to notes to be issued by ALM V, Ltd.: US$273,000,000 Class A-1 Senior Secured Floating Rate Notes due 2023, (the "Class A-1 Notes"), Assigned (P) Aaa (sf) US$37,200,000 Class A-2 Senior Secured Floating Rate Notes due 2023, (the "Class A-2 Notes"), Assigned (P) Aa2 (sf) US$37,700,000 Class B Senior Secured Deferrable Floating Rate Notes due 2023, (the "Class B Notes"), Assigned (P) A2 (sf) US$14,900,000 Class C Senior Secured Deferrable Floating Rate Notes due 2023, (the "Class C Notes"), Assigned (P) Baa2 (sf) US$25,700,000 Class D Senior Secured Deferrable Floating Rate Notes due 2023, (the "Class D Notes"), Assigned (P) Ba2 (sf). Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating (if any) may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. In addition to the notes rated by Moody's, the Issuer will issue one class of subordinated notes. In accordance with the respective priority of payments, interest and principal will be paid to the rated notes prior to the payments to the subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the rated notes in order of seniority. ALM V is a managed cash flow CLO. The issued notes will be collateralized substantially by broadly syndicated, first-lien senior secured corporate loans. At least 90% of the portfolio must be invested in senior secured loans or eligible investments, and up to 10% of the portfolio may consist of senior secured floating rate notes, second-lien loans, unsecured loans, secured bonds and high-yield bonds. The underlying collateral pool will be approximately 75% ramped up as of the closing date. Apollo Credit Management (CLO) LLC, will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity during the transaction's three- year reinvestment period, including discretionary trading. Thereafter, purchases are permitted using principal proceeds from unscheduled principal payments and sales of credit risk obligations, and are subject to certain restrictions. For modeling purposes, Moody's used these base-case assumptions: Par of $425,000,000 Diversity of 45 WARF of 2700 Weighted Average Spread of 3.50% Weighted Average Coupon of 7.0% Weighted Average Recovery Rate of 48.75% Weighted Average Life of 8 years. Together with the set of modeling assumptions above, Moody's conducted additional sensitivity analyses which were an important component in determining the ratings assigned to the notes. These sensitivity analyses include increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level relative to the base-case WARF of 2700) on the notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Moody's WARF + 15% (3150) Class A-1 Notes: 0 Class A-2 Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Moody's WARF +30% (3510) Class A-1 Notes: -1 Class A-2 Notes: -2 Class B Notes: -4 Class C Notes: -3 Class D Notes: -2. The V Score for this transaction is Medium/High. This V Score has been assigned in a manner similar to the Medium/High V score assigned for the global cash flow CLO sector, as described in the special report titled "V Scores and Parameter Sensitivities in the Global Cash Flow CLO Sector," dated July 6, 2009, available on www.moodys.com. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction, rather than individual tranches. The principal methodology used in assigning the ratings to the notes was "Moody's Approach to Rating Collateralized Loan Obligations," published in June 2011. ALT-A: Moody's Lowers Rating of Cl. I-A-1 Notes to 'Caa1' --------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 11 tranches from 4 RMBS transactions and upgraded the ratings of 4 tranches from 3 RMBS transactions backed by Alt-A loans, issued in 2005. RATINGS RATIONALE The collateral backing these transactions consists primarily of first-lien, Alt-A residential mortgage loans. The actions are a result of the recent performance review of Alt-A pools and reflect Moody's updated loss expectations on Alt-A pools issued from 2005 to 2008. The methodologies used in these ratings 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. To assess the rating implications of the updated loss levels on Alt-A RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to extended foreclosure timelines by servicers is taken into consideration when assigning ratings. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's now projects house price index to reach a bottom in early 2012, with a 3% remaining decline in 2012, and unemployment rate to start declining, albeit slowly, as the year progresses. 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 CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J6 Class 1-X and Prime Mortgage Trust 2005-4 Class II- X will have a neutral impact. CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-5 Class II-X and CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J9 Class 2-X will have a negative impact. And CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-5 Class C-X will have a positive impact. 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. Complete rating actions are: Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-5 Cl. I-A-1, Downgraded to Caa1 (sf); previously on Jul 13, 2010 Downgraded to B1 (sf) Cl. II-A-8, Upgraded to A1 (sf); previously on Jul 13, 2010 Downgraded to Ba3 (sf) Cl. II-X, Downgraded to B1 (sf); previously on Jul 13, 2010 Downgraded to Ba3 (sf) Cl. VI-A-2, Upgraded to Baa3 (sf); previously on Jul 13, 2010 Downgraded to B1 (sf) Cl. C-X, Downgraded to B2 (sf); previously on Jul 13, 2010 Downgraded to B1 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J6 Cl. 1-A-5, Downgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. 1-A-7, Downgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. 1-X, Downgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J9 Cl. 1-A-3, Upgraded to Baa1 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 2-A-1, Downgraded to B1 (sf); previously on Apr 12, 2010 Downgraded to Ba2 (sf) Cl. 2-A-2, Downgraded to B1 (sf); previously on Apr 12, 2010 Downgraded to Ba2 (sf) Cl. 2-A-3, Downgraded to C (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Cl. 2-X, Downgraded to B1 (sf); previously on Apr 12, 2010 Downgraded to Ba2 (sf) Issuer: Prime Mortgage Trust 2005-4 Cl. II-A-6, Upgraded to A2 (sf); previously on Aug 11, 2010 Upgraded to Ba2 (sf) Cl. II-X, Downgraded to B3 (sf); previously on Aug 11, 2010 Downgraded to Ba2 (sf) BANC OF AMERICA 2007-BMB1: S&P Cuts 2 Cert Classes Ratings to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' from 'CCC- (sf)' on the class L and RDI-1 commercial mortgage pass-through certificates from Banc of America Large Loan Trust 2007-BMB1, a U.S. commercial mortgage-backed securities (CMBS) transaction. "We downgraded the class L and RDI-1 certificates following principal losses due to the liquidation of the Reader's Digest loan, as detailed in the Feb. 15, 2012, trustee remittance report," S&P said. "We attributed the principal losses on classes L and RDI-1 to the liquidation of the Reader's Digest loan, as reported in the February 2012 trustee remittance report. This loan was with the special servicer and liquidated at a loss severity of 72.9% (totaling $13.8 million in principal losses) on the trust balance. The Reader's Digest loan had a pooled trust balance of $16.0 million and a nonpooled trust balance of $2.9 million that provided 100% of the cash flow to the class RDI-1 raked certificate. Consequently, class L sustained a 28.0% loss to its $38.8 million original principal balance, while class RDI-1 lost 100% of its $2.9 million original principal balance," 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/1111441.pdf BEAR STEARNS: Expected Losses Cue Fitch to Affirm Ratings --------------------------------------------------------- Fitch Ratings has affirmed six and downgraded eight classes of Bear Stearns Commercial Mortgage Securities Trust 2004-TOP16, commercial mortgage pass-through certificates. The downgrades are due to an increase in Fitch expected losses and the recent transfer of four loans to special servicing. Fitch modeled losses of 2.89% of the outstanding pool. The expected losses of the original pool are at 2.15%, which includes 0.65% to date. Current cumulative interest shortfalls totaling $384,448 are affecting classes O and P. As of the February 2012 distribution date, the pool's certificate balance has paid down 25% to $859.3 million from $1.156 billion. Fitch identified 19 (22.4%) Fitch Loans of Concern, of which four (1.7%) are specially serviced with a status of 60 or 90 days delinquent. In addition, there are 10 (11.3%) defeased loans within the pool, of which three (7.4%) are within the top 15. The largest contributor to expected losses is a loan (0.86%) secured by a 51,311 square feet (sf) unanchored retail center in Duluth, GA. The loan transferred to special servicing in October 2011 due to monetary default due to declining performance at the property. The last reported occupancy and debt service coverage ratio (DSCR) on the property was 67.5% and 0.47 times (x), respectively, as of March 2011. The special servicer is negotiating with the borrower while pursuing all right and remedies to protect the trust. The second largest contributor to expected losses is collateralized by a 73,547 sf anchored mixed-use retail and office center located in Foster City, CA. The loan was special serviced until April 2011 when it was modified and returned to the master servicer as a corrected mortgage loan. The modification included a 12-month extension to the new maturity of July 2015 and interest-only payments for the remaining term of the loan. The master servicer reports that as of third-quarter 2011 the property's occupancy and DSCR was 76.9% and 0.92x respectively. The third largest contributor to Fitch expected losses is a loan (0.41%) secured by a 43,927 sf suburban office building located in Fort Washington, PA. The most recent occupancy reported by the master servicer is 56.4% as of June 2011, which is down from 64% as of year-end 2010. In addition, the largest tenant, Temple University (35%), is considering downsizing their current space. The master servicer also reports that the occupancy has caused a decrease in DSCR to 0.56x for the same period. Fitch downgrades these classes, revises Outlooks and assigns Recovery Estimates (REs): -- $15.8 million class E to 'BBBsf' from 'A-sf'; Outlook to Stable from Negative; -- $10.1 million class F to 'BBsf' from 'BBB+sf'; Outlook to Stable from Negative; -- $11.5 million class G to 'BBsf' from 'BBB-sf'; Outlook Negative; -- $10.1 million class H to 'CCCsf' from 'Bsf'; RE 55%; -- $2.8 million class J to 'CCCsf' from 'Bsf'; RE 0%; -- $5.7 million class L to 'CCsf' from 'CCCsf'; RE 0%; -- $1.4 million class M to 'Csf' from 'CCCsf'; RE 0%; -- $1.4 million class N to 'Csf' from 'CCsf'; RE 0%. Fitch affirms these classes and assigns Recovery Estimates (REs): -- $70.7 million class A-5 at 'AAAsf'; Outlook Stable; -- $676 million class A-6 at 'AAAsf'; Outlook Stable; -- Interest only class X-2 at 'AAAsf'; Outlook Stable; -- $20.2 million class B at 'AA+sf'; Outlook Stable; -- $13 million class C at 'AAsf'; Outlook Stable; -- $13 million class D at 'Asf'; Outlook Stable; -- $4.3 million class K at 'CCCsf'; RE 0%. Fitch does not rate class P. Classes A-1, A-2, A-3 and A-4 have paid in full. Class O will remain at 'D' with a Recovery Estimate of 0% due to incurred losses. CAPITAL ONE: Moody's Confirms 'Ba1' Counterparty Instrument Rating ------------------------------------------------------------------ Moody's Investors Service confirmed the ratings on 32 classes of asset-backed securities issued out of the Capital One Multi-asset Execution Trust. The securities are backed by a $40 billion revolving pool of consumer and small business credit card receivables originated by Capital One Bank (USA), N.A. Moody's also confirmed the Ba1 (sf) Counterparty Instrument Rating to the Swap Agreement relating to credit card backed notes issued by COMET Class C(2004-3). The ratings of the securities and the Counterparty Rating were placed under review for possible downgrade on June 20, 2011. RATINGS RATIONALE This action follows Moody's announcement on February 17 that it has confirmed the long-term unsecured ratings and unsupported Bank Financial Strength Rating (BSFR) of Capital One Bank (A3 and C respectively). Capital One Bank is the sponsor bank and seller/servicer of the Trust. The review of Capital One Bank's ratings motivated the review of the ratings of the securities issued by the Trust and of the Counterparty Rating. The financial strength of the seller/servicer is an important factor in Moody's determination of card ABS ratings, as an issuer's ongoing willingness and ability to maintain card utility (i.e. the purchase rate) is a significant driver of trust collateral performance in an early amortization scenario. A Capital One Bank downgrade would have implied a higher probability of default of the sponsor bank and would have resulted in a weaker credit profile for the credit card trust, holding other variables constant. The current expected range for the gross charge-off rate is 4.5%- 6.5%, for the principal payment rate is 19%-22%, and for the yield is 21%-24%. These performance expectations indicate our forward-looking view of the likely range of performance over the medium term. From time to time, we may, if warranted, change these expectations. Performance that falls outside a given range may indicate that the collateral's credit quality is stronger or weaker than anticipated when the related securities were rated. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment continues to remain at elevated levels. Overall, we expect a sluggish recovery in the U.S. economy, with elevated fiscal deficits and persistent, high unemployment levels. The principal methodology used in rating these transactions was "Moody's Approach To Rating Credit Card Receivables-Backed Securities", published in April 2007. The complete rating actions are: Issuer: Capital One Multi-asset Execution Trust $500,000,000 Class A (2004-1) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $500,000,000 Class A (2004-4) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $750,000,000 Class A (2005-1) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $455,000,000 Class A (2005-6) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $500,000,000 Class A (2005-7) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $325,000,000 Class A (2005-9) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $500,000,000 Class A (2005-10) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $500,000,000 Class A (2006-1) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $400,000,000 Class A (2006-3) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $500,000,000 Class A (2006-5) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $300,000,000 Class A (2006-8) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $750,000,000 Class A (2006-11) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $500,000,000 Class A (2006-12) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $625,000,000 Class A (2007-1) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $700,000,000 Class A (2007-2) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $750,000,000 Class A (2007-4) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $600,000,000 Class A (2007-5) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $1,000,000,000 Class A (2007-7) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $500,000,000 Class A (2007-8) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $200,000,000 Class A (2007-A) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $600,000,000 Class A (2008-3) confirmed at Aaa (sf); previously on June 20, 2011 placed under review for possible downgrade $150,000,000 Class B (2004-3) confirmed at A2 (sf); previously on June 20, 2011 placed under review for possible downgrade $184,605,000 Class B (2004-7) confirmed at A2 (sf); previously on June 20, 2011 placed under review for possible downgrade $175,000,000 Class B (2005-1) confirmed at A2 (sf); previously on June 20, 2011 placed under review for possible downgrade $100,000,000 Class B (2005-3) confirmed at A2 (sf); previously on June 20, 2011 placed under review for possible downgrade $175,000,000 Class B (2006-1) confirmed at A2 (sf); previously on June 20, 2011 placed under review for possible downgrade $350,000,000 Class B (2007-1) confirmed at A2 (sf); previously on June 20, 2011 placed under review for possible downgrade $250,000,000 Class C (2003-3) confirmed at Ba1 (sf); previously on June 20, 2011 placed under review for possible downgrade $100,000,000 Class C (2004-2) confirmed at Ba1 (sf); previously on June 20, 2011 placed under review for possible downgrade $367,500,000 Class C (2004-3) confirmed at Ba1 (sf); previously on June 20, 2011 placed under review for possible downgrade $300,000,000 Class C (2007-1) confirmed at Ba1 (sf); previously on June 20, 2011 placed under review for possible downgrade $350,000,000 Class C (2007-4) confirmed at Ba1 (sf); previously on June 20, 2011 placed under review for possible downgrade Counterparty Instrument Rating to the Swap Agreement relating to credit card backed notes issued by COMET Class C(2004-3) confirmed at Ba1 (sf); previously on June 20, 2011 placed under review for possible downgrade CD 2007-CD4: Moody's Reviews 'B1' Rating of Cl. A-J Notes --------------------------------------------------------- Moody's Investors Service placed eight classes of 2007-CD4 Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2007-CD4 on review for possible downgrade: Cl. A-4, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Feb 24, 2011 Confirmed at Aaa (sf) Cl. A-1A, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Feb 24, 2011 Confirmed at Aaa (sf) Cl. A-MFX, A1 (sf) Placed Under Review for Possible Downgrade; previously on Feb 24, 2011 Downgraded to A1 (sf) Cl. A-MFL, A1 (sf) Placed Under Review for Possible Downgrade; previously on Feb 24, 2011 Downgraded to A1 (sf) Cl. A-J, B1 (sf) Placed Under Review for Possible Downgrade; previously on Feb 24, 2011 Downgraded to B1 (sf) Cl. B, B3 (sf) Placed Under Review for Possible Downgrade; previously on Feb 24, 2011 Downgraded to B3 (sf) Cl. C, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb 24, 2011 Downgraded to Caa2 (sf) Cl. D, Ca (sf) Placed Under Review for Possible Downgrade; previously on Feb 24, 2011 Downgraded to Ca (sf) RATINGS RATIONALE The classes were placed on review due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated February 24, 2011. The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. DEAL AND PERFORMANCE SUMMARY As of the January 13, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 5% to $6.2 billion from $6.6 billion at securitization. The Certificates are collateralized by 360 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans representing 32% of the pool. Ninety loans, representing 25% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC; formerly the Commercial Mortgage Securities Association) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eight loans have been liquidated from the pool, resulting in an aggregate realized loss of $28.7 million (87.4% loss severity overall). Forty-eight loans, representing 20% of the pool, are currently in special servicing. The specially serviced loans are secured by a mix of multifamily, retail, hotel and industrial property types. The master servicer has recognized appraisal reductions totaling $624 million for 40 of the specially serviced loans. Moody's review will focus on potential losses from specially serviced and troubled loans and the performance of the overall pool. CDO REPACK: S&P Lowers Rating on Class E-1 Notes to 'D' ------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class E-1 notes issued by CDO Repack SPC Ltd., a retranching of the preference shares issued by Orion 2006-1 Ltd., to 'D (sf)' from 'CC (sf)'. "We lowered our rating on the class E-1 notes to 'CC (sf)' on Dec. 1, 2008," S&P said. "We lowered the rating on CDO Repack SPC's E-1 notes to 'D (sf)' based on our view of the minimal realistic prospects of repayment due to the ongoing deterioration of the residential mortgage- backed securities (RMBS) assets held by Orion 2006-1," 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 Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com CLAREGOLD TRUST: Moody's Reviews 'Ba3' Rating of Cl. F Notes ------------------------------------------------------------ Moody's Investors Service affirmed the ratings of three classes and placed ten classes of ClareGold Trust Commercial Mortgage Pass-Through Certificates, Series 2007-2 on review for possible downgrade: Cl. A-1, Affirmed at Aaa (sf); previously on Jul 26, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Jul 26, 2007 Definitive Rating Assigned Aaa (sf) Cl. B, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 26, 2007 Definitive Rating Assigned Aa2 (sf) Cl. C, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 26, 2007 Definitive Rating Assigned A2 (sf) Cl. D, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 26, 2007 Definitive Rating Assigned Baa2 (sf) Cl. E, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 26, 2007 Definitive Rating Assigned Baa3 (sf) Cl. F, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to Ba3 (sf) Cl. G, B2 (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to B2 (sf) Cl. H, B3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to B3 (sf) Cl. J, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to Caa2 (sf) Cl. K, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to Caa2 (sf) Cl. L, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to Caa3 (sf) Cl. X, Affirmed at Aaa (sf); previously on Jul 26, 2007 Definitive Rating Assigned Aaa (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Ten classes of ClareGold Trust 2007-2 are placed on review for possible downgrade due to the uncertainty involving the upcoming May 2012 maturity of the pool's largest loan, the Holiday Portfolio ($71.58 million -- 17.8% of the pool). The loan is secured by four cross-collateralized and cross-defaulted senior living properties located in different provinces in Canada. Property performance has declined due to overall property occupancy decreasing from 89% at last review to 81% as of December 2010. The loan is full recourse to sponsor Holiday Canada ULC. However, the borrower has not indicated its intention to payoff the loan at maturity. Due to the uncertainty regarding loan payoff upon maturity, Moody's is placing Classes B through L on review for possible downgrade. 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 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 in recovery and improvements in the office sector continue, with fundamentals in Gateway cities outperforming their suburban counterparts. However, office demand is closely tied to employment, where fundamentals remain weak, so significant improvement may be delayed. Performance in the retail sector has been mixed with on-going rent deflation and leasing challenges. Across all property sectors, 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 Fusion U.S. CMBS Transactions" published in April 2005, "Moody's Approach to Rating Canadian CMBS" published in May 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. 