/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/120304.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, March 4, 2012, Vol. 16, No. 63 Headlines ABSPOKE 2005-IVA: Fitch Withdraws Rating on Floating Note a 'Dsf' ABSPOKE 2005-VA: Fitch Withdraws Rating on Floating Note at 'Dsf' ALM V: Moody's Gives 'Ba2' Rating to Class D Senior Secured Notes AMERICAN CREDIT 2012-1: S&P Gives 'BB' Rating on Class D Notes AMMC CLO: Moody's Gives (P)Ba2 Rating to $17.6-Mil. Class E Notes ANSONIA CDO: Fitch Affirms Rating on Seventeen Note Classes APHEX CAPITAL: S&P Lowers Class H Note Rating to 'D' ARCAP 2004: Fitch Affirms Rating on Ten Note Classes ARCAP 2006: Fitch Affirms Rating on Thirteen Note Classes ARES VR: S&P Raises Rating on Class D Notes From 'CCC+' to 'B+' ASC 1997-D5: Moody's Affirms Cl. PS-1 Notes Rating at 'B3' BANC OF AMERICA: S&P Cuts 2 Cert Classes Ratings to 'D' BANC OF AMERICA: S&P Lowers Ratings on 3 Classes to 'D' BEAR STEARNS: Expected Losses Cue Fitch Downgrade Ratings BEAR STEARNS: Fitch Downgrades Rating on Eight Note Classes BEAR STEARNS: S&P Lowers Ratings on 2 Classes to 'CCC' CABELA'S CREDIT: DBRS Puts 'BB' Provisional Rating on Class D CALLIDUS DEBT: S&P Affirms 'CCC-' Ratings on 2 Classes of Notes CANYON CAPITAL: S&P Affirms 'B+' Rating on Class E Notes CAPITAL GUARDIAN: Moody's Raises Cl. A1-A Notes Rating From 'Ba1' CENTERLINE 2007-1: Moody's Affirms Cl. A-1 Notes Rating at 'C' CENTURION VII: S&P Lowers Ratings on 2 Classes of Notes to 'B+' CGCMT 2007-C6: Moody's Affirms Cl. X Notes Rating at 'Ba3' CHASE COMMERCIAL: Principal Paydown Cues Fitch to Upgrade Ratings CHASE EDUCATION: Fitch Holds Rating on Sub. Student Loan at 'BBsf' CMAC 1998-C1: Moody's Affirms Cl. L Notes Rating at 'Caa3' CMAT 1999-C2: Moody's Affirms Cl. F Notes Rating at 'B1' COMM 2003-LNB1: Moody's Affirms Class F Notes Rating at 'Ba1' COMM 2005-LNP5: Moody's Affirms Cl. H Notes Rating at 'Ba3' COMM 2008-RS3: Moody's Affirms Cl. A-2A Notes Rating at 'Caa2' COMM 2012-LC4: Fitch to Rate Two Note Classes at Low-B CORPORATE BACKED: Moody's Raises Rating of Cl. A-1 Notes to 'Ba1' CREDIT CARD: Fitch Rates $9.62 Mil. Class D Notes at 'BBsf' CREDIT SUISSE: Fitch Affirms Junk Rating on Nine Note Classes CREST 2002-1: Delevering Cues Fitch to Affirm Ratings on Notes CRYSTAL RIVER: Fitch Affirms Rating on Six Note Classes CSFB 2004-C3: Moody's Lowers Cl. D Notes Rating to 'Ba1' CSFB 2006-TFL2: Moody's Affirms 'Ba1' Rating of Cl. E Notes CSMC 2007-C4: Moody's Affirms Cl. A-1-AJ Notes Rating at 'Ba2' CTL BSCMS: Moody's Lowers Cl. C Notes Rating to 'Ba1' DBUBS 2011-LC1: Moody's Affirms Cl. F Notes Rating at 'Ba2' DIVERSIFIED ASSET: Fitch Affirms Rating on Three Note Classes DLJ MORTGAGE: Fitch Affirms Rating on $8.5 Mil. Notes at 'BB+sf' EXETER AUTOMOBILE: DBRS Puts 'BB' Provisional Rating on Class D FREDDIE MAC: Moody's Withdraws 'Caa2' Class B Notes Rating FREMF 2012-K706: Moody's Lowers Cl. X2-B Notes Rating to (P)B1 G-FORCE 2005: Fitch Affirms Rating on 11 Note Classes GCCFC 2006-GG7: Moody's Lowers Cl. A-J Notes Rating to 'Ba1' GMAC 1997-C2: Moody's Affirms Cl. G Notes Rating at 'C' GMAC 2000-C3: Moody's Reviews 'B3' Rating of Cl. J Notes GMAC 2006-1: S&P Lowers Ratings on 4 Classes of Certs. to 'D' GREENWICH CAPITAL: S&P Lowers Class N-SO Cert. Rating to 'CCC-' GSC INVESTMENT: S&P Hikes Class E Note Rating to 'BB'; Off Watch GULF STREAM-COMPASS: S&P Affirms 'CCC-' Rating on Class E Notes HYUNDAI AUTO: Moody's Gives Provisional Ratings to 7 Notes Classes ILLINOIS FINANCE: Fitch Affirms Rating on $190 Mil. Bond at 'BB-' INDEPENDENCE II: S&P Says 30.49% of 'CCC' Rated Obligs in Default INDEPENDENCE III: Moody's Lowers Cl. A-1 Notes Rating to 'Caa3' ING IM CLO 2012-1: S&P Gives 'B' Rating on Class E Notes JP MORGAN: Valuations of Loans Cues Fitch to Downgrade Ratings JPMCC 2007-CIBC18: Moody's Affirms Cl. A-J Notes Rating at 'Ba1' LANDMARK VII: S&P Raises Rating on Class B-1L Notes to 'BB' LASALLE 2005-MF1: S&P Lowers Class A Certificate Rating to 'D' LBCMT 1998-C1: Moody's Affirms Rating of Cl. IO Notes at 'B3' LIFT 2001-1: S&P Affirms 'CCC+' Ratings on 2 Classes of Notes LIGHTPOINT 2006: S&P Affirms Class D Rating 'B+' MAGNOLIA FINANCE: Moody's Affirms Cl. B Notes Rating at 'Ba1' MAX CMBS: Moody's Lowers Rating of Cl. A-1 Notes to 'Ba1' ML-CFC COMMERCIAL: Fitch Upgrades Rating on Nine Subor. Classes MLMI 1998-C3: Moody's Affirms Cl. IO Notes Rating at 'Caa1' MLMT 2002-MW1: Moody's Affirms Cl. J Notes Rating at 'Ba2' MORGAN STANLEY: Fitch Junks Rating on Three Note Classes MORGAN STANLEY: Stable Performance Cues Fitch to Affirm Ratings N-45 First: Fitch Affirms Rating on $9.1 Mil. Notes at 'B+sf' OAK HILL IV: S&P Raises Ratings on 2 Classes of Notes to 'BB+' PACIFICA CDO: S&P Affirms 'B+' Ratings on 2 Classes of Notes PARCS-R: S&P Raises Rating on Units From 'BB+' PEGASUS 2007: Fitch Affirms Rating on Two Note Classes at Low-B PROJECT FUNDING: S&P Lowers Class IV Note Rating to 'D' on Default PRUDENTIAL MORTGAGE: Fitch Lowers Rating on Five Note Classes PRUDENTIAL STRUCTURED: Fitch Cuts Rating on Four Notes to 'Dsf' PUTNAM STRUCTURED: Moody's Raises Rating of Class B Notes to 'B2' RED RIVER CLO: S&P Lowers Class E Note Rating From 'CCC-' to 'B+' RITE AID: Moody's Affirms Cl. A-2 Notes Rating at 'B3' SASCO 2007: Fitch Affirms Rating on Sixteen Note Classes SBM7 2000-C1: Moody's Affirms Cl. J Notes Rating at 'Ba3' SCSC 2004-CF2: Moody's Raises Cl. G Notes Rating to 'Ba1' SCSC 2005-4: Moody's Affirms Cl. F Notes Rating at 'Ba1' SEAWALL 2006-1: Moody's Affirms Cl. C-1 Notes Rating at 'Ba1' SLM STUDENT: Fitch Affirms Rating on Sub. Student Loan at 'BBsf' SLM STUDENT: Fitch Keeps Rating on Sub. Student Loan at 'BBsf' SORIN RE CDO: Moody's Affirms Cl. A-1B Notes Rating at 'Caa2' SSB RV TRUST 2001-1: S&P Lowers Rating on Class C to 'BB+' REALT 2006-1: Moody's Affirm Rating of Cl. F Notes at 'Ba1' REALT 2006-2: Moody's Affirms Cl. F Notes Rating at 'Ba1' SYMPHONY CLO V: S&P Raises Rating on Class D Notes to 'BB' TERRA II: DBRS Upgrades Rating on Class B3 CDS From 'BB' TERRA CDO: S&P Lowers Rating on Class B1 Notes to 'CC' UCAT 2005-1: S&P Raises Rating on Class A Notes From 'B-' UNION SQUARE: S&P Affirms 'B+' Rating on Class C Notes; Off Watch VENTURE V: S&P Raises Rating on Class C Notes From 'BB+' VERTICAL MILLBROOK: Moody's Affirms Rating of Cl. A-1 Notes at Ca WACHOVIA BANK: S&P Affirms 'B' Class O Certificate Rating WACHOVIA CRE: Fitch Keeps Junk Rating on Thirteen Note Classes WAVE 2007-1: Moody's Lowers Cl. A-1 Notes Rating to 'Caa1' WOLCOTT SYNTHETIC: S&P Lowers 4 Classes of Note Ratings to 'CC' ZOO HF 3: S&P Retains 'CC' Ratings on 2 Classes of Notes * Fitch Downgrades 331 Distressed Bonds in 139 US RMBS to 'Dsf' * S&P Lowers Ratings on 5 Classes from US RMBS Transactions ********* ABSPOKE 2005-IVA: Fitch Withdraws Rating on Floating Note a 'Dsf' ----------------------------------------------------------------- Fitch Ratings has downgraded and subsequently withdrawn the rating on the class of notes issued by ABSpoke 2005-IVA, Ltd. (ABSpoke 2005-IVA): -- $0 ABSpoke 2005-IVA variable floating rate notes downgraded to 'Dsf' from 'Csf' and withdrawn. The outstanding balance of the notes had been completely written down at termination. ABSpoke 2005-IVA was a partially funded, synthetic collateralized debt obligation (CDO) that closed on April 21, 2005. The transaction allowed investors to achieve leveraged exposure to a diversified portfolio of asset-backed securities. ABSPOKE 2005-VA: Fitch Withdraws Rating on Floating Note at 'Dsf' ----------------------------------------------------------------- Fitch Ratings downgrades and withdraws the rating on the class of notes issued by ABSpoke 2005-VA, Ltd. (ABSpoke 2005-VA): -- $0 ABSpoke 2005-VA variable floating rate notes downgraded to 'Dsf' from 'Csf' and withdrawn. The outstanding balance of the notes had been completely written down at termination. ABSpoke 2005-VA was a partially funded, synthetic collateralized debt obligation (CDO) that closed on May 5, 2005 transaction allowed investors to achieve leveraged exposure to a diversified portfolio of asset-backed securities. ALM V: Moody's Gives 'Ba2' Rating to Class D Senior Secured Notes ----------------------------------------------------------------- Moody's Investors Service has assigned these ratings to notes 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 Aaa (sf) US$37,200,000 Class A-2 Senior Secured Floating Rate Notes due 2023, (the "Class A-2 Notes"), Assigned Aa2 (sf) US$37,700,000 Class B Senior Secured Deferrable Floating Rate Notes due 2023, (the "Class B Notes"), Assigned A2 (sf) US$14,900,000 Class C Senior Secured Deferrable Floating Rate Notes due 2023, (the "Class C Notes"), Assigned Baa2 (sf) US$25,700,000 Class D Senior Secured Deferrable Floating Rate Notes due 2023, (the "Class D Notes"), Assigned Ba2 (sf). RATINGS RATIONALE Moody's ratings of the notes address the expected losses posed to noteholders. The 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 is over 75% ramped up as of the closing date and is expected to be 100% ramped up within three months thereafter. 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. 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% (3105) 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. 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. AMERICAN CREDIT 2012-1: S&P Gives 'BB' Rating on Class D Notes -------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to American Credit Acceptance Receivables Trust's $150 million asset-backed notes series 2012-1. The note issuance is an asset-backed securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: * "The availability of approximately 44.23%, 40.81%, 34.44%, and 28.88% of credit support for the class A-2, B, C, and D notes based on break-even stressed cash flow scenarios (including excess spread), which provide approximately 2.0x, 1.80x, 1.50x, and 1.25x our expected net loss range of 21.50%-22.00% for the class A-2, B, C, and D notes," S&P said. * The timely interest and principal payments made to the rated notes by the assumed legal final maturity dates under our stressed cash flow modeling scenarios that we believe are appropriate for the assigned ratings," S&P said. * "Our expectation that under a moderate, or 'BBB', stress scenario, the ratings on the class A-2 and B notes would remain within one rating category of our 'A+ (sf)' and 'A (sf)' ratings," S&P said. * The collateral characteristics of the subprime automobile loans securitized in this transaction, including the 4.2 months of seasoning. * The backup servicing arrangement with Wells Fargo Bank N.A.. * The transaction's payment and credit enhancement structures, which include performance triggers. * The transaction's legal structure. 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 American Credit Acceptance Receivables Trust 2012-1 Class Rating Type Interest Amount rate (%) (mil. $) A-1 A+ (sf) Senior 1.96 49.00 A-2 A+ (sf) Senior 3.04 63.50 B A (sf) Senior 3.55 7.00 C BBB (sf) Senior 6.26 15.25 D BB (sf) Subordinate 7.23 15.25 AMMC CLO: Moody's Gives (P)Ba2 Rating to $17.6-Mil. Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned these provisional ratings to notes to be issued by AMMC CLO X, Limited: US$267,600,000 Class A Senior Secured Floating Rate Notes due 2022, Assigned (P) Aaa (sf) US$17,600,000 Class E Senior Secured Deferrable Floating Rate Notes due 2022, 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 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. AMMC X is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first-lien senior secured corporate loans. At least 95% of the portfolio must be invested in senior secured loans or eligible investments and up to 5% of the portfolio may consist of second-lien loans, unsecured loans and bonds. The underlying portfolio is expected to be 90% ramped as of the closing date, a large majority of which is ramped through a participation agreement with another collateralized loan obligation transaction. The seller of the participations is obligated under the terms of the participation agreement to make all reasonable efforts to achieve full assignment of the loans subject to the participation to the Issuer. In addition to the Class A Notes and Class E Notes rated by Moody's, the Issuer will issue five additional tranches, including subordinated notes. In accordance with the respective priority of payments, interest and principal will be paid to the Class A Notes prior to the other classes of notes. 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. American Money Management Corporation will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity during the transaction's four year reinvestment period, including discretionary trading. Thereafter, sales of securities that are defaulted, credit improved, or credit risk are allowed, but purchases of additional collateral obligations are only permitted with consent of 100% of each class of notes. For modeling purposes, Moody's used the following base-case assumptions: Par amount of $400,500,000 Diversity of 50 WARF of 2500 Weighted Average Spread of 3.5% Weighted Average Coupon of 5.0% Weighted Average Recovery Rate of 47.0% Weighted Average Life of 7 years. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis which was an important component in determining the provisional 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: -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. Due to a heightened degree of uncertainty associated with the participations, the score for the transaction complexity sub- category of the V Score differs from the CLO sector benchmark score, however not affecting the overall composite V Score of "Medium/High". 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 this rating was "Moody's Approach to Rating Collateralized Loan Obligations," published in June 2011. ANSONIA CDO: Fitch Affirms Rating on Seventeen Note Classes ----------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 17 classes issued by Ansonia CDO 2006-1 Ltd./LLC (Ansonia 2006-1) as a result of significant negative credit migration and realized losses on the underlying collateral. Since Fitch's last rating action in March 2011, approximately 26.9% of the portfolio has been downgraded and 0.7% has been upgraded. Currently, 92.1% of the underlying collateral has a Fitch derived rating below investment grade and 75.3% has a rating in the 'CCC' category or lower, compared to 94.2% and 74.1% at the last rating action. As of the Jan. 25, 2012 trustee report, the underlying collateral has experienced realized losses of approximately $275.6 million since issuance, of which $122.3 million has occurred since the last rating action. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. However, given the portfolio's distressed nature, Fitch believes that the probability of default for all classes of notes can be evaluated without factoring in potential further losses from the non-defaulted portion of the portfolio. Therefore, this transaction was not modeled using the Structured Finance Portfolio Credit Model (SF PCM). On the April 28, 2009 payment date, classes E through T notes did not receive their full interest distributions as a result of insufficient interest proceeds due to interest shortfalls on the underlying collateral. On May 5, 2009, the trustee notified the noteholders of an event of default (EOD) due to non-payment of full and timely accrued interest to the classes E, F and G notes. Subsequently, the B through D notes defaulted on their interest payments. The recommendation is to affirm these notes at 'Dsf'. The notes have not been accelerated or liquidated at the time of this review. For the class A and H through T notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class A notes have been downgraded and the class H through T notes have been affirmed at 'Csf', indicating that default is inevitable. Due to their senior position in the capital stack, the class A notes, however, are expected to have some recovery given the investment grade collateral ($42 million), the non- distressed collateral ($89 million), and the fact that interest proceeds are being redirected to redeem the class due to the EOD. Fitch does not assign Outlooks to classes rated 'CCC' and below. Ansonia 2006-1 is collateralized by all or a portion of 114 classes in 41 separate transactions. The portfolio is composed of 91% commercial mortgaged backed securities (CMBS), 7.6% real estate investment trusts (REITs), and 1.4% structured finance collateralized debt obligations (SF CDOs). Approximately 28.1% of the collateral is not rated and represents the first loss position of the respective underlying CMBS transaction. Fitch has downgraded these classes: -- $180,601,966 class A-FL notes to 'Csf' from 'CCsf'; -- $67,056,638 class A-FX notes to 'Csf' from 'CCsf'. Fitch has affirmed these classes: -- $57,479,000 class B notes at 'Dsf'; -- $34,285,000 class C notes at 'Dsf'; -- $16,134,000 class D notes at 'Dsf'; -- $18,151,000 class E notes at 'Dsf'; -- $24,201,000 class F notes at 'Dsf'; -- $30,252,000 class G notes at 'Dsf'; -- $26,218,000 class H notes at 'Csf'; -- $48,403,000 class J notes at 'Csf'; -- $43,361,000 class K notes at 'Csf'; -- $23,193,000 class L notes at 'Csf'; -- $14,117,000 class M notes at 'Csf'; -- $22,184,000 class N notes at 'Csf'; -- $18,151,000 class O notes at 'Csf'; -- $13,109,000 class P notes at 'Csf'; -- $12,100,000 class Q notes at 'Csf'; -- $10,084,000 class S notes at 'Csf'; -- $8,067,000 class T notes at 'Csf'. APHEX CAPITAL: S&P Lowers Class H Note Rating to 'D' ---------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class H notes issued by Aphex Capital NSCR 2007-7SR Ltd., a synthetic collateralized debt obligation (CDO) transaction backed by commercial mortgage-backed securities (CMBS), to 'D (sf)' from 'CC (sf)'. "We lowered our rating to 'D (sf)' on tranche H due to an interest shortfall noted on the January 2012 trustee report," 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 ARCAP 2004: Fitch Affirms Rating on Ten Note Classes ---------------------------------------------------- Fitch Ratings has downgraded three and affirmed 10 classes issued by ARCAP 2004-RR3 Resecuritization, Inc. (ARCAP 2004-RR3). The affirmations to the senior notes are a result of delevering of the capital structure. Alternatively, the downgrades are a result of negative credit migration on the underlying collateral. Since Fitch's last rating action in March 2011, approximately 25.3% of the collateral has been downgraded and 1.9% has been upgraded. Currently, 64.7% of the portfolio has a Fitch derived rating below investment grade and 34% has a rating in the 'CCC' category and below, compared to 61.3% and 35%, respectively, at the last rating action. Over this period, the transaction has experienced $36.4 million in principal losses. Additionally, the class A-2 notes have received $26.2 million in paydowns since the last rating action for a total of $48.5 million in principal repayment since issuance. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The Rating Loss Rates (RLR) were then compared to the credit enhancement of the classes. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. Based on this analysis, the credit enhancement for the class A-2 notes is consistent with the current rating of the note. For the class B through F notes, Fitch analyzed each class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class B notes have been affirmed at 'CCsf', indicating that default is probable. Similarly, the class C and D notes have been downgraded and the class E and F notes affirmed at 'Csf', indicating that default is inevitable. Since issuance, the transaction has experienced $103.9 million in principal losses. These losses have caused a complete write down to the class H through N notes and 22.9% of the class G note balance. Thus, the class G notes have been downgraded and the class H through N notes have been affirmed at 'Dsf'. Fitch does not assign outlooks to classes rated 'CCC' and below. ARCAP 2004-RR3 is backed by 44 tranches from 17 commercial mortgage backed security (CMBS) transactions and is considered a CMBS B-piece resecuritization (also referred to as first loss commercial real estate collateralized debt obligation (CRE CDO)/ReREMIC) as it includes the most junior bonds of CMBS transactions. The transaction closed Sept. 30, 2004. Fitch has taken these actions: -- $223,986,152 class A-2 notes affirmed at 'CCCsf'; -- $40,907,000 class B notes affirmed at 'CCsf'; -- $31,362,000 class C notes downgraded to 'Csf' from 'CCsf'; -- $6,818,000 class D notes downgraded to 'Csf' from 'CCsf'; -- $16,363,000 class E notes affirmed at 'Csf'; -- $13,636,000 class F notes affirmed at 'Csf'; -- $9,998,677 class G notes downgraded to 'Dsf' from 'Csf'; -- $0 class H notes affirmed at 'Dsf'; -- $0 class J notes affirmed at 'Dsf'; -- $0 class K notes affirmed at 'Dsf'; -- $0 class L notes affirmed at 'Dsf'; -- $0 class M notes affirmed at 'Dsf'; -- $0 class N notes affirmed at 'Dsf'. ARCAP 2006: Fitch Affirms Rating on Thirteen Note Classes --------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 13 classes issued by ARCAP 2006-RR7 Resecuritization, Inc. (ARCAP 2006-RR7) as a result of negative credit migration and additional losses on the underlying collateral. Since Fitch's last rating action in March 2011, approximately 25.5% of the collateral has been downgraded. Currently, 97.9% of the portfolio has a Fitch derived rating below investment grade and 94.5% has a rating in the 'CCC' category and below, compared to 95.6% and 94.3%, respectively, at the last rating action. Over this period, the transaction has experienced $77.5 million in principal losses. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. However, given the portfolio's distressed nature, Fitch believes that the probability of default for all classes of notes can be evaluated without factoring in potential further losses from the non-defaulted portion of the portfolio. Therefore, this transaction was not modeled using the Structured Finance Portfolio Credit Model (SF PCM). For the class A through N notes, Fitch analyzed each class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class A notes have been downgraded and the class B through N notes affirmed at 'Csf', indicating that default is inevitable. Since issuance, the transaction has experienced $234.9 million in principal losses. These losses have caused a writedown of 98.8% of the class O note balance. Thus, the class O notes have been affirmed at 'Dsf'. Fitch does not assign outlooks to classes rated 'CCC' and below. ARCAP 2006-RR7 is backed by 33 tranches from 21 transactions and is considered a CMBS B-piece resecuritization (also referred to as first loss commercial real estate collateralized debt obligation (CRE CDO)/ReREMIC) as it includes the most junior bonds of CMBS transactions. The transaction closed May 2, 2006. Fitch has downgraded these classes: -- $68,000,000 class A-D notes to 'Csf' from 'CCsf'; -- $47,126,000 class A notes to 'Csf' from 'CCsf. Fitch has affirmed these classes: -- $94,019,000 class B notes at 'Csf'; -- $52,766,000 class C notes at 'Csf'; -- $21,107,000 class D notes at 'Csf'; -- $22,066,000 class E notes at 'Csf'; -- $34,538,000 class F notes at 'Csf'; -- $28,781,000 class G notes at 'Csf'; -- $40,294,000 class H notes at 'Csf'; -- $56,604,000 class J notes at 'Csf'; -- $14,391,000 class K notes at 'Csf'; -- $14,390,000 class L notes at 'Csf'; -- $24,944,000 class M notes at 'Csf'; -- $13,432,000 class N notes at 'Csf'; -- $179,205 class O notes at 'Dsf'. ARES VR: S&P Raises Rating on Class D Notes From 'CCC+' to 'B+' --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the six classes of notes from Ares VR CLO Ltd., a collateralized loan obligation (CLO) backed by corporate loans. Ares Management LLC manages the transaction. "At the same time, we removed the affected ratings from CreditWatch with positive implications, where we had placed them on Dec. 20, 2011," S&P said. The upgrades reflect an increase in the overall credit support available to the rated notes since our March 2010 rating actions on the notes. "The transaction's defaulted asset amount has decreased to $2.0 million as of the January 2012 trustee report, which we used in our current analysis, from $13.8 million according to the February 2010 monthly report, which we used for our March 2010 actions. The trustee's amount of assets in the 'CCC' range has also decreased to $22.2 million from $33.3 million over the same time period," S&P said. As a result, the overcollateralization (O/C) ratios increased for all classes: * The class A/B O/C ratio was 132.8% in January 2012, compared with 119.2% in February 2010; * The class C O/C ratio was 123.3% in January 2012, compared with 113.5% in February 2010; and * The class D O/C ratio was 107.0% in January 2012, compared with 103.1% in February 2010. "Standard & Poor's will continue to review whether, in our view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary," 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 Ares VR CLO Ltd. Rating Class To From A-1 AAA (sf) A+ (sf)/Watch Pos A-2 AAA (sf) A+ (sf)/Watch Pos A-3 AAA (sf) A+ (sf)/Watch Pos B AA+ (sf) A+ (sf)/Watch Pos C A+ (sf) BBB- (sf)/Watch Pos D B+ (sf) CCC+ (sf)/Watch Pos ASC 1997-D5: Moody's Affirms Cl. PS-1 Notes Rating at 'B3' ---------------------------------------------------------- Moody's Investors Service affirmed the ratings of four classes of Asset Securitization Corporation, Commercial Mortgage Pass-Through Certificates, Series 1997-D5: Cl. A-1E, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. PS-1, Affirmed at B3 (sf); previously on Feb 22, 2012 Downgraded to B3 (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 0.6% of the current balance. At last review, Moody's cumulative base expected loss was 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 commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in 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 CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. 