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 ClareGold Trust Commercial Mortgage Pass-Through Certificates, Series 2007-2 Class X may be 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. 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 underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 19 compared to 16 at Moody's prior full review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.2 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated February 24, 2011. DEAL PERFORMANCE As of the January 16, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 9% to $401.71 million from $475.38 million at securitization. The Certificates are collateralized by 51 mortgage loans ranging in size from less than 1% to 18% of the pool, with the top ten loans representing 60% of the pool. Three loans, representing 16% of the pool, have investment grade credit estimates. Eleven loans, representing 8% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (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 and there have been no realized losses to the pool to date. Moody's has assumed a high default probability for two poorly performing loans representing 3% of the pool and has estimated a $1.66 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 87% and 11% of the performing pool, respectively. Excluding troubled loans, Moody's weighted average LTV is 90% compared to 93% at last full review. Moody's net cash flow reflects a weighted average haircut of 10% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 8.9%. Excluding troubled loans, Moody's actual and stressed DSCRs are 1.43X and 1.13X, respectively, compared to 1.41X and 1.12X 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. CREDIT SUISSE: Expected Losses Cue Fitch to Lower Ratings --------------------------------------------------------- Fitch Ratings has downgraded nine classes and affirmed 12 classes of Credit Suisse Commercial Mortgage Trust, series 2006-C4. The downgrades are due to an increase in Fitch expected losses attributed to performance declines among the top 15 loans and updated valuations of specially serviced loans. Fitch modeled losses of 16.1% of the remaining pool; expected losses on the original pool balance total 17.5%, including losses already incurred. The pool has experienced $113.7 million (2.7% of the original pool balance) in realized losses to date. Fitch has designated 121 loans (61.3%) as Fitch Loans of Concern, which includes 40 specially serviced assets (16%). Fitch expects classes G through Q may be fully depleted from losses associated with the specially serviced assets. As of the January 2012 distribution date, the pool's aggregate principal balance has been reduced by 7.9% to $3.89 billion from $4.22 billion at issuance. Two loans (0.1% of the pool) have defeased since issuance. Interest shortfalls are currently affecting classes C through S. The largest contributor to expected losses is the 11 Madison Avenue loan (20.7% of the pool), which is secured by a 2.2 million square foot, 29-story office tower located in the Madison Square Park area of Manhattan, NY. The property serves as the U.S. headquarters for Credit Suisse (rated 'A' by Fitch), which leases 82% of the space. While occupancy remains stable at the property, cash flow appreciation will be constrained by lower asking rates in the market, relative to the rates considered at origination. The loan was underwritten on an issuer basis to relatively tight margins, and although the property continues to perform, Fitch expects the loan may default at maturity as pro forma cash flow that was considered at issuance will be difficult to achieve. The next largest contributor to expected losses is the specially- serviced Babcock & Brown FX 3 - Sonterra loan (5%), which is secured by 14 multifamily properties totaling 3,720 units. The properties are located in Nevada, Texas, Maryland, Florida and South Carolina. The loan transferred to special servicing in February 2009 due to imminent default resulting from deteriorating market conditions. In addition, the servicer indicated that property inspections have revealed deferred maintenance at some of the locations. The loan, which is in foreclosure, had a receiver in August 2011, and will likely be marketed for sale. Fitch expects losses upon liquidation of the assets. Fitch downgrades these classes and assigns or revises Rating Outlooks and Recovery Estimates (REs): -- $427.3 million class A-M to 'Asf' from 'AAsf', Outlook to Negative from Stable; -- $341.8 million class A-J to 'CCCsf' from 'B-sf', RE 35%; -- $26.7 million class B to 'CCCsf' from 'B-sf', RE 0%; -- $64.1 million class C to 'CCCsf' from 'B-sf', RE 0%; -- $37.4 million class D to 'CCsf' from 'CCCsf', RE 0%; -- $21.4 million class E to 'CCsf' from 'CCCsf', RE 0%; -- $48.1 million class F to 'CCsf' from 'CCCsf', RE 0%; -- $42.7 million class G to 'Csf' from 'CCsf', RE 0%; -- $48.1 million class H to 'Csf' from 'CCsf', RE 0%. Fitch affirms these classes: -- $97 million class A-AB at 'AAAsf', Outlook Stable; -- $1.8 billion class A-3 at 'AAAsf', Outlook Stable; -- $150 million class A-4FL at 'AAAsf', Outlook Stable; -- $662 million class A-1-A at 'AAAsf', Outlook Stable; -- $48.1 million class J at 'Csf', RE 0%; -- $53.4 million class K at 'Csf', RE 0%; -- $9.1 million class L at 'Dsf', RE 0%; -- $0 class M at 'Dsf', RE 0%; -- $0 class N at 'Dsf', RE 0%; -- $0 class O at 'Dsf', RE 0%; -- $0 class P at 'Dsf', RE 0%; -- $0 class Q at 'Dsf', RE 0%. The class A-1 and A-2 certificates have paid in full. Fitch does not rate the class S certificates. Fitch previously withdrew the ratings on the interest-only class A-X, A-SP and A-Y certificates. CRESI FINANCE: Moody's Affirms 'Ba1' Rating of Cl. F Notes ---------------------------------------------------------- Moody's Investors Service has affirmed seven classes of Notes issued by CRESI Finance Limited Partnership 2006-A (CRESI), and affirmed two classes of Notes issued by CRESIX Finance Limited Credit Linked Notes, Series 2006-A (CRESIX). 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 (CRE CDO Synthetic) transactions. Moody's rating action is: Issuer: CRESI Finance Limited Partnership 2006-A Cl. A, Affirmed at Aaa (sf); previously on Jul 27, 2006 Assigned Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Feb 23, 2011 Upgraded to Aaa (sf) Cl. C, Affirmed at Aa1 (sf); previously on Feb 23, 2011 Upgraded to Aa1 (sf) Cl. D, Affirmed at Aa3 (sf); previously on Feb 23, 2011 Upgraded to Aa3 (sf) Cl. E, Affirmed at A2 (sf); previously on Feb 23, 2011 Upgraded to A2 (sf) Cl. F, Affirmed at Ba1 (sf); previously on Feb 23, 2011 Upgraded to Ba1 (sf) Cl. G, Affirmed at Caa1 (sf); previously on Oct 29, 2009 Downgraded to Caa1 (sf) Issuer: CRESIX Finance Limited Credit Linked Notes, Series 2006-A Cl. F, Affirmed at Ba1 (sf); previously on Feb 23, 2011 Upgraded to Ba1 (sf) Cl. G, Affirmed at Caa1 (sf); previously on Oct 29, 2009 Downgraded to Caa1 (sf) RATINGS RATIONALE CRESI and CRESIX are static synthetic commercial real estate collateralized debt obligations, referencing a portfolio of floating rate commercial mortgage whole loans. The credit-linked notes of CRESIX are structured to synthetically replicate the aggregate cash flows of the Class F and Class G certificates issued by CRESI (the Transaction). As of the January 25, 2012 distribution date, the Transaction's aggregate reference obligation balance has decreased, through pay downs and regular amortization, by approximately 81% to $222 million from $1.19 billion at securitization. The reference obligations consist of 15 mortgage loans ranging in size from less than 2% to 14.3% of the current pool balance, with the top five loans representing 61.2% of the reference obligations. Moody's has limited access to updated information on the underlying assets. Moody's average weighted loan to value (LTV) ratio for the reference obligations, excluding specially serviced loans, watchlisted loans, and refinance risk loans, is 56% compared to 61% at last review and 82% at securitization. Moody's stressed Debt Service Coverage Ratio (DSCR) for the reference obligations is 1.63X compared to 1.69X at last review. Moody's stressed DSCR is based on Moody's net cash flow (NCF) and a 9.25% stressed rate applied to the loan balance. The underlying reference obligations have incurred a $6.4 million loss since securitization due to the liquidation of one loan in November 2011. The original principal balance of this loan was $9.8 million. There are currently no loans on the watchlist, real estate owned (REO) or in special servicing. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated reference obligations. For non-CUSIP collateral, Moody's is eliminating the additional default probability stress applied to corporate debt in CDOROM(R) v2.8 as Moody's expects the underlying non-CUSIP collateral to experience lower default rates and higher recovery compared to corporate debt due to the nature of the secured real estate collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 1,198 compared to 1,665 at last review. The distribution of credit estimates is: Aaa-Aa3 (38.0% compared to 36.4% at last review), A1-A3 (12.1% compared to 15.8% at last review), Baa1-Baa3 (7.4% compared to 5.0% at last review), Ba1-Ba3 (21.8% compared to 8.7% at last review), B1-B3 (3.9% compared to 14.9% at last review), and Caa1-C (16.8% compared to 19.2% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 2.3 years compared to 1.6 years at last review. The higher modeled WAL is due to a 2-year extension assumed for loans maturing within 12 months. WARR is the par-weighted average of the mean recovery values for the reference obligations in the pool. Moody's modeled a variable WARR of 46.9% compared to 52.2% at last review. The lower recovery rate is due to the property type distribution of remaining reference assets. 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). For non-CUSIP collateral, Moody's is reducing the maximum over concentration stress applied to correlation factors due to the diversity of tenants, property types, and geographic locations inherent in the pooled transactions. Moody's modeled a MAC of 20.8% compared to 11.7% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated Notes are particularly sensitive to rating changes within the reference pool. Holding all other key parameters static, changing the current credit estimates of the reference obligations by one notch downward or by one notch upward affects the model results by approximately 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. On February 15, 2012, Moody's placed the Counterparty's short-term and long-term ratings of Prime-1 and A2 (sf), respectively, on review for possible downgrade. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and 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 in recovery and improvements in the office sector continue, with fundamentals in Gateway cities outperforming their suburban counterparts. However, office demand is closely tied to employment, where fundamentals remain weak, so significant improvement may be delayed. Performance in the retail sector has been mixed with on-going rent deflation and leasing challenges. Across all property sectors, 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. CSFB 2002-CKS4: Moody's Lowers Cl. F Notes Rating to 'Ba2' ---------------------------------------------------------- Moody's Investors Service downgraded the ratings of four classes and affirmed seven classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2002-CKS4: Cl. A-2, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. D, Affirmed at Aa2 (sf); previously on Sep 22, 2010 Downgraded to Aa2 (sf) Cl. E, Downgraded to Baa1 (sf); previously on Sep 22, 2010 Downgraded to A2 (sf) Cl. F, Downgraded to Ba2 (sf); previously on Sep 22, 2010 Downgraded to Baa3 (sf) Cl. G, Downgraded to Caa1 (sf); previously on Sep 22, 2010 Downgraded to B1 (sf) Cl. H, Downgraded to C (sf); previously on Sep 22, 2010 Downgraded to Caa3 (sf) Cl. J, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) Cl. APM, Affirmed at A1 (sf); previously on Jun 26, 2008 Upgraded to A1 (sf) Cl. A-X, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain the existing ratings. The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans and interest shortfalls. Moody's rating action reflects a cumulative base expected loss of 5.0% of the current balance compared to 7.5% at last review. 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 methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. 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 Credit Suisse First Boston Mortgage Securities Series 2002-CKS4 Class A-X may be 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. 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 underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar underlying ratings in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 18 compared to 27 at last review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.2 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated April 22, 2011. DEAL PERFORMANCE As of the January 18, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 40% to $744.8 million from $1.2 billion at securitization. The Certificates are collateralized by 95 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten non- defeased loans representing 45% of the pool. Twenty-four loans, representing 23% of the pool, have defeased and are collateralized with U.S. Government securities. There is one loan with an investment grade credit estimate. One loan, representing 12% of the pool, previously had an investment grade credit estimate but due to a decline in performance it is now analyzed as part of the conduit model. Twenty-two loans, representing 14% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-two loans have been liquidated from the pool, resulting in a realized loss of $70.3 million (47% loss severity overall). Currently 11 loans, representing 9% of the pool, are in special servicing. The largest specially serviced loan is the Forum at Gateways Loan ($19.9 million -- 2.7% of the pool), which is secured by a 258,300 square foot (SF) retail property located in Sterling Heights, Michigan. The loan was transferred to special servicing in July 2010 for imminent default and is currently real estate owned (REO). The master servicer recognized a $11.4 million appraisal reduction for this loan in January 2012. The remaining ten specially serviced loans are secured by a mix of asset types. The servicer has recognized an aggregate $22.6 million appraisal reduction for seven of the specially serviced loans. Moody's has estimated a $28.9 million loss (43% loss severity on average) for the specially serviced loans. Moody's has assumed a high default probability for three poorly performing loans representing less than 1% of the pool and has estimated an aggregate $647,273 loss (15% expected loss based on a 40% probability default) from these troubled loans. Based on the most recent remittance statement, Classes H through Q have experienced cumulative interest shortfalls totaling $3.3 million compared to $2.7 million at last review. 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 entitlement reductions (ASERs), advanced interest claw backs on loans determined to be non-recoverable and extraordinary trust expenses Moody's was provided with full-year 2010 and partial year 2011 operating results for 97% and 95% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 81% compared to 84% at last review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.3%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.29X and 1.27X, respectively, compared to 1.28X and 1.28X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit estimate is the Arbor Place Mall Loan ($60.4 million -- 8.2% of the pool), which is the senior pooled component of a $64.4 million mortgage loan. The $4.0 million B- Note is included in the trust and is the security for the non- pooled Class APM. The loan is secured by a 1.0 million SF regional mall located in Douglasville, Georgia, approximately 22 miles west of Atlanta. The mall is anchored by Dillard's, Belk, Macy's, and J.C. Penney. As of October 2011, the inline space was nearly 100% leased, essentially the same as at last review. The loan amortizes on a 25-year schedule and has amortized by approximately 21% since securitization. Moody's credit estimate and stressed DSCR of the senior component are Aa3 and 2.02X, respectively, compared to Aa3 and 1.94X at last review. The credit estimate of the B-Note is A1. The loan that previously had a credit estimate is the Crystal Mall Loan ($90.3 million -- 12.2% of the pool), which is secured by a 793,747 SF regional mall located in Waterford, Connecticut. The center is anchored by Sears, Macy's and J.C. Penney. The in-line space was 57% leased as of September 2011 compared to 79% at last review. Property performance has decreased due to lower occupancy and reduced base rent. Moody's LTV and stressed DSCR are 75% and 1.26X. The top three performing conduit loans represent 13% of the pool balance. The largest loan is SummitWoods Crossing Loan ($42.5 million -- 5.7% of the pool), which is secured by a 719,600 SF retail center located in Lee's Summit, Missouri. The property was 99% leased as of October 2011, essentially the same as last review. Major tenants include Target, Lowe's Home Centers and Kohl's. Property performance has been stable. Moody's LTV and stressed DSCR are 96% and 1.04X, respectively, compared to 96% and 1.04X at last review. The second largest loan is the 345 Old Hickory Mall Loan ($28.5 million -- 3.8% of the pool), which is secured by a 555,000 SF regional mall located in Jackson, Tennessee. The anchor tenants are Macy's, Sears, Belk and J.C. Penney. The in-line shops were 98% leased as of September 2011, compared to 96% at last review. The property's performance has improved due to an increase in occupancy. The loan is structured with a 25-year amortization schedule and has amortized 21% since securitization. Moody's LTV and stressed DSCR are 68% and 1.32X, respectively, compared to 74% and 1.34X at last review. The third largest loan is the Creeks at Virginia Center Loan ($24.3 million -- 3.3% of the pool), which is secured by a 265,100 SF retail power center located in Glen Allen, Virginia. The property was 85% leased as of September 2011, essentially the same as at last review. Property performance has been stable. The Moody's LTV and stressed DSCR are 102% and 1.02X, respectively, compared to 110% and 0.93X at last review. EAST LANE RE: S&P Gives 'BB' Rating on Series 2012 Class A Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services assigned its 'BB(sf)' and 'BB- (sf)' preliminary ratings to the Series 2012 Class A and Class B notes to be issued by East Lane Re V Ltd. (East Lane V). The notes cover losses from hurricanes and severe thunderstorm on a per- occurrence basis in the covered area. "Our views of the transaction's credit risk reflect the counterparty credit ratings on all of the parties involved that can affect the timely payment of interest and the ultimate payment of principal on the notes. Our preliminary ratings on the notes take into account the rating on Chubb Corp.'s operating insurance subsidiaries ('AA') which will make quarterly premium payments to East Lane V; the implied rating on the catastrophe risk of 'BB' for the Class A notes, and 'BB-' for the Class B notes; and the rating on the assets in the reinsurance trust accounts ('AAAm'). The preliminary ratings reflect the lowest of these three ratings, which for each class of notes is currently the implied rating on the catastrophe risk," S&P said. "This is the fifth cat bond Chubb has sponsored, two of which are outstanding. East Lane Re III Ltd. Series 2009-1 Class A notes, which cover losses from hurricanes, will mature on March 16, 2012, and East Lane Re IV Ltd. Series 2011-1 Class A and B notes, which mature on March 14, 2014, and March 15, 2015 cover losses from hurricanes, earthquakes, thunderstorms, and winter storms," S&P said. East Lane Re V Ltd., a Cayman Islands-exempted company licensed as a Class B insurer, is seeking to raise $[125,000,000] to collateralize two reinsurance agreements with Chubb. Ratings List Preliminary Ratings Assigned East Lane Re V Ltd. Class A Notes BB(sf)(prelim) Class B Notes BB-(sf)(prelim) EXETER AUTOMOBILE: S&P Gives 'BB' Rating on Class D Fixed Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Exeter Automobile Receivables Trust 2012-1's $200 automobile receivables-backed notes series 2012-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Feb. 21, 2012. 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 availability of approximately 44%, 37%, 30%, and 22% of credit support for the class A, B, C, and D notes based on stress cash flow scenarios (including excess spread), which provide coverage of more than 2.8x, 2.3x, 1.75x, and 1.4x our 14.00%-15.00% expected cumulative net loss," S&P said. * "The timely interest and principal payments made to the preliminary rated notes by the assumed legal final maturity dates under stress cash flow modeling scenarios that we believe are appropriate for the assigned preliminary ratings," S&P said. * "Our expectation that under a moderate ('BBB') stress scenario, all else being equal, our ratings on all classes of notes would remain within one rating category of our preliminary 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings during the first year. These potential rating movements are consistent with our credit stability criteria, which outlines the outer bound of credit deterioration equal to a one-category downgrade within the first year for 'AA' rated securities and a two-category downgrade within the first year for 'A' through 'BB' rated securities under the moderate stress conditions," S&P said. * The servicer's experienced management team with an average of over 16 years of experience in the auto finance industry. * "Our analysis of three-and-a-half years of static pool data on Exeter Finance Corp.'s lending programs," S&P said. * "The fact that the company is not profitable yet, has a relatively short performance history (3.5 years) compared to its peer companies, and that the company, itself, doesn't have a securitization track record. We also took into account the company's rapid growth plan," S&P said. * The transaction's payment/credit enhancement and legal structures. 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/1111441.pdf Preliminary Ratings Assigned Exeter Automobile Receivables Trust 2012-1 Class Rating Type Interest Amount rate (mil. $)(i) A AA (sf) Senior Fixed 142.00 B A (sf) Subordinate Fixed 23.50 C BBB (sf) Subordinate Fixed 17.50 D BB (sf) Subordinate Fixed 17.00 (i) The interest rates and actual sizes of these tranches will be determined on the pricing date. FIRST INVESTORS: DBRS Puts Provisional Rating of 'BB' to Class E ---------------------------------------------------------------- DBRS has assigned provisional ratings to these classes issued by First Investors Auto Owner Trust 2012-1: -- Series 2012-1 Notes, Class A-1 rated R-1 (high) (sf) -- Series 2012-1 Notes, Class A-2 rated AAA (sf) -- Series 2012-1 Notes, Class B rated AA (sf) -- Series 2012-1 Notes, Class C rated A (sf) -- Series 2012-1 Notes, Class D rated BBB (sf) -- Series 2012-1 Notes, Class E rated BB (sf) FIRST INVESTORS: S&P Gives 'BB' Rating on Class E Fixed Notes ------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to First Investors Auto Owner Trust 2012-1's $150 million automobile receivables-backed notes. The note issuance is an asset-backed securitization backed by subprime auto loan receivables. The preliminary rating is based on information as of Feb. 17, 2012. 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 availability of approximately 34.04%, 29.17%, 22.50%, 16.59%, and 14.87% credit support for the class A, B, C, D, and E notes based on stressed cash flow scenarios (including excess spread). These credit support levels provide more than 3.75x, 3.25x, 2.50x, 1.90x, and 1.55x coverage of our 8.00%-8.50% expected cumulative net loss range for the class A, B, C, D, and E notes," S&P said. * The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate to the preliminary ratings. * "Our expectation that under a moderate, or 'BBB', stress scenario, the ratings on the class A and B notes would not decline by more than one rating category, which is consistent with our rating stability criteria, and the ratings on the class C and D notes would remain within the two-rating category outlined in our rating stability criteria," S&P said. * The collateral characteristics of the pool being securitized. * First Investors Financial Services Inc.'s 22-year history of originating and underwriting auto loans, 13-year history of servicing auto loans for itself and other companies as a third- party servicer, and track record of securitizing auto loans since 2000. * Wells Fargo Bank N.A.'s experience as the committed back-up servicer. And * The transaction's payment and legal structures. 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 Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at; http://standardandpoorsdisclosure-17g7.com Preliminary Ratings Assigned First Investors Auto Owner Trust 2012-1 Class Rating Type Interest Amount rate (mil. $)(i) A-1 A-1+ (sf) Senior Fixed 23.30 A-2 AAA (sf) Senior Fixed 93.70 B AA (sf) Subordinate Fixed 10.00 C A (sf) Subordinate Fixed 12.00 D BBB (sf) Subordinate Fixed 9.00 E BB (sf) Subordinate Fixed 2.00 (i) The actual size of the tranches will be determined on the pricing date. FORD CREDIT: Moody's Assigns Definitive Ratings to Series 2012-1 ---------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by Ford Credit Master Owner Trust A, Series 2012-1 (FCMOT 2012-1). This transaction represents a securitization of dealer floorplan loans sponsored by Ford Motor Credit Company (Ford Credit, Ba1 positive). The complete rating action is: Cl. A, Assigned Aaa (sf) Cl. B, Assigned Aa1 (sf) Cl. C, Assigned Aa3 (sf) Cl. D, Assigned A3 (sf) RATINGS RATIONALE Moody's said the ratings are based on the quality of the underlying auto dealer floorplan receivables, the strength of the structure, the experience of Ford Credit as servicer, and the experience of Wells Fargo Bank, National Association as back-up servicer. The quality of the floorplan receivables was considered based upon a number of characteristics. A primary consideration is the strength of the manufacturers and the vehicles that the dealerships and the receivables have exposure to. Moody's also considered the size of the Ford's dealership base, the dealer risk rating distribution based on Ford Credit's proprietary risk rating model, the age distribution of the receivables, and the overall trust monthly payment rate. Vehicle values under stressed historical scenarios were also considered in Moody's analysis. In cases of manufacturer bankruptcy or brand discontinuation within the industry, there has been a 15% to 30% negative impact on vehicle values. Moody's recovery rates in Moody's analysis are lower than this under more stressful rating scenarios since industry information is limited and a weaker economy could also create a more severe result. PRIMARY METHODOLOGY The principal methodology used in this rating was Moody's Approach to Rating U.S. Floorplan ABS Securities, published in January 2010. V-SCORE AND PARAMETER SENSITIVITY The V Score for this transaction is Medium, which is equal to the Medium V score assigned for the U.S. Dealer Floorplan Loan ABS sector. The V Score indicates "Medium" uncertainty about critical assumptions such as dealer default probabilities and recovery rates. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: Moody's analysis reveals Class A sensitivity down to the Baa level when average dealer ratings are stressed to Caa1 and recovery rates are stressed an additional 50% or if dealer defaults are front-loaded in a material way. The Class B rating shows sensitivity down to the Ba level when average dealer ratings are stressed to Caa1 and recovery rates stressed an additional 40%. The Class C rating shows sensitivity down to the B level with when average dealer ratings are stressed to Caa1 and recovery rates stressed an additional 20%. The Class D rating shows sensitivity down to the B level with a recovery rate haircut of 20% and the initial average dealer ratings of B3. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time, rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. FORD CREDIT: Moody's Assigns Definitive Ratings to Series 2012-2 ---------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by Ford Credit Master Owner Trust A, Series 2012-2 (FCMOT 2012-2). This transaction represents a securitization of dealer floorplan loans sponsored by Ford Motor Credit Company (Ford Credit, Ba1 positive). The complete rating action is: Cl. A, Assigned Aaa (sf) Cl. B, Assigned Aa1 (sf) Cl. C, Assigned Aa3 (sf) Cl. D, Assigned A3 (sf) RATINGS RATIONALE Moody's said the ratings are based on the quality of the underlying auto dealer floorplan receivables, the strength of the structure, the experience of Ford Credit as servicer, and the experience of Wells Fargo Bank, National Association as back-up servicer. The quality of the floorplan receivables was considered based upon a number of characteristics. A primary consideration is the strength of the manufacturers and the vehicles that the dealerships and the receivables have exposure to. Moody's also considered the size of the Ford's dealership base, the dealer risk rating distribution based on Ford Credit's proprietary risk rating model, the age distribution of the receivables, and the overall trust monthly payment rate. Vehicle values under stressed historical scenarios were also considered in Moody's analysis. In cases of manufacturer bankruptcy or brand discontinuation within the industry, there has been a 15% to 30% negative impact on vehicle values. Moody's recovery rates in Moody's analysis are lower than this under more stressful rating scenarios since industry information is limited and a weaker economy could also create a more severe result. PRINCIPAL METHODOLOGY The principal methodology used in this rating was Moody's Approach to Rating U.S. Floorplan ABS Securities, published in January 2010. V-SCORE AND PARAMETER SENSITIVITY The V Score for this transaction is Medium, which is equal to the Medium V score assigned for the U.S. Dealer Floorplan Loan ABS sector. The V Score indicates "Medium" uncertainty about critical assumptions such as dealer default probabilities and recovery rates. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: Moody's analysis reveals Class A sensitivity down to the Baa level when average dealer ratings are stressed to Caa1 and recovery rates are stressed an additional 50% or if dealer defaults are front-loaded in a material way. The Class B rating shows sensitivity down to the Ba level when average dealer ratings are stressed to Caa1 and recovery rates stressed an additional 40%. The Class C rating shows sensitivity down to the B level with when average dealer ratings are stressed to Caa1 and recovery rates stressed an additional 20%. The Class D rating shows sensitivity down to the B level with a recovery rate haircut of 20% and the initial average dealer ratings of B3. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time, rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. Additional research including a pre-sale report for this transaction is available at www.moodys.com. The special reports, "Updated Report on V Scores and Parameter Sensitivities for Structured Finance Securities" and "V Scores and Parameter Sensitivities in the U.S. Vehicle ABS Sector" are also available on moodys.com. FORTRESS CREDIT: Moody's Moody's Upgrades Ratings of Seven Classes ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of these notes issued by Fortress Credit Opportunities I L.P.: US$175,000,000 Class A-1 Floating Rate First Priority Senior Secured Term Notes Due July 15, 2019, Upgraded to Aa2 (sf); previously on November 21, 2011 Upgraded to Aa3 (sf); US$525,000,000 New Class A-1 Floating Rate First Priority Senior Secured Term Notes Due July 15, 2019, Upgraded to Aa2 (sf); previously on November 21, 2011 Upgraded to Aa3 (sf); US$525,000,000 Class A-2 Floating Rate First Priority Senior Secured Revolving Notes Due July 15, 2019 (current outstanding balance of $61,007,905), Upgraded to Aa2 (sf); previously on November 21, 2011 Upgraded to Aa3 (sf); US$75,000,000 New Class A-2 Floating Rate First Priority Senior Secured Revolving Notes Due July 15, 2019 (current outstanding balance of $8,715,415), Upgraded to Aa2 (sf); previously on November 21, 2011 Upgraded to Aa3 (sf); US$400,000,000 Class A-2 Dec05 New Floating Rate First Priority Senior Secured Revolving Notes Due July 15, 2019 (current outstanding balance of $46,482,213), Upgraded to Aa2 (sf); previously on November 21, 2011 Upgraded to Aa3 (sf); US$265,000,000 Class A-2 Aug07 New Floating Rate First Priority Senior Secured Revolving Notes Due July 15, 2019 (current outstanding balance of $30,794,466), Upgraded to Aa2 (sf); previously on November 21, 2011 Upgraded to Aa3 (sf); US$1,035,000,000 Class A-3 Floating Rate First Priority Senior Secured Delayed Draw Notes Due July 15, 2019, Upgraded to Aa2 (sf); previously on November 21, 2011 Upgraded to Aa3 (sf). RATINGS RATIONALE According to Moody's, the rating actions taken on the notes are primarily a result of credit improvement of the underlying portfolio. Since the last rating action in November 2011, the Moody's adjusted WARF has improved to 4639 from 4970 due to the large number of credit estimates in the portfolio that have been updated since the last rating action and the re-balancing of the portfolio to increase its exposure to more highly-rated credits with public ratings. As a result of these updates, the default probability stresses applied to the portfolio have been reduced. Additionally, based on the January 31, 2012 trustee report, the diversity score for the portfolio has increased to 42 compared to 38 in October 2011. Moody's current assumptions also include consideration of a fully funded capital structure as part of the analysis, reflecting a complete drawdown of the Class A-2 Notes that are currently 44% unfunded. The additional proceeds from the drawdown are assumed to be reinvested at current collateral quality levels with the exception of diversity that is proportionally increased to reflect the reinvestment into additional collateral. Therefore, on a fully funded basis, Moody's overcollateralization ratios may be lower than trustee reported levels. The ratings on the Notes reflect the actual underlying ratings of the Notes. These underlying ratings are based solely on the intrinsic credit quality of the Notes in the absence of the guarantees from MBIA, whose insurance financial strength rating is currently B3, Rating Under Review for Possible Downgrade. The above action is a result of, and is consistent with, Moody's modified approach to rating structured finance securities wrapped by financial guarantors as described in the press release dated November 10, 2008, titled "Moody's modifies approach to rating structured finance securities wrapped by financial guarantors." Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" 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 $4.3 billion, defaulted par of $284 million, a weighted average default probability of 31.46% (implying a WARF of 4639), a weighted average recovery rate upon default of 40.33%, 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. 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 approximately 18% of the assets in the collateral pool have a Credit Estimate that has not been updated for more than 12 months. In addition, for each CE where the related exposure constitutes more than 3% of the collateral pool, Moody's applied a 2-notch equivalent assumed downgrade (but only on the CEs representing in aggregate the largest 30% of the pool) in lieu of the aforementioned stresses. Notwithstanding the foregoing, in all cases the lowest assumed rating equivalent is Caa3. Fortress Credit Opportunities I L.P., issued in July 2004, 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. 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. A summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (3711) Class A-1: +2 New Class A-1: +2 Class A-2: +2 New Class A-2: +2 Class A-2 Dec05: +2 Class A-2 Aug07: +2 Class A-3: +2 Moody's Adjusted WARF + 20% (5567) Class A-1: -2 New Class A-1: -2 Class A-2: -2 New Class A-2: -2 Class A-2 Dec05: -2 Class A-2 Aug07: -2 Class A-3: -2 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 coupon and diversity levels higher than the 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. 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. FOUNDERS GROVE: S&P Affirms Rating on Class D Notes at 'B+' ----------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, B, and C notes from Founders Grove CLO Ltd., a collateralized loan obligation (CLO) transaction managed by Tall Tree Investment Management LLC, and removed them from CreditWatch with positive implications. "At the same time, we affirmed our rating on the class D notes and removed it from CreditWatch positive," S&P said. "The upgrades reflect an improvement in the credit profile of the assets and the overcollateralization available to support the notes since our January 2010 rating actions, when we lowered our ratings on all of the notes. As of the Jan. 12, 2012 trustee report, the transaction held $1.6 million in defaulted assets. This was down from the $5.7 million in defaulted assets noted in the December 2009 trustee report, which we referenced for our January 2010 rating actions. Also, as of January 2012, the transaction held $18.4 million in assets from underlying obligors with ratings in the 'CCC' range, compared with $34.6 million in December 2009," S&P said. "Since December 2009, the transaction has paid down the class A-1 and A-2 notes by $12.2 million and $41.5 million," S&P said. The improvement in asset credit quality and the significant paydowns to the class A-1 and A-2 notes have benefited the transaction's overcollateralization (O/C) ratios, which all have increased since December 2009: * The class A O/C ratio is 132.4%, compared with 126.5%; * The class A/B O/C ratio is 119.7%, compared with 115.9%; * The class C O/C ratio is 116.0%, compared with 112.8%; and * The class D O/C ratio is 103.9%, compared with 102.4%. "We affirmed our rating on the class D notes to reflect the availability of credit support at the current rating level," 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. 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 Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at; http://standardandpoorsdisclosure-17g7.com Rating And Creditwatch Actions Founders Grove CLO Ltd. Rating Class To From A-1 AA+ (sf) AA (sf)/Watch Pos A-2 AA+ (sf) AA (sf)/Watch Pos B A+ (sf) A (sf)/Watch Pos C BBB+ (sf) BBB (sf)/Watch Pos D B+ (sf) B+ (sf)/Watch Pos GMACC 2002-C3: Moody's Lowers Rating of Cl. H Notes to 'Ba1' ------------------------------------------------------------ Moody's Investors Service downgraded the ratings of seven classes and affirmed nine CMBS classes of GMAC Commercial Mortgage Securities, Inc., Series 2002-C3 Mortgage Pass-Through Certificates: Cl. A-2, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. D, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. E, Affirmed at Aa1 (sf); previously on Mar 9, 2011 Confirmed at Aa1 (sf) Cl. F, Affirmed at Aa3 (sf); previously on Sep 25, 2008 Upgraded to Aa3 (sf) Cl. G, Downgraded to Baa3 (sf); previously on Feb 16, 2006 Upgraded to A3 (sf) Cl. H, Downgraded to Ba1 (sf); previously on Feb 16, 2006 Upgraded to Baa1 (sf) Cl. J, Downgraded to B3 (sf); previously on Jul 7, 2011 Downgraded to B1 (sf) Cl. K, Downgraded to Caa2 (sf); previously on Jul 7, 2011 Downgraded to Caa1 (sf) Cl. L, Downgraded to Caa3 (sf); previously on Jul 7, 2011 Downgraded to Caa2 (sf) Cl. M, Downgraded to Ca (sf); previously on Dec 2, 2010 Downgraded to Caa3 (sf) Cl. N, Downgraded to C (sf); previously on Dec 2, 2010 Downgraded to Ca (sf) Cl. O-1, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. O-2, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. X-1, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) RATINGS RATIONALE The downgrades are due to higher than expected losses from troubled loans and loans in special servicing as well as increased interest shortfalls. 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 4.6% of the current balance. At last review, Moody's cumulative base expected loss was 4.1%. 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 extent of the slowdown in growth in the current macroeconomic environment and 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 in recovery and improvements in the office sector continue, with fundamentals in Gateway cities outperforming their suburban counterparts. However, office demand is closely tied to employment, where fundamentals remain weak, so significant improvement may be delayed. Performance in the retail sector has been mixed with on-going rent deflation and leasing challenges. Across all property sectors, 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 principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. On November 22, 2011 Moody's 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 ratings on GMAC Commercial Mortgage Securities, Inc., Series 2002-C3 Mortgage Pass-Through Certificates, Class X-1 may be 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. 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 37 compared to 40 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated July 7, 2011. DEAL PERFORMANCE As of the February 10, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 35% to $504.9 million from $777.4 million at securitization. The Certificates are collateralized by 85 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten non- defeased loans representing 28% of the pool. Twenty loans, representing 27% of the pool, have defeased and are secured by U.S. Government securities. Eighteen loans, representing 20% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Four loans have been liquidated from the pool, resulting in a realized loss of $13.3 million (55.8% loss severity). Currently six loans, representing 8% of the pool, are in special servicing. Moody's estimates an aggregate $13.9 million loss for the specially serviced loans (45% expected loss on average). Moody's has assumed a high default probability for five poorly performing loans representing 4% of the pool and has estimated an aggregate $3.2 million loss (15% expected loss based on a 50% probability default) from these troubled loans. As of the most recent remittance date, the pool has experienced cumulative interest shortfalls totaling $2.23 million and affecting Classes P through J. Moody's anticipates that the pool will continue to experience interest shortfalls caused by specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs), extraordinary trust expenses and non-advancing by the master servicer based on a determination of non-recoverability. The master servicer has made a determination of non-recoverability for the Cherryland Center Loan ($7.6 million) and the Wakefield Forest Apartments Loan ($3.9 million) and is no longer advancing on these loans. Moody's was provided with full year 2010 operating results for 89% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 82% compared to 81% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.41X and 1.35X, respectively, compared to 1.45X and 1.36X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 13% of the pool. The largest loan is the Clifton Commons Loan ($30.2 million -- 6% of the pool), which is secured by a 173,000 square foot (SF) retail center located in Clifton, New Jersey. Major tenants include a 16- screen AMC Theatre (36% of the gross leasable area (GLA); lease expiration in May 2019), The Sports Authority (25% of the GLA; lease expiration in March 2014) and Barnes & Noble (20% of the GLA; lease expiration in May 2014). As of June 2011, the property was 100% leased, the same as at last review. Performance is stable. Moody's LTV and stressed DSCR are 75% and 1.26X, respectively, compared to 79% and 1.20X at last review. The second largest loan is the Shops at River Park Loan ($24.4 million -- 4.8% of the pool), which is secured by a 134,000 SF retail center located in Fresno, California. Major tenants include Borders Books (18% of the GLA; lease expiration in May 2013) and Cost Plus World Market (13% of the GLA; lease expiration in January 2012). As of September 2011, the property was 97% leased compared to 90% as of December 2009. Moody's LTV and stressed DSCR are 70% and 1.41X, respectively, compared to 74% and 1.34X at last review. The third largest loan is the Sea Aire Apartments Loan ($12.3 million -- 2.4% of the pool), which is secured by 336-unit multifamily property located in Somers Point, New Jersey. As of September 2011, occupancy was 92% compared to 86% at last review. Performance has been stable. Moody's LTV and stressed DSCR are 87% and 1.08X, respectively, compared to 91% and 1.04X, at last review. GS MORTGAGE: Fitch Affirms Rating on $25 Mil. Notes at 'BB-sf' -------------------------------------------------------------- Fitch Ratings has affirmed all classes of GS Mortgage Securities Trust, commercial mortgage pass-through certificates, series 2011- ALF: -- $194.9 million class A notes at 'AAAsf'; Outlook Stable; -- $194.9 million interest-only class XA-1 notes at 'AAAsf'; Outlook Stable; -- $194.9 million interest-only class XA-2 notes at 'AAAsf'; Outlook Stable; -- $40 million class B notes at 'AA-sf'; Outlook Stable; -- $27 million class C notes at 'A-sf'; Outlook Stable; -- $38 million class D notes at 'BBB-sf'; Outlook Stable; -- $25 million class E notes at 'BB-sf'; Outlook Stable. Fitch does not rate the interest-only classes XB-1 and XB-2. The affirmations and Stable Outlooks are the result of stable portfolio performance. As of year-to-date June 2011 the servicer- reported NCF DSCR was 1.94 times (x) compared to