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. The CMBS IO calculator ver1.0 uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 5, the same as 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. DEAL PERFORMANCE As of the February 10, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 81% to $337.7 million from $1.8 billion at securitization. The Certificates are collateralized by 35 mortgage loans ranging in size from less than 1% to 16% of the pool, with the top ten loans representing 50% of the pool. Twelve loans, representing 45% of the pool, have defeased and are collateralized with U.S. Government securities. Six loans, representing 5% 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 loans have been liquidated from the pool, resulting in an aggregate realized loss of $105.1 million (67% loss severity overall). One loan, representing less than 1% of the pool, is currently in special servicing. Moody's was provided with full year 2010 operating results for 100% of the pool's non-defeased loans. Moody's weighted average LTV is 60% compared to 61% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 14% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.6%. Moody's actual and stressed DSCRs are 1.71X and 2.47X, respectively, compared to 1.40X and 2.10X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 41% of the pool balance. The largest loan is Westin Peachtree Plaza Loan ($52.3 million -- 15.5% of the pool), which is secured by a 1,068- unit full service hotel located in Atlanta, Georgia. The property had been on the master servicer's watchlist due to ongoing repairs stemming from tornado damage suffered in 2008. The repairs were completed in December 2010. Recent operating performance has declined due to a decrease in other income. Occupancy and revenue per available room were 65% and $75.14, respectively, as of the trailing twelve months from December 31, 2011 compared to 56% and $75.61 as of December 31, 2010. The loan has an anticipated repayment date of June 6, 2012. Moody's LTV and stressed DSCR are 85% and 1.53X, respectively, compared to 59% and 2.11X at last review. The second largest loan is Dayton Mall Loan ($50.3 million -- 14.9%), which is secured by a 664,000 square foot (SF) mall located in Dayton, Ohio. Anchor tenants include Macy's, Sears, J.C. Penney and Elder-Beerman. J.C. Penney is part of the collateral, while Macy's, Sears and Elder-Beerman are not part of the collateral. Overall, the mall was 95% leased as of September 2011 compared 94% at last review. The inline space was 90% leased as of September 2011. Performance remains stable. The loan has an anticipated repayment date of July 11, 2012. Moody's LTV and stressed DSCR are 60% and 1.81X, respectively, compared to 61% and 1.78X at last review. The third largest loan is Saul Centers Retail Portfolio Loan ($34.2 million -- 10.1%), which is secured by a portfolio of seven crossed-defaulted anchored retail properties (primarily grocery- anchored) located in Virginia and Maryland. The portfolio was 95% leased as of September 2011 compared to 98% as of December 2010. The portfolio's performance remains stable. Moody's LTV and stressed DSCR are 22% and 4.89X, respectively, compared to 46% and 2.84X at last review. BANC OF AMERICA: S&P Cuts 2 Cert Classes Ratings to 'D' ------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on five classes of commercial mortgage pass-through certificates from Banc of America Large Loan Inc.'s series 2005-MIB1, a U.S. commercial mortgage-backed securities (CMBS) transaction. "Concurrently, we affirmed our ratings on seven other classes from the same transaction," S&P said. "The rating actions follow our analysis of the transaction, which included our revaluation of the remaining four floating-rate loans and one real estate owned (REO) asset in the trust, the transaction structure, liquidity available to the trust, and losses that we anticipate will occur upon the eventual resolution of four ($88.2 million, 27.5%) of the five specially serviced assets ($320.2 million, 100%). The ratings were also constrained due to the fact that 100% of the assets in the transaction are with the special servicers, are in default, and could cause additional interest shortfalls," S&P said. "Our ratings analysis on the certificate classes was consistent with our approach outlined in the 'Approach' and 'Surveillance' sections of 'Presale: J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-FL1,' published Nov. 8, 2011. We based our analysis, in part, on a review of the borrower's operating statements for the full-year or interim 2011, the year-ended Dec. 31, 2010, the borrower's 2012 budget (where available), and available Smith Travel Research (STR) reports," S&P said. "The downgrades reflect reduced liquidity support available to the affected classes resulting from continued interest shortfalls and their susceptibility to interest shortfalls in the future relating to the assets that are with the special servicers. We lowered our ratings on classes J and K to 'D (sf)' because we believe the accumulated interest shortfalls will remain outstanding for the foreseeable future. As of the Feb. 15, 2012, trustee remittance report, the trust had experienced monthly interest shortfalls totaling $67,993 due to special servicing fees on four of the five specially serviced assets. The interest shortfalls affected classes J, K, and L. Class J has experienced interest shortfalls for two months, while class K has shorted interest for 10 consecutive months. We previously lowered our rating on class L to 'D (sf)' due to recurring interest shortfalls," 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)' ratings on the class X-1B, X-2, and X-5 interest-only (IO) certificates based on our current criteria," S&P said. "As of the Feb. 15, 2012 trustee remittance report, the trust consists of four floating-rate interest-only loans indexed to one month LIBOR and one REO asset totaling $320.2 million. The one- month LIBOR rate was 0.289% according to the February 2012 trustee remittance report. Details on the five remaining assets, all of which are currently with the special servicers are set forth," S&P said. "The Westin New York at Times Square loan, the largest asset in the pool, has a trust and whole-loan balance of $232.0 million (72.5%). The loan is secured by a leasehold interest in a 45- story, 863-room, full-service hotel in Midtown Manhattan. The loan was transferred to the special servicer, CWCapital Asset Management LLC (CWCapital), on Dec. 1, 2011, due to imminent maturity default after the borrower requested a 60-day extension from the loan's maturity date to secure refinancing proceeds. The loan matures on March 9, 2012. CWCapital indicated that the borrower is performing under a 90-day forbearance agreement and CWCapital has ordered an updated appraisal. CWCapital stated that it is unknown at this time if the borrower will reimburse the trust for the special servicing fees. The master servicer, Bank of America N.A. (BofA), reported a debt service coverage (DSC) of 16.45x, occupancy of 90.8%, and an average daily rate (ADR) of $312.04 for the year-ended Dec. 31, 2011. Our adjusted valuation, using a 10.75% capitalization rate, yielded an in-trust stressed loan-to-value (LTV) ratio of 73.2%. Our analysis considered various scenarios of potential additional interest shortfalls related to this loan," S&P said. "The Liberty Properties loan, the second-largest asset in the pool, has a trust balance of $32.6 million (10.2%) and a whole- loan balance of $42.8 million," S&P said. "In addition, the equity interests in the borrower of the whole loan secure a $20.1 million mezzanine loan. The loan is currently secured by five industrial/office properties totaling 1.4 million sq. ft. in Worcester and Dedham, Mass. The loan was transferred to the special servicer on March 20, 2009, to complete the release of a portion (a 101,985-sq.-ft. school building to Abbey Kelly School) of the 10 New Bond property totaling 384,069 sq. ft. The loan matured on March 8, 2010. According to the special servicer, CT Investment Management Co. Inc., the borrower is currently marketing the remaining properties for sale. BofA reported a DSC of 4.22x for year-end 2011, and occupancy was 53.7%, according to the Dec. 31, 2011 rent roll. Our adjusted valuation, using a 9.25% capitalization rate, yielded an in-trust stressed LTV ratio of 108.2%. We expect a moderate loss upon the eventual resolution of this loan," S&P said. "The Radisson Resort Parkway loan, the third-largest asset in the pool, has a trust balance of $24.8 million (7.7%) and a whole- loan balance of $48.0 million. The loan is secured by a 718-room, full-service hotel in Kissimmee, Fla., 1.5 miles from Walt Disney World. The loan was transferred to the special servicer on July 27, 2009, due to monetary default. The loan matured on Sept. 9, 2009. The special servicer, CWCapital, stated that it filed for foreclosure on Dec. 15, 2010, and expects it to close in the second quarter of 2012. CWCapital is currently renovating the hotel property and anticipates that renovations will be completed by August 2012. BofA reported that cash flow at the property was not sufficient to cover debt service as of year-end 2010, and occupancy and ADR were reported at 43.9% and $64.43 as of March 2011. Our adjusted valuation, which considered an Aug. 1, 2011 appraisal value of $20.4 million, yielded an in-trust stressed LTV ratio of 162.1%. We expect a significant loss upon the eventual resolution of this loan," S&P said. "The Shops at Grand Avenue loan, the fourth-largest asset in the pool, has a trust and whole-loan balance of $21.1 million (6.6%). In addition, the equity interests in the borrower secure a $10.0 million mezzanine loan. The loan is secured by a 298,109- sq.-ft. enclosed regional shopping center in Milwaukee, Wis. The loan transferred to the special servicer on Sept 11, 2009, due to monetary default. The loan matured on Sept. 9, 2009. The special servicer, CWCapital, stated that it filed for foreclosure on June 24, 2011, and expects it to close in the third quarter of 2012. BofA reported a DSC of 0.59x for year-end 2010, and occupancy was 39.3%, according to the Nov. 15, 2011, rent roll. Our adjusted valuation, which considered a June 21, 2011 appraisal value of $7.6 million, yielded an in-trust stressed LTV ratio that significantly exceeds 100%. We expect a significant loss upon the eventual resolution of this loan," S&P said. "The Pointe Apartments asset, the smallest asset in the pool, has a trust balance of $9.7 million (3.0%) and whole-loan balance of $15.2 million. The 360-unit apartment complex in Atlanta, Ga., was transferred to the special servicer on Aug. 12, 2008, and became REO on Sept. 1, 2009. The special servicer, CWCapital, stated that it plans to market the property for sale later this year. BofA reported a DSC of 2.16x for year-end 2010, and occupancy was 81.7%, according to the October 2011 rent roll. Our adjusted valuation, which considered a July 21, 2011 appraisal value of $7.7 million, yielded an in-trust stressed LTV ratio of 140.2%. We expect a moderate loss upon the eventual resolution of this loan," 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 are available at: http://standardandpoorsdisclosure-17g7.com Ratings Lowered Banc of America Large Loan Inc. Commercial mortgage pass-through certificates series 2005-MIB1 Rating Class To From Credit enhancement (%) F BB+ (sf) BBB- (sf) 45.36 G B (sf) BB (sf) 35.89 H CCC- (sf) BB- (sf) 27.99 J D (sf) B+ (sf) 19.00 K D (sf) CCC- (sf) 9.37 Ratings Affirmed Banc of America Large Loan Inc. Commercial mortgage pass-through certificates series 2005-MIB1 Class Rating Credit enhancement % B AA+ (sf) 89.75 C AA- (sf) 73.76 D A (sf) 64.29 E BBB+ (sf) 54.83 X-1B AAA (sf) N/A X-2 AAA (sf) N/A X-5 AAA (sf) N/A N/A -- Not applicable. BANC OF AMERICA: S&P Lowers Ratings on 3 Classes to 'D' ------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes of commercial mortgage-backed securities (CMBS) from Banc of America Commercial Mortgage Inc.'s series 2002-PB2 and removed them from CreditWatch with negative implications. "We lowered three of these ratings to 'D (sf)'. In addition, we affirmed our 'AAA (sf)' ratings on two other classes from the same transaction," S&P said. "The rating actions reflect our review of the continued and increased amount of interest shortfalls affecting the trust, as well as our analysis of the 14 remaining assets in the pool, nine of which are with the special servicer. Standard & Poor's previously placed its ratings on eight of the classes on CreditWatch negative, reflecting interest shortfalls primarily attributable to the master servicer not advancing on five specially serviced assets that it deemed to be nonrecoverable. Details of our downgrades of these eight classes and removal from CreditWatch with negative implications are set forth," S&P said. "The Feb. 13, 2012, trustee remittance report detailed current interest shortfalls totaling $819,495, which primarily consisted of interest not advanced ($763,462) for five ($128.5 million, 52.9%) of the transaction's nine ($199.1 million, 82.0%) specially serviced assets, special servicing fees ($41,079), and recovery of servicer's advances ($200,977). The total interest shortfalls in the February 2012 trustee remittance report were curtailed by $127,839 of net interest recovery and $58,185 of appraisal subordinate entitlement reduction (ASER) amount recovery. Based on information from the master servicer, we expect both recoveries to be a one time occurrence. The current interest shortfalls affected all classes subordinate to and including the class D certificates. Classes G, H, and J to date have accumulated interest shortfalls outstanding for three months. Consequently, we lowered our ratings on classes G, H, and J to 'D (sf)' because we expect the accumulated interest shortfalls to remain outstanding for an extended period of time," S&P said. "We downgraded classes D, E, and F due to accumulated interest shortfalls outstanding for three months. If classes D, E, and F continue to experience interest shortfalls for an extended period of time, we may further lower our ratings," S&P said. "We lowered our ratings on classes B and C due to reduced liquidity support available to these classes primarily due to continued interest shortfalls. We also considered the near-term maturity of three ($26.5 million, 10.9%) of the four ($32.5 million, 13.4%) nondefeased performing loans. We believe the upcoming maturities of the nondefeased performing loans could also increase the interest shortfalls affecting the trust if the loans do not pay off at maturity and are subsequently transferred to the special servicer -- particularly if the master servicer does not advance any interest on the specially serviced assets. The master servicer has indicated it will review advances on existing and new specially serviced assets when updated appraisals or broker opinions of value (BOVs) are received from the special servicer. We also considered the potential for BofA to accelerate the recovery of prior advances if the appraised valuation of the current specially serviced assets decline. However, the master servicer has advised us that it does not currently have plans to recover additional prior advances it has made," S&P said. "We believe the pace of loan maturity payoffs and liquidations will influence how long accumulated interest shortfalls are outstanding and the extent to which interest shortfalls affect outstanding certificates. Further downgrades may be warranted should interest shortfalls continue and/or increase due to the lack of loan payoffs and liquidation of the specially serviced assets," S&P said. "We affirmed our 'AAA (sf)' rating on the A-4 principal and interest certificates to reflect subordination levels and liquidity support that are consistent with the outstanding rating. We affirmed our 'AAA (sf)'rating on the class X-C interest-only (IO) certificates based on our current criteria," S&P said. Details of The Specially Serviced Assets As of the Feb. 13, 2012 trustee remittance report, nine ($199.1 million, 82.0%) assets in the pool were with the special servicer, LNR Partners LLC (LNR). The payment status of the specially serviced assets is: one ($71.4 million, 29.4%) is real estate owned (REO), two ($12.7 million, 5.2%) are in foreclosure, and six ($115.0 million, 47.4%) are matured balloon loans. Appraisal reduction amounts (ARAs) totaling $46.1 million were in effect for four of the specially serviced assets. The four largest assets in the pool are all specially serviced, details are as set forth. "The Regency Square asset ($71.4 million balance, 29.4%) is the largest asset secured by real estate in the pool and the largest specially serviced asset. The asset has a total reported exposure of $72.5 million. The property comprises 464,861 sq. ft. of in- line retail space of an 818,000-sq.-ft. regional mall in Richmond, Va. The loan was transferred to the special servicer on Nov. 1, 2010, and the property became REO on Dec. 29, 2011. According to BofA, it is no longer making advances on this asset. The reported DSC was 0.62x for year-end 2010 and occupancy on the collateral property is currently at 95.0%. An ARA of $38.3 million is currently in effect for this asset. The special servicer indicated that it is currently evaluating the disposition strategy. We expect a significant loss upon the resolution of this asset," S&P said. "The 84 William Street loan ($28.8 million, 11.9%) is secured by a 121-unit, 17-story multifamily building with ground floor retail in New York, N.Y. According to the Oct. 4, 2011, rent roll, the New School University currently leases all 121 units for student housing until June 30, 2013. The loan transferred to the special servicer on Oct. 10, 2011, for imminent maturity default. The loan matured on Nov. 1, 2011. The total reported exposure was $29.0 million on this loan. BofA indicated that it is currently not making advances for this loan. However, BofA stated that it may revisit this decision if it receives an updated value from the special servicer. According to LNR, it is proceeding with foreclosure. The most recent reported DSC and occupancy were 1.15x and 100.0%, respectively, as of Dec. 31, 2010. We expect a minimal, if any, loss upon the eventual resolution of this loan," S&P said. "The 880 Troy Corporate Center loan ($26.9 million, 11.1%) is secured by a six-story, 186,565-sq.-ft. office building in Troy, Mich. The loan, which has a total reported exposure of $27.4 million, transferred to the special servicer on Jan. 7, 2010, for imminent default after the sole tenant, Omnicom Group, vacated and terminated the lease before its lease expiration date. According to the special servicer, the borrower and the former tenant are in litigation. The loan matured on Dec. 1, 2011, and the borrower was not able to pay off the loan. The master servicer has informed us that it will review advancing on this loan after receipt of a new appraisal from the special servicer. LNR stated that it is evaluating the disposition strategy for this loan. We expect a significant loss upon the resolution of this loan," S&P said. "The 840 Troy Corporate Center loan ($24.5 million, 10.1%) is secured by an 186,565-sq.-ft. office building in Troy, Mich., which is adjacent to the property securing the 880 Troy Corporate Center loan detailed. Although both loans have the same borrower, they are not cross-collateralized. This loan also transferred to the special servicer on Jan. 7, 2010, for imminent default after the Omnicom Group (Interone Marketing Group), which occupied 31,789 sq. ft. (17.0%) of net rentable space, vacated and terminated its lease before its Jan. 31, 2020 lease expiration. The loan matured on Dec. 1, 2011, and the borrower was not able to pay off the loan. BofA has informed us that it will review advancing on this loan after receipt of a new appraisal from the special servicer. The most recent reported DSC and occupancy were 0.44x and 33.4% as of Sept. 30, 2011. We expect a significant loss upon the resolution of this loan," S&P said. "The remaining five specially serviced assets have balances that individually represent less than 6.5% of the total pool balance. ARAs totaling $5.8 million are in effect against three of the assets. We estimated losses for the five assets, arriving at a weighted average loss severity of 25.6%," S&P said. Transaction Summary As of the Feb. 13, 2012 trustee remittance report, the collateral pool had a trust balance of $242.9 million, down from $1.12 billion at issuance. The pool currently includes 12 loans, one REO asset, and one defeased loan. The master servicer provided information for 91.1% of the nondefeased assets in the pool: 34.9% was partial-year 2011 data while 56.2% was full-year 2010 data. "We calculated a weighted average DSC of 0.93x for the pool based on the reported figures. Our adjusted DSC and LTV ratio were 1.30x and 80.3%, which exclude nine ($199.1 million, 82.0%) of the transaction's specially serviced assets and one ($11.3 million, 4.7%) defeased loan. We separately estimated losses for the specially serviced assets. To date, the trust has experienced $26.8 million in principal losses relating to 18 assets. One loan, the Saddle Ridge Crossing Townhomes loan ($7.9 million, 3.3%), the eighth-largest asset secured by real estate in the pool, is on the master servicer's watchlist and is detailed," S&P said. Summary of Top 10 Assets Secured By Real Estate "The top 10 assets secured by real estate have an aggregate outstanding trust balance of $218.3 million (89.9%). Using servicer-reported numbers, we calculated a weighted average DSC of 1.22x for three of the top 10 assets," S&P said. "The remaining seven top 10 assets ($190.0 million, 78.2%) are with the special servicer. Details on the four largest assets were discussed. Our adjusted DSC and LTV ratio for three of the top 10 assets, excluding the seven specially serviced assets, were 1.22x and 84.1%. One of the top 10 assets in the pool, the Saddle Ridge Crossing Townhomes loan ($7.9 million, 3.3%) is on the master servicer's watchlist, due to its impending March 1, 2012 maturity. The loan is secured by an 81-unit multifamily property in Wilmington, Del., built in 2001. The master servicer reported that the borrower is currently in negotiations with a bank to secure financing to payoff the loan. The reported DSC and occupancy were 1.12x and 100% for year-end 2010," S&P said. 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 And Removed From Creditwatch Negative Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2002-PB2 Rating Class To From Credit enhancement (%) B BBB+ (sf) AA (sf)/Watch Neg 72.28 C BB+ (sf) A (sf)/Watch Neg 65.34 D B+ (sf) BBB+ (sf)/Watch Neg 59.55 E CCC+ (sf) BB (sf)/Watch Neg 51.45 F CCC- (sf) BB- (sf)/Watch Neg 46.82 G D (sf) CCC+ (sf)/Watch Neg 41.03 H D (sf) CCC (sf)/Watch Neg 34.09 J D (sf) CCC- (sf)/Watch Neg 28.30 Ratings Affirmed Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2002-PB2 Class Rating Credit enhancement (%) A-4 AAA (sf) 93.11 X-C AAA (sf) N/A N/A -- Not applicable. BEAR STEARNS: Expected Losses Cue Fitch Downgrade Ratings --------------------------------------------------------- Fitch Ratings has upgraded one class and downgraded three classes of Bear Stearns Commercial Mortgage Securities Trust commercial mortgage pass-through certificates, series 2003-TOP10. The downgrades reflect Fitch expected losses which are largely attributed to loans in special servicing. The upgrade of class D reflects increased credit enhancement as a result of paydown and defeasance. Fitch modeled losses of 2.3%. There are currently four loans (2.3%) in special servicing. As of the February 2012 distribution date, the pool's certificate balance has been reduced by 24.3% (including 0.13% in realized losses) to $918 million from $1.2 billion. There are 27 defeased loans (16.8%). There are cumulative interest shortfalls in the amount of $121,691 currently affecting class O. The largest contributor to losses (0.66%) is a retail center located in Altamonte Springs, FL. The loan transferred to the special servicer in March 2010 due to imminent payment default. Loan modification discussions between the borrower and special servicer are ongoing and foreclosure is also being pursued. The second largest contributor to losses (.27%) is an office property located in Citrus Heights, CA. The loan transferred to the special servicer on March 15, 2011 due to imminent default and the borrower's request to restructure the debt. The asset is currently slated for inclusion in a note sale. Fitch upgrades this class: -- $12.1 million class D to 'Asf' from 'A-sf'; Outlook to Stable from Positive. Fitch downgrades these classes: -- $10.6 million class H to 'BBsf' from 'BB+sf'; Outlook Stable; -- $4.5 million class J to 'Bsf' from 'BBsf'; Outlook Stable; -- $4.5 million class L to 'CCCsf' from 'B-sf'; RE 100%. Fitch affirms and revises Outlooks on these classes: -- $9.7 million class A-1 at 'AAAsf'; Outlook Stable; -- $749.2 million class A-2 at 'AAAsf'; Outlook Stable; -- $34.8 million class B at 'AAAsf'; Outlook Stable; -- $37.9 million class C at 'AAsf'; Outlook Stable; -- $15.2 million class E at 'BBB+sf'; Outlook to Stable from Positive; -- $9.1 million class F at 'BBBsf'; Outlook Stable; -- $7.6 million class G at 'BBB-sf'; Outlook Stable; -- $6.1 million class K at 'Bsf'; Outlook Negative; -- $3 million class M at 'CCCsf'; RE 100%; -- $3 million class N at 'CCsf'; RE to 100% from 95%. Fitch does not rate class O. The ratings on classes X-1 and X-2 were previously withdrawn. BEAR STEARNS: Fitch Downgrades Rating on Eight Note Classes ---------------------------------------------------------- Fitch Ratings has downgraded eight classes and affirmed nine classes of Bear Stearns Commercial Mortgage Securities Inc. Commercial Mortgage Pass-Through Certificates series 2005-TOP18. The downgrades reflect an increase in Fitch modeled losses attributed primarily to the updated values on specially serviced loans. Fitch modeled losses of 4.8% of the remaining pool. The pool has experienced $6 million (0.5% of the original pool balance) in realized losses to date. Fitch has designated 24 loans (13.2%) as Fitch Loans of Concern, which includes eight specially serviced assets (5.2%). Fitch expects classes K through P to be fully depleted and class J to be impaired from losses associated with the specially serviced assets. As of the February 2012 distribution date, the pool's aggregate principal balance has been reduced by 24.3% to $849.3 million from $1.12 billion at issuance and four loans (3.6%) are defeased. Interest shortfalls are currently affecting classes F through P. The largest contributor to modeled losses (1.1% of the pool) is secured by a seven-story, two building office property totaling 157,946 square feet (SF) that is located in Inglewood, California. Second-quarter 2011 debt service coverage ratio (DSCR) decreased to 0.84 times (x) 1.08x at year-end 2010 and combined occupancy decreased slightly to 61% from 62% for the same period. The decline in DSCR was primarily attributed to the sharp increase of expenses related to repair and maintenance and professional fees. As a result of the increased expenses, 2Q11 NOI declined 52% from YE2010. The property manager is actively marketing the vacant spaces. The second largest contributor to modeled losses (1.2%) is secured by a 115,177 SF retail property in Whiting, NJ. The loan transferred to special servicer in July 2009 due to imminent default. Borrower is unable to meet debt service obligations due to delinquent rents from several tenants. The special servicer is pursing sale of the property through a receiver. The most recent appraisal value provided by the servicer indicates losses upon the liquidation of the asset. The third largest contributor to expected losses is secured by a 33,000 SF retail property in San Diego, CA. The loan transferred to special servicer in March 2011 due to imminent default after the single tenant, Borders, filed for bankruptcy and subsequently vacated the property. The property became a real estate owned asset (REO) after the trustee sale in October 2011. The most recent appraisal value provided by the servicer indicates losses upon the liquidation of the asset. Fitch downgrades these classes, assigns or revises Recovery Estimates (REs) and revises outlooks: -- $8.4 million class C to 'BBBsf' from 'Asf', Outlook Stable; -- $9.8 million class F to 'CCCsf' from 'BBsf', RE 80%; -- $9.8 million class G to 'CCsf' from 'B-sf', RE 0%; -- $8.4 million class H to 'Csf' from 'CCCsf', RE 0%; -- $4.2 million class J to 'Csf' from 'CCCsf', RE 0%; -- $4.2 million class K to 'Csf' from 'CCCsf', RE 0%; -- $4.2 million class L to 'Csf' from 'CCsf', RE 0%; -- $1.4 million class M to 'Csf' from 'CCsf', RE 0%. Fitch affirms these classes and revises outlooks: -- $72.4 million class A-AB at 'AAAsf', Outlook Stable; -- $517.2 million class A-4 at 'AAAsf', Outlook Stable; -- $75 million class A-4FL at 'AAAsf', Outlook Stable; -- $74.3 million class A-J at 'AAAsf', Outlook Stable; -- $29.4 million class B at 'Asf', Outlook Stable; -- $12.6 million class D at 'BBB-sf', Outlook to 'Negative' from 'Stable'; -- $11.2 million class E at 'BBsf', Outlook to 'Negative' from 'Stable'; -- $1.4 million class N at 'Csf', RE 0%; -- $2.8 million class O at 'Csf', RE 0%. The class A-1, A-2 and A-3 certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the rating on the interest-only class X certificates. BEAR STEARNS: S&P Lowers Ratings on 2 Classes to 'CCC' ------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on nine classes from four residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transactions issued in 2005-2008. "We also raised our rating on a single class from one of the reviewed transactions. Furthermore, we affirmed our ratings on nine other classes from one of the transactions with lowered ratings and three other transactions. We subsequently withdrew our rating on one class from Prudential Home Mortgage Securities Co. Inc. Series 1988-1, a prime jumbo transaction, due to the small number of loans remaining in the transaction and the potential for performance volatility. Additionally, we withdrew our rating on one class from one of the transactions following the application of our interest-only (IO) criteria," S&P said. Seven of the transactions in this review are RMBS re-REMIC transactions and one is backed by prime jumbo mortgage loan collateral. "In performing our ratings analysis on the re-REMIC transactions, we reviewed the interest and principal amounts due on the underlying securities, which are then passed through to the applicable re-REMIC classes. We applied our loss projections, incorporating our loss assumptions, to the underlying collateral to identify the principal and interest amounts that could be passed through from the underlying securities under our rating scenario stresses. We stressed our loss projections at various rating categories to assess whether the re-REMIC classes could withstand the stressed losses associated with their ratings while receiving timely payment of interest and principal consistent with our criteria," S&P said. "The downgrades are based on our belief that the amount of credit enhancement within the affected re-REMICs will be insufficient to cover projected principal losses being passed through from the underlying securities," S&P said. "Among other factors, the upgrade reflects our view of a decrease in delinquencies within the underlying structure associated with the affected class. This has reduced the remaining projected losses for this structure, allowing this class to withstand more stressful scenarios. In addition, the upgrade reflects our assessment that the projected credit enhancement for the affected class will be more than sufficient to cover projected losses being passed through from the underlying securities at the revised rating level; however, we are limiting the extent of the upgrade 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 raising 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 effect on our outstanding rating, we withdrew our rating on the related class," S&P said. "We withdrew the rating on class X from Bear Stearns ARM Trust 2005-8 Series 2005-8 to reflect the application of our IO criteria," S&P said. "In order to maintain a 'B (sf)' rating on a class from a nonprime transaction underlying a re-REMIC transaction, 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 (sf)', we assessed whether a class could withstand losses exceeding the base-case loss assumptions at a percentage specific to each rating category, up to 150% of remaining losses for an 'AAA (sf)' rating. For example, in general, we would assess whether one class could withstand approximately 110% of our remaining base-case loss assumption to maintain a 'BB (sf)' rating, while we would assess whether a different class could withstand approximately 120% of our remaining base-case loss assumption to maintain a 'BBB (sf)' rating. Each class that we affirmed at 'AAA (sf)' can, in our view, withstand approximately 150% of our remaining base-case loss assumption under our analysis," S&P said. "In order to maintain a 'B (sf)' rating on a class from a prime jumbo transaction underlying a re-REMIC transaction, 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 (sf)', we assessed whether a class could withstand losses exceeding the base-case loss assumptions at a percentage specific to each rating category, up to 235% of remaining losses for an 'AAA (sf)' rating. For example, in general, we would assess whether one class could withstand approximately 127% of our remaining base-case loss assumption to maintain a 'BB (sf)' rating, while we would assess whether a different class could withstand approximately 154% of our remaining base-case loss assumption to maintain a 'BBB (sf)' rating. Each class that we affirmed at 'AAA (sf)' can, in our view, withstand approximately 235% of our remaining base-case loss assumption 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 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 Bear Stearns ARM Trust 2005-8 Series 2005-8 Rating Class CUSIP To From A-3 07387AEB7 CCC (sf) BBB- (sf) A-4 07387AEC5 CCC (sf) BBB- (sf) X 07387AEE1 NR AAA (sf) Credit Suisse First Boston Mortgage Securities Corp CSMC Series 2008-3R Series 2008-3R Rating Class CUSIP To From 1-A-1 12640WAA8 CC (sf) CCC (sf) 1-A-2 12640WAC4 CC (sf) CCC (sf) 1-A-3 12640WAE0 CC (sf) CCC (sf) 2-A-1 12640WAG5 B (sf) AAA (sf) 2-A-2 12640WAJ9 CC (sf) BBB+ (sf) Greenwich Structured ARM Products CI 2005-6 Series 2005-6 Rating Class CUSIP To From N-1 39700XAA6 BB (sf) B (sf) GSAA Resecuritization Mortgage Trust 2005-R1 Series 2005-R1 Rating Class CUSIP To From 1A1 36242D3R2 CC (sf) BB- (sf) Prudential Home Mortgage Securities Co. Inc. (The) Series 1988-1 Rating Class CUSIP To Interim From A 74434RAA9 NR BB (sf) BB (sf) Structured Asset Securities Corporation Trust 2006-11 Series 2006-11 Rating Class CUSIP To From A1 86360DAA2 CC (sf) B- (sf) Ratings Affirmed AAA Trust 2005-2 Series 2005-2 Class CUSIP Rating A3 31738PBG2 AAA (sf) I-A3B 31738PBE7 AAA (sf) I-X 31738PBH0 AAA (sf) II-X 31738PBJ6 AAA (sf) Bear Stearns ARM Trust 2005-8 Series 2005-8 Class CUSIP Rating A-2 07387AEA9 A (sf) Citigroup Mortgage Loan Trust Inc. Series 2006-8 Class CUSIP Rating A-1 17310CAA0 BBB- (sf) A-3 17310CAC6 BBB- (sf) A-4 17310CAD4 BBB- (sf) CABELA'S CREDIT: DBRS Puts 'BB' Provisional Rating on Class D ------------------------------------------------------------- DBRS has assigned provisional ratings to these classes issued by Cabela's Credit Card Master Note Trust, Series 2012-I: -- Series 2012-1 Notes, Class A-1 rated AAA (sf) -- Series 2012-1 Notes, Class A-2 rated AAA (sf) -- Series 2012-1 Notes, Class B rated A(high) (sf) -- Series 2012-1 Notes, Class C rated BBB (sf) -- Series 2012-1 Notes, Class D rated BB (sf) CALLIDUS DEBT: S&P Affirms 'CCC-' Ratings on 2 Classes of Notes --------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class A notes from Callidus Debt Partners CLO Fund II Ltd., a collateralized loan obligation (CLO) transaction with APEX credit swap, APEX balance swap, and APEX income swap features managed by GSO/Blackstone Debt Funds Management. "We also affirmed our ratings on the class B, C-1, and C-2 notes," S&P said. "The upgrade reflects the paydowns to the class A since our March 2011 rating actions. Subsequently, the transaction has benefited from an increase in the overcollateralization (O/C) available to support the notes. The trustee reported a class A O/C ratio of 243.16% in the February 2012 monthly report, up from a reported ratio of 145.89% in February 2011. After taking into account the Feb. 15, 2012 distribution date, the transaction has paid down the class A notes by $56.6 million since February 2011, reducing the class A notes remaining balance to 11.5% of the original amount," S&P said. "The affirmations of our ratings on the class B, C-1, and C-2 notes reflect the sufficient credit support at the classes' current rating levels," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. 