a 1.29x Fitch stressed DSCR at issuance. The transaction represents a securitization of the beneficial interest in a three-year loan, cross-collateralized first lien mortgage secured by 29 assisted living facilities owned collectively by 19 property companies (the PropCo borrowers). The portfolio consists of 29 properties in 12 states, with the largest concentrations in New York (29.5%), Illinois (17.5%), New Jersey (14.3%), and California (12.2%). The collateral for the note also includes the PropCo borrowers' interest in the leases and rents, 19 operating companies (the OpCo borrowers) interest in the operating revenues from the properties, and the assignment of the cash management accounts. Proceeds from the notes, together with additional equity, were used by the sponsors, Sunrise Senior Living Inc. and CNL Income Partners, LP, to acquire the 29 properties from a joint venture between Sunrise and Arcapita Inc. The ratings reflect an analysis of the cash flows from the assets of the trust, not an assessment of the corporate default risk of the ultimate parent. The loan is expected to mature in February 2014. The Fitch stressed loan-to-value (LTV) ratio is approximately 73.6% based on capitalization of the Fitch-adjusted net cash flow at a rate of 10.48%. JP MORGAN: Fitch Affirms Rating on Four Note Classes at 'Dsf' ------------------------------------------------------------- Fitch Ratings has placed one class of J.P. Morgan Chase Commercial Mortgage Securities Corp. series 2001-CIBC1 commercial mortgage pass-through certificates on Rating Watch Negative. Class G has been placed on Rating Watch due to the potential increase in Fitch losses attributed to updated valuations of specially serviced loans. Fitch expects to resolve the Rating Watch status of this class, which could result in a one or more category downgrade, following the receipt of updated valuations and leasing information for the specially serviced loans. As of the January 2012 distribution date, the pool's certificate balance has been reduced to by 94.7% (including 5.1% in realized losses) to $53.6 million from $1 billion. There is one defeased loan (1.4%). There are cumulative interest shortfalls in the amount of $3.7 million currently affecting classes G, H, and K through NR. There are currently five loans (39.6%) in special servicing. Fitch placed this class on Rating Watch Negative: -- $29.2 million class G at 'BBB-sf'; on Rating Watch Negative from Outlook Negative; Fitch affirms these classes and revises the Outlook and Recovery Estimates (RE): -- $1.7 million class E at 'AAAsf'; Outlook Stable; -- $14 million class F at 'AAsf'; Outlook to Negative from Stable; -- $8.9 million class H at 'Dsf' RE to 0% from 100%; -- Class J at 'Dsf'; RE to 0% from 75%; -- Class K at 'Dsf'; RE 0%; -- Class L at 'Dsf'; RE 0%; -- Class M at 'Dsf'; RE 0%. Classes A-1 through D and class X2 are paid in full. Fitch does not rate class NR. The rating on class X1 was previously withdrawn. JP MORGAN: Fitch Affirms Rating on Super Senior Classes ------------------------------------------------------- Fitch Ratings has affirmed the super senior classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., series 2006-CIBC17, commercial mortgage pass-through certificates and downgraded eight classes. The downgrades reflect an increase in the Fitch expected losses most of which is attributed to increase losses on specially serviced loans based on updated valuations. Fitch modeled losses of 14.8% of the remaining pool; expected losses of the original pool are 14.4%, including losses incurred to date. Fitch has designated 46 loans (33.3%) as Fitch Loans of Concern which includes 21 specially serviced loans (22.7%). Fitch expects classes C thru NR may be fully depleted from losses associated with the specially serviced assets and class B to be impacted as well. The largest contributors to loss are three of the top 15 loans (15%) which are all currently specially serviced. The largest contributor to Fitch expected loss is a loan (10.8%) is secured by a 1.25 million square foot (sf), class A office property located in downtown Atlanta, GA. The loan was transferred to special servicing in February 2011 due to imminent default based on expected revenue decline as a result of the largest tenant, Bank of America restructuring its lease. The Bank of America space was downsized to approximately 14% from 30% effective October 2011 and their lease rate was reduced by approximately half. As of December 2011, the property was 62.6% occupied down from approximately 100% at issuance. The second largest contributor to loss is a portfolio (2.3%) secured by seven multifamily properties consisting of 2,226 units located in the Greenspoint section of Houston, TX. The loan was transferred to special servicing in February 2010 due to imminent default. The property was foreclosed upon in July 2010 and management is currently addressing life safety issues at the property. Additionally, there has been a significant fire at the property which has resulted in 50 units being taken off line. The most recent servicer reported occupancy for the portfolio as of January 2012 is 89.7%. The third largest contributor to loss is a loan (1.9%) secured by a 163,512 sf office tower located in Great Neck, NY. Major tenants include Garfunkel Wild & Travis (10.6%) NRA), SERVISAIR,LLC 1 (7.8% NRA) and JIMLAR Corporation (7.3% NRA). The loan was transferred to special servicing in November 2009 due to monetary default. Per the special servicer, the borrower has been uncooperative in establishing a lockbox and paying operating expenses. A receiver was appointed in February 2010 and a new property management firm was hired. The most recent servicer reported occupancy is 80% and leases representing 24% of the NRA expire in 2012. Fitch has downgraded, removed from Rating Watch Negative, revised and assigned Recovery Estimates (RE), to these classes: -- $253.7 million class A-M to 'Asf' from 'AAAsf'; Outlook Negative; -- $202.9 million class A-J to 'CCCsf'/RE 75% from 'BB'; -- $44.4 million class B to 'CCsf'/RE 0% from'B'; -- $19 million class C to 'Csf'/RE 0% from 'B-'; -- $34.9 million class D to 'Csf'/RE 0% from 'B-'; -- $31.7 million class E to 'Csf'/RE 0% from 'CCC'; -- $34.9 million class F to 'Csf'/RE 0% from 'CCC'; -- $31.7 million class G to 'Csf'/RE 0% from 'CC'. Classes A-M, A-J, B, C, & D, were removed from Rating Watch Negative. Additionally, Fitch has affirmed these classes: -- $97.4 million class A-3 at 'AAAsf'; Outlook Stable; -- $1.2 billion class A-4 at 'AAAsf'; Outlook Stable; -- $83.6 million class A-SB 'AAAsf'; Outlook Stable; -- $281.3 million class A-1A at 'AAAsf'; Outlook Stable; -- $31.7 million class H at 'Csf'; -- $9.5 million class J at 'Csf'; -- $9.5 million class K at 'Csf'; -- $9.5 million class L at 'Csf'; -- $3.2 million class M at 'Csf'; -- $6.3 million class N at 'Csf'; -- $6.3 million class P at 'Csf'. Fitch does not rate the $29.5 million class NR. Class A-1 has paid in full. JP MORGAN: Losses Prompt Fitch to Downgrades Rating on Notes ------------------------------------------------------------ Fitch Ratings has downgraded eight classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., commercial mortgage pass- through certificates, series 2007-CIBC20, due to an increase in expected losses on the specially serviced loans and further deterioration of collateral performance. 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 10.3% of the current pool balance based on expected losses on the specially serviced loans and loans that could not refinance at maturity; expected losses of the original pool are 11.6%. As of the January 2012 distribution date, the pool's aggregate principal balance has decreased 4.2% to $2.44 billion from $2.54 billion at issuance. As of January 2012, there are cumulative interest shortfalls in the amount of $5.5 million, affecting classes K through NR. The largest contributor to expected loss of the loans in special servicing is the STF Portfolio (2% of the pool balance), which is the largest specially serviced asset in the pool. The portfolio consists of 1.2 million square feet (sf) over 19 properties, 15 of which are located in McAllen, TX; two in El Paso, TX; and two in Santa Theresa, NM. All of the properties in this portfolio are located within 10 miles of the U.S.-Mexico border. The loan transferred to special servicing in August 2010 for payment default. The second largest contributor to expected losses from specially serviced assets is a real-estate owned (REO) retail property located in Bluffton, SC (0.9% of the pool). The asset transferred to special servicing in November 2008 for payment default. A receiver is in place and the property has been listed for sale. The largest contributor to expected loss of the loans not in special servicing is North Hills Mall (5.8% of the pool), which is secured by a 585,798 sf retail property located in Raleigh, NC. Overall occupancy has remained high compared to issuance, though the servicer reported a year-end (YE) 2010 debt service coverage ratio (DSCR) of 1.07 times (x). Major tenants include: Target (not part of the collateral); JCPenney; Regal Cinemas; and REI. In total, there are 14 loans (9.5%) in special servicing including two loans (1.4%) that are real estate owned (REO). At Fitch's last review there were 13 loans (8.5%) in special servicing. Fitch has downgraded, revised Rating Outlooks and assigned Recovery Estimates (RE) to these classes: -- $152.6 million class A-J to 'BBB-sf' from 'BBBsf'; Outlook to Negative from Stable; -- $31.8 million class B to 'BBsf' from 'BBB-sf'; Outlook Negative; -- $25.4 million class C to 'Bsf' from 'BBsf'; Outlook Negative; -- $26.6 million class D to 'CCCsf' from 'Bsf'; RE 40%; -- $22.3 million class E to 'CCCsf' from 'B-sf'; RE 0%; -- $22.3 million class F to 'CCCsf' from 'B-sf'; RE 0%; -- $35.0 million class H to 'CCsf' from 'CCCsf'; RE 0%; -- $31.8 million class J to 'CCsf' from 'CCCsf'; RE 0%. Additionally, Fitch has affirmed these classes, maintained Rating Outlooks or assigned Recovery Estimates (RE): -- $83.8 million class A-2 at 'AAAsf' Outlook Stable; -- $208.6 million class A-3 at 'AAAsf'; Outlook Stable; -- $991.7 million class A-4 at 'AAAsf'; Outlook Stable; -- $84.4 million class A-SB at 'AAAsf'; Outlook Stable; -- $350.6 million class A-1A at 'AAAsf'; Outlook Stable; -- $219.3 million class A-M at 'AAAsf'; Outlook Stable; -- $35 million class A-MFX at 'AAAsf'; Outlook Stable; -- $25.4 million class G at 'CCCsf'; RE 0%; -- $28.6 million class K at 'CCsf'; RE 0%; -- $31.8 million class L at 'Csf'; RE 0%; -- $9.5 million class M at 'Csf'; RE 0%; -- $6.4 million class N at 'Csf'; RE 0%. Fitch does not rate class P. The non-rated classes Q, T and NR are fully depleted. Class A-1 is paid in full. LB MULTIFAMILY: Moody's Affirms Rating of Cl. A-1 Notes at 'Caa1' ----------------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of LB Multifamily Mortgage Trust, Series 1991-4: Cl. A-1 Senior Secured Pass-Through Apr 25, 2021, Affirmed at Caa1 (sf); previously on Sept 11, 2008 Affirmed at Caa1 (sf) Cl. A-2 Senior Secured Pass-Through Apr 25, 2021, Affirmed at B1 (sf); previously on Sept 11, 2008 Upgraded to B1 (sf) RATINGS RATIONALE Moody's affirms the above classes because the credit enhancement levels are sufficient to maintain the current ratings. This transaction is classified as a small balance CMBS transaction. Small balance transactions, which represent approximately 1% of the Moody's rated conduit/fusion universe, have generally experienced higher defaults and losses than traditional conduit and fusion transaction. 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 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 in recovery and improvements in the office sector continue, with fundamentals in Gateway cities outperforming their suburban counterparts. However, office demand is closely tied to employment, where fundamentals remain weak, so significant improvement may be delayed. Performance in the retail sector has been mixed with on-going rent deflation and leasing challenges. Across all property sectors, 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. Borrowers are not required to provide financial information for loans included in this transaction. Due to the lack of updated financial statements, Moody's did not utilize its standard methodology for this type of transaction. Moody's evaluated the loan-level performance matrices contained in remittance statements provided by the Trustee, including delinquency status, specially serviced loans and realized losses as well as the structural, legal and tax aspects associated with Certificates when assigning the ratings. Other methodologies and factors that may have been considered in the process of rating this transaction can also be found in the Rating Methodologies sub-directory on Moody's website. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "CMBS: Moody's Approach to Small Loan Transactions" published in December 2004. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. There was no model used in the review of this transaction. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. DEAL PERFORMANCE As of the January 25, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $392,399 from $105.8 million at securitization. The Certificates are collateralized by two mortgage loans, which are the are secured by two multi-family properties located in the Los Angeles, California MSA. The loans mature in 2019. Accordsing to the Master Servicer, both loans are current and neither loan is on the Master Servicer's watch list. The pool has experienced aggregate realized losses totaling $33.5 million, which have eliminated non-rated Classes B, C and D and resulted in a $9.2 million loss for Class A-1. Class A-2 has not experienced any losses to date. Realized losses allocated to the Class A-2 certificates are offset by a reserve fund held by the Trustee. It is anticipated that there are sufficient funds available in the reserve fund to offset any potential losses to Class A-2. LB-UBS 2006-C4: S&P Lowers Ratings on 2 Classes of Certs. to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes of commercial mortgage pass-through certificates from LB- UBS Commercial Mortgage Trust 2006-C4, a U.S. commercial mortgage- backed securities (CMBS) transaction. "In addition, we affirmed our ratings on seven other classes from the same transaction," S&P said. "The downgrades primarily reflect credit support erosion that we anticipate will occur upon the eventual resolution of the 26 ($249.9 million, 14.4%) assets that are with the special servicer and a reduction in liquidity support available to the subject classes due to interest shortfalls. As of the Jan. 18, 2012, trustee remittance report, the pool experienced monthly interest shortfalls totaling $684,626, primarily due to appraisal subordinate entitlement reduction (ASER) amounts ($459,372), interest not advanced on assets that have been deemed nonrecoverable by the master servicers ($156,480), and special servicing fees ($52,082). The interest shortfalls affected all classes subordinate to and including class G. Our analysis indicated that the total anticipated recurring monthly interest shortfalls will cause class G and the classes subordinate to it to continue to experience interest shortfalls for the foreseeable future, and lead to a reduction in the liquidity support available to the classes senior to it. As a result of our analysis, we lowered our ratings on classes G and H to 'D (sf)'," S&P said. "The affirmed ratings on the principal and interest certificates reflect subordination and liquidity support levels that are consistent with the outstanding ratings. We affirmed our 'AAA (sf)' rating on the class X interest-only (IO) certificate based on our current criteria," S&P said. "Our analysis included a review of the credit characteristics of all of the remaining assets in the pool. Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.12x and a loan-to-value (LTV) ratio of 123.3%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.77x and an LTV ratio of 167.9%. The implied defaults and loss severity under the 'AAA' scenario were 82.2% and 49.8%. All of the DSC and LTV calculations noted above exclude the transaction's 26 ($249.9 million, 14.4%) specially serviced assets. We separately estimated losses for these assets and included them in the 'AAA' scenario implied default and loss severity figures," S&P said. Credit Considerations "As of the Jan. 18, 2012 trustee remittance report, 26 ($249.9 million, 14.4%) assets were with the special servicer, CWCapital Asset Management LLC. The reported payment status of the specially serviced assets is: 19 ($200.5 million, 11.5%) are real estate owned (REO); two ($16.3 million, 0.9%) are in foreclosure; and five ($33.1 million, 1.9%) are 90-plus-days delinquent. Appraisal reduction amounts (ARAs) totaling $109.3 million were in effect for 23 of the specially serviced assets," S&P said. "Rivergate Plaza ($58.5 million, 3.4%), the seventh-largest asset in the pool, is the largest specially serviced asset and comprises a 302,058-sq.-ft. office property in Miami, Fla. The loan was transferred to the special servicer in September 2009 and is now REO. Recent financial reporting information is not available. There is an ARA of $34.9 million in effect against the asset. We expect a significant loss upon the resolution of this asset," S&P said. "Belmont at Cowan Place ($32.8 million, 1.9%), the 10th-largest asset in the pool, is the second-largest specially serviced asset and consists of a 300-room multifamily property in Fredericksburg, Va. The loan was transferred to the special servicer in July 2009 for monetary default and is now REO. Recent financial reporting information is not available. There is an ARA of $6.5 million in effect against the asset. We expect a moderate loss upon the resolution of this asset," S&P said. "The 24 remaining specially serviced assets have individual balances that represent less than 1.6% of the total pool balance. ARAs totaling $67.9 million are in effect against 21 of the assets. We estimated losses for all 24 remaining specially serviced assets and arrived at a weighted average loss severity of 52.0%," S&P said. Transaction Summary As of the Jan. 18, 2012 trustee remittance report, the pooled collateral had a balance of $1.74 billion, down from $1.98 billion at issuance. The pool currently includes 116 loans and 19 REO assets. The master servicer, Wells Fargo Commercial Mortgage Servicing, provided financial information for 87.8% of the pool (by balance), the majority of which reflected full-year 2010 or partial-year 2011 data. "We calculated a weighted average DSC of 1.04x for the pool based on the reported figures. Our adjusted DSC and LTV ratio were 1.12x and 123.3%, which exclude the transaction's 26 ($249.9 million, 14.4%) specially serviced assets, for which we separately estimated losses. Recent financial information was available for six of the 26 excluded assets, which exhibited a weighted average reported DSC of 1.02x. To date, the pool has experienced $1.8 million in principal losses related to one asset," S&P said. Twenty-nine loans ($758.0 million, 43.6%), including five ($647.4 million, 37.2%) of the top 10 assets in the pool, are on the master servicer's watchlist. Twenty-five ($748.4 million, 43.0%) assets have reported DSC under 1.10x, 17 ($624.3 million, 35.9%) of which have reported DSC under 1.00x. Summary of Top 10 Assets "The top 10 assets have an aggregate outstanding pooled balance of $986.5 million (59.4%). Using servicer-provided financial information, we calculated an adjusted DSC of 1.01x and LTV ratio of 137.2% for the top 10 assets. Two ($91.3 million, 5.3%) of the top 10 assets are specially serviced, while five ($647.4 million, 37.2%) others are on the master servicer's watchlist," S&P said. "The One Federal Street loan ($262.0 million, 15.1%), the largest loan in the pool, is on the master servicer's watchlist due to a low reported DSC, which was 0.54x as of Sept. 30, 2011. The loan is secured by a 1.1 million-sq.-ft. office property in Boston, Mass. The reported occupancy was 62.3% as of Sept. 30, 2011," S&P said. The One New York Plaza loan ($189.1 million, 10.9%), the second- largest loan in the pool, is on the master servicer's watchlist due to a low reported DSC, which was 0.70x as of Sept. 30, 2011. The loan is secured by a 2.4 million-sq.-ft. office property in New York, N.Y. The reported occupancy was 73.0% as of Sept. 30, 2011. The 44 Wall Street loan ($74.4 million, 4.3%), the fourth-largest loan in the pool, is on the master servicer's watchlist due to a low reported DSC, which was 0.51x as of Sept. 30, 2011. The loan is secured by a 336,747-sq.-ft. office property in New York, N.Y. The reported occupancy was 76.4% as of Oct. 31, 2011. The Canyon Park Technology Center loan ($71.3 million, 4.1%), the sixth-largest loan in the pool, is on the master servicer's watchlist due to a low reported DSC, which was 1.06x as of Sept. 30, 2011. The loan is secured by a 904,336-sq.-ft. office property in Orem, Utah. The reported occupancy was 81.7% as of June 30, 2011. The Courtyard Marriott Fifth Avenue loan ($50.7 million, 2.9%), the eighth-largest asset in the pool, is on the master servicer's watchlist due to a low reported DSC, which was 0.96x as of Dec. 31, 2010. The loan is secured by a 185-room lodging property in New York, N.Y. The reported occupancy was 85.8% as of Sept. 9, 2011. Standard & Poor's stressed the assets in the pool according to its current criteria, and the analysis is consistent with the lowered and affirmed ratings. 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 Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at; http://standardandpoorsdisclosure-17g7.com Ratings Lowered LB-UBS Commercial Mortgage Trust 2006-C4 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-J BB (sf) BB+ (sf) 13.99 B BB- (sf) BB (sf) 13.00 C B+ (sf) BB- (sf) 11.57 D B (sf) B+ (sf) 10.57 E B- (sf) B+ (sf) 9.72 F CCC- (sf) CCC+ (sf) 8.30 G D (sf) CCC- (sf) 7.16 H D (sf) CCC- (sf) 6.30 RATINGS AFFIRMED LB-UBS Commercial Mortgage Trust 2006-C4 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-2 AAA (sf) 33.93 A-3 AAA (sf) 33.93 A-AB AAA (sf) 33.93 A-4 AA- (sf) 33.93 A-1A AA- (sf) 33.93 A-M BBB+ (sf) 22.54 X AAA (sf) N/A N/A -- Not applicable. LCM X: S&P Gives 'BB' Rating on Class E Deferrable Notes -------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to LCM X L.P./LCM X LLC's $370.5 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. * 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 0.34%-12.26%," 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. 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 Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at; http://standardandpoorsdisclosure-17g7.com Ratings Assigned LCM X L.P./LCM X LLC Class Rating Amount (mil. $) A AAA (sf) 259.0 B AA (sf) 45.0 C (deferrable) A (sf) 29.5 D (deferrable) BBB (sf) 20.0 E (deferrable) BB (sf) 17.0 Equity NR 39.5 NR -- Not rated. MERRILL LYNCH: DBRS Confirms Class F Rating at 'BB' --------------------------------------------------- DBRS has confirmed the ratings of all 15 classes of Merrill Lynch Financial Assets Inc., Series 2006-Canada 19: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class G at BB (sf) -- Class H at BB (low) (sf) -- Class J at B (high) (sf) -- Class K at B (sf) -- Class L at B (low) (sf) -- Class XP-1 at AAA (sf) -- Class XP-2 at AAA (sf) -- Class XC at AAA (sf) Trends for Class J, K and L changed to Stable from Negative. All other classes were confirmed with a Stable trend. These rating actions reflect the continued stable performance of the pool overall. At the time of the February 2011 DBRS review of this transaction, there were two loans in special servicing and two large loans on the servicer's watchlist. Given the uncertainty surrounding these four loans, DBRS placed classes J, K and L on trend Negative at that time. Shortly after the review, one of the loans in special servicing, Prospectus ID #23 (Summit Properties), was resolved with no loss to the trust and the two large loans on the watchlist, Prospectus ID #3 (Castle Royale) and Prospectus ID #10 (8100 Granville), have been removed as the performance has improved significantly for each property. Reflecting these developments, DBRS has changed the trends for classes J, K and L to Stable. As of the February 2012 remittance report, there were 58 of the original 75 loans in the pool remaining, with a collateral reduction of approximately 24.2% since issuance. With 96.6% of loans reporting updated financial information, the pool has a weighted-average DSCR of 1.5x, as compared to 1.4x at issuance. In addition, the current weighted-average debt yield is 12.1% and the weighted-average LTV is 64.5%, as compared to 10.3% and 70.6%, respectively, at issuance. There is one loan in special servicing, Prospectus ID #4 (Marriott Pooled Senior Loan), which comprises 5.6% of the outstanding pool balance. There are 11 loans on the servicer's watchlist; those loans combine for 10.9% of the outstanding pool balance. For a complete discussion of the DBRS viewpoint, including detailed information on the largest loans in the pool, the loans in special servicing and the loans on the servicer's watchlist, please see the February 2012 Monthly Surveillance Report for this pool, which will publish shortly. MERRILL LYNCH: DBRS Confirms Class G Rating at 'BB' --------------------------------------------------- DBRS has confirmed the ratings of all 15 classes of Merrill Lynch Financial Assets Inc., Series 2006-Canada 20: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class G at BB (sf) -- Class H at BB (low) (sf) -- Class J at B (high) (sf) -- Class K at B (sf) -- Class L at B (low) (sf) -- Class XP-1 at AAA (sf) -- Class XP-2 at AAA (sf) -- Class XC at AAA (sf) All classes were confirmed with a Stable trend. These rating actions reflect the continued stable performance of the pool overall. As of the February 2012 remittance report, there were 49 of the original 66 loans in the pool remaining, with a collateral reduction of approximately 26.9% since issuance. With 77.8% of loans reporting updated financial information, the pool has a weighted-average DSCR of 1.7x, as compared to 1.4x at issuance. In addition, the current weighted-average debt yield is 13.2% and the weighted-average LTV is 63.5%, as compared to 10.4% and 69.5%, respectively, at issuance. The actual percentage of the pool reporting updated financial information is significantly higher than 77.8%, but because of reporting issues, DBRS was unable to include the complete list in these calculations. DBRS is working with the servicer to resolve the issues for future reports. There is one loan in special servicing, Prospectus ID #8 (Marriott Pooled Senior Loan), which comprises 5.7% of the outstanding pool balance. There are four loans on the servicer's watchlist; those loans combine for 6.0% of the outstanding pool balance. For a complete discussion of the DBRS viewpoint, including detailed information on the largest loans in the pool, the loans in special servicing and the loans on the servicer's watchlist, please see the February 2012 Monthly Surveillance Report for this pool, which will publish shortly. MICHIGAN HIGHER: Moody's Reviews Ratings of Two Tranches -------------------------------------------------------- Moody's Investors Service placed on review for possible downgrade two classes of student loan revenue bonds issued by Michigan Higher Education Student Loan Authority under an indenture dated September 1, 2007. The underlying collateral consists exclusively of student loans originated under the Federal Family Education Loan Program (FFELP), which are guaranteed by the U.S. government for a minimum of 97% of defaulted principal and accrued interest. RATINGS RATIONALE The review was prompted by discovery of an input error that had occurred during the previous downgrades of the senior and subordinate classes on June 4, 2009 and February 12, 2009, respectively. The coupon rate on the bonds is defined as the product of the applicable percentage and the greater of SIFMA Municipal Index and the after-tax yield of one-month LIBOR. As long as the bonds are rated Aaa, the applicable percentage is 200%. However, when the rating of the bonds is lower than Aaa, transaction documents state that the applicable percentage should increase to 250%. At the time of the previous rating actions, Moody's did not take this rating trigger into account and continued using an applicable percentage of 200%, even though the ratings on both senior and subordinate bonds were downgraded below Aaa, to B3 and Ca, respectively. The complete rating actions are: Issuer: Michigan Higher Education Student Loan Authority (2007 Indenture) Senior Lien Series 20-A Bonds (AMT), B3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 4, 2009 Downgraded to B3 (sf) Subordinate Lien Series 20-B Bonds (AMT), Ca (sf) Placed Under Review for Possible Downgrade; previously on Feb 12, 2009 Downgraded to Ca (sf) The ratings for the senior and subordinate bonds were assigned in line with Moody's existing methodology, as described below. On January 18, 2012, Moody's released a Request for Comment, in which the rating agency requested market feedback on potential changes to its rating methodology for FFELP US Student Loan-Backed Securitizations. If the revised methodology is implemented as proposed, the ratings on both senior and subordinate bonds are unlikely to be affected. Please refer to Moody's Request for Comment, titled "Moody's Proposes to Update Its Approach to Rating Securities Backed by FFELP Student Loans," for further details regarding the implications of the proposed methodology changes for Moody's ratings. In monitoring securitizations backed by FFELP student loans, Moody's assesses both liquidity and credit risks of the transactions. The factors affecting liquidity and credit performance of a transaction include defaults, guarantor reject rates, voluntary prepayments, basis risk, borrower benefit utilization, and the number of borrowers in non-repayment status, such as deferment and forbearance. As a part of Moody's analysis, Moody's examines historical FFELP static pool performance data. To the extent that performance data is available from a specific issuer, that information is used to arrive at Moody's cash flow assumptions for that particular issuer. If an issuer's data are either limited or unavailable, Moody's assumptions are based on FFELP performance data received from other participants. Historical interest rates and spreads are also analyzed to evaluate the basis risk between the interest rate to which the notes are indexed and the interest rate to which the FFELP loans are indexed. This historical data is used to derive the expected, or most likely, outcome for each variable. These expected defaults, prepayments, interest rates, and other assumptions are then stressed in accordance with the rating categories requested by the issuer. Factors that influence the stress levels include the availability of relevant issuer-specific performance data, the seasoning of the loans, collateral concentrations (school types, loan programs), the financial strength and stability of the servicer, and the general economic environment. These stressed assumptions are then incorporated into a cash flow model that takes into account the FFELP loan characteristics as well as structural (e.g., starting parity, cash flow waterfall, bond tranching, etc.) and pricing features of the transaction. The cash flow model outputs are analyzed to determine whether the transaction as structured by the issuer has sufficient credit protection to pay off the notes by their legal final maturity dates. In certain circumstances where cash flow runs are not available, Moody's relies on model results from similar transactions. Moody's also analyzes the liquidity risk of the transaction given that borrowers can be in non-repayment status while in school, grace, deferment or forbearance status, and the transaction can experience delays in default reimbursement and other payments. Basis risk is the primary credit risk in FFELP student loan ABS. Moody's Aaa (sf) stressed basis risk assumption between LIBOR and the CP Rate is 25 basis points with certain periods in which the spread increases to 150 basis points. This is based on an analysis of historical spreads between the two indices. For additional information, please see "Methodology Update on Basis Risk in FFELP Student Loan-Backed Securitization," on moodys.com. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Rating Methodologies sub-directory on Moody's website. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of uncertainty with regard to excess spread are increased basis risk and the failed auction. MISSISSIPPI HIGHER: Moody's Reviews Ratings for Possible Downgrade ------------------------------------------------------------------ Moody's Investors Service placed on review for possible downgrade five tranches of student loan revenue bonds issued by Mississippi Higher Education Assistance Corporation under an indenture dated June 1, 2004. The underlying collateral consists exclusively of student loans originated under the Federal Family Education Loan Program (FFELP), which are guaranteed by the U.S. government for a minimum of 97% of defaulted principal and accrued interest. RATINGS RATIONALE The review was prompted by discovery of an input error that had occurred during the previous downgrades of the subordinate bonds on December 5, 2008, from A2 to Caa1. The coupon rate on the subordinate bonds is defined as the product of the applicable percentage and the greater of SIFMA Municipal Index and the after- tax yield of "Aa" Composite Commercial Paper Rate. And the coupon is subject to a cap of 14%. As long as the bonds are rated above the Baa category by Moody's or BBB category by other rating agency on the transaction, the applicable percentage is 175%. However, when the rating of the bonds is downgraded below Baa category by Moody's or BBB category by other rating agency, transaction documents state that the applicable percentage should increase to 265%. At the time of the previous rating actions, Moody's did not take this rating trigger into account and continued using an applicable percentage of 175%, even though the rating of the subordinate bonds was downgraded below Baa3 to Caa1. The complete rating actions are: Issuer: Mississippi Higher Education Assistance Corporation (2004 Indenture) 2004-A-1, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Aug 2, 2011 Confirmed at Aaa (sf) 2004-B-1, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Dec 5, 2008 Downgraded to Caa1 (sf) 2007-A-1, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Aug 2, 2011 Confirmed at Aaa (sf) 2007-A-2, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Aug 2, 2011 Confirmed at Aaa (sf) 2007-B-1, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Dec 5, 2008 Downgraded to Caa1 (sf) The ratings for the senior and subordinate bonds were assigned in line with Moody's existing methodology, as described below. On January 18, 2012, Moody's released a Request for Comment, in which the rating agency requested market feedback on potential changes to its rating methodology for FFELP US Student Loan-Backed Securitizations. If the revised methodology is implemented as proposed, the ratings on the senior and subordinate bonds may be negatively affected. In monitoring securitizations backed by FFELP student loans, Moody's assesses both liquidity and credit risks of the transactions. The factors affecting liquidity and credit performance of a transaction include defaults, guarantor reject rates, voluntary prepayments, basis risk, borrower benefit utilization, and the number of borrowers in non-repayment status, such as deferment and forbearance. As a part of Moody's analysis, Moody's examines historical FFELP static pool performance data. To the extent that performance data is available from a specific issuer, that information is used to arrive at Moody's cash flow assumptions for that particular issuer. If an issuer's data are either limited or unavailable, Moody's assumptions are based on FFELP performance data received from other participants. Historical interest rates and spreads are also analyzed to evaluate the basis risk between the interest rate to which the notes are indexed and the interest rate to which the FFELP loans are indexed. This historical data is used to derive the expected, or most likely, outcome for each variable. These expected defaults, prepayments, interest rates, and other assumptions are then stressed in accordance with the rating categories requested by the issuer. Factors that influence the stress levels include the availability of relevant issuer-specific performance data, the seasoning of the loans, collateral concentrations (school types, loan programs), the financial strength and stability of the servicer, and the general economic environment. These stressed assumptions are then incorporated into a cash flow model that takes into account the FFELP loan characteristics as well as structural (e.g., starting parity, cash flow waterfall, bond tranching, etc.) and pricing features of the transaction. The cash flow model outputs are analyzed to determine whether the transaction as structured by the issuer has sufficient credit protection to pay off the notes by their legal final maturity dates. In certain circumstances where cash flow runs are not available, Moody's relies on model results from similar transactions. Moody's also analyzes the liquidity risk of the transaction given that borrowers can be in non-repayment status while in school, grace, deferment or forbearance status, and the transaction can experience delays in default reimbursement and other payments. Basis risk is the primary credit risk in FFELP student loan ABS. Moody's Aaa (sf) stressed basis risk assumption between LIBOR and the CP Rate is 25 basis points with certain periods in which the spread increases to 150 basis points. This is based on an analysis of historical spreads between the two indices. For additional information, please see "Methodology Update on Basis Risk in FFELP Student Loan-Backed Securitization," on moodys.com. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Rating Methodologies sub-directory on Moody's website. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of uncertainty with regard to excess spread are increased basis risk and the failed auction. ML-CFC COMMERCIAL: Fitch Downgrades Rating on Nine Note Classes --------------------------------------------------------------- Fitch Ratings has downgraded nine classes and affirmed 14 classes of ML-CFC Commercial Mortgage Trust's commercial mortgage pass- through certificates, series 2007-8 (ML-CFC 2007-8). In addition, Fitch has resolved the Rating Watch Negative on classes AM, AM-A, AJ, and AJ-A. The downgrades reflect an increase in Fitch-modeled losses across the pool due to further deterioration of loan performance, most of which involves increased losses on the specially serviced loans. Fitch modeled losses of 13.2% of the remaining pool (15.8% of the original pool). Fitch expects losses associated with the specially serviced loans to deplete classes J and K and a portion of class H. As of January 2012, cumulative interest shortfalls total $10.5 million. As of the January 2012 distribution date, the pool's aggregate principal balance has been reduced by 7% to $2.266 billion from $2.435 billion at issuance. Fitch has identified 41 loans (35.2%) as Fitch Loans of Concern, including 14 specially serviced loans (22.3%). Of the 14 loans in special servicing, six loans (15.8%) were 90 days or more delinquent, four loans (1.3%) were real-estate owned, two loans (2.6%) were in foreclosure, and two loans (2.5%) were current. The largest contributors to modeled losses are three (30.2%) of the top 15 loans in the transaction, one (14.8%) of which is currently specially serviced. The largest contributor to modeled losses is a specially serviced loan (14.8%) secured by 73 multifamily properties totaling 6,892 units located across eight states. As of the January 2012 distribution date, the loan was greater than 90 days delinquent. The loan transferred to special servicing in December 2010 for imminent default. According to the special servicer, foreclosure is being dual-tracked with forbearance discussions, although details of the forbearance terms were not provided. The servicer- reported year-end (YE) 2010 net operating income (NOI) debt- service coverage ratio (DSCR) was 1.11 times (x), down from 1.48x at YE 2009. YE 2010 occupancy was 88%, down from 93% in 2009. The second largest contributor to modeled losses is a loan (4.4%) secured by a portfolio of nine office properties; five of which are located in Overland Park, KS and the other four in Kansas City, MO. Portfolio performance has been on the decline. The servicer-reported YE 2010 NOI DSCR decreased to 0.98x from 1.17x at YE 2009. YE 2010 occupancy also has decreased to 61.5% from 67%, 69%, and 94% at YE 2009, YE 2008, and at issuance, respectively. Four of the nine properties in the portfolio have a debt service coverage ratio below 1.0x on a standalone basis. Additionally, according to the September 2011 rent roll, over 76% of the net rentable area expires prior to the loan's maturity in July 2017 and the current market's vacancy is 20%. There are significant upcoming near-term lease rollovers: 2012 (32.2%), 2013 (10.9%), 2014 (9.1%); 2015 (9.9%), and 2016 (14.2%). The third largest contributor to modeled losses is a loan (11%) secured by 274 mobile home communities totaling 57,179 home sites located across 23 states. The loan was transferred to special servicing in June 2010 for imminent default. The loan was modified in April 2011. The terms of the modification include a maturity date extension and additional loan enhancements. The most recently reported NOI DSCR and occupancy as of the trailing 12 months ending September 2011 was 1.92x and 80.4%. Although the servicer-reported DSCR shows improvement from the 1.31x reported at issuance, this is due to a large portion of the total mortgage having a debt service based on LIBOR, which has declined significantly since issuance. In Fitch's analysis, Fitch derived its modeled losses by applying a haircut to the YE 2010 NOI to account for further performance deterioration and applying a 10% capitalization rate to account for the condition and location of the properties. The Negative Rating Outlooks assigned were based on the lack of clarity surrounding the workout of the Empirian portfolio and the continued decline of several larger loans in the pool. Fitch has downgraded and assigned Rating Outlooks and Recovery Estimates (REs): -- $126.9 million class AM to 'BBBsf' from 'AAsf'; Outlook Negative; -- $116.6 million class AM-A to 'BBBsf' from 'AAsf'; Outlook Negative; -- $109.4 million class AJ to 'CCCsf' from 'B-'; assign 'RE 0%'; -- $100.6 million class AJ-A to 'CCCsf' from 'B-'; assign 'RE 0%'. Classes AM, AM-A, AJ, and AJ-A have also been removed from Rating Watch Negative. Fitch has also downgraded and revised and assigned REs: -- $12.2 million class B to 'CCCsf' from 'B-sf'; assign 'RE 0%'; -- $39.6 million class C to 'CCsf' from 'CCCsf'; RE revised to 0% from 100%; -- $27.4 million class D to 'CCsf' from 'CCCsf'; RE revised to 0% from 100%; -- $9.1 million class E to 'CCsf' from 'CCCsf'; RE revised to 0% from 100%; -- $18.3 million class F to 'Csf' from 'CCsf'; RE revised to 0% from 40%. In addition, Fitch has affirmed these classes: -- $781.5 million class A-1A at 'AAAsf'; Outlook Stable; -- $110.6 million class A-2 at 'AAAsf'; Outlook Stable; -- $72.7 million class A-SB at 'AAAsf'; Outlook Stable; -- $655.8 million class A-3 at 'AAAsf'; Outlook Stable; -- $21.3 million class G at 'Csf'; RE 0%; -- $33.5 million class H at 'Csf'; RE 0%; -- $24.4 million class J at 'Csf'; RE 0%; -- $5.6 million class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%; -- $0 class Q at 'Dsf'; RE 0%; -- $0 class S at 'Dsf'; RE 0%. MLFA 2007-CANADA: Moody's Reviews 'Ba1' Rating of Cl. F Notes ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of six classes and placed 13 classes of Merrill Lynch Financial Assets Inc. Series 2007-Canada 23 on review for possible downgrade: Cl. A-1, Affirmed at Aaa (sf); previously on Oct 2, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Oct 2, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Oct 2, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-J, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Oct 2, 2007 Definitive Rating Assigned Aaa (sf) Cl. B, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 2, 2007 Definitive Rating Assigned Aa2 (sf) Cl. C, A2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 2, 2007 Definitive Rating Assigned A2 (sf) Cl. D-1, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 2, 2007 Definitive Rating Assigned Baa2 (sf) Cl. D-2, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 2, 2007 Definitive Rating Assigned Baa2 (sf) Cl. E-1, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Oct 2, 2007 Definitive Rating Assigned Baa3 (sf) Cl. E-2, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Oct 2, 2007 Definitive Rating Assigned Baa3 (sf) Cl. F, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Oct 2, 2007 Definitive Rating Assigned Ba1 (sf) Cl. G, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 2, 2007 Definitive Rating Assigned Ba2 (sf) Cl. H, B1 (sf) Placed Under Review for Possible Downgrade; previously on Sep 23, 2009 Downgraded to B1 (sf) Cl. J, B3 (sf) Placed Under Review for Possible Downgrade; previously on Sep 23, 2009 Downgraded to B3 (sf) Cl. K, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Feb 24, 2011 Downgraded to Caa1 (sf) Cl. L, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb 24, 2011 Downgraded to Caa2 (sf) Cl. XP-1, Affirmed at Aaa (sf); previously on Oct 2, 2007 Definitive Rating Assigned Aaa (sf) Cl. XP-2, Affirmed at Aaa (sf); previously on Oct 2, 2007 Definitive Rating Assigned Aaa (sf) Cl. XC, Affirmed at Aaa (sf); previously on Oct 2, 2007 Definitive Rating Assigned Aaa (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Thirteen classes are placed on review for possible downgrade due to the uncertainty involving the upcoming May 2012 maturity of the pool's largest loan, the Holiday Portfolio ($85.63 million -- 21.5% of the pool). The loan, which is a 50.0% participation interest in a $171.25 million loan, is secured by ten cross- collateralized and cross-defaulted senior living properties located in different provinces in Canada. The other 50% pari-passu piece is in Merrill Lynch Financial Assets Inc. Series 2007-Canada 22. Average property occupancy was 90% as of December 2010, essentially the same as last review. Property performance has declined due to decrease in average rental rates. The loan is full recourse to sponsor Holiday Canada ULC. However, the borrower has not indicated its intention to payoff the loan at maturity. Due to the uncertainty regarding the loan payoff, Moody's is placing Classes A-J through L on review for possible downgrade. 