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 Action Callidus Debt Partners CLO II Ltd. Rating Class To From A AAA (sf) AA+ (sf) Ratings Affirmed Callidus Debt Partners CLO II Ltd. Class Rating B AA (sf) C-1 CCC- (sf) C-2 CCC- (sf) CANYON CAPITAL: S&P Affirms 'B+' Rating on Class E Notes -------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B and D notes from Canyon Capital CLO 2006-1 Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Canyon Capital Advisors LLC. "At the same time, we affirmed our ratings on the class A1, A2, C, and E notes. We removed our ratings on the class B and C notes from CreditWatch, where we placed them positive implications on Dec. 20, 2011," S&P said. "The upgrades reflect improved performance we have observed in the transaction's underlying asset portfolio since we downgraded some of the classes on March 31, 2010, following the application of our September 2009 corporate CDO criteria. As of the Feb. 7, 2012 trustee report, the transaction's asset portfolio had $6.87 million in defaulted obligations and approximately $12.45 million in assets from obligors rated in the 'CCC' range. This was a slight increase from $6.63 million in defaulted obligations and a decrease from approximately $21.58 million in assets from obligors rated in the 'CCC' range noted in the March 3, 2010, trustee report, which we used for our March 2010 rating actions. In addition, over that same time period, there was an increase in the combined balance of the underlying portfolio and principal cash backing the rated liabilities, resulting in a $3.14 million increase in par," S&P said. "The class E notes are constrained because the class failed the largest obligor default test, a supplemental stress test we introduced as part of our 2009 corporate criteria update," S&P said. "We affirmed our ratings on the class A1, A2, C, and E notes to reflect our belief that the credit support available is commensurate with the current rating levels," S&P said. "Canyon Capital CLO 2006-1 Ltd. is currently in its reinvestment period, which ends in September 2012. On the last payment date, Dec. 15, 2011, all coverage tests in the transaction passed and the subordinated notes received $2.02 million in excess interest, while the $2.73 million of principal proceeds were retained for the potential acquisition of additional securities," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. 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 Canyon Capital CLO 2006-1 Ltd. Rating Class To From B AA+ (sf) AA (sf)/Watch Pos C A (sf) A (sf)/Watch Pos D BBB (sf) BBB- (sf) Ratings Affirmed Canyon Capital CLO 2006-1 Ltd. Class Rating A1 AA+ (sf) A2 AA+ (sf) E B+ (sf) CAPITAL GUARDIAN: Moody's Raises Cl. A1-A Notes Rating From 'Ba1' ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of three classes of notes issued by Capital Guardian ABS CDO I, Ltd. The notes affected by the rating action are: $55,000,000 Class A1-A First Priority Senior Secured Floating Rate Notes due 2034 (current balance of $2,688,178.94), Upgraded to A2 (sf); previously on March 6, 2009 Downgraded to Ba1 (sf); $150,000,000 Class A1-B First Priority Senior Secured Floating Rate Notes due 2034 (current balance of $7,331,397.08), Upgraded to A2 (sf); previously on March 6, 2009 Downgraded to Ba1 (sf); $49,300,000 Class A1-C First Priority Senior Secured Floating Rate Notes due 2034 (current balance of $2,409,585.83), Upgraded to A2 (sf); previously on March 6, 2009 Downgraded to Ba1 (sf). RATINGS RATIONALE According to Moody's, the rating action results primarily from the deleveraging of the Class A1-A, A1-B and A1-C Notes ("Class A Notes"). Moody's notes that the Class A Notes have paid down by approximately 72% or $31.7 million since the last rating action in March 2009 and the par coverage on the Class A Notes has increased as a result. Based on the latest trustee report dated January 2012, the Class A overcollateralization ratio, as calculated by Moody's, is at 393% versus 219% as of January 2009, the trustee report used in the last rating action. As of the last payment date, both interest proceeds and principal proceeds are being diverted to pay down the principal balance of the Class A Notes due to the Class A/B overcollateralization test failure. Based on the latest trustee report, the Class A/B overcollateralization ratio is reported at 59.23%. Capital Guardian ABS CDO I, Ltd., issued on February 28, 2002, is a collateralized debt obligation backed primarily by a portfolio of RMBS, CMBS and CRE CDOs. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in November 2010. Moody's applied the Monte Carlo simulation framework within CDOROMv2.8 to model the loss distribution for SF CDOs. Within this framework, defaults are generated so that they occur with the frequency indicated by the adjusted default probability pool (the default probability associated with the current rating multiplied by the Resecuritization Stress) for each credit in the reference. Specifically, correlated defaults are simulated using a normal (or "Gaussian") copula model that applies the asset correlation framework. Recovery rates for defaulted credits are generated by applying within the simulation the distributional assumptions, including correlation between recovery values. Together, the simulated defaults and recoveries across each of the Monte Carlo scenarios define the loss distribution for the reference pool. Once the loss distribution for the collateral has been calculated, each collateral loss scenario derived through the CDOROM loss distribution is associated with the interest and principal received by the rated liability classes via the CDOEdge cash-flow model. The cash flow model takes into account the following: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss (EL) for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's 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. Moody's rating action factors in a number of sensitivity analyses and stress scenarios. Results are shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss, assuming that all other factors are held equal: Moody's non-investment grade rated assets notched up by 2 rating notches: Class A Notes: +1 Moody's non-investment grade rated assets notched down by 2 rating notches: Class A Notes: -2 CENTERLINE 2007-1: Moody's Affirms Cl. A-1 Notes Rating at 'C' -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of six classes of Certificates issued by Centerline 2007-1 Resecuritzation Trust. The affirmations are due to the key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-Remic) transactions. Cl. A-1, Affirmed at C (sf); previously on Apr 12, 2011 Downgraded to C (sf) Cl. A-2, Affirmed at C (sf); previously on Apr 28, 2010 Downgraded to C (sf) Cl. B, Affirmed at C (sf); previously on Apr 28, 2010 Downgraded to C (sf) Cl. C, Affirmed at C (sf); previously on Apr 28, 2010 Downgraded to C (sf) Cl. D, Affirmed at C (sf); previously on Apr 28, 2010 Downgraded to C (sf) Cl. E, Affirmed at C (sf); previously on Apr 28, 2010 Downgraded to C (sf) RATINGS RATIONALE Centerline 2007-1 Resecuritzation Trust is a static cash CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (76.4% of the pool balance) and CRE CDO (23.6%). As of the February 23, 2012 Trustee report, the aggregate Note balance of the transaction, including preferred shares, has decreased to $439.4 million from $985.9 million at issuance, with $1.3 million paydown directed to the Class A-1 Certificates. The deal has experienced realized losses of $545.1 million, with partial realized losses to Class E. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 9,190 compared to 9,516 at last review. The distribution of current ratings and credit estimates is: B1-B3 (6.4% compared to 3.8% at last review), and Caa1-C (93.6% compared to 96.2% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 9.8 years compared to 8.7 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 0.5% compared to 0.6% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 99.9%, the same as that at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. However, in light of the performance indicators noted above, Moody's believes that it is unlikely that the ratings announced are sensitive to further change. 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 commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in 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. CENTURION VII: S&P Lowers Ratings on 2 Classes of Notes to 'B+' --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on nine notes from Centurion CDO VII Ltd. and removed them from CreditWatch with positive implications. Centurion CDO VII Ltd. is a U.S. collateralized loan obligation (CLO) transaction managed by Columbia Management Investment Advisers LLC. "At the same time, we withdrew our rating on class G combo notes because the class was collapsed back into its component(the class C-2 note and preference shares)," S&P said. "The upgrades reflect improved performance we have observed in the deal's underlying asset portfolio since we downgraded the notes on Nov. 25, 2009. As of the Jan. 23, 2012 trustee report, the transaction's asset portfolio had $8.35 million in defaulted obligations and $64.42 million in 'CCC' rated obligations. This was a decrease from $15.96 million in defaulted obligations and $138.24 million in 'CCC' rated obligations noted in the Oct. 23, 2009 trustee report, which we used for our November 2009 rating actions," S&P said. "We also observed an increase in the overcollateralization (O/C) available to support the rated notes," S&P said. The trustee reported the O/C ratios in the Jan. 23, 2012 monthly report: * The class A O/C ratio was 129.63%, compared with a reported ratio of 125.26% in October 2009; * The class B O/C ratio was 115.07%, compared with a reported ratio of 112.19% in October 2009; * The class C O/C ratio was 111.26%, compared with a reported ratio of 108.73% in October 2009; and * The class D O/C ratio was 107.68%, compared with a reported ratio of 105.47% in October 2009. Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. 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 Centurion CDO VII Ltd. Rating Class To From A-1a AAA (sf) AA+ (sf)/Watch Pos A-1b AAA (sf) AA+ (sf)/Watch Pos A-2 AAA (sf) AA+ (sf)/Watch Pos B-1 Defer A (sf) BBB+ (sf)/Watch Pos B-2 Defer A (sf) BBB+ (sf)/Watch Pos C-1 Defer BBB- (sf) BB+(sf)/Watch Pos C-2 Defer BBB- (sf) BB+ (sf)/Watch Pos D-1 Defer B+ (sf) CCC+ (sf)/Watch Pos D-2 Defer B+ (sf) CCC+ (sf)/Watch Pos G Combo NR BB+ (sf) NR -- Not rated. CGCMT 2007-C6: Moody's Affirms Cl. X Notes Rating at 'Ba3' ---------------------------------------------------------- Moody's Investors Service affirmed the ratings of nine classes of Citigroup Commercial Mortgage Trust Commercial Mortgage Pass- Through Certificates, Series 2007-C6: Cl. A-1, Affirmed at Aaa (sf); previously on Jul 31, 2007 Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Jul 31, 2007 Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Jul 31, 2007 Assigned Aaa (sf) Cl. A-3B, Affirmed at Aaa (sf); previously on Jul 31, 2007 Assigned Aaa (sf) Cl. A-SB, Affirmed at Aaa (sf); previously on Jul 31, 2007 Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Jul 31, 2007 Assigned Aaa (sf) Cl. A-4FL, Affirmed at Aaa (sf); previously on Jul 31, 2007 Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Jul 31, 2007 Assigned Aaa (sf) Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 10.6% of the current balance. At last review, Moody's cumulative base expected loss was 8.1%. Realized losses have increased from 0.2% of the original balance to 0.7% since the prior 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 extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in 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 Structured Finance Interest-Only Securities" published in February 2012. 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 review also incorporated the CMBS IO calculator ver 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. 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 58 compared to 59 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 March 9, 2011. DEAL PERFORMANCE As of the February 10, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 2.5% to $4.64 billion from $4.76 billion at securitization. The Certificates are collateralized by 313 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 29% of the pool. One loan, representing less than 1% of the pool, has defeased and is secured by U.S. Government securities. The pool contains one loan with investment grade credit estimate, representing 2% of the pool. Eighty-one loans, representing 25% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Six loans have been liquidated from the pool, resulting in a realized loss of $31.9 million (63% loss severity on average). Currently 33 loans, representing 9% of the pool, are in special servicing. The master servicer has recognized an aggregate $207.8 million appraisal reduction for 29 of the specially serviced loans. Moody's has estimated an aggregate $218.6 million loss (52% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 48 poorly performing loans representing 16% of the pool and has estimated an aggregate $124.0 million loss (16% expected loss based on a 31% probability default) from these troubled loans. Moody's was provided with full year 2010 operating results for 95% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 117% compared to 123% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.42X and 0.97X, respectively, compared to 1.37X and 0.92X 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 GGP-sponsored Ala Moana Portfolio Loan ($86.2 million -- 1.9% of the pool), which represents a pari-passu interest in a first mortgage loan secured by a 2 million square foot (SF) mixed-use portfolio located in Honolulu, Hawaii. The largest property is the Ala Moana Mall, which is considered the world's largest open-air shopping center. As of September 2011, the portfolio was 96% leased, essentially the same as at last review. The loan was transferred to special servicing in April 2009 when GGP filed for bankruptcy. After emerging from bankruptcy, new terms of the loan included an extension of the maturity date to June 2018, $150 million pay down on the whole A-Note, and amortization of the loan on a 25- year schedule. The loan has paid down 14% since securitization. Moody's credit estimate and stressed DSCR are A1 and 1.3X, respectively, compared to A3 and 1.0X at last full review. The top three performing conduit loans represent 16% of the pool balance. The largest loan is the DDR Southeast Pool Loan ($442.5 million -- 9.5% of the pool), which represents a pari- passu interest in a first mortgage loan secured by 52 anchored retail properties located in California (one property), Florida (29), Georgia (8), Indiana (1), Maryland (2), Massachusetts (1), New Jersey (1), North Carolina (6), Ohio (2) and Virginia (1). Seventy-five percent of the properties are grocery anchored. The portfolio was 88% leased as of September 2011 compared to 91% at last review. This loan is interest only for its entire 10 year term. Moody's LTV and stressed DSCR are 120% and 0.76X, respectively, compared to 129% and 0.71X at securitization. The second largest loan is the CGM AmeriCold Portfolio Loan ($145 million -- 3.1% of the pool), which represents a pari-passu interest in a first mortgage loan secured by 15 cold-storage properties located in Alabama (one property), Arkansas (2), Georgia (1), Missouri (1), Nebraska (1), North Carolina (2), Oregon (2), Pennsylvania (1), Washington (2) and Wisconsin (2). The portfolio was 59% leased as of September 2011 compared to 84% at securitization. This loan is interest only for its entire seven year term. Moody's LTV and stressed DSCR are 144% and 0.81X, respectively, compared to 137% and 0.86X at securitization. The third largest loan is the Greensboro Corporate Center Loan ($130 million -- 2.8% of the pool), which is secured by a 439,000 SF office building located in McLean, Virginia. The property was 100% leased as of January 2012 compared to 97% at last review. Performance remains stable. Moody's LTV and stressed DSCR are 127% and 0.77X, respectively, essentially the same as at last review. CHASE COMMERCIAL: Principal Paydown Cues Fitch to Upgrade Ratings ----------------------------------------------------------------- Fitch Ratings has upgraded one class of Chase Commercial Mortgage Securities Corporation (CMSC) Series 1999-2. The upgrade is a result of principal paydown resulting in increased credit enhancement to the senior class sufficient to offset Fitch expected losses, as well as defeasance in the pool. While class J has high credit enhancement and there is sufficient proceeds from defeased loans to repay the class, the rating has been capped at 'Asf' due to concentration concerns with only three non-defeased loans remaining. As of the January 2012 distribution date, the pool's aggregate principal balance has been paid down by 97.7% to $17.8 million from approximately $782.7 million at issuance. There are four of the original 92 loans remaining in the transaction, one of which is fully defeased (30.9% of the pool balance). Interest shortfalls totaling $4.2 million are affecting the non-rated class M. Fitch modeled losses of 7.58% of the remaining pool. Expected losses of the original pool are at 1.48%, including losses realized to date. Fitch designated two loans (60.6%) as Fitch Loans of Concern. There are no loans in special servicing as of the January 2012 remittance date. The largest loan of concern is collateralized by a 60,242 square foot (SF) two-story office building (45.3%) in Los Gatos, CA. The servicer reported that the property has experienced cash flow issues since 2004 due to decreased rental rates and increased rent concessions. Occupancy reported at 100% as of September 2011. The net operating income (NOI) debt service coverage ratio reported at 0.65 times (x) for year-to-date (YTD) September 2011. The loan remains current as of the January 2012 remittance date. Fitch upgrades this class and revises the Rating Outlook: -- $639,666 class J to 'Asf' from 'BBsf'; Outlook to Stable from Positive. Fitch also affirms these classes and Rating Outlooks: -- $6.8 million class K at 'Bsf'; Outlook Stable; -- $5.9 million class L at 'B-sf'; Outlook Negative. Fitch does not rate the $7.7 million class M. Classes A-1, A-2, B, C, D, E, F, G, H, and I have been paid in full. CHASE EDUCATION: Fitch Holds Rating on Sub. Student Loan at 'BBsf' ------------------------------------------------------------------ Fitch Ratings affirms the senior and subordinate student loan notes issued by the Chase Education Loan Trust 2007-A at 'AAAsf' and 'BBsf', respectively. The Rating Outlook on the senior notes, which is tied to the sovereign rating of the U.S. government, remains Negative, while the Rating Outlook on the subordinate note remains Stable. Fitch used its 'Global Structured Finance Rating Criteria', and 'U.S. FFELP Student Loan ABS Surveillance Criteria', as well as 'Rating U.S. Federal Family Education Loan Program Student Loan ABS' to review the ratings. The ratings on the senior and subordinate notes are affirmed based on the sufficient level of credit enhancement to cover the applicable risk factor stresses. Credit enhancement for the senior and subordinate notes consists of overcollateralization and projected minimum excess spread, while the senior notes also benefit from subordination provided by the class B notes. Fitch has taken these rating actions: Chase Education Loan Trust, Series 2007-A: -- Class A-1 affirmed at 'AAAsf'; Outlook Negative; -- Class A-2 affirmed at 'AAAsf'; Outlook Negative; -- Class A-3 affirmed at 'AAAsf'; Outlook Negative; -- Class A-4 affirmed at 'AAAsf'; Outlook Negative; -- Class B affirmed at BBsf; Outlook Stable. CMAC 1998-C1: Moody's Affirms Cl. L Notes Rating at 'Caa3' ---------------------------------------------------------- Moody's Investors Service affirmed the ratings of three classes of Commercial Mortgage Acceptance Corp., Commercial Mortgage Pass- Through Certificates, Series 1998-C1: Cl. L, Affirmed at Caa3 (sf); previously on Mar 24, 2011 Upgraded to Caa3 (sf) Cl. M, Affirmed at C (sf); previously on May 25, 2006 Downgraded to C (sf) Cl. X, Affirmed at Caa1 (sf); previously on Feb 22, 2012 Downgraded to Caa1 (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 2.5% of the current balance. At last review, Moody's cumulative base expected loss was 6.2%. 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 commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating Structured Finance Interest- Only Securities" published in February 2012. 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. The CMBS IO calculator ver1.0 uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated March 24, 2011. DEAL PERFORMANCE As of the February 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 94% to $76.4 million from $1.2 billion at securitization. The Certificates are collateralized by 41 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans representing 51% of the pool. Ten loans, representing 18% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eighteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $14.5 million (30% loss severity overall). Currently, there are no loans in special servicing. Moody's was provided with full year 2010 operating results for 88% of the pool. Moody's weighted average LTV is 52% compared to 55% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.0%. Moody's actual and stressed DSCRs are 1.45X and 2.42X, respectively, compared to 1.51X and 2.21X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. 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 23 compared to 25 at Moody's prior review. The top three performing conduit loans represent 24% of the pool balance. The largest loan is Shrewsbury Plaza Loan ($10.2 million -- 13.4% of the pool), which is secured by a 225,000 square foot (SF) retail center located in Shrewsbury, New Jersey. The property was 97% leased as of October 2011 compared to 84% at last review. Despite the improvement in vacancy, the property's performance has declined due to a decrease in base rent. Moody's LTV and stressed DSCR are 48% and 2.27X, respectively, compared to 39% and 1.98X at last review. The second largest loan is Best Buy Store Loan ($3.9 million -- 5.2% of the pool), which is secured by a 45,500 SF single-tenant retail property located in Madison Heights, Michigan. The property is 100% leased to Best Buy through February 2018. Performance remains stable. Moody's LTV and stressed DSCR are 90% and 1.32X, respectively, compared to 91% and 1.16X at last review. The third largest loan is Pinewood Apartments Loan ($3.8 million - - 5.0% of the pool), which is secured by a 246-unit multifamily complex located in Brunswick, Ohio. The property was 91% occupied as of October 2011 compared to 92% as of December 2010. Property performance remains stable. Moody's LTV and stressed DSCR are 73% and 1.41X, respectively, compared to 75% and 1.27X at last review. CMAT 1999-C2: Moody's Affirms Cl. F Notes Rating at 'B1' -------------------------------------------------------- Moody's Investors Service upgraded the rating of one class and affirmed eight classes of Commercial Mortgage Asset Trust, Commercial Mortgage Pass-Through Certificates, Series 1999-C2: Cl. A-3, Affirmed at Aaa (sf); previously on Oct 26, 1999 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Feb 17, 2005 Upgraded to Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Feb 17, 2005 Upgraded to Aaa (sf) Cl. D, Affirmed at Aaa (sf); previously on May 16, 2006 Upgraded to Aaa (sf) Cl. E, Upgraded to Aa3 (sf); previously on Dec 2, 2010 Downgraded to A3 (sf) Cl. F, Affirmed at B1 (sf); previously on Dec 2, 2010 Downgraded to B1 (sf) Cl. G, Affirmed at Caa1 (sf); previously on Dec 2, 2010 Downgraded to Caa1 (sf) Cl. H, Affirmed at Ca (sf); previously on Dec 2, 2010 Downgraded to Ca (sf) Cl. X, Affirmed at B3 (sf); previously on Feb 22, 2012 Downgraded to B3 (sf) RATINGS RATIONALE The upgrade is due to an increase in subordination from payoffs and amortization and overall stable pool performance. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 0.8% of the current pooled balance compared to 8.2% at last review. The deal has experienced $61 million of realized losses compared to only $40 million at last review. Moody's base expected loss plus realized losses is 8.1% of the original pooled balance compared to 7.7% 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 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 CMBS Large Loan/Single Borrower Transactions" published in July 2000, "Commercial Real Estate Finance: Moody's Approach to Rating Credit Tenant Lease Financings" published in November 2010, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.60 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The pool has a Herf of 4 as compared to 5 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 August 4, 2011. DEAL PERFORMANCE As of the February 2012 distribution date, the transaction's aggregate certificate balance has decreased by 73% to $207 million from $775 million at securitization. The Certificates are collateralized by 18 mortgage loans ranging in size from less than 1% to 16% of the pool, with the top ten non-defeased loans representing 51% of the pool. Seven loans, representing 49% of the pool, have defeased and are secured by U.S. Government securities. The pool contains a credit tenant lease (CTL) component, representing 16% of the pool. Three 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. Fifteen loans have been liquidated from the pool, resulting in a realized loss of $61 million (52% average loss severity). Currently there are no loans in special servicing. Moody's was provided with full year 2010 and partial or full year 2011 operating results for 100% and 85% of the conduit loans, respectively. The conduit portion excludes defeased loans and the deal's credit tenant lease component. Moody's conduit LTV is 60%, which is the same as at last review. Moody's net cash flow reflects a weighted average haircut of 10% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.5%. Moody's actual and stressed conduit DSCRs are 1.45X and 2.01X, respectively, compared to 1.47X and 1.98X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's actual conduit DSCR is less than Moody's stressed conduit DSCR because the conduit's current loan constant is greater than Moody's stressed 9.25% rate. The top three conduit loans represent 27% of the pool. The largest conduit loan is the Westin Denver Tabor Center Loan ($34 million - - 16.3% of the pool), which is secured by a 430-room full-service hotel located in downtown Denver, Colorado. The hotel is part of an upscale mixed-use complex that includes a 570,000 square foot (SF) office building and an urban mall. Performance has been stable since last review. A November 2011 Smith Travel Research (STR) report indicates the property is competitive within its market as the property's revenue per available room (RevPAR) penetration rate is in excess of 100%. Moody's LTV and stressed DSCR are 49% and 2.44X, respectively, compared to 50% and 2.39X at last review. The second largest conduit loan is the Geneva Crossing Loan ($11 million -- 5.5% of the pool), which is secured by a 123,000 SF unanchored retail center located in Carol Stream, Illinois. The property was 99% leased as of December 2011, which is the same as at last review. Performance has been stable since last review. Moody's LTV and stressed DSCR are 79% and 1.30X, respectively, compared to 78% and 1.31X at last review. The third largest loan is the Auerbach Retail Portfolio ($10 million -- 5.0% of the pool), which is secured by two retail properties located in California. As of November 2011, the properties were 98% leased compared to 99% at last review. The portfolio's two largest tenants have 2012-13 lease expirations. Moody's stressed the portfolio's cash flow to account for the upcoming lease rollover. Moody's LTV and stressed DSCR are 80% and 1.35X, respectively, compared to 78% and 1.39X at last review. The CTL component includes one loan secured by a portfolio of 14 limited service hotels leased under bondable leases to Accor SA ($34.1 million -- 15.8% of the pool). Moody's developed an internal credit estimate for this loan. COMM 2003-LNB1: Moody's Affirms Class F Notes Rating at 'Ba1' ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 15 classes of COMM 2003-LNB1, Commercial Mortgage Pass-Through Certificates: Cl. A-1, Affirmed at Aaa (sf); previously on Jul 3, 2003 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Jul 3, 2003 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Jul 3, 2003 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Feb 2, 2007 Upgraded to Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Feb 2, 2007 Upgraded to Aaa (sf) Cl. D, Affirmed at Aa3 (sf); previously on Mar 2, 2011 Confirmed at Aa3 (sf) Cl. E, Affirmed at Baa1 (sf); previously on Mar 2, 2011 Downgraded to Baa1 (sf) Cl. F, Affirmed at Ba1 (sf); previously on Mar 2, 2011 Downgraded to Ba1 (sf) Cl. G, Affirmed at B2 (sf); previously on Mar 2, 2011 Downgraded to B2 (sf) Cl. H, Affirmed at Caa1 (sf); previously on Mar 2, 2011 Downgraded to Caa1 (sf) Cl. J, Affirmed at Ca (sf); previously on Mar 2, 2011 Downgraded to Ca (sf) Cl. K, Affirmed at C (sf); previously on Mar 2, 2011 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Oct 7, 2010 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Oct 7, 2010 Downgraded to C (sf) Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 2.8% of the current balance. At last review, Moody's cumulative base expected loss was 5.9%. The decline in base expected loss is attributed to previously identified potential losses occurring and thus increasing realized losses from $6.3M to $22.9M. 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 Structured Finance Interest-Only Securities" published in February 2012. 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 conduit has a Herf of 21 compared to 25 at Moody's prior full review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated March 2, 2011. DEAL PERFORMANCE As of the February 10, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 25% to $636 million from $846 million at securitization. The Certificates are collateralized by 72 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten non-defeased or non- specially serviced loans representing 53% of the pool. The pool includes four loans, representing 29% of the pool, with a credit estimate. Eleven loans, representing 15% of the pool, have defeased and are secured by U.S. Government securities. Loans representing approximately 86% of the pool mature within the next 17 months. Moody's expects most of these loans will be able to refinance at or prior to loan maturity. Eight loans, representing 17% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eight loans have been liquidated from the pool, resulting in a realized loss of $23 million (73% loss severity overall). Approximately 53% of this deal's aggregate realized loss is attributed to the liquidation of the Hampton Inn & Holiday Inn Loan. This loan realized a loss of over 115% when it was disposed of in May 2011. Currently two loans, representing 1.3% of the pool are in special servicing. Moody's has estimated an aggregate $2.6 million loss (64% expected loss, on average) for these specially serviced loans. Moody's has assumed a high default probability for four poorly performing loans representing 8% of the pool and has estimated an aggregate $9.9 million loss (20% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2010 and full or partial year 2011 operating results for 97% and 93% of the pool, respectively. Excluding specially serviced, troubled and defeased loans and loans with credit estimates, Moody's weighted average LTV is 84%, compared to 85% at last review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Excluding specially serviced, troubled and defeased loans and loans with credit estimates, Moody's actual and stressed DSCR are 1.35X and 1.23X, respectively, compared to 1.38X and 1.22X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the 75 Rockefeller Plaza Loan ($65.0 million -- 10.2% of the pool), which is secured by a 568,000 square foot (SF) office building that is part of the Rockefeller Center complex in New York City. The property is 100% leased to Time Warner Companies Inc. (Moody's senior unsecured rating Baa2; stable outlook) under a 21-year triple net lease that is coterminous with the loan's maturity in August 2014. Time Warner has subleased all the space within the building and does not plan to renew its lease. As per the lease agreement, the borrower now has the right to negotiate directly with the sub- tenants. Moody's valuation reflects an anticipated increase in the property's net cash flow resulting from re-leasing the building at market rents at the expiration of Time Warner's lease. Moody's credit estimate and stressed DSCR are Aa1 and 2.22X, respectively, compared to A3 and 1.58X at last review. The second loan with a credit estimate is the Westfield Shoppingtown Portfolio Loan ($51.8 million -- 8.1% of the pool), which represents a 34% pari-passu interest in a first mortgage loan. The loan is secured by the borrower's interest in two regional malls located in California. The loan sponsor is Westfield America, Inc., a publicly traded REIT. Westfield Shoppingtown Galleria at Roseville is a 1.2M SF center anchored by Macy's, Nordstrom, J.C. Penney and Sears. Westfield Shoppingtown Main Place Mall is a 1.1M SF center that is anchored by Macy's, Nordstrom and J.C. Penney. In-line space totalling 1.1M SF serves as collateral for this loan. The loan is currently on the master servicer's watchlist due to fire damage at the Westfield Shoppingtown Galleria at Roseville. However, the damaged area has been repaired and was reopened in October 2011. Moody's credit estimate and stressed DSCR are Aaa and 2.88X, respectively, compared to Aa1 and 2.26X at last review. The third loan with a credit estimate is the Chandler Fashion Center Loan ($45.6 million -- 7.2% of the pool), which represents a 49% pari-passu interest in a first mortgage loan. The loan is secured by the borrower's interest in a 1.3M SF super-regional mall located approximately 18 miles southeast of downtown Phoenix in Chandler, Arizona. The center is anchored by Dillard's, Macy's, Nordstrom and Sears. The in-line and theater space serves as collateral for this loan. The center was 97% leased as of September 2011, compared to 98% at last review. The loan sponsor is the Macerich Company, a publicly traded REIT. Moody's credit estimate and stressed DSCR are Aa1 and 2.62X, respectively, compared to Aa1 and 2.48X at last review. The fourth loan with a credit estimate is the 1669 Collins Avenue Loan ($23.2 million -- 3.7% of the pool), which is secured by the leased fee interest in the land under the Ritz-Carlton Hotel in South Beach, Florida. Moody's credit estimate and stressed DSCR are Aa1 and 1.06X, respectively, compared to Aa1 and 0.93X at last review. The top three performing conduit loans represent 15% of the pool. The largest conduit loan is the Gateway Center BJ's Loan ($39.1 million -- 6.2% of the pool), which is secured by a 153,000 SF portion of a 640K SF community center located in Brooklyn, New York. The collateral is 100% leased to BJ's Wholesale Club (85% of the gross leasable area (GLA); lease expiration 2027) and several restaurant tenants. The property is shadow anchored by Home Depot, Target, Bed Bath & Beyond and Marshall's. Moody's LTV and stressed DSCR are 75% and 1.33X, respectively, compared to 80% and 1.25X at last review. The second largest loan is the Palladium at Birmingham Loan ($33.8 million -- 5.3% of the pool), which is secured by two retail properties built in 2003 and located in Birmingham, Michigan. The properties total 152,000 SF. Palladium Retail is a 126,000 SF entertainment/retail center. Willits Retail consists of three ground-floor retail units that total 25,000 SF. The properties were 78% leased as of October 2011, the same as at last review. The borrower has not been able to re-lease space that was vacated in 2008 and performance has suffered at the property. This loan is currently on the master servicer's watchlist for low DSCR. Moody's LTV and stressed DSCR 138% and 0.72X, respectively, compared to 133% and 0.75Xat last review. The third largest loan is the Redland Center Loan ($24.3 million - - 3.8% of the pool), which is secured by a 134,000 SF office condominium located in Rockville, Maryland. The property is 100% leased to the General Services Administration (Department of Health and Human Services) through March 2013. Moody's utilized a Lit/Dark analysis for this loan as the lease expires two months prior to loan maturity. Moody's LTV and stressed DSCR are 108% and 0.92X, respectively, compared to 97% and 0.95X at last review. COMM 2005-LNP5: Moody's Affirms Cl. H Notes Rating at 'Ba3' ----------------------------------------------------------- Moody's Investors Service affirmed the ratings of 20 classes of COMM 2005-LP5, Commercial Mortgage Pass-Through Certificates: Cl. A-2, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-SB, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Mar 2, 2011 Confirmed at Aa2 (sf) Cl. C, Affirmed at Aa3 (sf); previously on Mar 2, 2011 Confirmed at Aa3 (sf) Cl. D, Affirmed at A2 (sf); previously on Mar 2, 2011 Confirmed at A2 (sf) Cl. E, Affirmed at A3 (sf); previously on Mar 2, 2011 Confirmed at A3 (sf) Cl. F, Affirmed at Baa2 (sf); previously on Mar 2, 2011 Confirmed at Baa2 (sf) Cl. G, Affirmed at Baa3 (sf); previously on Mar 2, 2011 Confirmed at Baa3 (sf) Cl. H, Affirmed at Ba3 (sf); previously on Mar 2, 2011 Confirmed at Ba3 (sf) Cl. J, Affirmed at B3 (sf); previously on Mar 2, 2011 Downgraded to B3 (sf) Cl. K, Affirmed at Caa2 (sf); previously on Mar 2, 2011 Downgraded to Caa2 (sf) Cl. L, Affirmed at Caa3 (sf); previously on Mar 2, 2011 Downgraded to Caa3 (sf) Cl. M, Affirmed at Ca (sf); previously on Mar 2, 2011 Downgraded to Ca (sf) Cl. O, Affirmed at C (sf); previously on Mar 2, 2011 Downgraded to C (sf) Cl. X-C, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. X-P, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 3.3% of the current balance compared to 4.3% 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 extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in 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 Structured Finance Interest-Only Securities" published in February 2012. 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 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 review also incorporated the CMBS IO calculator ver 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 30, down from 35 at last review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp--and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated March 2, 2011. DEAL PERFORMANCE As of the February 12, 2012 distribution date, the transaction's aggregate certificate balance had decreased by 10% to $981.6 million from $1.7 billion at securitization. Since that time, three mortgage loans totaling $18.2 million paid off at maturity, reducing the outstanding balance to $963.4 million. The Certificates are now collateralized by 119 mortgage loans which range in size from less than 1% to 9% of the pool, with the top ten loans (excluding defeased loans) representing 43% of the pool. One loan has a credit estimate and four loans, representing 5% of the pool, have defeased and are collateralized by U.S. Government securities. Twenty-five loans, representing 28% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nine loans have been liquidated from the pool since securitization resulting in an aggregate realized loss of $7.9 million (5% loss severity overall). There are currently three loans, representing 3% of the pool, in special servicing. Moody's has estimated an aggregate $8.0 million loss (32% expected loss on average) from these specially serviced loans. Moody's has assumed a high default probability for four poorly performing loans representing 5% of the pool and has estimated a $9.3 million loss (20% 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 96% and 81%, respectively, of the pool's non-specially serviced and non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 90% compared to 94% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11.0% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.55X and 1.22X, respectively, compared to 1.50X and 1.16X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit estimate is the Chatham Ridge Shopping Center Loan ($15.0 million -- 1.6%), which is secured by a 175,774 square foot shopping center located in Chicago, Illinois. The loan is interest-only for the entire 7-year loan term and matures within several months. Performance has been stable. Moody's current credit estimate and stressed DSCR are A3 and 1.5X, respectively, compared to A3 and 1.7X at last review. The top three performing conduit loans represent 26% of the pool balance. The largest performing loan is the Bank of America Tower at Las Olas City Centre Loan ($90.0 million -- 9.3% of the pool), which is secured by a 409,075 square foot (SF) Class A office and retail building located in Fort Lauderdale, Florida. The property was 87% leased as of June 2011 compared to 85% leased at last review. Despite the higher occupancy rate, financial performance has declined and a looming major tenant lease expiration in 2012 may lower future revenue achievement. Moody's LTV and stressed DSCR are 103% and 0.97X, respectively, compared to 101% and 0.99X at last review. The second largest performing loan is the Lakeside Mall Loan ($84.6 million -- 8.8% of the pool), which represents the borrower's interest in a 50% pari-passu A note in a 643,375 SF regional shopping mall located in Sterling Heights, Michigan. The property was 90% leased as of September 2011, the same as at last review. The in-line tenant occupancy rate was 66% as of September 2011 compared to 73% as of September 2010. Financial performance declined slightly since last review. The loan sponsor is General Growth Properties (GGP). Moody's LTV and stressed DSCR are 110% and 0.89X, respectively, compared to 109% and 0.89X at last review. The third largest performing loan is the Continental Park Plaza Loan ($52.8 million -- 5.5% of the pool), which is secured by three attached six-story Class A office buildings totaling 476,852 SF located in El Segundo, California. The property was 85% leased as of June 2011 compared to 88% at last review. Financial performance declined in concert with lower occupancy. The loan benefits from amortization. Moody's LTV and stressed DSCR are 57% and 1.85X, respectively, compared to 64% and 1.66X at last review. COMM 2008-RS3: Moody's Affirms Cl. A-2A Notes Rating at 'Caa2' -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of three classes of Certificates issued by COMM 2008-RS3 Commercial Mortgage Related Securities, Series 2008-RS3 (COMM 2008-RS3) due to deterioration in the underlying collateral as evidenced by Moody's weighted average rating factor (WARF) and weighted average recovery rate (WARR). The affirmations are due to the key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and ReRemic) transactions. Cl. A-2A, Downgraded to Caa2 (sf); previously on Mar 2, 2011 Downgraded to Caa1 (sf) Cl. A-2B, Downgraded to Caa2 (sf); previously on Mar 2, 2011 Downgraded to Caa1 (sf) Cl. B, Downgraded to Caa3 (sf); previously on Mar 2, 2011 Downgraded to Caa2 (sf) Cl. C, Affirmed at Caa3 (sf); previously on Mar 2, 2011 Downgraded to Caa3 (sf) Cl. D, Affirmed at Caa3 (sf); previously on Mar 2, 2011 Downgraded to Caa3 (sf) Cl. E, Affirmed at Caa3 (sf); previously on Mar 2, 2011 Downgraded to Caa3 (sf) Cl. F, Affirmed at Caa3 (sf); previously on Mar 2, 2011 Downgraded to Caa3 (sf) Cl. G, Affirmed at Caa3 (sf); previously on Mar 26, 2010 Downgraded to Caa3 (sf) Cl. H, Affirmed at Ca (sf); previously on Mar 2, 2011 Downgraded to Ca (sf) Cl. X-B, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Upgraded to Ba3 (sf) Cl. X-W, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Upgraded to Ba3 (sf) RATINGS RATIONALE COMM 2008-RS3 is a direct pass-through of Class A-2A, Class A-2B, Class X-W, Class X-B, Class C, Class E, Class F, Class G, Class H, Class J and Class K (together the "Reference Classes") of the Max CMBS I Ltd., Series 2008-1 (Max Series 2008-1). As of the January 18, 2012 Trustee Report issued for Max Series 2008-1, the aggregate balance of the Reference Classes was $378.7 million, the same as that at issuance. Since the ratings of the Certificates are linked to the ratings of the Reference Classes, any credit action on the Reference Classes may trigger a review of the ratings of the Certificates. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the 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, "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011 and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. COMM 2012-LC4: Fitch to Rate Two Note Classes at Low-B ------------------------------------------------------ Fitch Ratings has issued a presale report on COMM 2012-LC4 Commercial Mortgage Pass-Through Certificates. Fitch expects to rate the transaction and assign Outlooks: -- $48,958,000 class A-1 'AAAsf'; Outlook Stable; -- $77,841,000 class A-2 'AAAsf'; Outlook Stable; -- $115,586,000 class A-3 'AAAsf'; Outlook Stable; -- $416,502,000 class A-4 'AAAsf'; Outlook Stable; -- $92,950,000 class A-M 'AAAsf'; Outlook Stable; -- $44,711,000 class B 'AAsf'; Outlook Stable; -- $32,944,000 class C 'Asf'; Outlook Stable; -- $751,837,000*a class X-A 'AAAsf'; Outlook Stable; -- $52,946,000a class D 'BBB-sf'; Outlook Stable; -- $15,296,000a class E 'BBsf'; Outlook Stable; -- $11,766,000a class F 'Bsf'; Outlook Stable. * Notional amount and interest only. a -- Privately placed pursuant to Rule 144A. The expected ratings are based on information provided by the issuer as of Feb. 24, 2012. Fitch does not expect to rate the $189,431,017 interest-only class X-B, the $31,768,017 class G, or the $10,000,000 class HP. The certificates represent the beneficial ownership in the trust, primary assets of which are 43 loans secured by 67 commercial properties having an aggregate principal balance of approximately $941.3 million as of the cutoff date. The loans were contributed to the trust by German American Capital Corporation, Ladder Capital Finance LLC, and Guggenheim Life and Annuity Company. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 70.8% of the properties by balance, cash flow analysis of 86.6%, and asset summary reviews on 86.6% of the pool. The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.26 times (x), a Fitch stressed loan-to-value (LTV) of 88.5%, and a Fitch debt yield of 10.6%. Fitch's aggregate net cash flow represents a variance of 10.8% to issuer cash flows. The Master Servicer and Special Servicer will be Wells Fargo Bank, N.A., and CWCapital Asset Management LLC, rated 'CMS2' and 'CSS1-', respectively, by Fitch. CORPORATE BACKED: Moody's Raises Rating of Cl. A-1 Notes to 'Ba1' ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating of these certificates issued by Corporate Backed Trust Certificates, Series 2001-27 (Royal Caribbean): US$38,028,150 Class A-1 Certificates due 10/15/27, Upgraded to Ba1; previously on February 4, 2011 Upgraded to Ba2 RATINGS RATIONALE The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is the result of the change of the rating of the underlying securities which are the 7.50% Senior Debentures issued by Royal Caribbean Cruises, Ltd., which were upgraded to Ba1 by Moody's on February 28, 2012. The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. CREDIT CARD: Fitch Rates $9.62 Mil. Class D Notes at 'BBsf' ----------------------------------------------------------- Fitch Ratings expects to assign these ratings to Cabela's Credit Card Master Note Trust's asset-backed notes, series 2012-I: -- $297,500,000 class A-1/A-2 fixed/floating-rate 'AAAsf'; Outlook Stable; -- $28,000,000 class B fixed-rate 'Asf'; Outlook Stable; -- $14,875,000 class C fixed-rate 'BBBsf'; Outlook Stable; -- $9,625,000 class D fixed-rate 'BBsf'; Outlook Stable. Fitch's expected ratings are based on the underlying receivables pool, available credit enhancement, World's Foremost Bank's underwriting and servicing capabilities, and the transaction's legal and cash flow structures, which employ early redemption triggers. The class B, C, and D bonds may be able to achieve a rating one notch higher than indicated at closing if a substantial majority of class A bonds have a fixed, rather than floating, coupon The transaction structure is similar to series 2012-IV, with credit enhancement totaling 15% for class A, credit enhancement of 7% for the class B, credit enhancement of 2.75% plus an amount from a spread account for the class C, and credit enhancement of an amount from a spread account for the class D notes only. CREDIT SUISSE: Fitch Affirms Junk Rating on Nine Note Classes ------------------------------------------------------------- Fitch Ratings has downgraded two mezzanine classes of Credit Suisse Commercial Mortgage Trust 2007-C1, commercial mortgage pass-through certificates. The downgrades are due to an increase in Fitch expected losses and greater certainty of losses based on updated valuations for specially serviced loans. Fitch modeled losses of 17.79% of the outstanding pool. The expected losses of the original pool are at 10.16%, which includes 3.93% to date. Current cumulative interest shortfalls totaling $2,652,562,023 are affecting classes A-J through T. As of the February 2012 distribution date, the pool's certificate balance has paid down 5.16% to $3.065 billion from $3.371 billion. Fitch identified 117 (57.8%) Fitch Loans of Concern, of which 24 (37%) are specially serviced with seven (26.14%) within the top 15. There are no defeased loans within the pool. The largest contributor to expected losses is a loan (5.89%) secured by a portfolio of 20 multifamily properties comprising 2,989 units, which are located across seven metropolitan areas, including: Atlanta, GA (1); Austin, TX (3); Charleston, NC (2); Denver, CO (2); Orlando, FL (1); Sacramento, CA (2); and Virginia Beach, VA (9). The loan transferred to special servicing in April 2009 due to monetary default on three related mezzanine loans. The special servicer has appointed CBRE as receiver to market the properties for sale. Fitch expects losses upon disposition of the assets based on valuations obtained by the special servicer. The second largest contributor to expected losses is a loan (6.88%) secured by a multifamily complex consisting of 1,802 units, located in the Harlem neighborhood of New York, NY. The loan transferred to special servicing in July 2010 for imminent default and the borrowers request for a loan modification. The property is rent stabilized and the borrower has been unable to convert enough stabilized units to market to support the debt. The cash flows have remained insufficient to cover debt service and the loan is paid through November 2011, as of the February 2012 payment date. Fitch expects losses upon resolution of the loan based on recent valuations obtained by the special servicer. The third largest contributor to Fitch expected losses is a loan (4.91%) secured by a 756,471 square foot (sf) mixed-use development in West Palm Beach, FL, consisting of a 626,012 sf open-air retail center, a 54-unit multifamily component and 56 loft-style office spaces totaling 72,556 sf. The loan transferred to the special servicer in April 2010 for imminent default. The loan has been modified and split into and A/B note structure and additional capital of $12 million has been contributed by the loan sponsor to support the property. The loan modification included a two-year extension to the maturity and interest-only payments for the remaining term of the A note. The B note is considered a Hope Note and is likely non-recoverable based on current valuations. Fitch downgrades these classes and revises Rating Outlooks: -- $212.1 million class A-M to 'Bsf' from 'BBsf'; Outlook to Negative from Stable; -- $125 million class A-MFL to 'Bsf' from 'BBsf'; Outlook to Negative from Stable, Fitch affirms these classes and assigns Recovery Estimates (REs): -- $37.7 million class A-2 at 'AAAsf'; Outlook Stable; -- $98 million class A-AB at 'AAAsf'; Outlook Stable; -- $758 million class A-3 at 'AAAsf'; Outlook Stable; -- $1.324 billion class A-1-A at 'AAAsf'; Outlook Stable; -- $286.5 million class A-J at 'CCCsf'; RE 100%; -- $25.2 million class B at 'CCsf'; RE 50%; -- $37.9 million class C at 'Csf'; RE 0%; -- $33.7 million class D at 'Csf'; RE 0%; -- $21 million class E at 'Csf'; RE 0%; -- $29.5 million class F at 'Csf'; RE 0%; -- $33.7 million class G at 'Csf'; RE 0%; -- $37.9 million class H at 'Csf'; RE 0%; -- $33.7 million class J at 'Csf'; RE 0%. Fitch does not rate class T. Class A-1 has paid in full. Classes K will remain at 'D' with a Recovery Estimate of 0% due to incurred losses. Classes L, M, N, O, P, Q and S have been completely depleted and will remain at 'D' with a Recovery Estimate of 0%. Fitch has previously withdrawn the ratings on the interest-only classes A-SP and A-X. CREST 2002-1: Delevering Cues Fitch to Affirm Ratings on Notes -------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed two classes issued by Crest 2002-1, Ltd./Corp (Crest 2002-1). The affirmations to the senior notes are a result of delevering of the capital structure. Alternatively, the downgrades are a result of negative credit migration. Since Fitch's last rating action in March 2011, approximately 38.5% of the collateral has been downgraded. Currently, 71.2% of the portfolio has a Fitch derived rating below investment grade and 37.8% has a rating in the 'CCC' category and below, compared to 65.8% and 33.3%, respectively, at the last rating action. Over this period, the percentage of collateral experiencing interest shortfalls has increased to 36.8% from 33.6%. Additionally, the class A notes have received $29 million in paydowns since the last rating action for a total of $271.6 million in principal repayment since issuance. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. The breakeven rates in Fitch's cash flow model for the class A notes are generally consistent with the ratings assigned below. For the class B and C notes, Fitch analyzed each class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class B notes have been downgraded to 'CCsf', indicating that default is probable. Similarly, the class C notes have been affirmed at 'Csf', indicating that default is inevitable. The Stable Outlook on the class A notes is primarily driven by Fitch's view that the notes will continue to delever. Fitch does not assign outlooks to classes rated 'CCC' and below. Crest 2002-1 is a static collateralized debt obligation (CDO) that closed on March 27, 2002. The current portfolio consists of 25 bonds from 17 obligors, of which 83% are commercial mortgage backed securities (CMBS) and 17% are real estate investment trust (REIT) debt securities and from the 1999 through 2002 vintages. Fitch has taken these actions: -- $53,406,610 class A notes affirmed at 'Asf'; Outlook to Stable from Negative; -- $57,288,134 class B-1 notes downgraded to 'CCsf' from 'CCCsf'; -- $33,040,192 class B-2 notes downgraded to 'CCsf' from 'CCCsf'; -- $35,612,500 class C notes affirmed at 'Csf'. CRYSTAL RIVER: Fitch Affirms Rating on Six Note Classes ------------------------------------------------------- Fitch Ratings has downgraded three and affirmed six classes of notes issued by Crystal River CDO 2005-1, Ltd./LLC (Crystal River 2005-1): -- $10,335,051 class A notes downgraded to 'Csf' from 'CCCsf'; -- $44,750,000 class B notes downgraded to 'Dsf' from 'Csf'; -- $20,500,000 class C notes downgraded to 'Dsf' from 'Csf'; -- $42,500,000 class D-1 notes affirmed at 'Dsf'; -- $10,000,000 class D-2 notes affirmed at 'Dsf'; -- $25,753,992 class E notes affirmed at 'Csf'; -- $29,021,565 class F notes affirmed at 'Csf'; -- $12,951,914 class G notes affirmed at 'Csf'; -- $5,722,939 class H notes affirmed at 'Csf'. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model (SF PCM) for projecting future default levels for the underlying portfolio. This transaction has not been analyzed within a cash flow model framework, as the impact of the structural features and principal leakage to service the collateralized debt obligation (CDO) liabilities and hedge payments was determined to be minimal in the context of the CDO ratings. Since the last rating action in February 2011, the credit quality of the collateral has deteriorated with approximately 29.6% of the portfolio downgraded a weighted average of 1.3 notches and 100% of the portfolio is rated 'CCC' or lower, compared to 96% at the last review. Furthermore, the transaction continues to divert all principal proceeds to pay interest rate hedge payments and current interest due on the class A, B, and C notes, effectively reducing the amount of principal proceeds available to pay down the outstanding balance of the notes. The class A notes have been downgraded due to the deterioration of the underlying collateral since the last review. Fitch believes that default for the notes appears to be inevitable prior to or at maturity given the severely deteriorated credit quality of the remaining portfolio. Additionally, the transaction has been using all principal proceeds to pay interest obligations on the past two distribution dates, further eroding the available credit enhancement to the class. As a result, these notes may potentially experience a shortfall on interest prior to maturity. The class B and C notes have been downgraded to 'Dsf' due to interest shortfalls on these non-deferrable classes. Distribution proceeds were insufficient to pay accrued interest for both classes of notes on the September 2011 payment date. Subsequently, the class B notes have begun receiving current interest payments through the use of principal proceeds, while the class C notes continue to experience shortfalls. Considering the highly distressed credit quality of the remaining portfolio, the class B notes are likely to experience additional interest shortfalls going forward. The class D notes have been in default since September 2009. Although this class is non-deferrable, the class D notes have been permanently cut off due to a structural feature that prohibits using principal proceeds to pay class D notes' interest if a more senior class of notes is outstanding. Fitch does not expect the notes to receive future interest payments. Therefore, this class will remain at 'Dsf'. The class E, F, G, and H notes continue to be undercollateralized, and Fitch does not expect these classes to receive any future payments prior to or at maturity. Crystal River 2005-1 is a cash flow collateralized debt obligation (CDO), which closed on Nov. 30, 2005. The portfolio is monitored by Hyperion Crystal River Capital Advisors, LLC and is composed of 74.6% commercial mortgage-backed securities and 25.4% residential mortgage-backed securities from 2003 through 2006 vintage transactions. CSFB 2004-C3: Moody's Lowers Cl. D Notes Rating to 'Ba1' -------------------------------------------------------- Moody's Investors Service downgraded the ratings of six classes and affirmed the ratings of seven classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2004-C3: Cl. A-4, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-5, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-1-A, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. B, Affirmed at Aa3 (sf); previously on Mar 4, 2010 Downgraded to Aa3 (sf) Cl. C, Downgraded to Baa1 (sf); previously on Mar 4, 2010 Downgraded to A2 (sf) Cl. D, Downgraded to Ba1 (sf); previously on Mar 4, 2010 Downgraded to Baa1 (sf) Cl. E, Downgraded to B3 (sf); previously on Mar 2, 2011 Downgraded to Ba3 (sf) Cl. F, Downgraded to Caa3 (sf); previously on Mar 2, 2011 Downgraded to Caa1 (sf) Cl. G, Downgraded to Ca (sf); previously on Mar 4, 2010 Downgraded to Caa2 (sf) Cl. H, Downgraded to C (sf); previously on Mar 4, 2010 Downgraded to Ca (sf) Cl. J, Affirmed at C (sf); previously on Mar 4, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Mar 4, 2010 Downgraded to C (sf) Cl. A-X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) RATINGS RATIONALE The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 6.3% of the current balance compared to 5.3% 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 extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating Structured Finance Interest- Only Securities" published in February 2012. 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 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 review also incorporated the CMBS IO calculator ver 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. 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, down from 24 at last review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp--and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated March 2, 2011. DEAL PERFORMANCE As of the February 17, 2012 distribution date, the transaction's aggregate certificate balance had decreased by 29% to $1.164 billion from $1.639 billion at securitization. The Certificates are now collateralized by 145 mortgage loans which, excluding defeased loans, range in size from less than 1% to 12% of the pool. The top ten loans, excluding defeasance, represent 35% of the pool. No loans have a credit estimate. Twenty-four loans, representing 29% of the pool, have defeased and are collateralized by U.S. Government securities. Twenty-six loans, representing 8.3% 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. Fourteen loans have been liquidated from the pool since securitization resulting in an aggregate realized loss of $48.3 million (49% loss severity overall). There are currently 16 loans, representing 10% of the pool, in special servicing. The largest loan in special servicing is the Centerpointe Mall Loan in Grand Rapids, Michigan ($43.4 million -- 3.7% of the pool). This loan was transferred to special servicing in February 2011 due to the borrower's inability to cover debt service payments due to ongoing leasing challenges. Financial performance has declined in concert with declining occupancy. Moody's has estimated an aggregate $56.9 million loss (49% expected loss on average) for all specially serviced loans. Moody's has assumed a high default probability for four poorly performing loans representing 3% of the pool and has estimated a $4.6 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2010 and partial year 2011 operating results for 99% and 30%, respectively, of the pool's non-specially serviced and non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 88%, the same as at last review. Moody's net cash flow reflects a weighted average haircut of 10.7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.38X and 1.21X, respectively, compared to 1.44X and 1.22X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 19% of the pool balance. The largest loan is the Pacific Design Center Loan ($140.4 million -- 12.1% of the pool), which is secured by a 916,000 square foot (SF) office and design showroom building located in West Hollywood, California. In addition to the showroom and office space, the property also houses a 384-seat theater and screening room, conference facilities, a two-story gallery leased to the Museum of Contemporary Art, a fitness facility and two restaurants. The property is 70% leased compared to 76% at last review. Financial performance has declined since last review. Moody's LTV and stressed DSCR are 95% and 1.14X, respectively, compared to 87% and 1.24X at last review. The second largest loan is the BC Wood Portfolio Loan ($40.3 million -- 3.5% of the pool), which is secured by four shopping centers located in Louisville, Lexington and Paris, Kentucky, all built between 1951 and 1989. The weighted average occupancy for all properties was 90%, the same as at last review. The loan sponsor is Brian C. Wood. Financial performance has declined slightly since last review which is offset by the benefits of amortization. Moody's LTV and stressed DSCR are 96% and 1.1X, respectively, compared to 100% and 1.06X at last review. The third largest loan is the Private Mini Storage Portfolio Loan ($37.0 million -- 3.2% of the pool), which is secured by nine self storage properties located in seven different markets within the state of Texas. Financial performance has improved since last review and the loan benefits from amortization. Moody's LTV and stressed DSCR are 91% and 1.1X, respectively, compared to 108% and 0.93X at last review. CSFB 2006-TFL2: Moody's Affirms 'Ba1' Rating of Cl. E Notes ----------------------------------------------------------- Moody's Investors Service affirmed the ratings of 13 pooled classes and 21 non-pooled, or rake, classes of Credit Suisse First Boston Mortgage Securities Corp., Series 2006-TFL2: Cl. A-2, Affirmed at Aa2 (sf); previously on Mar 17, 2011 Downgraded to Aa2 (sf) Cl. B, Affirmed at A1 (sf); previously on Mar 17, 2011 Downgraded to A1 (sf) Cl. C, Affirmed at Baa1 (sf); previously on Mar 17, 2011 Downgraded to Baa1 (sf) Cl. D, Affirmed at Baa3 (sf); previously on Mar 17, 2011 Downgraded to Baa3 (sf) Cl. E, Affirmed at Ba1 (sf); previously on Mar 17, 2011 Downgraded to Ba1 (sf) Cl. F, Affirmed at Ba2 (sf); previously on Mar 17, 2011 Downgraded to Ba2 (sf) Cl. G, Affirmed at B1 (sf); previously on Mar 17, 2011 Downgraded to B1 (sf) Cl. H, Affirmed at B2 (sf); previously on Mar 17, 2011 Downgraded to B2 (sf) Cl. J, Affirmed at Caa1 (sf); previously on Mar 17, 2011 Downgraded to Caa1 (sf) Cl. K, Affirmed at Caa2 (sf); previously on Mar 17, 2011 Downgraded to Caa2 (sf) Cl. L, Affirmed at Ca (sf); previously on Mar 17, 2011 Downgraded to Ca (sf) Cl. A-X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. A-X-3, Affirmed at Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) Cl. KER-A, Affirmed at Baa3 (sf); previously on Mar 17, 2011 Downgraded to Baa3 (sf) Cl. KER-B, Affirmed at Ba2 (sf); previously on Mar 17, 2011 Downgraded to Ba2 (sf) Cl. KER-C, Affirmed at B1 (sf); previously on Mar 17, 2011 Downgraded to B1 (sf) Cl. KER-D, Affirmed at B2 (sf); previously on Mar 17, 2011 Downgraded to B2 (sf) Cl. KER-E, Affirmed at Caa1 (sf); previously on Mar 17, 2011 Downgraded to Caa1 (sf) Cl. KER-F, Affirmed at Caa3 (sf); previously on Mar 17, 2011 Downgraded to Caa3 (sf) Cl. MW-A, Affirmed at Ba2 (sf); previously on Aug 28, 2008 Downgraded to Ba2 (sf) Cl. MW-B, Affirmed at B2 (sf); previously on Aug 28, 2008 Downgraded to B2 (sf) Cl. NHK-A, Affirmed at Caa3 (sf); previously on Mar 17, 2011 Downgraded to Caa3 (sf) Cl. SV-A1, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. SV-AX, Affirmed at Baa1 (sf); previously on Feb 22, 2012 Downgraded to Baa1 (sf) Cl. SV-A2, Affirmed at Aa2 (sf); previously on Mar 19, 2009 Downgraded to Aa2 (sf) Cl. SV-B, Affirmed at A1 (sf); previously on Mar 19, 2009 Downgraded to A1 (sf) Cl. SV-C, Affirmed at A2 (sf); previously on Mar 19, 2009 Downgraded to A2 (sf) Cl. SV-D, Affirmed at A3 (sf); previously on Mar 19, 2009 Downgraded to A3 (sf) Cl. SV-E, Affirmed at Baa1 (sf); previously on Mar 19, 2009 Downgraded to Baa1 (sf) Cl. SV-F, Affirmed at Baa2 (sf); previously on Mar 19, 2009 Downgraded to Baa2 (sf) Cl. SV-G, Affirmed at Baa3 (sf); previously on Mar 19, 2009 Downgraded to Baa3 (sf) Cl. SV-H, Affirmed at Ba1 (sf); previously on Mar 19, 2009 Downgraded to Ba1 (sf) Cl. SV-J, Affirmed at Ba2 (sf); previously on Mar 19, 2009 Downgraded to Ba2 (sf) Cl. SV-K, Affirmed at Ba3 (sf); previously on Mar 19, 2009 Downgraded to Ba3 (sf) RATINGS RATIONALE The 13 pooled classes were affirmed after weighing the positive effect of the increase in credit support since Moody's last review, due to the 33% pay down of the pooled balance, against the uncertainty of a favorable resolution of the specially serviced $2.5 billion Kerzner International Loan that accounts for 74% of the pooled balance. The affirmations of the 21 non-pooled, or rake, classes were due to key parameters, including Moody's loan to value (LTV) ratios remaining with acceptable ranges. 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 commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000 and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based Large Loan Model v 8.2. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's review also incorporated the CMBS IO calculator ver 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. 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 Trustee Statements-- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated March 17, 2011. DEAL PERFORMANCE As of the February 15, 2012 Payment Date, the transaction's aggregate certificate balance has decreased by 52% to $1.6 billion from $3.4 billion at securitization due to the payoff of ten loans originally in the pool and the payment of release premiums associated with the Kerzner International Loan ($356.3 million -- 74% of the pooled balance), the NH Krystal Hotels Loan ($38.3 -- 8%), the Metropolitan Warner Center Loan ($6.9 -- 1%) and the non-pooled Sava Portfolio Loan and Fundamental Portfolio Loan ($842.7 million). The certificates are collateralized by four floating rate loans ranging in size from 1% to 74% of the pooled trust balance. Moody's weighed average pooled loan to value (LTV) ratio is 66%, compared to 77% at last review. Moody's stressed debt service coverage ratio (DSCR) is 1.91X, compared to 1.72X at last review. The pool has experienced $242,233 in losses since securitization. The losses were due to the special servicer's workout fee associated with the Sheffield condo conversion loan that was originally 10% of the pooled balance. Two loans, the Kerzner International Loan and the JW Marriott Starr Pass Loan ($78.0 million -- 16%) are currently in special servicing. The Kerzner International Loan was transferred to special servicing in January 2012 and the JW Marriott Starr Pass Loan was transferred in April 2010. Both loans were transferred for maturity default. The Sava Portfolio and Fundamental Portfolio healthcare loans ($842.7 million) consist of two non-pooled mortgage loans that are partially cross collateralized and cross defaulted. The larger of the two loans has a first mortgage balance of approximately $735.0 million and is collateralized by the Sava Healthcare Portfolio. The smaller loan has a first mortgage balance of approximately $107.7 million and is collateralized by the Fundamental Healthcare Portfolio. Collectively these loans secure the non-pooled Sava rake bonds. The Sava Portfolio loan collateral includes 169 healthcare facilities located in 19 states, containing 20,667 beds and the Fundamental Portfolio collateral includes 25 healthcare facilities located in nine states, containing 2,636 beds. Skilled nursing facilities account for approximately 93% of the properties across the two portfolios. The largest state concentrations across the two portfolios are in Texas (24.8%), North Carolina (13.3%) and Colorado (10.3%). The portfolio has enjoyed strong operating performance since securitization exhibiting consecutive positive growth. However, one of the assumptions at securitization was that refinancing of these loans would be done through new Housing and Urban Development (HUD) loans. Both loans were modified and extended in April 2011 due the borrower's failure to pay off the loans at the March 2011 extended maturity dates. Both loans have been extended to June 2013 with an additional one-year extension option to June 2014. Given the solid operating performance of the underlying collateral, Moody's is affirming the current ratings of the rake bonds (Classes SVA-1, SVA-2, SVA-X, SV-B, SV-C, SV-D, SV-E, SV-F, SV-G, SV-H, SV-J, and SV-K). However, ultimate loan repayment remains a concern. The largest pooled loan is the Kerzner International Portfolio Loan ($356.3 million -- 74% of the pooled balance), a 50% portion of a pari passu split loan structure that is securitized in COMM 2006-FL12. There is also $280.6 million of non-pooled, or rake, trust debt (Classes KER-A, KER-B, KER-C, KER-D, KER-E, KER-F) and a $1.2 billion non-trust junior secured loan component. The loan is secured by substantially all of the borrower's real estate assets located on Paradise Island, Bahamas, including the Atlantis Hotel (2,917 keys) and the One & Only Ocean Club Hotel and golf course (106 keys, located one mile from the Atlantis), a marina and vacant and improved land. The resort features the largest casino and ballroom in the Caribbean and water-themed attractions, including the world's largest open-air marine habitat. The loan is also supported by a pledge of Kerzner's 100% interest in management agreements and fees relating to the properties, a right to receive Kerzner's 50% interest in excess net cash flow and/or sales proceeds generated from the One & Only Palmilla Hotel in Mexico, Harborside timeshare units, and the Residences at Atlantis and Ocean Club condos. Revenue per available room (RevPAR), calculated by multiplying the average daily rate by the occupancy rate, for calendar year 2011 was $202 at the Atlantis and $780 at the One & Only Ocean Club. A comparison of calendar year 2011 with 2010 indicates a 5% increase in revenue but a 12% decrease in net operating income due to increased costs of operation, including a 12% increase in room expense and a 14% increase in advertising and marketing. Casino operations that account for 16% of total revenue saw a 2% increase in revenue but a 13% decrease in gross operating profit. In January 2012, an agreement with a third party to exchange debt for a deed in lieu of foreclosure was aborted and the loan was transferred to special servicing on January 25, 2012 due to the borrower's inability to pay the loan in full at the extended maturity date. The special servicer is formulating a plan for loan resolution. The real property allocation of the hotel component and related holdings was appraised in November 2011 for $2.8 billion. Although the appraised value indicates that the trust debt is adequately secured the scale of the project is expected to complicate loan resolution, with a small universe of investors having the capacity and/or inclination to make an investment of this magnitude. An additional concern is future competition from the $3.4 billion Baha Mar resort complex that broke ground in March 2011 on Nassau's Cable Beach. Baha Mar is a single-phase project backed by the Chinese government that is scheduled to open in late 2014. The resort will feature four hotels with a total of approximately 2,250 rooms, a golf course, convention center, a casino that is to be the largest in the Caribbean and a 10-acre Eco Water Park. In overall size and amenities it is expected to be very similar to the Atlantis. Although scheduled completion is three years away, the project is expected to be future competition for the Atlantis. The trust debt has decreased 11% since securitization to $636.9 million from $715.0 million and total debt has decreased to $2.5 billion from $2.8 billion at securitization. The loan matured on November 21, 2011. On November 1, 2011 the loan was paid down by $100 million from funds in the Excess Cash Reserve Fund in consideration of a short term extension. A cash trap is in place whereby excess cash flow after debt service is held by the servicer and applied to replenish reserves after which excess funds will be applied to pay down the loan balance. Moody's loan to value (LTV) ratio for the pooled debt is 57%. The ratings of the pari passu rake certificates were affirmed due to Moody's loan to value (LTV) ratios remaining within an acceptable range. The second largest loan, the JW Marriott Starr Pass Loan ($78.0 million -- 16%) was transferred to special servicing in April 2010 due to impending maturity default. The loan matured in August 2010. The $145.0 million mortgage loan includes $67.0 million of non-trust subordinate debt and there is $20.0 million of mezzanine debt. The special servicer is advancing interest to the trust debt only. Security for the loan is a 575-room hotel located in Tucson, Arizona that was constructed in 2005. RevPAR for calendar year 2011 was $88, a 35% decrease from securitization. Foreclosure has been filed and a receiver was appointed subject to Marriott management. The special servicer is negotiating a resolution of outstanding lien encroachments with the borrower and is also pursuing the loan repurchase by the Depositor. Moody's loan to value (LTV) ratio is 99%. CSMC 2007-C4: Moody's Affirms Cl. A-1-AJ Notes Rating at 'Ba2' -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 25 classes of Credit Suisse Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2007-C4: Cl. A-2, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-AB, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-4, Affirmed at Aa2 (sf); previously on Nov 19, 2009 Downgraded to Aa2 (sf) Cl. A-1-A, Affirmed at Aa2 (sf); previously on Nov 19, 2009 Downgraded to Aa2 (sf) Cl. A-1-AM, Affirmed at A3 (sf); previously on Nov 19, 2009 Downgraded to A3 (sf) Cl. A-M, Affirmed at A3 (sf); previously on Nov 19, 2009 Downgraded to A3 (sf) Cl. A-1-AJ, Affirmed at Ba2 (sf); previously on Nov 19, 2009 Downgraded to Ba2 (sf) Cl. A-J, Affirmed at Ba2 (sf); previously on Nov 19, 2009 Downgraded to Ba2 (sf) Cl. B, Affirmed at B2 (sf); previously on Nov 19, 2009 Downgraded to B2 (sf) Cl. C, Affirmed at Caa2 (sf); previously on Nov 19, 2009 Downgraded to Caa2 (sf) Cl. D, Affirmed at Ca (sf); previously on Nov 19, 2009 Downgraded to Ca (sf) Cl. E, Affirmed at Ca (sf); previously on Nov 19, 2009 Downgraded to Ca (sf) Cl. F, Affirmed at Ca (sf); previously on Nov 19, 2009 Downgraded to Ca (sf) Cl. G, Affirmed at Ca (sf); previously on Nov 19, 2009 Downgraded to Ca (sf) Cl. H, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. O, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. P, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. Q, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. A-X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 10.0% of the current balance, compared to 11.0% 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 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, and "Moody's Approach to Rating Structured Finance Interest- Only Securities" published in February 2012. 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 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 24, down from 26 at last review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp --and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated February 24, 2011. DEAL PERFORMANCE As of the February 17, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 5% to $1.98 billion from $2.08 billion at securitization. The Certificates are collateralized by 194 mortgage loans which range in size from less than 1% to 16% of the pool, with the top ten loans representing 46% of the pool. There are no loans with investment grade credit estimates or loans that have defeased. Sixty-six loans, representing 38% 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 loans have been liquidated from the pool since securitization, resulting in approximately a $46.5 million loss (27% loss severity overall). There are currently 21 loans, representing 14% of the pool, in special servicing. The largest specially serviced loan is the City Tower Loan ($115.0 million - 5.8% of the pool), which is secured by a 411,000 square foot (SF) office building located in Orange County, California. In addition to the first mortgage loan, there is a $25.0 million mezzanine loan held outside the trust. The loan transferred to special servicing in October 2010 due to monetary default. The loan is cash managed and all property revenues are being deposited into an account controlled by the lender. The special servicer appointed a receiver in June 2011. The property is currently 64% occupied. The second largest specially serviced loan is the Esquire Portfolio Loan ($31.0 million --1.6% of the pool), which is secured by four multifamily properties located in the Washington Heights neighborhood in New York City. The loan was transferred to special servicing in September 2011 as a result of imminent default. The major reason for a decline in property performance is due to an increase in expenses. The remaining specially serviced loans are secured by a mix of property types. Moody's has estimated an aggregate $101.9 million loss (39% expected loss on average) for 20 of the specially serviced loans. Moody's has assumed a high default probability for 15 poorly performing loan representing 6% of the pool and has estimated a $27.7 million loss (24% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2010 financials for 97% of the performing pool and partial year 2011 financials for 87% of the performing pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 132% compared to 134% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 6.3% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.18X and 0.80X, respectively, compared to 1.17X and 0.75X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 27% of the pool balance. The largest loan is the Shutters on The Beach & Casa Del Mar Portfolio Loan ($310.0 million -- 15.7% of the pool), which is secured by two luxury hotel properties located in Santa Monica, California. Shutters on the Beach is a 198-room full service hotel and Casa Del Mar is a 129-room bed and breakfast inn. In addition to the first mortgage loan, there is a $72.0 million mezzanine loan held outside the trust. Performance has improved for both hotels since last review. Moody's LTV and stressed DSCR are 157% and 0.69X, respectively, compared to 188% and 0.58X at last review. The second largest loan is 245 Fifth Avenue Loan ($140.0 million - - 7.1% of the pool), which is secured by a 303,000 SF office building located at the intersection of 28th street and 5th Avenue in Manhattan. The property was 82% leased as of February 2012, compared to 94% at last review. The largest tenants include Citibank (15% of the Net Rentable Area (NRA); lease expiration December 2012) Data Monitor LTD (9% of the NRA; lease expiration July 2012) and Beth Israel Medical Center (5% of the NRA; lease expiration November 2021). The loan is currently on the watchlist due to a decline in DSCR. The loan matures in May 2012. Moody's LTV and stressed DSCR are 174% and 0.56X, respectively, compared to 158% and 0.66X at last review. The third largest loan is the Meyberry House Loan ($90.0 million - - 4.5% of the pool), which is secured by a 179-unit apartment building located on the Upper East Side of Manhattan in New York City. In addition to the first mortgage loan, there is a $34.0 million mezzanine loan held outside the trust. The loan is currently on the watchlist due to necessary repairs and maintenance. As of October 2011, the property was 96% occupied. Moody's LTV and stressed DSCR are 142% and 0.72X respectively, the same as at last review. CTL BSCMS: Moody's Lowers Cl. C Notes Rating to 'Ba1' ----------------------------------------------------- Moody's Investors Service downgraded the rating of one class and affirmed four classes of Bear Stearns Commercial Mortgage Securities Inc., Corporate Lease-Backed Certificates, Series 1999- CLF1: Cl. A-3, Affirmed at Aaa (sf); previously on Jan 31, 2008 Confirmed at Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Jan 31, 2008 Confirmed at Aaa (sf) Cl. X, Affirmed at Aaa (sf); previously on Jan 25, 2001 Confirmed at Aaa (sf) Cl. B, Affirmed at Aa3 (sf); previously on Dec 23, 2003 Downgraded to Aa3 (sf) Cl. C, Downgraded to Ba1 (sf); previously on Mar 17, 2011 Downgraded to Baa2 (sf) RATINGS RATIONALE The downgrade is due to higher expected losses for the pool resulting from realized losses and anticipated losses from specially serviced and troubled loans and a decline in deal's weighted average rating factor (WARF). The affirmations are due to an increase in deal's subordination levels due to an amortization and paydowns. The pool's balance has decreased 17% since last review. 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 commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. In rating this transaction, Moody's used its credit-tenant lease ("CTL") financing methodological approach ("CTL" approach). Under Moody's CTL approach, the rating of a transaction's certificates is primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenant, usually an investment grade rated company, leasing the real estate collateral supporting the bonds. This tenant's credit rating is the key factor in determining the probability of default on the underlying lease. The lease generally is "bondable", which means it is an absolute net lease, yielding fixed rent paid to the trust through a lock- box, sufficient under all circumstances to pay in full all interest and principal of the loan. The leased property should be owned by a bankruptcy-remote, special purpose borrower, which grants a first lien mortgage and assignment of rents to the securitization trust. The dark value of the collateral, which assumes the property is vacant or "dark", is then examined to determine a recovery rate upon a loan's default. Moody's also considers the overall structure and legal integrity of the transaction. For deals that include a pool of credit tenant loans, Moody's currently uses a Gaussian copula model, incorporated in its public CDO rating model CDOROMv2.8 to generate a portfolio loss distribution to assess the ratings. The other methodology used in this rating was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review also incorporated the CMBS IO calculator ver 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. 