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 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 in recovery and improvements in the office sector continue, with fundamentals in Gateway cities outperforming their suburban counterparts. However, office demand is closely tied to employment, where fundamentals remain weak, so significant improvement may be delayed. Performance in the retail sector has been mixed with on-going rent deflation and leasing challenges. Across all property sectors, 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 Fusion U.S. CMBS Transactions" published in April 2005, "Moody's Approach to Rating Canadian CMBS" published in May 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. 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 Merrill Lynch Financial Assets Inc. Series 2007- Canada 23 Classes XP-1, XP-2 and XC may be 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. 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 underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 12, the same at Moody's prior full review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.2 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated February 24, 2011. DEAL PERFORMANCE As of the January 16, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 6% to $397.91 million from $424.75 million at securitization. The Certificates are collateralized by 51 mortgage loans ranging in size from less than 1% to 22% of the pool, with the top ten loans representing 69% of the pool. One loan, representing 8% of the pool, has an investment grade credit estimate. Seventeen loans, representing 32% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. There are no loans in special servicing and there have been no realized losses to the pool to date. Moody's was provided with full year 2010 and partial year 2011 operating results for 78% and 28% of the performing pool, respectively. Excluding troubled loans, Moody's weighted average LTV is 94% compared to 96% at last full review. Moody's net cash flow reflects a weighted average haircut of 10% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding troubled loans, Moody's actual and stressed DSCRs are 1.43X and 1.07X, respectively, compared to 1.38X and 1.02X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. MLFA 2007-CANADA: Moody's Reviews 'Ba1' Rating of Cl. F Notes ------------------------------------------------------------- Moody's Investors Service placed ten CMBS classes of Merrill Lynch Financial Assets Inc. Series 2007-Canada 22 on review for possible downgrade: Cl. B, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 20, 2007 Definitive Rating Assigned Aa2 (sf) Cl. C, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 20, 2007 Definitive Rating Assigned A2 (sf) Cl. D, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 20, 2007 Definitive Rating Assigned Baa2 (sf) Cl. E, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 20, 2007 Definitive Rating Assigned Baa3 (sf) Cl. F, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 20, 2007 Definitive Rating Assigned Ba1 (sf) Cl. G, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Oct 6, 2011 Downgraded to Ba3 (sf) Cl. H, B2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 6, 2011 Downgraded to B2 (sf) Cl. J, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Oct 6, 2011 Downgraded to Caa1 (sf) Cl. K, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Dec 2, 2010 Downgraded to Caa2 (sf) Cl. L, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Dec 2, 2010 Downgraded to Caa3 (sf) RATINGS RATIONALE The classes were placed on review for possible downgrade due to uncertainty about the borrower's ability to repay or refinance the pool's largest loan. The loan in question, the Holiday Portfolio Loan ($86 million -- 22% of the pool), is currently on the watchlist due to its upcoming May 2012 maturity. The loan is a 50% pari passu interest in a $171 million first mortgage, which is secured by ten cross-collateralized and cross-defaulted senior living properties located in six different provinces in Canada. The other 50% pari-passu piece is in Merrill Lynch Financial Assets Inc. Series 2007-Canada 23. The portfolio's overall performance has been stable since last review, however, the borrower has not indicated its intention to repay the loan at maturity. Due to the uncertainty regarding the loan payoff, Moody's is placing Classes B through L on review for possible downgrade. 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 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 in recovery and improvements in the office sector continue, with fundamentals in Gateway cities outperforming their suburban counterparts. However, office demand is closely tied to employment, where fundamentals remain weak, so significant improvement may be delayed. Performance in the retail sector has been mixed with on-going rent deflation and leasing challenges. Across all property sectors, 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 U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating Canadian CMBS" published in May 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. 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 MLFA 2007-Canada 22 Classes XP-1, XP-2 and XC may be 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. 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 underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 13, the same at Moody's prior full review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.2 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated October 6, 2011. DEAL PERFORMANCE As of the February 13, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 11% to $388 million from $434 million at securitization. The Certificates are collateralized by 61 mortgage loans ranging in size from less than 1% to 22% of the pool, with the top ten loans representing 61% of the pool. One loan, representing less than 1% of the pool, has defeased an is secured by US Government securities. Twenty-five loans, representing 43% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated resulting in a $2.5 million realized loss to the trust (44% loss severity). One loan, representing less than 1% of the pool is in special servicing. Moody's analysis will focus on the refinancing prospects for the Holiday Portfolio Loan and the performance of the overall pool. MORGAN STANLEY: Moody's Raises Rating of Class I-A Notes to 'Ba2' ----------------------------------------------------------------- Moody's Investors Service announced this rating action on Morgan Stanley Managed ACES SPC Series 2005-1, 2006-2, and 2006-4, a collateralized debt obligation transaction (the " Collateralized Synthetic Obligation" or "CSO"). The CSO references a portfolio of synthetic corporate senior unsecured and subordinated bonds. Issuer: Morgan Stanley Manged ACES SPC, Series 2005-1 US$100,000,000 Class I-A Secured Floating Rate Notes due 2013 Notes, Upgraded to Ba2 (sf); previously on May 27, 2011 Upgraded to Ba3 (sf) US$96,000,000 Class II-A Secured Floating Rate Notes due 2013 Notes, Upgraded to Caa1 (sf); previously on May 27, 2011 Upgraded to Caa2 (sf) EUR38,000,000 Class II-B Secured Floating Rate Notes due 2013 Notes, Upgraded to Caa1 (sf); previously on May 27, 2011 Upgraded to Caa2 (sf) Issuer: Morgan Stanley Managed ACES SPC, Series 2006-2 EUR20,000,000 Class III Secured Fixed Rate Notes due 2013 Notes, Upgraded to Caa3 (sf); previously on February 12, 2009 Downgraded to Ca (sf) Issuer: Morgan Stanley Managed ACES SPC, Series 2006-4 EUR5,000,000 Class IA Secured Floating Rate Notes due 2013 Notes, Upgraded to Ba2 (sf); previously on September 28, 2010 Upgraded to B1 (sf) EUR5,000,000 Class IB Secured Floating Rate Notes due 2013 Notes, Upgraded to Ba2 (sf); previously on September 28, 2010 Upgraded to B1 (sf) EUR5,000,000 Class II Secured Floating Rate Notes due 2013 Notes, Upgraded to Caa1 (sf); previously on June 3, 2011 Upgraded to Caa2 (sf) RATINGS RATIONALE Moody's rating action is the result of the shortened time to maturity of the CSO, the level of credit enhancement remaining in the transactions, and improvement in the credit quality of the underlying portfolio. The CSO has a remaining life of 1.1 years. Since closing, the portfolio has experienced eight credit events, equivalent to 8% of the portfolio based on the portfolio notional value at closing. Since inception, the subordination of the rated tranches have been reduced by 4.17% due to credit events on Ambac Financial Group Inc., The Rouse Company, Federal Home Loan Mortgage Corporation, Federal National Mortgage Association, Lehman Brothers Holdings Inc., Quebecor World Inc., and Washington Mutual Bank. In addition, the portfolio is exposed to Clear Channel Communications Inc., Harrah's Operating Company Inc., and Residential Capital, LLC, none of which have had credit events, but nonetheless are rated Ca. Since the last rating action in May 2011, the ten-year weighted average rating factor (WARF) of the portfolio declined from 1714 to 1611, excluding settled credit events. The credit quality of the portfolio continues to improve with 10.1% of the portfolio rated Caa1 or below, compared to 13% from the last rating action. There are 16 reference entities with a negative outlook compared to 7 that are positive, and 4 entities on watch for downgrade compared to 1 on watch for upgrade The principal methodology used in these ratings was "Moody's Approach to Rating Corporate Collateralized Synthetic Obligations" published in September 2009. Moody's analysis for this transaction is based on CDOROM v2.8. Moody's rating action factors in a number of sensitivity analyses and stress scenarios, discussed below. Results are given in terms of the number of notches' difference versus the base case, where higher notches correspond to lower expected losses, and vice- versa: * Market Implied Ratings are modeled in place of the corporate fundamental ratings to derive the default probability of the reference entities in the portfolio. The gap between an MIR and a Moody's corporate fundamental rating is an indicator of the extent of the divergence in credit view between Moody's and the market. The results from this run is zero to two notches lower. * Moody's conducts a sensitivity analysis consisting of notching down by one the ratings of reference entities in the Banking, Finance, and Real Estate sectors. The result from this run is zero to one notch below the one modeled under the base case. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Corporate Synthetic Obligations", key model inputs used by Moody's in its analysis may be different from the manager/arranger's reported numbers. In particular, rating assumptions for all publicly rated corporate credits in the underlying portfolio have been adjusted for "Review for Possible Downgrade", "Review for Possible Upgrade", or "Negative Outlook". Moody's analysis of CSOs is subject to uncertainties, the primary sources of which include complexity, governance and leverage. Although the CDOROM model captures many of the dynamics of the Corporate CSO structure, it remains a simplification of the complex reality. Of greatest concern are (a) variations over time in default rates for instruments with a given rating, (b) variations in recovery rates for instruments with particular seniority/security characteristics and (c) uncertainty about the default and recovery correlations characteristics of the reference pool. Similarly on the legal/structural side, the legal analysis although typically based in part on opinions (and sometimes interpretations) of legal experts at the time of issuance, is still subject to potential changes in law, case law and the interpretations of courts and (in some cases) regulatory authorities. The performance of this CSO is also dependent on on- going decisions made by one or several parties, including the Manager and the Trustee. Although the impact of these decisions is mitigated by structural constraints, anticipating the quality of these decisions necessarily introduces some level of uncertainty in Moody's assumptions. Given the tranched nature of CSO liabilities, rating transitions in the reference pool may have leveraged rating implications for the ratings of the CSO liabilities, thus leading to a high degree of volatility. All else being equal, the volatility is likely to be higher for more junior or thinner liabilities. The base case scenario modeled fits into the central macroeconomic scenario predicted by Moody's of a sluggish recovery scenario in the corporate universe. Should macroeconomics conditions evolve, the CSO ratings will change to reflect the new economic developments. MORGAN STANLEY: S&P Lowers Rating on Class L Cert. to 'D' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'D (sf)' from 'CCC- (sf)' on the class L commercial mortgage pass-through certificates from Morgan Stanley Capital I Inc.'s series 2005-XLF, a U.S. commercial mortgage-backed securities (CMBS) transaction. "Concurrently, we withdrew our 'BBB+ (sf)' rating on class K from the same transaction," S&P said. "The rating actions follow the liquidation of the sole remaining loan in the trust, the Metrocenter Mall loan. We downgraded the class L certificates to 'D (sf)' following principal losses detailed in the Feb. 15, 2012, trustee remittance report. We also withdrew our 'BBB+ (sf)' rating on class K following the repayment in full of the class' principal balance," S&P said. "We attributed the principal losses on class L to the liquidation of the remaining loan in the trust, the $105.2 million Metrocenter Mall loan, as reported in the February 2012 trustee remittance report. The specially serviced loan was liquidated at a loss severity of 89.2% (totaling $93.9 million in principal losses). Consequently, the principal balance on class K was repaid in full, while class L sustained a 78.8% loss to its $36.8 million original principal balance. In addition, class M, which we previously downgraded to 'D (sf)', lost 100% of its $64.9 million original principal balance," 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/1111441.pdf OCTAGON INVESTMENT: Moody's Gives (P)Ba3 Rating to Class E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned these provisional ratings to notes to be issued by Octagon Investment Partners XII, Ltd.: US$191,250,000 Class A Senior Secured Floating Rate Notes due 2023 (the "Class A Notes"), Assigned (P) Aaa (sf), US$15,750,000 Class E Secured Deferrable Floating Rate Notes due 2023 (the "Class E Notes"), Assigned (P) Ba3 (sf). Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating (if any) may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Class A Notes and the Class E Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. Octagon XII is a managed cash flow CLO. The issued notes are collateralized primarily by broadly syndicated first-lien senior secured corporate loans. At least 90% of the portfolio must be invested in senior secured loans or eligible investments and up to 10% of the portfolio may consist of second-lien loans, senior unsecured loans, senior secured notes and bonds. The underlying collateral pool is expected to be approximately 70% ramped up as of the closing date. Octagon Credit Investors, LLC, an affiliate of CCMP Capital Advisors, LLC, will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity during the transaction's three-year reinvestment period, including discretionary trading. Thereafter, sales of securities that are defaulted, credit improved, or credit risk are allowed and purchases of additional collateral obligations are permitted, subject to certain conditions. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. For modeling purposes, Moody's used these base-case assumptions: Par amount: $300,000,000 Diversity of 55 WARF of 2500 Weighted Average Spread of 3.75% Weighted Average Coupon of 6.50% Weighted Average Recovery Rate of 44.9% Weighted Average Life of 7.5 years. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis which was an important component in determining the ratings assigned to the Class A Notes and the Class E Notes. This sensitivity analysis includes increased default probability relative to the base case. A summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Class A Notes and the Class E Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Moody's WARF + 15% (2875) Class A Notes: 0 Class E Notes: -1 Moody's WARF +30% (3250) Class A Notes: -1 Class E Notes: -1. The V Score for this transaction is Medium/High. This V Score has been assigned in a manner similar to the Medium/High V score assigned for the global cash flow CLO sector, as described in the special report titled, "V Scores and Parameter Sensitivities in the Global Cash Flow CLO Sector," dated July 6, 2009. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction, rather than individual tranches. Further details regarding Moody's analysis of this transaction may be found in the upcoming Pre-Sale Report, available soon on Moodys.com. The principal methodology used in assigning the ratings to the Class A Notes and the Class E Notes was "Moody's Approach to Rating Collateralized Loan Obligations," published in June 2011. OCTAGON INVESTMENT: S&P Raises Rating on Class D Notes to 'BB' -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, B, C-1, C-2, and D notes from Octagon Investment Partners V Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Octagon Credit Investors. "The transaction's reinvestment period ends this month (February 2012). The deal has fewer defaulted assets in its collateral pool and a stronger credit quality than when we lowered our ratings on the notes in December 2009, following the application of our September 2009 corporate collateralized debt obligation (CDO) criteria," S&P said. "Based on the January 2012 monthly trustee report, the transaction has $0 in defaulted assets, down from $12.08 million in the October 2009 monthly report, which we used for our December 2009 rating actions. Since that time, the transaction has sold many of the defaulted assets at higher prices than the assumed recovery rates," S&P said. "The transaction's structural provisions include a class D reinvestment overcollateralization (O/C) test that is measured in the interest section of the waterfall during the reinvestment period. Failure of the test diverts the cure amount towards reinvestment. The transaction was failing this test in October 2009 (103.38% vs. minimum requirement of 103.80%), causing available interest proceeds to be reinvested until the test passes. This ratio has since increased to 106.0%, and the transaction is currently passing this test," S&P said. These factors contributed to an improvement in the transaction's O/C tests. The trustee reported the O/C ratios in the January 2012 monthly report: * The class A O/C ratio was 124.2%, compared with a reported ratio of 121.1% in October 2009; * The class B O/C ratio was 114.0%, compared with a reported ratio of 111.2% in October 2009; * The class C O/C ratio test was 107.8%, compared with a reported ratio of 105.09% in October 2009; and * The class D O/C ratio test was 106.0%, compared with a reported ratio of 103.38% in October 2009. In addition, the credit quality of the collateral also improved during this period. The January 2012 trustee report indicates that the transaction had $1.49 million of assets rated 'CCC+' and below, down from $19.98 million in October 2009. "We raised our ratings on the class A-1, A-2, B, C-1, C-2, and D notes due to an increase in the credit support available to them," 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. 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 Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com Rating And Creditwatch Actions Octagon Investment Partners V Ltd. Rating Class To From A-1 AA (sf) A+ (sf) A-2 AA (sf) A+ (sf) B A- (sf) BBB- (sf) C-1 BB+ (sf) BB- (sf) C-2 BB+ (sf) BB- (sf) D BB (sf) B+ (sf) OCTAGON INVESTMENT: S&P Rates Class E Deferrable Notes 'BB-' ------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Octagon Investment Partners XII Ltd./ Octagon Investment Partners XII LLC's floating- and fixed-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 Feb. 21, 2012. 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 class F and subordinated notes. * The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (excluding excess spread) and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. * 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 0.34%-11.19%," 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. * "The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification up to 50% of excess interest proceeds that are available prior to paying uncapped administrative expenses and fees, subordinated hedge termination payments, portfolio manager incentive fees, and class F and subordinated note payments to principal proceeds for the purchase of additional collateral assets during the reinvestment period," 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/1111441.pdf Preliminary Ratings Assigned Octagon Investment Partners XII Ltd./Octagon Investment Partners XII LLC Class Rating Amount (mil. $) A AAA (sf) 191.25 B-1 AA (sf) 18.75 B-2 AA (sf) 18.75 C (deferrable) A (sf) 15.75 D (deferrable) BBB (sf) 15.00 E (deferrable) BB- (sf) 15.75 F and subordinated notes NR PACIFIC SHORES: Moody's Lowers Rating of Class A Notes to 'Ba1' --------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one class of Notes issued by Pacific Shores CDO, Ltd. The class of notes affected by the rating action is: US$532,000,000 Class A First Priority Senior Secured Floating Rate Notes due 2037 (current balance of $71,176,290), Downgraded to Ba1 (sf); previously on May 5, 2011 Upgraded to Baa1 (sf). RATINGS RATIONALE According to Moody's, the rating downgrade is the result of the Event of Default under section 5.1(i) declared by the Trustee on December 23, 2011. The Event of Default was declared because the Class A/B Overcollateralization Ratio was less than 100%. As provided in Article V of the Indenture during the occurrence and continuance of an Event of Default, certain parties to the transaction may be entitled to direct the Trustee to take particular actions with respect to the Collateral and the Notes, including the acceleration of the transaction and the sale and liquidation of the assets. The severity of losses of certain tranches may be different depending on the timing and outcome of a liquidation. Pacific Shores CDO, Ltd. is a collateralized debt obligation backed primarily by a portfolio of RMBS and ABS originated between 1998 and 2004. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in November 2010. Moody's notes that in arriving at its ratings of SF CDOs, there exist a number of sources of uncertainty, operating both on a macro level and on a transaction-specific level. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and the commercial and residential 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. Among the uncertainties in the residential real estate property market are those surrounding future housing prices, pace of residential mortgage foreclosures, loan modification and refinancing, unemployment rate and interest rates. REALT 2007-2: Moody's Affirms Rating of Cl. F Notes at 'Ba1' ------------------------------------------------------------ Moody's Investors Service affirmed the ratings of 19 CMBS classes of Real Estate Asset Liquidity Trust Commercial Mortgage Pass- Through Certificates, Series 2007-2: Cl. A-1, Affirmed at Aaa (sf); previously on Jun 27, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Jun 27, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed at Aaa (sf); previously on Jun 27, 2007 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Jun 27, 2007 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed at A2 (sf); previously on Jun 27, 2007 Definitive Rating Assigned A2 (sf) Cl. D-1, Affirmed at Baa2 (sf); previously on Jun 27, 2007 Definitive Rating Assigned Baa2 (sf) Cl. D-2, Affirmed at Baa2 (sf); previously on Jun 27, 2007 Definitive Rating Assigned Baa2 (sf) Cl. E-1, Affirmed at Baa3 (sf); previously on Jun 27, 2007 Definitive Rating Assigned Baa3 (sf) Cl. E-2, Affirmed at Baa3 (sf); previously on Jun 27, 2007 Definitive Rating Assigned Baa3 (sf) Cl. F, Affirmed at Ba1 (sf); previously on Jun 27, 2007 Definitive Rating Assigned Ba1 (sf) Cl. G, Affirmed at Ba3 (sf); previously on Feb 3, 2010 Downgraded to Ba3 (sf) Cl. H, Affirmed at B2 (sf); previously on Feb 3, 2010 Downgraded to B2 (sf) Cl. J, Affirmed at B3 (sf); previously on Feb 3, 2010 Downgraded to B3 (sf) Cl. K, Affirmed at Caa1 (sf); previously on Feb 3, 2010 Downgraded to Caa1 (sf) Cl. L, Affirmed at Caa2 (sf); previously on Feb 3, 2010 Downgraded to Caa2 (sf) Cl. XP-1, Affirmed at Aaa (sf); previously on Jun 27, 2007 Definitive Rating Assigned Aaa (sf) Cl. XP-2, Affirmed at Aaa (sf); previously on Jun 27, 2007 Definitive Rating Assigned Aaa (sf) Cl. XC-1, Affirmed at Aaa (sf); previously on Jun 27, 2007 Definitive Rating Assigned Aaa (sf) Cl. XC-2, Affirmed at Aaa (sf); previously on Jun 27, 2007 Definitive Rating Assigned Aaa (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's 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 approximately 1.7% of the current deal balance. At last review, Moody's cumulative base expected loss was approximately 1.9%. 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 extent of the slowdown in growth in the current macroeconomic environment and 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 in recovery and improvements in the office sector continue, with fundamentals in Gateway cities outperforming their suburban counterparts. However, office demand is closely tied to employment, where fundamentals remain weak, so significant improvement may be delayed. Performance in the retail sector has been mixed with on-going rent deflation and leasing challenges. Across all property sectors, 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 Fusion U.S. CMBS Transactions" published in April 2005, and "Moody's Approach to Rating Canadian CMBS" published in May 2000. 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 ratings on the interest-only classes of REALT 2007-2 (Classes XP-1, XP-2, XC-1, and XC-2) may be 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. 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 pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 22, the same as at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated May 26, 2010. DEAL PERFORMANCE As of the February 13, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 8.8% to $344.1 million from $377.3 million at securitization. The Certificates are collateralized by 47 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 59% of the pool. The pool includes one loan with an investment- grade credit estimate, representing 11% of the pool. There are no defeased loans in the pool. Two loans, representing 2% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. To date, no loans have liquidated from the pool. There is one loan in special servicing which represents the sole troubled loan in the pool. The specially serviced loan is the 3007 57th Avenue Loan ($2.6 million -- 0.7% of the pool). The loan is secured by an industrial property in Calgary, Alberta. The loan matured in January 2012. Per the special servicer, the borrower intends to pay off the loan within 30 days. A recent third-party report indicates a property value in excess of the outstanding loan balance. Moody's analysis attributes no losses to the trust from this loan. Moody's was provided with full-year 2010 and partial-year 2011 operating results for 93% and 20% of the performing pool, respectively. Moody's weighted average LTV is 95%, compared to 94% at last full review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3% Moody's actual and stressed DSCRs are 1.31X and 1.10X, respectively, compared to 1.35X and 1.11X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit estimate is the Atrium Pooled Interest Loan ($38.7 million -- 11% of the pool), which represents a participation interest in the senior component of a $190 million mortgage loan. There is a subordinate B Note held outside the trust. The loan is secured by a Class A retail and office complex in the Downtown North submarket of Toronto, Ontario. The property enjoys a prime location and a direct connection to the TTC subway network. The property was 99% leased as of May 2011 compared to 98% at year-end 2010. The lead tenant is the Canadian Imperial Bank of Commerce (CIBC) (Moody's Senior Unsecured Rating Aa2, stable outlook). The loan sponsor is H&R REIT, of Canada. Moody's credit estimate and stressed DSCR are A2 and 1.73X, respectively, compared to A2 and 1.62X at last review. The top three performing conduit loans represent 18.4% of the pool. The largest loan is the Sundance Pooled Interest Loan ($25.5 million -- 7.4% of the pool), which represents a participation interest in a $60 million loan. The loan is secured by a 180 million square foot Class A office property in Calgary, Alberta. WorleyParsons Canada Services, Ltd. is the lead tenant at the property, occupying approximately 73% of NRA. The property is 100% leased, which is the same as at last Moody's review and at securitization. Moody's current LTV and stressed DSCR are 100% and 0.98X, respectively, compared to 100% and 0.97X at last review. The second-largest loan is the 55 St. Clair Pooled Interest Loan ($19.0 million -- 5.5% of the pool), which represents a participation interest in a $38.1 million mortgage loan. The loan is secured by two multi-tenant office buildings in the Midtown business district of Toronto, Ontario. The sponsor is GE Real Estate. The property was 89% leased at year-end 2010 compared to 98% in April 2010. Moody's current LTV and stressed DSCR are 93% and 1.04X, respectively, compared to 87% and 1.11X at last review. The third-largest loan is the Place Louis Riel Loan ($18.9 million -- 5.5% of the pool). The loan is secured by a 22-story apartment suite-style boutique hotel located in downtown Winnipeg, Manitoba. The hotel is currently undergoing a floor-by-floor renovation. ADR was $103 for Fiscal Year 2010-2011, ending in July, which was similar to prior year performance. Fiscal Year 2010-2011 average occupancy was 54%, down from 58% in the preceding year. Occupancy for the second and third quarters of 2011, however, was vastly improved, averaging nearly 70%. Moody's current LTV and stressed DSCR are 116% and, 0.97X respectively, compared to 96% and 1.19X at last review. RESTRUCTURED ASSET: Moody's Raises Rating of Cl. A-1B Notes to Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the rating of one class of notes issued by Restructured Asset Backed Securities, Series 2003- 2. Rating action is: US$6,000,000 Class A-1B Floating Rate Notes due July 2037, Upgraded to Ba1 (sf); previously on February 3, 2010 Downgraded to Ba2 (sf). RATINGS RATIONALE Restructured Asset Backed Securities, Series 2003-2, issued on June 30, 2003, is a repackaging of the Class A-1L Notes issued by Aspen Funding I, Ltd., a collateralized debt obligation issuance that is backed by a portfolio of ABS securities, including exposure to Residential Mortgage-Backed Securities. US$56,000,000 of the Underlying Notes was packaged into two tranches, US$50,000,000 of Class A-1A Notes and US$6,000,000 of Class A-1B Notes. The Class A-1A Notes have delevered and currently have an outstanding balance of US$200,751. The outstanding balance of the Class A-1A Notes is now insignificant enough that the Class A-1B Notes are essentially a pass-through of the Underlying Notes. Moody's rating of the Class A-1B Notes is directly linked to, and will change as a result of, Moody's rating assigned to the Underlying Notes. The Moody's rating assigned to the Underlying Notes issued by Aspen Funding I, Ltd. is currently Ba1, and therefore, Moody's upgraded its rating on the Class A-1B notes to Ba1. The methodologies used in this rating were "Moody's Refines Its Approach to Rating Structured Notes" published in July 1997, "Rating CDO Repacks: An Application Of The Structured Note Methodology" published in February 2004, and "Using the Structured Note Methodology to Rate CDO Combo-Notes" published in February 2004. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies. REVE SPC: S&P Lowers Rating on Class A Notes to 'D' on Losses ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class A notes issued by REVE SPC's series 55, a synthetic collateralized debt obligation (CDO) transaction to 'D (sf)' from 'CCC- (sf)'. "The downgrade follows a number of credit events within the transaction's underlying pool of corporate reference entities. We received final valuations on the credit events in the underlying portfolio, which indicated that losses in the portfolio had caused the notes to incur partial principal losses," 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 Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at; http://standardandpoorsdisclosure-17g7.com ROSEDALE CLO: S&P Lowers Rating on Class D Notes to 'BB+' --------------------------------------------------------- Standard & Poor's Ratings Services lowered and removed from CreditWatch with negative implications its rating on the class D notes from Rosedale CLO II Ltd. "In addition, we affirmed our rating on the class E notes and withdrew our ratings on the class A, B, and C notes following the complete paydown of these notes on the most recent payment dates," S&P said. "On Jan. 10, 2012, we placed the ratings on classes B, C, and D notes on CreditWatch with negative implications, and we lowered the rating on the class E notes, following notice from the transaction's collateral manager, JMP Credit Advisors LLC, that the noteholders had directed the manager to liquidate the collateral portfolio," S&P said. "Based on various redemption statements received from the trustee, the class A and B notes were paid down in full on Jan. 20, 2012 payment date, from outstanding balances of $37.38 million and $26.00 million. The class C notes received a partial payment of $2.40 million on the January 2012 payment date and were paid off in full the remaining $12.60 million on the Feb. 14, 2012 payment date, at which time the class D notes received a $10.40 million dollar partial paydown, leaving $3.00 million outstanding," S&P said. "Based on information received from the collateral manager, following the February 2012 payment date, the collateral currently comprises $10.47 million remaining to be liquidated. We are lowering our rating on the class D notes to address the potential market value related risk and uncertainty around the timing of the liquidation of the remaining collateral to pay the class down," S&P said. "We may take additional rating actions after completion of the liquidation and receipt of the final trustee report. Under our criteria, we would likely lower to 'D (sf)' any rated note that realizes a loss upon completion of the liquidation process," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the CLO notes remain consistent with the credit enhancement available to support them and will take rating actions as it deems necessary. 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 Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at; http://standardandpoorsdisclosure-17g7.com Rating And Creditwatch Actions Rosedale CLO II Ltd. Rating Class To From A NR AA+ (sf) B NR AA- (sf)/Watch Neg C NR A- (sf)/Watch Neg D BB+ (sf) BBB- (sf)/Watch Neg Rating Affirmed Rosedale CLO II Ltd. Class Rating E CC (sf) NR -- Not rated. SCORE TRUST: Moody's Reviews Rating of Asset-Backed Notes --------------------------------------------------------- Moody's Investors Service has placed on review for possible downgrade the rating on one class of asset-backed notes (Notes) issued by SCORE Trust (SCORE). The Notes are backed by an undivided co-ownership interest in a revolving pool of approximately $500 million consumer credit card receivables generated by holders of Sears Canada private label cards. Sears Canada card receivables are serviced by JPMorgan Chase Bank N.A. (Toronto Branch). Sears Canada is majority owned by Sears Holdings Corp (Sears) (B3 negative). JPMorgan Chase Bank N.A. (Toronto Branch) is a branch of JPMorgan Chase Bank N.A., which is a United States national banking association. RATINGS RATIONALE This review is driven primarily by Moody's downgrade of Sears to B3 from B1 on January 4, 2012, as well as weakening revenue and margin trends at Sears Canada. The private label credit cards which collateralize the Notes can only be used for purchases at Sears Canada. Therefore the operating and financial strength of Sears and Sears Canada are important factors in Moody's determination of ratings on the Notes because the ability of cardholders to continue to use these cards is a significant driver of trust collateral performance in an early amortization scenario. The Sears downgrade to B3 implies a higher probability of default and results in a weaker credit profile for SCORE, holding other variables constant. Our review will also take into account Moody's announcement on February 15 that it is reviewing for possible downgrade the long- term unsecured rating and unsupported Bank Financial Strength Rating (BFSR) of JPMorgan Chase Bank, N.A. (Aa1 and B, respectively). From a securitization perspective, the financial strength of the sponsor (i.e. the seller/servicer) is also an important consideration in Moody's credit evaluation of the related ABS, as an issuer's ongoing willingness and ability to maintain card utility (i.e. the purchase rate) is a significant driver of trust collateral performance in an early amortization scenario. A downgrade of a sponsor's rating is credit negative for the related card ABS program. Moody's performance expectations for SCORE are unchanged. The current expected range for the charge-off rate is 4.0% - 6.0%, for the principal payment rate is 12.0% - 15.0%, and for the yield is 16.0% - 18.0%. These performance expectations 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 a given range may indicate that the collateral's credit quality is stronger or weaker than anticipated when the related securities were rated. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. The primary source of assumption uncertainty relates to the outlook for Sears and Sears Canada. Additional uncertainties include still elevated (relative to pre-recession) unemployment rates and increasing consumer debt levels. During the review process, which typically takes up to 90 days, Moody's will reassess whether the ability and willingness to maintain card utility under stress scenarios is consistent with the current credit enhancement and ratings on the ABS. A downgrade, if any, is not likely to exceed two notches. The complete rating actions are: Issuer: SCORE Trust CAD$22,500,000 Series 2004-1 Subordinated Notes, A2 (sf) Placed on Review for Possible Downgrade; previously on February 20, 2004 Assigned A2 (sf) METHODOLOGY The principal methodology used in this rating "Moody's Approach To Rating Credit Card Receivables-Backed Securities", published in April 2007. SEAWALL SPC: S&P Lowers Rating on Notes From 'B' to 'CCC-' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the notes from Seawall SPC's series 2008 CMBS CDO-11, a U.S. synthetic collateralized debt obligation (CDO) transaction. "Our rating on Seawall SPC's series 2008 CMBS CDO-11 is weak- linked to our ratings on the underlying commercial mortgage backed securities (CMBS) collateral. We lowered our rating on the U.S. synthetic CDO tranche in conjunction with our rating actions that affected the related CMBS tranches that back this note," 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 Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at; http://standardandpoorsdisclosure-17g7.com Rating Lowered Seawall SPC Series 2008 CMBS CDO-11 Rating Class To From Notes CCC- (sf) B (sf) TRAPEZA CDO: Moody's Raises Rating of Class B Notes to 'Ba1' ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on these two notes issued by Trapeza CDO IV, Ltd. US$95,000,000 Class A1B Second Priority Senior Secured Floating Rate Notes Due 2034 (current balance of $95,000,000), Upgraded to A3 (sf); previously on March 27, 2009 Downgraded to Ba1 (sf); US$33,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2034 current balance of $33,000,000), Upgraded to Ba1 (sf); previously on March 27, 2009 Downgraded to B2 (sf). RATINGS RATIONALE According to Moody's, the rating upgrade actions taken are primarily the result of significant deleveraging of the Class A-1A notes and the improvement in the credit quality of the underlying portfolio. The deleveraging is due to significant pay down of the Class A1A notes, which have received about $70.5 million since the last rating action due to overcollateralization test failures. The $70.5 million of pay down came from a combination of excess interest proceeds as well as sales and redemptions of underlying assets. Four assets have been redeemed at par and two distress assets were sold at significant discount. As a result, there has been improvement in the Class A1A notes' par coverage since the last rating action. Going forward, the Class A1A notes will continue to benefit from the diversion of excess interest to cure the coverage test failures. As of the latest trustee report dated January 15, 2012, the Class A/B Overcollateralization Test is still failing at 116.72% (limit 141.50%), and the Class C/D Overcollateralization Test is still failing at 74.247% (limit 102.00%), versus 123.698% and 89.283% respectively, as reported by the trustee as of March 15, 2009, values that were used for the last rating action. In addition, the credit quality of the portfolio has improved as indicated by a decrease in Moody's-calculated weighted average rating factor (WARF) to 522, from 1305 as of the last rating action date. Trapeza CDO IV, Ltd., issued on October 17, 2003, is a collateralized debt obligation backed by a portfolio of bank trust preferred securities (the 'TruPS CDO'). On March 27, 2009, the last rating action date, Moody's downgraded the ratings on 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 remains negative although there have been some signs of stabilization. The pace of bank failures continues to decline in 2012 compared to 2011, 2010 and 2009, 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 the 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 Q3-2011. 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 178 points from the base case of 522, the model results in an expected loss that is one notch worse than the result of the base case for the Class A-1 Notes. Similarly, if the WARF is decreased by 100 points, 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 also considers 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. TRAPEZA CDO: Moody's Raises Rating for Class B-1 Notes to 'Ba2' --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on these five notes issued by Trapeza CDO I, Ltd. US$161,500,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2032 (current balance of $19,453,575.78), Upgraded to Aa3 (sf); previously on June 24, 2010 Downgraded to Baa1 (sf); US$20,000,000 Class A-2 First Priority Senior Secured Fixed Rate Notes Due 2032 (current balance of $2,409,111.54), Upgraded to Aa3 (sf); previously on June 24, 2010 Downgraded to Baa1 (sf); US$54,600,000 Class B-1 Second Priority Senior Secured Floating Rate Notes Due 2032 (current balance of $54,600,000), Upgraded to Ba2 (sf); previously on June 24, 2010 Downgraded to B3 (sf); US$2,000,000 Class B-2 Second Priority Senior Secured Floating Rate Notes Due 2032 (current balance of $2,000,000), Upgraded to Ba2 (sf); previously on June 24, 2010 Downgraded to B3 (sf); US$16,000,000 Class B-3 Second Priority Senior Secured Fixed Rate Notes Due 2032 (current balance of $16,000,000), Upgraded to Ba2 (sf); previously on June 24, 2010 Downgraded to B3 (sf). RATINGS RATIONALE According to Moody's, the rating upgrade actions taken are primarily the result of deleveraging of the Class A-1 and Class A- 2 notes (together the "Class A notes") and the improvement in the credit quality of the underlying portfolio. The deleveraging is due to a pay down of the Class A notes, which have received about $4.7 million pro rata since the last rating action due to overcollateralization test failures. The $4.7 million of pay down came from a combination of excess interest proceeds and redemptions of underlying assets. As a result of this deleveraging, there has been improvement in the Class A notes' par coverage since the last rating action. Currently, the Class A notes' par coverage is around 451% based on Moody's calculation and will improve further after the next payment date when $11.5 million in principal proceeds are used to pay down the Class A notes. Going forward, the Class A notes will continue to benefit from the diversion of excess interest to cure the coverage test failures. As of the latest trustee report dated January 31, 2012, the Class A/B Overcollateralization Test is still failing at 106.08% (limit 125.75%), and the Class C/D Overcollateralization Test is still failing at 64.84% (limit 104.00%), versus 102.026% and 65.163% respectively, as reported by the trustee as of May 24, 2010, values that were used for the last rating action. In addition, the credit quality of the portfolio has improved as indicated by a decrease in Moody's-calculated weighted average rating factor (WARF) to 588, from 1144 as of the last rating action date. Trapeza CDO I, Ltd., issued on November 19, 2002, is a collateralized debt obligation backed by a portfolio of bank trust preferred securities (the "TruPS CDO"). On June 24, 2010, the last rating action date, Moody's downgraded the ratings of five 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 remains negative although there have been some signs of stabilization. The number of bank failures continues to decline in 2012 compared to 2011, 2010 and 2009, 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 the 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 Q3-2011. 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 162 points from the base case of 588, the model results in an expected loss that is one notch worse than the result of the base case for the Class A-1 Notes. Similarly, if the WARF is decreased by 138 points, 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 also considers 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. UNITED ARTISTS: Moody's Affirms 'B3' Rating of 1995-A Notes ----------------------------------------------------------- Moody's Investors Service affirmed the rating of United Artists Theatre Circuit, Inc. 1995-A Pass Through Trust 9.3% Pass Through Certificates, Series 1995-A: 1995-A, Affirmed at B3; previously on Mar 23, 2011 Upgraded to B3 RATINGS RATIONALE The rating of the Certificates is affirmed at B3 based on the current rating of Regal Entertainment Group (senior unsecured debt rating B3; stable outlook). As of the January 2012 distribution date, the Certificate balance has paid down by approximately 77% to $26.9 million from $116.7 million at securitization. The transaction is supported by a portfolio of movie theatres that are subject to fully bondable, triple net leases to Regal. The lease payments are sufficient to pay all principal and interest for the Certificates. However, the Certificates are not obligations of, nor guaranteed by Regal Entertainment Group. The principal methodology used in this rating was "Commercial Real Estate Finance: Moody's Approach to Rating Credit Tenant Lease Financings" published in November 2011. There was no model used in the review of this transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. ZAIS INVESTMENT: S&P Raises Rating on Class A-4 Notes to 'BB-' -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class S, A-1a, A-1b, A-2, A-3, and A-4 notes from Zais Investment Grade Ltd. X, a U.S. collateralized debt obligation (CDO) transaction predominantly backed by tranches from other CDOs of corporate securities (a CDO of corporate CDOs). The transaction is managed by Zais Group LLC. "At the same time, we affirmed our ratings on class B, C, and D notes," S&P said. "The upgrades reflect improved performance in the deal's underlying asset portfolio since we downgraded the notes on May 25, 2010. As of the Dec. 29, 2011 trustee report, the transaction had $77 million in defaulted assets, compared with $132 million noted in the March 1, 2010, trustee report, which we referenced for our May 2010 rating actions," S&P said. "Additionally, there has been a paydown of $6.54 million to the class A-1 notes since March 2010. The class S notes have interest and principal payments, per a schedule, senior in the transaction's payment waterfall on each distribution date. The class S notes have paid down $3.9 million during the same period," S&P said. Although the transaction is currently failing all the overcollateralization (O/C) tests, the collateralization available to support the rated notes has increased. The trustee reported the O/C ratios in the Dec. 29, 2011, monthly report: * The A O/C ratio was 94.80%, compared with a reported ratio of 71.27% in March 2010; * The B O/C ratio was 84.58%, compared with a reported ratio of 63.94% in March 2010; * The C O/C ratio was 78.62%, compared with a reported ratio of 59.78% in March 2010; and * The D O/C ratio was 77.67%, compared with a reported ratio of 59.14% in March 2010. The affirmations reflect the credit support available to the class B, C, and D notes at the current rating levels. "We will continue to review our ratings on the notes and assess whether, in our view, they remain consistent with the credit enhancement available to support them 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 Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at; http://standardandpoorsdisclosure-17g7.com Rating Actions Zais Investment Grade Ltd. X Rating Class To From S A+ (sf) A (sf) A-1a BBB+ (sf) BBB- (sf) A-1b BBB+ (sf) BBB- (sf) A-2 BBB- (sf) BB+ (sf) A-3 BB+ (sf) B+ (sf) A-4 BB- (sf) CCC+ (sf) Rating Affirmed Zais Investment Grade Ltd. X Class Rating B CC (sf) C CC (sf) D CC (sf) Transaction Information Issuer: Zais Investment Grade Ltd. X Coissuer: Zais Investment Grade Corp. X Collateral manager: Zais Group LLC Trustee: Citibank N.A. Transaction type: Hybrid CDO of CDOs ZOO HF3: Fitch Withdraws Rating on Four Mezzanine Notes ------------------------------------------------------- Fitch Ratings marks the class A and class B senior notes previously issued by Zoo HF3 Plc (Zoo) as paid in full following a full pay-down of the notes' principal and accrued interest on Feb. 14, 2012 per the updated liquidation plan adopted by Zoo's investment advisor P&G SGR S.p.A. (P&G). At the same time, Fitch withdraws its ratings on Class C, D and E notes that remain outstanding. Fitch's rating actions: -- Class A senior floating rate notes due 2016, rated 'Asf', redeemed on Feb. 14, 2012; -- Class B mezzanine deferrable floating rate notes due 2016, rated 'BBsf', redeemed on Feb. 14, 2012; -- Class C mezzanine deferrable floating rate notes due 2016, rated 'CCCsf', Withdrawn; -- Class D mezzanine deferrable floating rate notes due 2016, rated 'CCsf', Withdrawn; -- Class E mezzanine deferrable floating rate notes due 2016, rated 'Csf', Withdrawn. Fitch has withdrawn its ratings on Class C, D and E notes due to insufficient information that can be made available about the remaining portfolio, which, following the updated liquidation plan, now consists predominantly of side pockets with limited transparency to the underlying holdings and uncertain future redemption dates. The ratings are also being withdrawn because Fitch believes there is a lack of market interest at the assigned rating levels. * S&P Places Ratings on 16 Tranches from 15 US CDOs on Watch Pos ---------------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on 16 tranches from 15 corporate-backed synthetic collateralized debt obligation (CDO) transactions on CreditWatch positive. "At the same time, we placed our ratings on three tranches from two synthetic CDO transactions backed by commercial mortgage-backed securities (CMBS) and one tranche from one corporate-backed synthetic CDO transaction on CreditWatch negative. In addition, we affirmed our ratings on three tranches from two corporate-backed synthetic CDO transactions and removed them from CreditWatch negative. The rating actions followed our monthly review of U.S. synthetic CDO transactions," S&P said. "The CreditWatch positive placements reflect seasoning of the transactions, rating stability of the obligors in the underlying reference portfolios over the past few months, and synthetic rated overcollateralization (SROC) ratios that increased above 100% at the next highest rating level. The CreditWatch negative placements reflect negative rating migration in the respective portfolios and SROC ratios that fell below 100% as of the January month-end run. The rating affirmations reflect overall stabilization of the credit quality of the underlying reference portfolio and SROC ratios that increased to or above 100%," 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/1111441.pdf Rating Actions Aphex Capital NSCR 2007-5 Ltd. Rating Class To From A-1FL CCC (sf)/Watch Neg CCC (sf) A-1FX CCC (sf)/Watch Neg CCC (sf) Credit Default Swap $300 mil Morgan Stanley Capital Services Inc. - ESP Funding I Ltd. REF: NGNGX Rating Class To From Tranche BB-srb (sf)/Watch Pos BB-srb (sf) Credit Default Swap $500 mil Credit Default Swap - CRA700386 Rating Class To From Swap AAsrp (sf)/Watch Pos AAsrp (sf) Credit Default Swap $500 mil Credit Default Swap - CRA700396 Rating Class To From Swap AAsrp (sf)/Watch Pos AAsrp (sf) Credit Default Swap $561.8 mil J.P. Morgan Chase Bank, N.A. - Lacrosse Financial Products LLC (Sequoia) J17558 (SEQUOIA) Rating Class To From Tranche A-srp (sf)/Watch Pos A-srp (sf) Elva Funding PLC Series 2008-3 Rating Class To From Notes A- (sf)/Watch Pos A- (sf) Infinity SPC Ltd. $25 mil Class B Floating Rate Notes ( CPORTS POTOMAC 2007-1) Rating Class To From B CCC- (sf)/Watch Pos CCC- (sf) Jupiter Finance Ltd. Series 2007-002 Rating Class To From Port CrLkd BB- (sf)/Watch Pos BB- (sf) Morgan Stanley ACES SPC Series 2007-6 Rating Class To From IIA BB- (sf)/Watch Pos BB- (sf) IIIA B (sf)/Watch Pos B (sf) Morgan Stanley ACES SPC Series 2007-8 Rating Class To From Senior BB (sf) BB (sf)/Watch Neg Morgan Stanley ACES SPC Series 2007-24 Rating Class To From E CCC- (sf)/Watch Pos CCC- (sf) Morgan Stanley Managed ACES SPC Series 2007-16 Rating Class To From IB BB- (sf)/Watch Pos BB- (sf) NOAJ CDO Ltd. Rating Class To From Series 1 BB- (sf)/Watch Pos BB- (sf) Obelisk Trust 2007-1-Sonoma Valley Rating Class To From A AA- (sf)/Watch Neg AA- (sf) REVE SPC EUR15 mil, JPY3 bil, $81 mil REVE SPC Segregated Portfolio of Dryden XVII Notes Series 34, 36, 37, 38, 39, & 40 Rating Class To From Series 37 B- (sf) B- (sf)/Watch Neg Series 40 B (sf) B (sf)/Watch Neg STARTS (Cayman) Ltd. Series 2007-9 Rating Class To From Notes BB (sf)/Watch Pos BB (sf) STEERS Thayer Gate CDO Trust Series 2006-1 Rating Class To From Trust Cert B- (sf)/Watch Pos B- (sf) STEERS Thayer Gate CDO Trust Series 2006-2 Rating Class To From Trust Unit B- (sf)/Watch Pos B- (sf) STRATA 2006-35 Ltd. Rating Class To From Notes B (sf)/Watch Neg B (sf) Terra CDO SPC Ltd. 2008-1 Rating Class To From A-1 BB+ (sf)/Watch Pos BB+ (sf) * S&P Lowers Ratings on 59 Classes From 23 RMBS Transactions ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 59 classes from 23 U.S. residential mortgage-backed securities (RMBS) transactions issued from 2000 through 2008, and removed one of them from CreditWatch with negative implications. "Concurrently, we raised our ratings on two classes from one of the transactions with lowered ratings and one additional transaction," S&P said. "Furthermore, we affirmed our ratings on 124 classes from 23 of the reviewed transactions and removed six of them from CreditWatch negative. We subsequently withdrew our rating on one of the classes due to the small number of loans remaining in the transaction and the potential for performance volatility. The 31 RMBS transactions in this review are backed by various types of mortgage loan collateral," S&P said. "The downgrades reflect our belief that projected credit enhancement for the affected classes will be insufficient to cover the projected losses we applied at the applicable rating stresses. For certain classes, the downgrades incorporated our interest shortfall criteria," S&P said. "Among other factors, the upgrades reflect our view of a decrease in delinquencies within the structures associated with the affected classes," S&P said. "This has reduced the remaining projected losses for these structures, allowing these classes to withstand more stressful scenarios. In addition, each upgrade reflects our assessment that the projected credit enhancement for each affected class 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 ongoing market risk," S&P said. "The affirmations reflect our belief that projected credit enhancement available for the affected classes will be more than sufficient to cover our projected losses at the current rating levels; however, we are not upgrading some of these ratings to reflect our view of ongoing market risk. In addition, we withdrew our rating on a class backed by a pool with a small number of remaining loans. If any of the remaining loans default, the resulting loss could have a greater effect on the pool's performance than if the pool consisted of a larger number of loans. Because this performance volatility may have an adverse affect on our outstanding rating, we withdrew our rating on the related transaction," 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 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/1111441.pdf Rating Actions C-BASS Mortgage Loan Asset-Backed Certificates Series 2002-CB2 Series 2002-CB2 Rating Class CUSIP To From A-1 12489WEQ3 AA- (sf) AAA (sf) A-2 12489WER1 B (sf) BBB- (sf) M-1 12489WET7 CCC (sf) B- (sf) American Home Mortgage Investment Trust 2004-4 Series 2004-4 Rating Class CUSIP To From VI-A-2 02660TCK7 AA+ (sf) AAA (sf) VI-M-1 02660TCL5 CCC (sf) B (sf) VI-M-2 02660TCM3 CC (sf) CCC (sf) Bayview Financial Mortgage Pass-Through Trust, Series 2005-D Series 2005-D Rating Class CUSIP To From M-1 07325NCD2 B- (sf) B+ (sf)/Watch Neg M-3 07325NCF7 CC (sf) CCC (sf) B-1 07325NCK6 D (sf) CC (sf) A-F4 07325NCB6 AA- (sf) AA (sf) Bear Stearns Asset Backed Securities Trust 2007-SD3 Series 2007-SD3 Rating Class CUSIP To From A 07387LAA9 D (sf) CCC (sf) FNT Series 2000-2 Series 2000-2 Rating Class CUSIP To Interim From I-B-1 23323CAE5 NR A (sf) A (sf) GSAMP Trust 2005-SD1 Series 2005-SD1 Rating Class CUSIP To From M-2 36242DWE9 BB- (sf) A+ (sf) HomeBanc Mortgage Trust 2007-1 Series 2007-1 Rating Class CUSIP To From I-2A-1 43741BAC3 CC (sf) CCC (sf) I-3A-1 43741BAE9 CC (sf) CCC (sf) IndyMac Loan Trust 2004-L1 Series 2004-L1 Rating Class CUSIP To From B 45660YAK7 BB (sf) BB (sf)/Watch Neg Luminent Mortgage Trust 2007-2 Series 2007-2 Rating Class CUSIP To From I-A-1 55028EAA9 B (sf) CCC (sf) I-A-2 55028EAB7 CC (sf) CCC (sf) I-A-3 55028EAC5 CC (sf) CCC (sf) I-A-4 55028EAD3 CC (sf) CCC (sf) II-A-1 55027WAA0 CC (sf) CCC (sf) MASTR Specialized Loan Trust 2004-02 Series 2004-02 Rating Class CUSIP To From M-3 576436AN9 BBB (sf) BBB (sf)/Watch Neg M-4 576436AP4 BBB- (sf) BBB- (sf)/Watch Neg B 576436AQ2 B (sf) B (sf)/Watch Neg Morgan Stanley Mortgage Loan Trust 2007-8XS Series 2007-8XS Rating Class CUSIP To From A-3-W 61754PAD6 B (sf) B (sf)/Watch Neg RAAC Series 2005-SP3 Trust Series 2005-SP3 Rating Class CUSIP To From M-1 76112BS50 BB (sf) B (sf) RAAC Series 2007-RP1 Trust Series 2007-RP1 Rating Class CUSIP To From A 74977YAA7 CCC (sf) B (sf) RAAC Series 2007-RP2 Trust Series 2007-RP2 Rating Class CUSIP To From A 74919WAA2 CCC (sf) B (sf) RAAC Series 2007-SP1 Trust Series 2007-SP1 Rating Class CUSIP To From A-2 74978AAB6 B (sf) BBB- (sf) A-3 74978AAC4 B (sf) BBB- (sf) M-1 74978AAD2 CC (sf) CCC (sf) M-2 74978AAE0 CC (sf) CCC (sf) RAMP Series 2003-RS8 Trust Series 2003-RS8 Rating Class CUSIP To From M-I-3 760985ZK0 D (sf) CC (sf) RAMP Series 2003-RS9 Trust Series 2003-RS9 Rating Class CUSIP To From M-I-2 760985A92 B- (sf) BB- (sf) M-I-3 760985B26 D (sf) CC (sf) M-II-2 760985B42 CC (sf) CCC (sf) RAMP Series 2004-RS10 Trust Series 2004-RS10 Rating Class CUSIP To From M-I-1 76112BDV9 CCC (sf) B- (sf) M-II-1 76112BEC0 AA (sf) AA (sf)/Watch Neg M-I-2 76112BDW7 D (sf) CC (sf) RAMP Series 2004-RS11 Trust Series 2004-RS11 Rating Class CUSIP To From M-4 76112BFL9 CC (sf) CCC (sf) RAMP Series 2004-RS4 Trust Series 2004-RS4 Rating Class CUSIP To From A-I-5 7609852X8 A+ (sf) AAA (sf) A-I-6 7609852Y6 A+ (sf) AAA (sf) M-I-1 7609853E9 CC (sf) CCC (sf) M-I-2 7609853F6 D (sf) CC (sf) RAMP Series 2004-RS5 Trust Series 2004-RS5 Rating Class CUSIP To From A-I-5 7609854A6 CC (sf) CCC (sf) A-I-6 7609854B4 CC (sf) CCC (sf) RAMP Series 2004-RS6 Trust Series 2004-RS6 Rating Class CUSIP To From M-I-2 7609855E7 BBB+ (sf) A (sf) M-I-3 7609855F4 D (sf) CCC (sf) M-II-2 7609855M9 CC (sf) CCC (sf) RAMP Series 2006-EFC1 Trust Series 2006-EFC1 Rating Class CUSIP To From M-1 76112BV72 A (sf) A+ (sf) M-2 76112BV80 CCC (sf) B (sf) M-3 76112BV98 CC (sf) CCC (sf) M-4 76112BW22 CC (sf) CCC (sf) Residential Loan Trust 2008-AH1 Series 2008-AH1 Rating Class CUSIP To From A 761150AA9 A (sf) AA (sf) M 761150AC5 B (sf) BB (sf) Structured Asset Securities Corporation Mortgage Loan Trust 2004- NP2 Series 2004-NP2 Rating Class CUSIP To From A 86359BQ79 CCC (sf) BBB (sf) M1 86359BQ87 CC (sf) BB (sf) M2 86359BQ95 CC (sf) B (sf) B 86359BR29 CC (sf) CCC (sf) Structured Asset Securities Corporation Mortgage Loan Trust 2006- GEL2 Series 2006-GEL2 Rating Class CUSIP To From A2 86360CAB2 AA+ (sf) AAA (sf) M1 86360CAC0 CCC (sf) B (sf) M2 86360CAD8 CC (sf) CCC (sf) Structured Asset Securities Corporation Mortgage Loan Trust 2006- GEL3 Series 2006-GEL3 Rating Class CUSIP To From A3 86360XAC4 B- (sf) BB (sf) M1 86360XAD2 CC (sf) CCC (sf) Structured Asset Securities Corporation Mortgage Loan Trust 2006- GEL4 Series 2006-GEL4 Rating Class CUSIP To From A2 86361NAB7 B- (sf) AA (sf) A3 86361NAC5 B- (sf) AA (sf) M1 86361NAD3 CC (sf) CCC (sf) M2 86361NAE1 CC (sf) CCC (sf) RATINGS AFFIRMED C-BASS Mortgage Loan Asset-Backed Certificates, Series 2002-CB2 Series 2002-CB2 Class CUSIP Rating M-2 12489WEU4 CC (sf) B-1 12489WEV2 CC (sf) American Home Mortgage Investment Trust 2004-4 Series 2004-4 Class CUSIP Rating I-A-1 02660TCC5 AAA (sf) I-A-2 02660TCD3 AAA (sf) II-A-1 02660TCE1 AAA (sf) II-A-2 02660TCF8 AAA (sf) III-A 02660TCG6 AAA (sf) IV-A 02660TCS0 AAA (sf) V-A 02660TCT8 AAA (sf) VI-A-1 02660TCJ0 AAA (sf) M-1 02660TCH4 CC (sf) VI-M-3 02660TCN1 CC (sf) VI-B-1 02660TCP6 CC (sf) Bayview Financial Mortgage Pass-Through Trust, Series 2005-D Series 2005-D Class CUSIP Rating A-F3 07325NCA8 AAA (sf) M-2 07325NCE0 CCC (sf) M-4 07325NCG5 CC (sf) M-5 07325NCH3 CC (sf) M-6 07325NCJ9 CC (sf) Countrywide Home Loan Trust 2004-SD1 Series 2004-SD1 Class CUSIP Rating A-1 1266712G0 AAA (sf) A-2 1266712H8 AAA (sf) M-1 1266712J4 A (sf) M-2 1266712K1 CCC (sf) B-1 1266712L9 CC (sf) B-2 1266712M7 CC (sf) CWABS Asset-Backed Notes Trust 2004-SD4 Series 2004-SD4 Class CUSIP Rating A-1 126673SC7 AAA (sf) A-2 126673SD5 AAA (sf) M-1 126673SE3 AA (sf) M-2 126673SF0 B- (sf) M-3 126673SG8 CC (sf) B-1 126673SH6 CC (sf) GSAMP Trust 2005-SD1 Series 2005-SD1 Class CUSIP Rating M-1 36242DWD1 AA (sf) M-3 36242DWF6 CC (sf) HomeBanc Mortgage Trust 2007-1 Series 2007-1 Class CUSIP Rating I-1A-1 43741BAA7 CCC (sf) II-A 43741BAN9 AAA (sf) II-M-1 43741BAP4 BB- (sf) II-M-2 43741BAQ2 CC (sf) Luminent Mortgage Trust 2007-2 Series 2007-2 Class CUSIP Rating I-A-5 55028EAE1 CC (sf) MASTR Specialized Loan Trust 2004-02 Series 2004-02 Class CUSIP Rating M-1 576436AL3 AA (sf) M-2 576436AM1 A (sf) Morgan Stanley Mortgage Loan Trust 2007-8XS Series 2007-8XS Class CUSIP Rating A-1 61754PAA2 CCC (sf) A-1-M 61754PBK9 CCC (sf) A-1-W 61754PAB0 B (sf) A-2 61754PAC8 CCC (sf) A-4 61754PAE4 CCC (sf) A-5 61754PAF1 CCC (sf) A-7 61754PAH7 CCC (sf) A-9 61754PAX2 CCC (sf) A-11 61754PAZ7 CCC (sf) A-12 61754PBA1 CCC (sf) A-13 61754PBB9 CCC (sf) A-15 61754PBD5 CCC (sf) A-17 61754PBF0 CCC (sf) A-19 61754PBH6 CCC (sf) A-20 61754PBJ2 CCC (sf) RAAC Series 2005-SP3 Trust Series 2005-SP3 Class CUSIP Rating A-2 76112BS35 AAA (sf) A-3 76112BS43 AAA (sf) M-2 76112BS68 CC (sf) M-3 76112BS76 CC (sf) M-4 76112BS84 CC (sf) RAAC Series 2007-RP1 Trust Series 2007-RP1 Class CUSIP Rating M-1 74977YAB5 CCC (sf) M-2 74977YAC3 CC (sf) RAAC Series 2007-RP2 Trust Series 2007-RP2 Class CUSIP Rating M-1 74919WAB0 CC (sf) M-2 74919WAC8 CC (sf) RAAC Series 2007-SP1 Trust Series 2007-SP1 Class CUSIP Rating M-3 74978AAF7 CC (sf) RAMP Series 2003-RS8 Trust Series 2003-RS8 Class CUSIP Rating A-I-6A 760985ZE4 AAA (sf) A-I-6B 760985ZT1 AAA (sf) A-1-7 760985ZF1 AAA (sf) A-1-8 760985ZG9 AAA (sf) M-I-1 760985ZH7 B (sf) M-I-2 760985ZJ3 CC (sf) M-II-1 760985ZN4 AA (sf) M-II-2 760985ZP9 CCC (sf) M-II-3 760985ZQ7 CC (sf) M-II-4 760985ZR5 CC (sf) RAMP Series 2003-RS9 Trust Series 2003-RS9 Class CUSIP Rating A-I-6A 760985A43 AAA (sf) A-I-6B 760985B83 AAA (sf) A-I-7 760985A50 AAA (sf) M-I-1 760985A84 AA (sf) M-II-1 760985B34 B+ (sf) M-II-3 760985B59 CC (sf) M-II-4 760985B67 CC (sf) RAMP Series 2004-RS10 Trust Series 2004-RS10 Class CUSIP Rating A-I-4 76112BDS6 AAA (sf) A-I-5 76112BDT4 AAA (sf) A-I-6 76112BDU1 AAA (sf) M-II-2 76112BED8 CCC (sf) M-II-3 76112BEE6 CC (sf) RAMP Series 2004-RS11 Trust Series 2004-RS11 Class CUSIP Rating M-1 76112BFH8 AA (sf) M-2 76112BFJ4 BB (sf) M-3 76112BFK1 CCC (sf) RAMP Series 2004-RS4 Trust Series 2004-RS4 Class CUSIP Rating M-II-1 7609853H2 A+ (sf) M-II-2 7609853J8 CC (sf) RAMP Series 2004-RS5 Trust Series 2004-RS5 Class CUSIP Rating M-II-1 7609854G3 BBB (sf) M-II-2 7609854H1 CC (sf) M-II-3 7609854J7 CC (sf) M-II-4 7609854K4 CC (sf) RAMP Series 2004-RS6 Trust Series 2004-RS6 Class CUSIP Rating A-I-4 7609855A5 AAA (sf) A-I-5 7609855B3 AAA (sf) A-I-6 7609855C1 AAA (sf) M-I-1 7609855D9 AA (sf) M-II-1 7609855L1 A (sf) M-II-3 7609855N7 CC (sf) RAMP Series 2005-SL2 Trust Series 2005-SL2 Class CUSIP Rating A-I 76112BUV0 AA (sf) A-II 76112BUW8 CCC (sf) A-III 76112BUX6 A+ (sf) A-IV 76112BUY4 BBB+ (sf) A-V 76112BUZ1 CCC (sf) A-IO 76112BVA5 AA (sf) A-PO 76112BVB3 CCC (sf) M-1 76112BVE7 CCC (sf) M-2 76112BVF4 CC (sf) RAMP Series 2006-EFC1 Trust Series 2006-EFC1 Class CUSIP Rating A-2 76112BV56 AAA (sf) A-3 76112BV64 AAA (sf) Residential Loan Trust 2008-AH1 Series 2008-AH1 Class CUSIP Rating B 761150AE1 CCC (sf) Structured Asset Securities Corporation Mortgage Loan Trust 2006- GEL3 Series 2006-GEL3 Class CUSIP Rating A2 86360XAB6 BB (sf) M2 86360XAE0 CC (sf) Structured Asset Securities Corporation Mortgage Loan Trust 2006- GEL4 Series 2006-GEL4 Class CUSIP Rating A1 86361NAA9 AA (sf) M3 86361NAF8 CC (sf) * S&P Lowers Ratings on 405 Classes of Certificates to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 405 classes of mortgage pass-through certificates from 223 U.S. residential mortgage-backed securities (RMBS) transactions to 'D (sf)'. The transactions within this review were issued between 2002 and 2009. The complete rating list is available for free at: http://bankrupt.com/misc/S&P_RMBS_Ratings_0222.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 all of the downgraded classes in this review 'CCC (sf)' or 'CC (sf)'," S&P said. Approximately 79.75% of the defaulted classes were from transactions backed by Alternative-A (Alt-A) or prime jumbo mortgage loan collateral. The 405 defaulted classes consist of: * 233 classes from Alt-A transactions (57.53% of all defaults); * 90 from prime jumbo transactions (22.22%); * 63 from subprime transactions (15.55%); * 12 from resecuritized real estate mortgage investment conduit (re-REMIC) transactions; * Two from an RMBS reperforming transactions; * One from RMBS closed-end second lien transaction; * One from a small balance commercial loan transaction; * One from an outside the guidelines transaction; * One from an RMBS first lien high LTV transaction; and * One from an RMBS document deficient transaction. A combination of subordination, excess spread, and overcollateralization (where applicable) provide credit enhancement for all of the transactions in this review. 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. 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 Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com ********* 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 2012. 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 ***