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 prior full review is summarized in a press release dated March 17, 2011. DEAL PERFORMANCE As of the February 22, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 52% to $183.8 million from $383.4 million at securitization. The Certificates are collateralized by 137 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 45% of the pool. The entirety of the pool is backed by CTL loans. Three loans, representing 2% of the pool, have defeased and are collateralized with U.S. Government securities. Six loans, representing 10% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Four loans have been liquidated from the pool since securitization, resulting in an aggregate $8.0 million loss (87% loss severity on average). Four loans, representing 0.6% of the pool, are currently in special servicing. The loans are backed by the United States Postal Service and are in special servicing due to a borrower payment default. Moody's has estimated an aggregate $762,000 loss for the specially serviced loans (70% expected loss on average). Moody's has also assumed a high default probability for three loans secured by vacant properties, representing 6% of the pool. Moody's has estimated a $4.0 million loss (35% expected loss based on a 50% probability default) from these loans. The largest credit exposures are Rite Aid Corporation ($27.6 million -- 15% of the pool; senior unsecured rating: Caa3/ Ca - stable outlook), United State Postal Service ($19.8 million - 11% of the pool), and CVS/Caremark Corp. ($17.1 million - 9% of the pool; senior unsecured rating: Baa2 -- stable outlook). Approximately 79% of the credits in the pool have a Moody's public rating. The bottom-dollar WARF is a measure of the default probability within the pool. Moody's modeled a bottom-dollar WARF of 2,350 compared to 1,779 at last review. DBUBS 2011-LC1: Moody's Affirms Cl. F Notes Rating at 'Ba2' ----------------------------------------------------------- Moody's Investors Service affirmed the ratings of 11 CMBS classes of DBUBS 2011-LC1, Commercial Mortgage Pass-Through Certificates: Cl. A-1, Affirmed at Aaa (sf); previously on Mar 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Mar 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Mar 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Mar 1, 2011 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed at A2 (sf); previously on Mar 1, 2011 Definitive Rating Assigned A2 (sf) Cl. D, Affirmed at Baa1 (sf); previously on Mar 1, 2011 Definitive Rating Assigned Baa1 (sf) Cl. E, Affirmed at Baa3 (sf); previously on Mar 1, 2011 Definitive Rating Assigned Baa3 (sf) Cl. F, Affirmed at Ba2 (sf); previously on Mar 1, 2011 Definitive Rating Assigned Ba2 (sf) Cl. G, Affirmed at B2 (sf); previously on Mar 1, 2011 Definitive Rating Assigned B2 (sf) Cl. X-A, Affirmed at Aaa (sf); previously on Mar 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. X-B, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (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. This is Moody's first monitoring review of this deal since securitization. Moody's rating action reflects a cumulative base expected loss of 2.2% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the 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 CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. 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 conduit has a Herf of 18, the same as at securitization. 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. DEAL PERFORMANCE As of the February 10, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 1% to $2.15 billion from $2.18 billion 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 66% of the pool. The pool includes two loans, representing 11% of the pool, with credit estimates. One loans, representing 3% of the pool, is on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. No loans have been liquidated and none are in special servicing. Moody's did not identify any additional loans as being troubled. Moody's was provided with full year 2010 and full or partial year 2011 operating results for 100% and 96% of the pool, respectively. Moody's weighted average LTV for the conduit component is 96%,compared to 97% at securitization. Moody's net cash flow reflects a weighted average haircut of 9.4% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's actual and stressed DSCR for the conduit component are 1.37X and 1.05X, respectively, compared to 1.39X and 1.04X at securitization. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the Kenwood Towne Centre Loan ($231.3 million -- 10.7% of the pool), which is secured by a super regional mall located in Cincinnati, Ohio. The property was originally constructed in 1956 and renovated most recently in 2009. The mall contains approximately 1.2 million square feet (SF) in aggregate, 756,000 SF of which is owned by the sponsor. Anchor tenants include Macy's (non-collateral), Dillard's, and Nordstrom (non-collateral). The loan is sponsored by GGP and The Teachers' Retirement of the State of Illinois. As of September 2011 the mall was 97% leased compared to 96% at securitization. Moody's credit estimate and stressed DSCR are Baa3 and 1.31X, respectively, compared to Baa3 and 1.30X at securitization. The second loan with a credit estimate is the ARC IHOP Portfolio Loan ($12.5 million -- 0.6% of the pool), which is secured by 18 IHOP properties located across 13 states. All of the properties are end-cap or pad locations at established retail properties with good visibility. There is no rollover scheduled within the loan term and all leases are long term, triple net and guaranteed by DineEquity, Inc (Moody's Senior Unsecured rating of B3, Stable Outlook). Moody's credit estimate and stressed DSCR are Baa3 and 1.7X, respectively, the same as at securitization. The top three performing conduit loans represent 26% of the pool. The largest conduit loan is the 353 North Clark Street Loan ($220.0 million -- 10.2% of the pool), which is secured by a 45- story, Class A office building located in downtown Chicago, Illinois. The property contains approximately 1.2 million SF of office space and an underground parking garage that provides 164 spaces. The building was constructed between 2006 and 2009. As of November 2011 the property was 82% leased compared to 80% at securitization. The property has high tenant concentration with top two tenants comprising 65% of the NRA. However, there is no lease turnover during the loan term under the current leases. Moody's LTV and stressed DSCR are 97% and 1.01X, respectively, the same as at securitization. The second largest loan is the Temple Marketplace Loan ($197.3 million -- 9.2% of the pool), which is secured by a 1.1 million SF lifestyle/power center located in Tempe, Arizona. The property was constructed in 2007 and is anchored by Target (non-collateral), JC Penney, Harkins Tempe Marketplace movie theater, and Dave & Buster's. The property also contains a pad space leased to Sam's Club, which is currently under construction. As of October 2011, the property was 93% leased, the same as at securitization. The property benefits from a Governmental Property Lease Excise Tax (GPLET) statute that significantly reduces real estate tax assessments at the property through 2037. The property also benefits from an Arizona authorized sales tax reimbursement development agreement with the city of Tempe, which allows the property to share a portion of sales tax revenue with the city subject to a cap of $26.7 million. Moody's LTV and stressed DSCR are 95% and 1.0X, respectively, compared to 96% and 0.98X at securitization. The third largest loan is the 7 Hanover Square Loan ($145.1 million -- 6.7% of the pool), which is secured by a Class A office building located within the South Ferry Financial District submarket of New York City. The property offers 26 stories of rentable space that contain approximately 842,000 SF in aggregate. Guardian Life Insurance Company of America (Aa2, senior unsecured) currently leases approximately 99.5% of the NRA and has occupied the building as its headquarters since 1998. Property improvements were constructed in 1983 and most recently renovated in 2000. Moody's LTV and stressed DSCR are 97% and 1.06X, respectively, compared to 98% and 1.05X at securitization. DIVERSIFIED ASSET: Fitch Affirms Rating on Three Note Classes ------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed three classes of notes issued by Diversified Asset Securitization Holdings II, L.P./Corp. (DASH II): -- $12,224,812 class A-1 notes affirmed at 'BBsf', Outlook Negative; -- $77,423,810 class A-1L notes affirmed at 'BBsf', Outlook Negative; -- $50,000,000 class A-2L notes downgraded to 'Csf' from 'CCsf'; -- $37,000,000 class B-1 notes affirmed at 'Csf'. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model (SF PCM) for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also considered additional qualitative factors into its analysis to conclude the rating affirmations for the rated notes. Since the last rating action in February 2011, the credit quality of the collateral has deteriorated with approximately 20.2% of the portfolio downgraded a weighted average of 3.1 notches. Approximately 57.8% of the portfolio has a Fitch derived rating below investment grade and 46.9% is rated 'CCC' or lower, compared to 51.2% and 41.9%, respectively, at last review. The class A-1 and A-1L notes are affirmed due to the deterioration of the underlying collateral being offset by the amortization of the notes. With the help of excess spread due to the class B overcollateralization (OC) ratio failing its covenant, approximately $29 million, or 24.6%, of the senior notes' balance has amortized since the last review, increasing the credit enhancement to the notes. The affirmation is in line with the breakeven levels from the cash flow model. Fitch maintains a Negative Outlook on the class A-1 and A-1L notes, since they show sensitivity to rising interest rate stresses. Fitch does not maintain outlooks for tranches rated 'CCC' and below. Breakevens for the class A-2L and class B notes were below the SF PCM's 'CCC' default level, the lowest level of defaults projected by SF PCM. For these classes, Fitch compared the respective credit enhancement levels to expected losses from the distressed and defaulted assets in the portfolio (rated 'CCsf' or lower). This comparison indicates that default appears inevitable for both classes of notes at or prior to maturity. Accordingly, the class A-2L notes are downgraded and the class B notes are affirmed at 'Csf'. DASH II is a cash flow structured finance collateralized debt obligation that closed on Sept. 13, 2000. The portfolio is currently monitored by Western Asset Management Co., who became the substitute asset manager for Asset Allocation & Management, LLC in November 2002 and actively managed the portfolio until DASH II exited its reinvestment period in 2005. The portfolio is composed of 49% residential mortgage-backed securities, 26.7% commercial and consumer asset-backed securities, and 24.3% commercial mortgage-backed securities from 1995 through 2005 vintage transactions. DLJ MORTGAGE: Fitch Affirms Rating on $8.5 Mil. Notes at 'BB+sf' ---------------------------------------------------------------- Fitch Ratings has affirmed DLJ Mortgage Acceptance Corp.'s (DLJ) commercial mortgage pass-through certificates, series 1996-CF1: -- $8.5 million class B-4 at 'BB+sf'; Outlook Stable. Classes A-1A through B-3 have paid in full. Fitch does not rate the $2.8 million class C certificates. As of the February 2012 distribution date, the pool has paid down 98% to $11.3 million from $470.1 million at issuance. There is one loan remaining in the transaction. The underlying property is an office building located in Southfield, MI. The amortizing loan matures in 2016, with servicer-reported debt- service coverage ratio and occupancy at 1.50x and 98%, respectively, as of September 2011. EXETER AUTOMOBILE: DBRS Puts 'BB' Provisional Rating on Class D --------------------------------------------------------------- DBRS has assigned provisional ratings to these classes issued by Exeter Automobile Receivables Trust 2012-1: -- Series 2012-1 Notes, Class A rated AAA (sf) -- Series 2012-1 Notes, Class B rated 'A' (sf) -- Series 2012-1 Notes, Class C rated BBB (sf) -- Series 2012-1 Notes, Class D rated BB (sf) FREDDIE MAC: Moody's Withdraws 'Caa2' Class B Notes Rating ---------------------------------------------------------- Moody's Investors Service has withdrawn the rating on one CRE CDO class of Freddie Mac Multifamily Variable Rate Certificates Series M017. Class B, Withdrawn (sf); previously on Dec 16, 2011 Downgraded to Caa2 (sf) RATINGS RATIONALE Moody's has withdrawn the rating for its own business reasons. FREMF 2012-K706: Moody's Lowers Cl. X2-B Notes Rating to (P)B1 -------------------------------------------------------------- Moody's Investors Service has downgraded and subsequently withdraws a provisional rating to a notional class of a CMBS security, issued by FREMF Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2012-K706. CMBS Class Cl. X2-B, Downgraded (P)B1 (sf); previously on February 14, 2012 Assigned (P)Aaa (sf). RATINGS RATIONALE The Class downgrade affected by the action is a result of an action to Moody's existing methodology titled, "Moody's Approach to Rating Structured Finance Interest-Only Securities", dated February 22, 2012. The subsequent withdrawal of Class X2-B, is the result of the Issuer request. The principal methodology used in this rating was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. G-FORCE 2005: Fitch Affirms Rating on 11 Note Classes ----------------------------------------------------- Fitch Ratings has downgraded two and affirmed 11 classes issued by G-Force 2005-RR, LLC. (G-Force 2005-RR) as a result of additional principal losses on the underlying portfolio. Since Fitch's last rating action in March 2011, approximately 15.8% of the portfolio has been downgraded and 19.1% has been upgraded. Currently, 57.1% has a Fitch derived rating below investment grade and 27.8% has a rating in the 'CCC' rating category or lower. Over this time, the transaction has experienced approximately $23.3 million in realized losses. As of the Jan. 24, 2012 trustee report, the class A-2 notes have received $21.7 million in paydowns since the last rating action for a total of $25.9 million in principal repayment since issuance. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The Rating Loss Rates (RLR) were then compared to the credit enhancement of the classes. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near- term maturities. Based on this analysis, the credit enhancement for the class A-2 notes is consistent with the current rating of the note. For the class B through H notes, Fitch analyzed each class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class B notes have been affirmed at 'CCCsf', indicating that default is possible. Similarly, the class C and D notes have been downgraded and the class E through H notes affirmed at 'Csf', indicating that default is inevitable. The class J notes have realized principal losses of approximately 59.9% of their original principal balance while the class K through N notes have experienced full principal losses. These notes have been affirmed at 'Dsf'. G-FORCE 2005-RR is backed by 34 tranches from 13 CMBS transactions and is considered a commercial mortgage backed security (CMBS) B- piece resecuritization (also referred to as a first-loss CRE CDO/ReREMIC) as it includes the most junior bonds of CMBS transactions. The transaction closed Feb. 22, 2005. Fitch has taken these actions: -- $194,082,511 class A-2 notes affirmed at 'Bsf'; Outlook Negative; -- $40,230,000 class B notes affirmed at 'CCCsf'; -- $25,144,000 class C notes downgraded to 'Csf' from 'CCsf'; -- $5,029,000 class D notes downgraded to 'Csf' from CCsf'; -- $16,972,000 class E notes affirmed at 'Csf'; -- $8,172,000 class F notes affirmed at 'Csf'; -- $10,686,000 class G notes affirmed at 'Csf'; -- $14,457,000 class H notes affirmed at 'Csf'; -- $2,521,645 class J notes affirmed at 'Dsf'; -- $0 class K notes affirmed at 'Dsf'; -- $0 class L notes affirmed at 'Dsf'; -- $0 class M notes affirmed at 'Dsf'; -- $0 class N notes affirmed at 'Dsf'. GCCFC 2006-GG7: Moody's Lowers Cl. A-J Notes Rating to 'Ba1' ------------------------------------------------------------ Moody's Investors Service confirmed the rating of one class, affirmed seven classes and downgraded eight classes of Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Series 2006-GG7: Cl. A-3, Affirmed at Aaa (sf); previously on Aug 16, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed at Aaa (sf); previously on Aug 16, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Aug 16, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-1-A, Affirmed at Aaa (sf); previously on Aug 16, 2006 Assigned Aaa (sf) Cl. A-M, Confirmed at Aa3 (sf); previously on Feb 9, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. A-J, Downgraded to Ba1 (sf); previously on Feb 9, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. B, Downgraded to Ba2 (sf); previously on Feb 9, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. C, Downgraded to B1 (sf); previously on Feb 9, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. D, Downgraded to B3 (sf); previously on Feb 9, 2012 B2 (sf) Placed Under Review for Possible Downgrade Cl. E, Downgraded to Caa1 (sf); previously on Feb 9, 2012 B3 (sf) Placed Under Review for Possible Downgrade Cl. F, Downgraded to Caa3 (sf); previously on Feb 9, 2012 Caa2 (sf) Placed Under Review for Possible Downgrade Cl. G, Downgraded to Ca (sf); previously on Feb 9, 2012 Caa3 (sf) Placed Under Review for Possible Downgrade Cl. H, Downgraded to C (sf); previously on Feb 9, 2012 Ca (sf) Placed Under Review for Possible Downgrade Cl. J, Affirmed at C (sf); previously on Apr 15, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Apr 15, 2010 Downgraded to C (sf) Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) RATINGS RATIONALE The downgrades are due to increases in realized losses along with losses from troubled and specially serviced loans. The confirmation and affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 8.1% of the current balance. At last review, Moody's cumulative base expected loss was 7.3%. 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. Another methodology used was "Moody's Approach to Rating Structured Finance Interest Only Securities" published on February 22, 2012. 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 32 compared to 34 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 March 2, 2011. DEAL PERFORMANCE As of the January 12, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 15% to $3.09 billion from $3.61 billion at securitization. The Certificates are collateralized by 119 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten non- defeased loans representing 49% of the pool. Twenty-three loans, representing 16% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) 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. Fourteen loans have been liquidated from the pool, resulting in a realized loss of $131.7 million (42% loss severity overall). Currently 15 loans, representing 8% of the pool, are in special servicing. The specially serviced properties are secured by a mix of property types. Moody's estimates an aggregate $93.8 million loss for the specially serviced loans (46% expected loss on average). Moody's has assumed a high default probability for 13 poorly performing loans representing 7.5% of the pool and has estimated an aggregate $42.7 million loss (18% expected loss on average) from these troubled loans. Moody's was provided with full year 2010 operating results for 94% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 107% compared to 108% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.31X and 0.96X, respectively, compared to 1.28X and 0.94X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 20% of the pool balance. The largest loan is the Investcorp Retail Portfolio Loan ($248.4 million -- 8.0%), which is secured by 21 shopping centers located in three Texas MSA's (Dallas, Houston and San Antonio). Since securitization, eight properties have been released from the loan collateral reducing the total net rentable area to 2.2 million square feet from 2.8 million square feet at securitization. As of September 2011, the portfolio was 92% leased compared to 91% at the last review and 93% at securitization. Overall, performance has remained stable. Moody's LTV and stressed DSCR are 110% and 0.94X, respectively, compared to 112% and 0.91X at last review. The second largest loan is the 55 Corporate Drive Loan ($190 million -- 6.2%), which is secured by three office buildings totaling 670,000 square feet located in Bridgewater, New Jersey. The property was 100% leased to Sanofi-Aventis (Moody's senior unsecured debt rating -- A2; stable outlook) through June 2026. Moody's LTV and stressed DSCR are 130% and 0.74X, respectively, compared to 133% and 0.71X at last review. The third largest loan is the One New York Plaza Loan ($189.1 million -- 6.1%), which represents a pari-passu interest in a $378 million loan. The loan is secured by a 2.4 million square foot Class A office building located in downtown Manhattan. The property was 74% leased as of March 2011 compared to 100% at the last review. Goldman Sachs vacated over 22% of the net rentable area in December 2010 but the borrower is currently working on re-leasing the space. Moody's LTV and stressed DSCR are 70% and 1.31X, respectively, compared to 75% and 1.23X at last review. GMAC 1997-C2: Moody's Affirms Cl. G Notes Rating at 'C' ------------------------------------------------------- Moody's Investors Service upgraded the rating of one class and affirmed three classes of GMAC Commercial Mortgage Securities, Inc., Mortgage Pass-Through Certificates, Series 1997-C2: Cl. F, Upgraded to Aa1 (sf); previously on Mar 2, 2011 Upgraded to A1 (sf) Cl. G, Affirmed at B2 (sf); previously on Mar 2, 2011 Upgraded to B2 (sf) Cl. H, Affirmed at C (sf); previously on Sep 14, 2005 Downgraded to C (sf) Cl. X, Affirmed at Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) RATINGS RATIONALE The upgrade is due to the significant increase in subordination due to loan payoffs and amortization and overall stable pool performance. The pool has paid down by 23% since Moody's last review. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 1.0% of the current balance. At last review, Moody's cumulative base expected loss was 1.2%. 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 U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. 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 4 compared to 5 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 March 2, 2011. DEAL PERFORMANCE As of the January 17, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $54.5 million from $1.1 billion at securitization. The Certificates are collateralized by eight mortgage loans ranging in size from less than 1% to 30% of the pool, with the top ten loans representing 79% of the pool. Two loans, representing 21% of the pool, have defeased and are collateralized with U.S. Government securities. Fifteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $57.5 million (22% loss severity overall). Currently, there are no loans in special servicing. Moody's was provided with full year 2010 and partial year 2011 operating results for 83% and 67% of the pool's non-defeased loans. Moody's weighted average LTV is 69% compared to 74% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual and stressed DSCRs are 1.26X and 1.57X, respectively, compared to 1.16X and 1.46X 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 63% of the pool balance. The largest loan is the Fruitvale Shopping Center Loan ($16.3 million -- 29.8% of the pool), which is secured by a 163,000 square foot (SF) grocery-anchored retail center located in Oakland, California. The complex was 100% leased as of January 2012 compared to 97% at last review. The anchor tenants include Albertson's and Office Depot, which collectively occupy 57% of the net rentable area through long-term leases. Moody's LTV and stressed DSCR are 55% and 1.89X, respectively, compared to 56% and 1.83X at last review. The second largest loan is the Boulevard Gardens Apartments Loan ($11.7 million -- 21.4% of the pool), which is secured by a 968- unit cooperative apartment complex located in Queens, New York. The property was 100% occupied as of January 2011, the same at last review. Moody's LTV and stressed DSCR are 79% and 1.31X, respectively, compared to 83% and 1.25X at last review. The third largest loan is the Kmart - Laredo Loan ($6.5 million -- 11.8% of the pool), which is secured by a 112,000 SF single-tenant retail property located in Laredo, Texas. The property is 100% leased to Kmart through October 2022. Moody's LTV and stressed DSCR are 85% and 1.28X, respectively, compared to 83% and 1.30X at last review. GMAC 2000-C3: Moody's Reviews 'B3' Rating of Cl. J Notes -------------------------------------------------------- Moody's Investors Service placed the ratings of six classes of GMAC Commercial Mortgage Securities Inc., Commercial Mortgage Pass-Through Certificates, Series 2000-C3 on review for possible downgrade: Cl. F, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Nov 11, 2010 Upgraded to Aa2 (sf) Cl. H, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Sep 4, 2008 Upgraded to Baa2 (sf) Cl. J, B3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2011 Downgraded to B3 (sf) Cl. K, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Nov 11, 2010 Downgraded to Caa2 (sf) Cl. L, Ca (sf) Placed Under Review for Possible Downgrade; previously on Nov 11, 2010 Downgraded to Ca (sf) Cl. X, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on February 22, 2012, Downgraded to Caa1 (sf) RATINGS RATIONALE The classes were placed on review due to higher expected losses for the pool resulting from interest shortfalls 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 June 9, 2011. 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 Structured Finance Interest-Only Securities" published in February 2012 and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. DEAL AND PERFORMANCE SUMMARY As of the February 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 90% to $125.1 million from $1.3 billion at securitization. The Certificates are collateralized by 14 mortgage loans, excluding defeasance, ranging in size from less than 1% to 20% of the pool. The top ten loans, excluding defeasance, represent 77% of the pool. Two loans, representing 5% 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. Twenty-five loans have been liquidated from the pool, resulting in an aggregate realized loss of $34.4 million (38.74% loss severity overall). At last review realized losses totalled $19.6 million. Eight loans, representing 57% of the pool, are currently in special servicing. The specially serviced loans are secured by a mix of multifamily, retail, office, hotel and industrial property types. The master servicer has recognized appraisal reductions totaling $17.5 million for six of the specially serviced loans. Based on the most recent remittance statement, Classes H through P have experienced cumulative interest shortfalls totaling $4.1 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. Moody's review will focus on potential losses from interest shortfalls, and specially serviced and troubled loans and the performance of the overall pool. GMAC 2006-1: S&P Lowers Ratings on 4 Classes of Certs. to 'D' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes of commercial mortgage pass-through certificates from GMAC Commercial Mortgage Securities Inc. Series 2006-C1 Trust, a U.S. commercial mortgage-backed securities (CMBS) transaction. "In addition, we affirmed our ratings on six other classes from the same transaction," S&P said. "Our rating actions follow our analysis of the transaction, including a review of the deal structure and the liquidity available to the trust primarily using our U.S. conduit/fusion CMBS criteria. The downgrades reflect credit support erosion that we anticipate will occur upon the eventual resolution of eight ($189.6 million, 14.2% of the trust balance) of the 11 assets ($369.0 million, 27.6%) that are currently with the special servicers. We also considered the monthly interest shortfalls that are affecting the trust and the potential for additional interest shortfalls associated with revised appraisal reduction amounts (ARAs) on the specially serviced assets. We lowered our ratings on the class E, F, G, and H certificates to 'D (sf)' because we believe the accumulated interest shortfalls will remain outstanding for the foreseeable future," S&P said. "The affirmed ratings on the principal and interest certificates reflect subordination and liquidity support levels that are consistent with the outstanding ratings. We affirmed our 'AAA (sf)' ratings on the class XP and XC interest-only (IO) certificates based on our current criteria," S&P said. "Our analysis included a review of the credit characteristics of the remaining assets in the pool. Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.42x and a loan-to-value (LTV) ratio of 108.5%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.98x and an LTV ratio of 146.7%. The implied defaults and loss severity under the 'AAA' scenario were 70.9% and 42.0%. The DSC and LTV calculations exclude eight ($189.6 million, 14.2%) of the 11 ($369.0 million, 27.6%) specially serviced assets. We separately estimated losses for the excluded assets and included them in our 'AAA' scenario implied default and loss severity figures," S&P said. "As of the Feb. 10, 2012 trustee remittance report, the trust had experienced monthly interest shortfalls totaling $374,275. The total interest shortfall amount primarily reflects appraisal subordinate entitlement reduction (ASER) amounts of $367,982 and special servicing and workout fees of $65,822. The interest shortfalls, which were offset in February 2012 (according to the trustee remittance report) by ASER recoveries of $60,627, affected all classes subordinate to and including class E. The class E, F, G, and H certificates experienced cumulative interest shortfalls between two and three months, and we expect these interest shortfalls to continue in the near term. Consequently, we lowered our ratings on the class E, F, G, and H certificates to 'D (sf)'," S&P said. Credit Considerations "As of the Feb. 10, 2012 trustee remittance report, 11 assets ($369.0 million, 27.6% of the trust balance) in the pool were with the special servicers, CWCapital Asset Management LLC (CWCapital) and Midland Loan Services Inc. (Midland). The reported payment status of the specially serviced assets as of the February trustee remittance report is: five are real estate owned (REO, $81.7 million, 6.1%), three are in foreclosure ($98.4 million, 7.4%), one is 90-plus-days delinquent ($31.0 million, 2.3%), and two are in their grace periods ($157.9 million, 11.8%). ARAs totaling $81.4 million are in effect for eight of the specially serviced assets. Details of the five largest specially serviced assets, all of which are top 10 assets, are set forth," S&P said. "The Design Center of the Americas loan is the second-largest asset in the pool and the largest asset with the special servicer. The loan has a whole-loan balance of $176.8 million that is split into two pari passu notes: an $88.4 million A-1 note that was contributed to the GE Commercial Mortgage Corp. series 2005-C4 transaction and an $88.4 million A-2 notes that makes up 6.6% of the trust balance. The loan is currently secured by the fee interest in three four-story buildings totaling 774,573 sq. ft. of retail space in Dania Beach, Fla., which is located directly south of Ft. Lauderdale. The loan's payment status is reported as in its grace period and the loan was transferred to the special servicer on Jan. 24, 2012, due to imminent default. The special servicer indicated that it is working on a loan modification with the borrower. The reported DSC was 0.95x for year-end 2010 and occupancy was 67.8%, according to the April 2011 rent roll," S&P said. "The DDR/Macquarie Mervyn's Portfolio loan is the third-largest asset in the pool and the second-largest specially serviced asset. The loan has a whole-loan balance of $153.4 million that is split into three pari passu notes: a $71.0 million fixed-rate A-1 note that was contributed to the GE Commercial Mortgage Corp. series 2005-C4 transaction, a $71.0 million fixed-rate A-2 note that makes up 5.3% of the trust balance, and an $11.4 million floating- rate note that was contributed to the COMM 2005-FL11 transaction. The loan is currently secured by 24 single-tenant retail properties totaling 1.8 million sq. ft. in California, Arizona, Texas, and Nevada that were formerly operating as stores in the Mervyn's discount department store chain. Mervyn's filed for bankruptcy on Aug. 29, 2008, and rejected all of its leases on or before Dec. 31, 2008. The loan was transferred to Midland, the special servicer, on Oct. 22, 2008, due to imminent default and is currently in foreclosure. A $27.4 million ARA is effect against this loan. The reported overall occupancy was 34.0% as of October 2011. Standard & Poor's expects a significant loss upon the eventual resolution of this loan," S&P said. "The BellSouth Tower loan ($69.5 million, 5.2%) is the fourth- largest asset in the pool and the third-largest specially serviced asset. The loan is secured by a 30-story office building containing 956,201 sq. ft. on a 2.26-acre parcel of land in Jacksonville, Fla. The loan was transferred to the special servicer on Sept. 9, 2011, due to imminent monetary default. The loan's payment status is reported as in its grace period. The special servicer is considering potential resolution strategies including a loan modification. The reported DSC was 0.39x for the nine months ended Sept. 30, 2011, and occupancy was 41.8%, according to the June 2011, rent roll," S&P said. "The Executive Centre Portfolio REO asset ($50.8 million, 3.8%) is the sixth-largest asset in the pool and the fourth-largest specially serviced asset. The asset consists of a three-building, class A, 486,963-sq.-ft. office space in Springdale, Ohio. The asset was transferred to the special servicer on May 7, 2010, due to imminent monetary default and became REO on April 26, 2011. A $28.3 million ARA is effect against this asset. The special servicer is currently leasing up the property. According to the special servicer, current occupancy is reported at 36.2%, but new leases will raise the occupancy to approximately 72.0% by mid- 2012. Standard & Poor's expects a significant loss upon the eventual resolution of this asset," S&P said. "The Newburgh Mall loan ($31.0 million, 2.3%) is the ninth- largest asset in the pool and the fifth-largest specially serviced asset. The loan is secured by a two-building 384,150-sq.-ft. retail space in Newburgh, N.Y. The loan was transferred to the special servicer on Nov. 22, 2011, for imminent default. The loan's payment status is reported as 90-plus-days delinquent. The reported DSC and occupancy was 0.96x and 87.1% for year-end 2010. The special servicer indicated that it is evaluating potential workout strategies for this loan while pursuing foreclosure. A $7.8 million ARA is effect against this loan. Standard & Poor's expects a moderate loss upon the eventual resolution of this loan," S&P said. "The six remaining assets with the special servicer have individual balances that represent less than 1.7% of the total trust balance. ARAs totaling $17.9 million are in effect against five of these assets. We estimated losses for five of these assets, arriving at a weighted-average loss severity of 37.9%. The special servicer stated it is considering a loan modification for the sixth-largest loan with the special servicer," S&P said. Transaction Summary "As of the Feb. 10, 2012 remittance report, the collateral pool had an aggregate pooled and nonpooled trust balance of $1.34 billion, down from $1.73 billion at issuance. The trust includes 100 loans and five REO assets, down from 119 loans at issuance. The master servicer, Berkadia Commercial Mortgage LLC (Berkadia), provided financial information for 87.0% of the loans in the pool, of which 36.7% reflected full-year 2010 data and 40.5% reflected nine months ended Sept. 30, 2011, data," S&P said. "We calculated a weighted average DSC of 1.38x for the loans in the pool based on the servicer-reported figures. Our adjusted DSC and LTV were 1.42x and 108.5%. Our adjusted figures exclude eight ($189.6 million, 14.2%) of the 11 ($369.0 million, 27.6%) specially serviced assets. We separately estimated losses for the excluded assets and included them in our 'AAA' scenario implied default and loss severity figures. For the reporting specially serviced assets excluded from our adjusted figures, the weighted average reported DSC was 1.07x. To date, the transaction has experienced $54.0 million in principal losses from 10 assets. Twenty-seven loans ($265.3 million, 19.9%) in the pool are on the master servicer's watchlist, including three of the top 10 assets, which we discuss in detail below. Twenty loans ($357.2 million, 26.7%) have a reported DSC of less than 1.10x, 12 of which ($236.9 million, 17.76%) have a reported DSC of less than 1.00x," S&P said. Summary of Top 10 Assets "The top 10 assets have an aggregate outstanding pooled balance of $594.5 million (44.5% of trust balance). Using servicer- reported numbers, we calculated a weighted average DSC of 1.09x for seven of the top 10 assets. The remaining three top 10 assets, for which we estimated losses, are with the special servicer. Five of the top 10 assets ($310.7 million, 23.2%) are with the special servicers (discussed above) and three other top 10 assets ($133.8 million, 10.0%) are on the master servicer's watchlist (discussed below). Our adjusted DSC and LTV for the seven of the top 10 assets were 1.16x and 117.4%. For the reporting three top 10 assets excluded from our adjusted figures, the weighted average reported DSC was 0.96x," S&P said. "The First National Bank Center loan is the fifth-largest asset in the pool and the largest loan on the master servicer's watchlist. The loan has a senior pooled trust balance of $65.0 million (4.9%) and a subordinate nonpooled trust balance of $33.0 million that provides 100% of the cash flow to the 'FNB' raked certificates (not rated by Standard & Poor's). The loan is secured by a first mortgage encumbering the fee simple interest in the First National Bank Center, a 27-story, 547,785-sq.-ft. class A, multitenant office building in San Diego, Calif. The loan is on the master servicer's watchlist for a low reported DSC. For the nine months ended Sept. 30, 2011, the reported DSC and occupancy were 1.07x and 68.8%," S&P said. "The Terrace at Continental Park loan ($38.6 million, 2.9%) is the eighth-largest asset in the pool and the second-largest loan on Berkadia's watchlist. The loan is secured by a class A four-story building with 189,165 sq. ft. of office space and four levels of indoor parking in El Segundo, Calif. The loan is on the master servicer's watchlist for a low reported DSC and upcoming lease expirations. For the nine months ended Sept. 30, 2011, the reported DSC and occupancy were 1.16x and 74.3%," S&P said. "The Sheraton Harborside Hotel loan ($30.2 million, 2.2%) is the 10th-largest asset in the pool and the third-largest loan on Berkadia's watchlist. The loan is secured by a five-story, 181- room hotel in Portsmouth, N.H. The loan is on the master servicer's watchlist because of a low reported DSC. The reported DSC was 1.23x for the 12 months ended Sept. 30, 2011, and occupancy was 63.0% for the 12 months ended June 30, 2011," S&P said. Standard & Poor's stressed the pool collateral according to its criteria. The resultant credit enhancement levels are consistent with S&P's 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. Ratings Lowered GMAC Commercial Mortgage Securities Inc. Series 2006-C1 Trust Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-J BB+ (sf) BBB (sf) 13.11 B B+ (sf) BB+ (sf) 10.35 C B- (sf) BB (sf) 8.88 D CCC (sf) BB- (sf) 7.90 E D (sf) B+ (sf) 6.28 F D (sf) B (sf) 4.97 G D (sf) B- (sf) 3.51 H D (sf) CCC (sf) 2.04 Ratings Affirmed GMAC Commercial Mortgage Securities Inc. Series 2006-C1 Trust Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-3 AAA (sf) 34.93 A-4 AAA (sf) 34.93 A-1A AAA (sf) 34.93 A-M A (sf) 21.90 XP AAA (sf) N/A XC AAA (sf) N/A N/A -- Not applicable. GREENWICH CAPITAL: S&P Lowers Class N-SO Cert. Rating to 'CCC-' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four classes of commercial mortgage pass-through certificates from Greenwich Capital Commercial Funding Corp.'s series 2004-FL2, a U.S. commercial mortgage-backed securities (CMBS) transaction. "In addition, we affirmed our ratings on five other classes from the same transaction," S&P said. "The downgrades and affirmations follow our analysis of the transaction, which included our revaluation of the office property securing the sole remaining floating-rate amortizing loan indexed to one-month LIBOR, the deal structure, liquidity available to the trust, and refinancing risk of the remaining loan. We also downgraded classes J and K due to their susceptibility to interest shortfalls in the future if the loan does not payoff in full by its July 1, 2012, maturity date. In the event the loan does not payoff at maturity, we will reevaluate the effect of the maturity default and could adjust our ratings further. Our adjusted valuation on the loan, using a 9.50% capitalization rate, yielded an in-trust, stressed loan-to- value (LTV) ratio of 98.0%," S&P said. "Our ratings analysis on the certificate classes was consistent with our approach outlined in the 'Approach' and 'Surveillance' sections of 'Presale: J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-Fl1,' published Nov. 8, 2011. We based our analysis, in part, on a review of the borrower's operating statements for the years ended Dec. 31, 2010, and Dec. 31, 2009, the borrower's rent roll as of Dec. 31, 2011, and the borrower's 2012 budget. The master servicer, Wells Fargo Bank N.A. (Wells Fargo) reported a debt service coverage (DSC) of 2.34x for the nine months ended Sept. 30, 2011. The occupancy on the office property was 70.2% based on the Dec. 31, 2011 rent roll. The reported one-month LIBOR was 0.295% according to the Feb. 7, 2012 trustee remittance report," 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. As of the Feb. 7, 2012, trustee remittance report, the Southfield Town Center loan, has a whole-loan balance of $218.1 million, which consists of a $152.9 million senior note and a $65.2 million nontrust junior subordinate note. The senior note is further divided into a $145.5 million senior pooled trust component and a $7.4 million junior nonpooled trust component that provides the sole source of cash flow for the class N-SO raked certificates. In addition, the equity interests in the borrower of the whole loan secure a $25.0 million mezzanine loan held outside the trust," S&P said. "The loan is secured by a five-building, class A office complex totaling 2.16 million sq. ft. in Southfield, Mich. The master servicer has reported declining net operating income and occupancy for the office property in the last three years (81.0% occupancy in 2008, 74.9% in 2009, and 70.5% in 2010). Our adjusted valuation yielded a LTV ratio of 98.0% on the trust balance. Consequently, we downgraded the class N-SO raked certificates to 'CCC-'," S&P said. "The loan was modified and returned to the master servicer on June 30, 2009. According to Wells Fargo, the modification terms included, among other items, extending the loan's final maturity date to July 1, 2011, from July 1, 2009, with one additional 12-month extension option, (which has been exercised) and converting the interest-only loan to an amortizing loan. Wells Fargo indicated to us that any special servicing fees associated with the workout were paid by the borrower following the loan modification. Presently, Wells Fargo does not have any indication from the borrower regarding its refinancing options and payoff strategies," 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 Ratings Lowered Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2004-FL2 Rating Class To From H BBB (sf) A- (sf) J B+ (sf) BB (sf) K CCC+ (sf) B+ (sf) N-SO CCC- (sf) B+ (sf) Ratings Affirmed Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2004-FL2 Class Rating C AAA (sf) D AAA (sf) E AAA (sf) F AAA (sf) G AA (sf GSC INVESTMENT: S&P Hikes Class E Note Rating to 'BB'; Off Watch ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A, B, C, D and E notes from GSC Investment Corp CLO 2007 Ltd., a cash flow collateralized loan obligation (CLO) transaction managed by Saratoga Partners, and removed them from CreditWatch, where S&P placed them with positive implications on Feb. 10, 2012. "The transaction is in its reinvestment period, which ends January 2013. There has been no change in the note balances since we last 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. "The balance of the class E note is at 81.64% of its original balance; the lower balance is due to paydowns in the past following the failure of the class E overcollateralization (O/C) test. The transaction is structured such that the class E O/C cure in the interest proceeds section of the waterfall diverts available interest proceeds -- after payment of any class E deferred interest -- to pay down the class E note until the test is cured. Failure of the class E O/C test in the past resulted in paydowns to the class E note; its balance remains unchanged since our last rating actions in December 2009," S&P said. "During this period, the credit support to the notes has increased primarily due to lower defaults and an improvement in the credit quality of the assets," S&P said. "The trustee reports zero defaults in the January 2012 monthly trustee report, down from $26.13 million reported in the November 2009 monthly report, which we used for our December 2009 rating actions. Many of the defaulted assets were sold at prices that were higher than the assumed recovery rates," S&P said. "The transaction's structural provisions include a reinvestment test called 'CERT' test--which is the class E overcollateralization (O/C) ratio measured at a higher level (than the class E O/C test) in the interest section of the waterfall during the reinvestment period. Failure of the test diverts the cure amount, subject to a maximum of 50% of available interest proceeds, toward reinvestment. The transaction was failing this test in November 2009 (103.73% vs. minimum requirement of 105.10%); this ratio has since increased to 108.55% in January 2012, and the transaction is currently passing this test," S&P said. "In addition, the 'CCC' rated assets in the portfolio has declined during this period contributing to an improvement in the credit quality of the transaction's portfolio. The transaction is structured such that the trustee haircuts the portion of 'CCC' rated collateral that is in excess of the limit specified in the transaction documents. Due to the lower level of 'CCC' assets, the trustee did not haircut O/C numerator in the January 2012 monthly report; the haircut was $6.15 million in the November 2009 monthly report," S&P said. These factors contributed to an improvement in the transaction's O/C tests. The trustee reported the O/C ratios as of the January 2012 monthly report: * The class A/B O/C ratio was 124.92%, compared with a reported ratio of 119.40% in November 2009; * The class C O/C ratio was 119.65%, compared with a reported ratio of 114.36% in November 2009; * The class D O/C ratio test was 114.15%, compared with a reported ratio of 109.11% in November 2009; and * The class E O/C ratio test was 108.55%, compared with a reported ratio of 103.75% in November 2009. "All coverage tests are currently passing. We upgraded all the rated tranches due to the increase in their credit support," 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 GSC Investment Corp CLO 2007 Ltd. Rating Class To From A AA+ (sf) AA- (sf)/Watch Pos B AA- (sf) A+ (sf)/Watch Pos C A (sf) BBB+ (sf)/Watch Pos D BBB- (sf) BB+ (sf)/Watch Pos E BB (sf) BB- (sf)/Watch Pos GULF STREAM-COMPASS: S&P Affirms 'CCC-' Rating on Class E Notes --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B and C notes from Gulf Stream-Compass CLO 2002-I Ltd., a collateralized loan obligation (CLO) transaction managed by GSAM Apollo Holdings LLC. "At the same time, we removed the raised ratings from CreditWatch positive. In addition, we affirmed our ratings on the class D and E notes from Gulf Stream-Compass CLO 2002-I Ltd. and removed them from CreditWatch positive. We also affirmed our remaining 'AAA (sf)' ratings from Gulf Stream-Compass CLO 2002-I Ltd. and Gulf Stream Repack Trust 2003-1, a retranche of a portion of the class A notes issued by Gulf Stream-Compass CLO 2002-1 Ltd.," S&P said. "The upgrades and affirmations of the 'AAA (sf)' ratings reflect the continued principal pay downs to the class A notes from Gulf Stream-Compass CLO 2002-1 Ltd. and the class A-1 notes from Gulf Stream Repack Trust 2003-1, which led to increases to the overcollateralization (O/C) available to support the rated notes since our rating actions in October 2010. As of the January 2012 trustee report, the class A/B O/C ratio had increased to 150.59% from 122.94% as of the September 2010 trustee report while the class A note had paid down by $54.90 million," S&P said. "Since our rating action in October 2010, the balance of deferred interest for the class E notes has been repaid, and the note has received timely interest. However, we affirmed our ratings on the class D and E notes and removed them from CreditWatch positive due to the expected concentration risk as the portfolio amortizes and the balance of assets that mature beyond the Dec. 19, 2014, maturity date of the rated notes, which may expose these notes to market value risk," 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," 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 Gulf Stream-Compass CLO 2002-I Ltd. Rating To From B AAA (sf) AA+ (sf)/Watch Pos C AA (sf) A+ (sf)/Watch Pos D BB+ (sf) BB+ (sf)/Watch Pos E CCC- (sf) CCC- (sf)/Watch Pos Ratings Affirmed Gulf Stream-Compass CLO 2002-I Ltd. Rating A AAA (sf) Gulf Stream Repack Trust 2003-1 Rating A-1 AAA (sf) A-2 AAA (sf) HYUNDAI AUTO: Moody's Gives Provisional Ratings to 7 Notes Classes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to the notes to be issued by Hyundai Auto Receivables Trust 2012-A (HART 2012-A). RATINGS RATIONALE The complete rating actions are: Issuer: Hyundai Auto Receivables Trust 2012-A Class A-1 Notes, rated (P)P-1 (sf) Class A-2 Notes, rated (P)Aaa (sf) Class A-3 Notes, rated (P)Aaa (sf) Class A-4 Notes, rated (P)Aaa (sf) Class B Notes, rated (P)Aa2 (sf) Class C Notes, rated (P)A2 (sf) Class D Notes, rated (P)Baa2 (sf) The principal methodology used in this rating was Moody's Approach to Rating U.S. Auto Loan-Backed Securities, published in May 2011. Moody's median cumulative net loss expectation for the HART 2012-A pool is 1.75% and the Aaa Level is 11.00%. Moody's net loss expectation and Aaa Level for HART 2012-A are derived from an analysis of the credit quality of the underlying collateral, historical performance trends, the ability of Hyundai Capital America (HCA) to perform the servicing functions, and current expectations for future economic conditions. The V Score for this transaction is Low/Medium, which is in-line with the Low/Medium V score assigned for the U.S. Prime Retail Auto Loan ABS sector. The V Score indicates "Low/Medium" uncertainty about critical assumptions. The experience of transaction parties for this transaction is viewed as slightly weaker than the sector given HCA's less frequent issuance. However, the servicer risk is viewed as Low compared to the sector score of Low/Medium due to the financial stability of the servicer's parent, Hyundai Motor Company, as evidenced by its Baa2 rating. As a result, the overall score for Governance is in line with the sector's score of Low/Medium. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If the net loss used in determining the initial rating were changed to 4.50%, 6.50%, or 8.50%, the initial model-indicated output for the Class A notes might change from Aaa to Aa1, A1, and Baa1, respectively. Using the same loss assumptions, the initial model-indicated output for the Class B notes might change from Aa2 to Baa2, B3, and below B3, respectively. The Class C notes, using the same loss assumptions, might change from A2 to Ba2, and below B3, and the Class D notes might change from Baa2 to B3, and below 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. ILLINOIS FINANCE: Fitch Affirms Rating on $190 Mil. Bond at 'BB-' ----------------------------------------------------------------- Fitch Ratings has affirmed the 'BB-' rating on approximately $190 million of outstanding Illinois Finance Authority revenue bonds issued on behalf of Illinois Institute of Technology (IIT, or the institute). The Rating Outlook is revised to Stable from Negative. Revenue bonds are secured by a general obligation pledge of IIT. Series 2009 revenue bonds are additionally secured by a cash- funded debt service reserve. The 'BB-' rating continues to reflect IIT's negative operating performance. However, while still negative, the operating margin improved noticeably in fiscal 2011 to negative 7.2% from negative 18.4% in fiscal 2010. Including its endowment distribution, the operating margin improved to negative 0.6% from negative 9.4%, well above the five-year average of negative 6.5%, and nearing management's goal of returning to a break-even level of operating performance, on a cash basis, over the near term. The persistent operating losses over the past several years led the institute to rely on significant excess endowment draws beyond its annual, spending-policy-defined, base distribution. Budgetary measures taken by IIT's management team beginning in fiscal 2010, including various administrative cuts and tuition increases, have enabled it to stem operating losses and decrease the excess endowment draw required to support operations. The excess draw totaled $3.4 million in fiscal 2011, down from $8.3 million in fiscal 2010 and $16 million in fiscal 2009. Year-to-date, interim results indicate the institute is on track to meet its 2012 budget without the need for an excess endowment draw. The excess endowment draws, in combination with losses associated with investment in research ventures and global financial markets turbulence during fiscal year 2008-2009, critically depleted the institute's financial resources. Available funds, defined as cash and investments not permanently restricted, increased by approximately 88%, to $14.7 million, between fiscal 2010 and fiscal 2011. However, as a percentage of operating expenses ($243.4 million) and debt ($218.5 million), IIT's available funds remain well below Fitch's expectation for an investment-grade private college or university at 5.8% and 6.7%, respectively. Given this already limited financial cushion, any further erosion of balance sheet resources would yield negative rating pressure. Based on its improved financial performance, IIT was notified by The Higher Learning Commission (a member of the North Central Association of Colleges and Schools) that it will no longer recommend annual financial reviews. Fitch expects this decision may result in the United States Department of Education (DOE) removing the provisional status of the institute's participation in federal student financial assistance (SFA) programs. Provisional status, which IIT has been subject to since fall 2010, has not affected the institute's ability to access federally funded student financial aid. It also requires the institute to maintain an irrevocable direct pay letter of credit payable to the DOE. Should recent positive trends in financial performance reverse, and the DOE decide to ban IIT student participation in SFA programs, the potential negative impact on enrollment, particularly at the undergraduate level, could be significant. A final decision by the DOE is not expected before May 2012. Despite these uncertainties, IIT's enrollment continues to grow. Over the past five fall enrollment cycles the institute's headcount grew, on average, by 1.3%, reaching 7,787 for fall 2011; graduate students comprise about two-thirds of this total. In recent years, IIT changed its approach to attracting undergraduate students, focusing attention on students who demonstrate a good fit with the institute's programmatic offerings. This strategy resulted in a decline in undergraduate application volume and the number of matriculating freshmen in fall 2009 and 2010. Undergraduate and graduate demand subsequently improved for fall 2011, with increasing application volume and healthy freshmen matriculation. Graduate level demand remains particularly strong which has allowed IIT to charge tuition premiums in certain fields. At present, the number of applications for fall 2012 is on track to exceed the fall 2011 level. Given IIT's moderately high (56.9% in fiscal 2011) reliance on student-generated revenues to fund operations, a failure to maintain stable enrollment levels could compromise the institute's efforts to improve operating performance. INDEPENDENCE II: S&P Says 30.49% of 'CCC' Rated Obligs in Default ----------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'BBB (sf)' rating on the class A notes from Independence II CDO Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Declaration Management & Research. "The affirmation reflects our belief that the credit support available to the class A notes is commensurate with the current rating. Although the transaction has paid $50.52 million to the class A notes since our last rating action in May 2010, the credit quality of the remaining assets in the portfolio has declined. As of the Feb. 2, 2012, trustee report, the transaction held approximately 13.35% ($18.56 million) in defaulted obligations and 42.33% ($58.88 million) in obligations rated in the 'CCC' category, compared with 12.38%($22.10 million) in defaulted obligations and 30.49% ($54.45 million) in 'CCC' rated obligations as of March 31, 2010, trustee report, which we used for our May 2010 rating actions," S&P said. Standard & Poor's will continue to review whether, in its view, the rating currently assigned to the notes remains 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 INDEPENDENCE III: Moody's Lowers Cl. A-1 Notes Rating to 'Caa3' --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of the following notes issued by Independence III CDO, Ltd: US$186,000,000 Class A-1 Senior Secured Floating Rate Term Notes Due October 3, 2037 (current outstanding balance of $105,117,418), Downgraded to Caa3 (sf); previously on February 26, 2009 Downgraded to Caa1 (sf); US$18,000,000 Class B Second Priority Floating Rate Term Notes Due October 3, 2037, Downgraded to C (sf); previously on February 26, 2009 Downgraded to Ca (sf); RATINGS RATIONALE According to Moody's, the rating downgrade is the result of deterioration in the credit quality of the underlying portfolio. Such credit deterioration is observed through numerous factors, including a significant increase in the WARF, an increase in the dollar amount of defaulted securities and a decrease in the transaction's overcollateralization ratios. Based on the latest trustee report dated January 15 2012, the WARF of the portfolio has increased to 4339 from 1832 since the last rating action in February 2009. Defaulted securities have increased from $5.8 million in February 2009 to $13.7 million in January 2012. Additionally, the Class A, Class B and Class C overcollateralization ratios are reported at 125.7%, 107.3% and 91.1%, respectively, versus February 2009 levels of 128.6%, 113.9% and 99.8%, respectively. As reported by the trustee, on February 20, 2009 the transaction experienced an "Event of Default" caused by a failure of the overcollateralization ratio with respect to the Class C Notes to be at least equal to 100%, as required under Section 5.1 of the indenture dated May 9, 2002. Holders of a Majority of the Controlling Class have also directed the trustee to declare the notes to be immediately due and payable. This Event of Default is continuing. Independence III CDO, Ltd, issued in May 2002, is a collateralized debt obligation backed primarily by a portfolio of RMBS, CMBS and Corporate CDOs originated from 2001 to 2005. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in November 2010. Moody's applied the Monte Carlo simulation framework within CDOROMv2.8 to model the loss distribution for SF CDOs. Within this framework, defaults are generated so that they occur with the frequency indicated by the adjusted default probability pool (the default probability associated with the current rating multiplied by the Resecuritization Stress) for each credit in the reference. Specifically, correlated defaults are simulated using a normal (or "Gaussian") copula model that applies the asset correlation framework. Recovery rates for defaulted credits are generated by applying within the simulation the distributional assumptions, including correlation between recovery values. Together, the simulated defaults and recoveries across each of the Monte Carlo scenarios define the loss distribution for the reference pool. Once the loss distribution for the collateral has been calculated, each collateral loss scenario derived through the CDOROM loss distribution is associated with the interest and principal received by the rated liability classes via the CDOEdge cash-flow model. The cash flow model takes into account the following: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss (EL) for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's 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. Moody's rating action factors in a number of sensitivity analyses and stress scenarios, discussed below. Results are shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss, assuming that all other factors are held equal: Moody's Caa Assets notched up by 2 rating notches: Class A-1MM: +1 Moody's Caa Assets notched down by 2 rating notches: Class A-1MM: -0 ING IM CLO 2012-1: S&P Gives 'B' Rating on Class E Notes -------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to ING IM CLO 2012-1 Ltd./ING IM CLO 2012-1 LLC's $326.5 million notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Feb. 29, 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 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. * "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% to 12.25%," 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 Preliminary Ratings Assigned ING IM CLO 2012-1 Ltd./ING IM CLO 2012-1 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 227.00 A-2 AA (sf) 32.50 B (deferrable) A (sf) 27.75 C (deferrable) BBB (sf) 16.25 D (deferrable) BB (sf) 14.00 E (deferrable) B (sf) 9.00 Subordinated notes NR 35.40 NR -- Not rated. JP MORGAN: Valuations of Loans Cues Fitch to Downgrade Ratings -------------------------------------------------------------- Fitch Ratings has affirmed seven and downgraded and removed from Rating Watch Negative one class of J.P. Morgan Chase Commercial Mortgage Securities Corp. series 2001-CIBC1 commercial mortgage pass-through certificates. The downgrade is the result of an increase in Fitch losses attributed to updated valuations of specially serviced loans. As of the February 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. The largest contributor to losses (11.5% of pool balance) is an office building located in Hammonton, NJ. Occupancy is currently 37.5% and the largest tenant is currently in discussions to renew their lease. The special servicer is pursuing foreclosure and Fitch expects losses upon disposition of the loan. Fitch downgrades and removes from Rating Watch Negative this class: -- $29.2 million class G to 'Bsf' from 'BBB-sf'; Outlook Negative. Fitch affirms these classes, Outlooks and Recovery Estimates (RE): -- $1.5 million class E at 'AAAsf'; Outlook Stable; -- $14 million class F at 'AAsf'; Outlook Negative; -- $8.9 million class H at 'Dsf'; RE 0%; -- Class J at 'Dsf'; RE 0%; -- 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. JPMCC 2007-CIBC18: Moody's Affirms Cl. A-J Notes Rating at 'Ba1' ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of four and affirmed 11 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18, Commercial Mortgage Pass-Through Certificates, Series 2007-CIBC18: Cl. A-3, Affirmed at Aaa (sf); previously on Mar 8, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Mar 8, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Mar 8, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-M, Affirmed at Aa3 (sf); previously on Nov 17, 2010 Downgraded to Aa3 (sf) Cl. A-MFL, Affirmed at Aa3 (sf); previously on Nov 17, 2010 Downgraded to Aa3 (sf) Cl. A-J, Affirmed at Ba1 (sf); previously on Nov 17, 2010 Downgraded to Ba1 (sf) Cl. B, Downgraded to B1 (sf); previously on Nov 17, 2010 Downgraded to Ba3 (sf) Cl. C, Downgraded to B2 (sf); previously on Nov 17, 2010 Downgraded to B1 (sf) Cl. D, Downgraded to Caa1 (sf); previously on Nov 17, 2010 Downgraded to B3 (sf) Cl. E, Downgraded to Caa3 (sf); previously on Nov 17, 2010 Downgraded to Caa2 (sf) Cl. F, Affirmed at Ca (sf); previously on Nov 17, 2010 Downgraded to Ca (sf) Cl. G, Affirmed at C (sf); previously on Nov 17, 2010 Downgraded to C (sf) Cl. H, Affirmed at C (sf); previously on Nov 17, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Nov 17, 2010 Downgraded to C (sf) Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) RATINGS RATIONALE The downgrades were due to higher than anticipated losses from liquidated loans. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 7.8% of the current pooled balance compared to 7.6% at last review. The deal has experienced $102 million of realized losses compared to $87 million at last review. Moody's base expected loss plus realized losses is 9.9% of the original pooled balance compared to 9.4% 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 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, and "Moody's Approach to Rating Structured Finance Interest- Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.60 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The pool has a Herf of 56 as compared to 57 at last review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated August 17, 2011. DEAL PERFORMANCE As of the February 13, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 7% to $3.6 billion from $3.9 billion at securitization. The Certificates are collateralized by 204 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 33% of the pool. No loans have defeased or have investment grade credit estimates. Sixty loans, representing 31% 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 since securitization, resulting in an aggregate $102 million loss (52% average loss severity). Currently, 15 loans, representing 11% of the pool, are in special servicing. The master servicer has recognized a $75 million aggregate appraisal reduction for 10 of the 15 specially serviced loans. Moody's has estimated a $138 million aggregate loss for all of the specially serviced loans. Moody's has assumed a high default probability for 20 poorly performing loans representing 9% of the pool. Moody's has estimated a $51 million loss (16% expected loss based on a 31% probability default) from these troubled loans. Moody's was provided with full year 2010 and partial or full year 2011 operating results for 98% and 90% of the conduit loans, respectively. The conduit portion excludes specially serviced and troubled loans. Moody's weighted average conduit LTV is 107% compared to 105% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's actual and stressed conduit DSCRs are 1.36X and 0.97X, respectively, compared to 1.60X and 1.08X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 16% of the pool. The largest loan is the 131 South Dearborn Loan ($236 million -- 6.5%), which represents a participation interest in a $472 million mortgage loan. The loan is secured by a 1.5 million square foot (SF) Class A office property located in downtown Chicago, Illinois. The property was 95% leased as of September 2011, the same as at last review. Moody's LTV and stressed DSCR are 118% and 0.78X, respectively, compared to 117% and 0.79X at last review. The second largest loan was formerly known as the Centro Heritage Portfolio IV Loan ($226 million -- 6.2%). The loan is secured by a diverse portfolio of 16 retail properties located in ten states. The portfolio was part of Blackstone's 2011 acquisition of Centro's U.S. retail portfolio. In September 2011 the sponsor's name was changed to Brixmor Property Group. Brixmor owns approximately 585 community and neighborhood centers totaling 92 million SF. As of June 2011 the portfolio was 94% leased, compared to 89% at last review. Moody's LTV and stressed DSCR are 80% and 1.16X, respectively, which is the same as at last review. The third largest loan is the Quantico Property Trust Portfolio Loan ($131 million -- 3.6%), which is secured by a portfolio of 14 properties containing 950,000 SF of office, warehouse and flex space. All of the properties are located in Virginia. As of June 2011, the portfolio was 92% leased, which is the same as at last review. Moody's LTV and stressed DSCR are 118% and 0.82X, which is the same as at last review. LANDMARK VII: S&P Raises Rating on Class B-1L Notes to 'BB' ----------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2L, A-3L, and B-1L notes from Landmark VII CDO Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Aladdin Capital Management LLC. "At the same time, we affirmed our ratings on the class X, A-1L, and B-2L notes from the same transaction," S&P said. "The upgrades reflect the improved performance we have observed in the transaction's underlying asset portfolio since our Nov. 17, 2009 rating actions. As of the Jan. 4, 2012 trustee report, the transaction's asset portfolio had $11.39 million in defaulted obligations and approximately $19.61 million in assets from obligors rated in the 'CCC' range. This was down from $26.24 million in defaulted obligations and approximately $41.43 million in assets from obligors rated in the 'CCC' range noted in the Oct. 2, 2009 trustee report, which we used for our November 2009 rating actions," S&P said. "We affirmed our ratings on the class X, A-1L, and B-2L notes to reflect our belief that the credit support available is commensurate with the current rating," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. 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 Landmark VII CDO Ltd. Rating Class To From A-2L AA- (sf) A+ (sf) A-3L A- (sf) BBB- (sf) B-1L BBB- (sf) BB (sf) Ratings Affirmed Landmark VII CDO Ltd. Class Rating X AAA (sf) A-1L AA+ (sf) B-2L CCC+ (sf) LASALLE 2005-MF1: S&P Lowers Class A Certificate Rating to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'D (sf)' from 'CCC- (sf)' on the class A commercial mortgage pass-through certificates from LaSalle Commercial Mortgage Securities Inc.'s series 2005-MF1, a U.S. commercial mortgage backed securities (CMBS) transaction. "The downgrade of the class A certificates to 'D (sf)' reflects principal losses totaling $803,124 to the trust due to a loan liquidation, as reflected in the Feb. 21, 2012 trustee remittance report. Consequently, class A sustained a 0.12% loss to its $174.3 million opening balance, while class B, which we previously lowered to 'D (sf)', lost 100% of its $596,687 opening balance," S&P said. As of the Feb. 21, 2012, trustee remittance report, the collateral pool consisted of 188 assets with an aggregate trust balance of $169.4 million, down from 338 loans totaling $387.4 million at issuance. To date, the trust has experienced losses totaling $46.3 million from 54 assets. 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com LBCMT 1998-C1: Moody's Affirms Rating of Cl. IO Notes at 'B3' ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of three classes of LB Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 1998-C1: Cl. D, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. E, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. IO, Affirmed at B3 (sf); previously on Feb 22, 2012 Downgraded to B3 (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 2.1% of the current balance. At last review, Moody's cumulative base expected loss was 14.4%. Realized losses have increased from 1.7% of the original balance to 2.8% since the prior 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 extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in 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 Structured Finance Interest-Only Securities" published in February 2012, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS 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 review also incorporated the CMBS IO calculator ver 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. 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 15 compared to 17 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.2 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 March 10, 2011. DEAL PERFORMANCE As of the February 18, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 88% to $202.4 million from $1.73 billion at securitization. The Certificates are collateralized by 39 mortgage loans ranging in size from less than 1% to 16% of the pool, with the top ten non- defeased loans representing 57% of the pool. Eight loans, representing 13% of the pool, have defeased and are secured by U.S. Government securities. Nine loans, representing 15% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty loans have been liquidated from the pool, resulting in a realized loss of $53.0 million (47% loss severity on average). Currently one loan, representing 2% of the pool, is in special servicing. Moody's has assumed a high default probability for two poorly performing loans representing less than 2% of the pool. Moody's has estimated an aggregate $1.3 million loss (45% expected loss) from the specially serviced and troubled loans. Moody's was provided with full year 2010 operating results for 93% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 66% compared to 68% at Moody's prior 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 9.7%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.30X and 1.79X, respectively, compared to 1.33X and 1.69X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 27% of the pool balance. The largest loan is Ohio Valley Plaza Loan ($33.1 million -- 16.3% of the pool), which is secured by a 577,000 square foot (SF) power center located in St. Clairsville, Ohio. Major tenants include Lowe's Home Improvement Warehouse, Wal-Mart, Sam's Club and Kroger. The property was 98% leased as of September 2011, which is the same as at last review. Overall, property performance is stable and is the loan is benefitting from amortization. Moody's LTV and stressed DSCR are 75% and 1.36X, respectively, compared to 85% and 1.28X at last review. The second largest loan is the Tri-City Center Loan ($11.3 million -- 5.6% of the pool), which is secured by a 153,559 SF anchored retail center located in San Bernadino, California. The property was 99% leased as of September 2011, which is the same as at last review. Overall, property performance is stable and is the loan is benefitting from amortization. Moody's LTV and stressed DSCR are 66% and 1.55X, respectively, compared to 76% and 1.42X at last review. The third largest loan is the Eastland Place Shopping Center Loan ($10.3 million -- 5.1% of the pool), which is secured by a 202,051 SF anchored retail center located in Evansville, Indiana. The property was 82% leased as of October 2011, compared to 92% at the last review. Dollar Tree, which leased over 5% of the net rentable area, recently vacated the property and caused a majority of the occupancy decline since the prior review. The loan is benefitting from amortization. Moody's LTV and stressed DSCR are 84% and 1.28X, respectively, compared to 66% and 1.55X at last review. LIFT 2001-1: S&P Affirms 'CCC+' Ratings on 2 Classes of Notes ------------------------------------------------------------- Standard & Poor's Ratings Services revised its outlook on the class A-1 and A-2 notes from Lease Investment Flight Trust's (LIFT's) series 2001-1 to stable from negative. "At the same time, we affirmed our ratings on the class A-1 and A-2 notes from LIFT's series 2001-1 and the class A notes from Airplanes Repackaged Transferred Securities Ltd.'s (ARTS') series 2004-1 and 2004-2," S&P said. "LIFT's series 2001-1 is an asset-backed securities (ABS) transaction collateralized primarily by the lease revenue and sales proceeds from a portfolio of 29 commercial aircraft. ARTS series 2004-1 and 2004-2 are repack transactions. The two ARTS series are backed by $103 million of the class A-1 notes and $53 million of the class A-2 notes from LIFT's series 2001-1 and $186 million face value of zero-coupon treasury securities," S&P said. The rating actions reflect S&P's opinion of: * The aircraft collateral's value and quality; * The payment structure and cash flow mechanics of each transaction; * The subordination to the rated notes; * The transactions' legal structure; * The liquidity enhancement facility provided to support the rated notes; the caps and collar provided by Credit Suisse AG; and * GE Capital Aviation Services' demonstrated servicing ability. "In our analysis, we projected the cash flow by stressing each aircraft's future depreciated value and lease rate, the repossessed aircraft's time off lease, the lessees' default frequency and default pattern, the remarketing, reconfiguration, and repossession costs, the maintenance expenses, and the interest rate risk. As of the December 2011 servicer report, the collateral in LIFT consisted of 29 aircraft: 23 Boeing, four Airbus, and one McDonnell Douglas. The 28 aircraft are leased to 23 lessees operating in 16 countries," S&P said. LIFT's class A-3 notes paid in full on the December 2011 payment date. The A-1 and A-2 notes are now receiving all principal proceeds, as the notes' minimum principal payment amounts are behind and therefore the amount of principal the notes can receive is not limited. The pay downs to LIFT's A-1 and A-2 notes are being redistributed to the class A notes for ARTS series 2004-1 and 2004-2, according to their payment priority. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. 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. Rating Actions Lease Investment Flight Trust Series 2001-1 Rating Class To From A-1 CCC+ (sf) CCC+ (sf)/Negative A-2 CCC+ (sf) CCC+ (sf)/Negative Ratings Affirmed Airplanes Repackaged Transferred Securities Ltd. Series 2004-1 Class Rating A BB+ (sf) Airplanes Repackaged Transferred Securities Ltd. Series 2004-2 Class Rating A BB+ (sf) LIGHTPOINT 2006: S&P Affirms Class D Rating 'B+' ------------------------------------------------ Standard & Poor's Ratings Services affirmed its ratings on all classes from LightPoint Pan-European CLO 2006 PLC, an arbitrage cash flow collateralized loan obligation (CLO) transaction managed by Neuberger Berman Inc. "The transaction is in its reinvestment phase, which ends in January 2013, and continues to reinvest its principal proceeds. We affirmed our ratings based on the credit support available to the notes and the credit quality of underlying collateral, which in our view, indicates that the classes have sufficient subordination to maintain the current ratings," S&P said. "Standard & Poor's will continue to review whether, in its opinion, the ratings currently assigned to the 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 Ratings Affirmed LightPoint Pan-European CLO 2006 PLC Class Rating A AA (sf) B A (sf) C BBB- (sf) D B+ (sf) E CCC- (sf) MAGNOLIA FINANCE: Moody's Affirms Cl. B Notes Rating at 'Ba1' ------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of one class of Notes issued by Magnolia Finance II plc Series 2005-6. The affirmation is 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. Cl. B, Affirmed at Ba1 (sf); previously on Mar 9, 2011 Downgraded to Ba1 (sf) RATINGS RATIONALE Magnolia Finance II Series 2005-6 is a static synthetic CRE CDO transaction backed by a portfolio of credit default swaps on commercial mortgage backed securities (CMBS) (100.0% of the pool balance). As of the February 22, 2012 Trustee report, the aggregate issued Note balance of the transaction, including preferred shares, has decreased to $75.3 from $307.0 million at issuance. The reduction in the Note balance is due to optional full redemption of Class A and partial redemption of Class B. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated reference obligations. The bottom-dollar WARF is a measure of the default probability within a reference obligation pool. Moody's modeled a bottom-dollar WARF of 56, the same as that at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (88.6% compared to 89.6% at last review), A1-A3 (7.8% compared to 6.9% at last review), Baa1-Baa3 (2.9% compared to 2.8% at last review) and Caa1-C (0.7% compared to 0.7% 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 2.7 years compared to 3.5 years at last review. WARR is the par-weighted average of the mean recovery values for the reference obligations assets in the pool. Moody's modeled a variable WARR with a mean of 65.7% compared to 67.5% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the reference obligation pool (i.e. the measure of diversity). Moody's modeled a MAC of 11.2% compared to 12.5% 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 obligation pool. Holding all other key parameters static, changing the current ratings and credit estimates of the reference obligations by one notch downward or by one notch upward affects the model results by approximately 1.2 notches downward and 1.0 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in November 2010. MAX CMBS: Moody's Lowers Rating of Cl. A-1 Notes to 'Ba1' --------------------------------------------------------- Moody's Investors Service has downgraded the ratings of five classes of Notes issued by Max CMBS I, Ltd., due to deterioration in the underlying collateral as evidenced by Moody's weighted average rating factor (WARF) and weighted average recovery rate (WARR). The affirmations are due to the key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and ReRemic) transactions. Issuer: MAX CMBS I Ltd. CL. A-1, Downgraded to Ba1 (sf); previously on Mar 2, 2011 Downgraded to Baa2 (sf) Balance Guarantee Swap: Reference Number 2025924B, Affirmed at Aaa (sf); previously on May 10, 2010 Assigned Aaa (sf) Issuer: MAX CMBS I Ltd., Series 2008-1 Cl. A-1, Downgraded to Ba1 (sf); previously on Mar 2, 2011 Downgraded to Baa2 (sf) Cl. A-2A, Downgraded to Caa2 (sf); previously on Mar 2, 2011 Downgraded to Caa1 (sf) Cl. A-2B, Downgraded to Caa2 (sf); previously on Mar 2, 2011 Downgraded to Caa1 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Mar 2, 2011 Downgraded to Caa2 (sf) Cl. E, Affirmed at Caa3 (sf); previously on Mar 2, 2011 Downgraded to Caa3 (sf) Cl. F, Affirmed at Caa3 (sf); previously on Mar 2, 2011 Downgraded to Caa3 (sf) Cl. G, Affirmed at Caa3 (sf); previously on Mar 2, 2011 Downgraded to Caa3 (sf) Cl. H, Affirmed at Caa3 (sf); previously on Mar 2, 2011 Downgraded to Caa3 (sf) Cl. J, Affirmed at Caa3 (sf); previously on Mar 26, 2010 Downgraded to Caa3 (sf) Cl. K, Affirmed at Ca (sf); previously on Mar 2, 2011 Downgraded to Ca (sf) Cl. X-B, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Upgraded to Ba3 (sf) Cl. X-W, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Upgraded to Ba3 (sf) Cl. X-C, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Upgraded to Ba3 (sf) Balance Guarantee Swap: Reference Number 2439836B, Affirmed at Aaa (sf); previously on May 10, 2010 Assigned Aaa (sf) RATINGS RATIONALE Max CMBS I, Ltd., Series 2007-1 and Max CMBS I, Ltd., Series 2008- 1 are cross-collateralized static cash CRE CDO transactions backed by a portfolio of commercial mortgage backed securities (CMBS) (100% of the pool balance). As of the January 18, 2012 Trustee report, the aggregate Note balance of the transaction, including preferred shares, is $7.89 billion, the same as that at issuance. On May 10, 2010, Moody's assigned ratings to the two balance guarantee swaps (collectively the "Swaps"). Each of the Swaps is dated as of June 4, 2008 and each is between Barclays Bank PLC (the "Swap Counterparty") and the Trust. Moody's ratings of the Swaps address the risk posed to the Swap Counterparty on an expected loss basis arising from the inability of the Trust to honour its obligations under the Swaps. The ratings take into account the rating of the Swap Counterparty, the transactions' legal structure and the characteristics of the collateral pool of the Trust. There are two assets with a par balance of $38.0 million (0.5% of the current pool balance) that are considered Defaulted Securities as of the January 18, 2012 Trustee report. While there have been no realized losses on the underlying collateral to date, Moody's does expect significant losses to occur once they are realized. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), WARR, and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 897 compared to 607 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (35.6% compared to 41.9% at last review), A1-A3 (15.8% compared to 14.5% at last review), Baa1-Baa3 (17.6% compared to 23.4% at last review), Ba1-Ba3 (11.8% compared to 8.1% at last review), B1-B3 (14.5% compared to 11.2% at last review), and Caa1-C (4.7% compared to 0.9% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 5.1 years compared to 5.9 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 42.9% compared to 47.6% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 10.4% compared to 26.4% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Moody's review of the Interst Only securities (IO) incorporated the use of the excel-based IO Calculator Model version 1.0. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 42.9% to 32.9% or up to 52.9% would result in average modeled rating movement on the rated tranches of 0 to 1 notches downward and 0 to 1 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the 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 these ratings were "Moody's Approach to Rating SF CDOs" published in November 2010, "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. ML-CFC COMMERCIAL: Fitch Upgrades Rating on Nine Subor. Classes --------------------------------------------------------------- Fitch Ratings has downgraded nine subordinate classes of ML-CFC Commercial Mortgage Trust, series 2006-3, and affirmed the super senior and mezzanine 'AAA' classes. The downgrades reflect Fitch expected losses across the pool. Fitch modeled losses of 7.5% of the remaining pool. Expected losses of the original pool are at 9.42%, including losses realized to date. Fitch has designated 64 loans (34.06% of the pool balance) as Fitch Loans of Concern, which include seventeen loans (7.89%) currently in special servicing. Five of the Fitch Loans of Concern (16.12%) are within the transaction's top 15 loans by unpaid principal balance. Fitch expects that classes G thru K may eventually be fully depleted from losses associated with loans currently in special servicing. As of the February 2012 distribution date, the pool's aggregate principal balance has reduced by approximately 8.79% (including 2.58% in realized losses) to $2.21 billion from $2.43 billion at issuance. No loans are currently defeased. Interest shortfalls are affecting the classes E through Q. The largest contributor to Fitch-modeled losses is the Atrium Hotel Portfolio loan (11.13%), the largest loan in the pool. The loan is secured by a portfolio of six full-service hotels located in six metropolitan areas across six different states. The properties are well located in their respective markets with close proximate to downtown areas, airports, universities, and convention centers. Five of the six hotels are flagged by Hilton Hotels as Embassy Suites. The net operating income (NOI) debt service coverage ratio (DSCR) improved to 1.66 times (x) for year to date (YTD) September 2011, compared to 1.24x for year end (YE) December 2010. The 2011 improvement is primarily attributed to increased revenues at four out of the six hotels. All six properties are currently performing well relative to their respective competitive sets, according to Smith Travel Research December 2011 reports on the individual properties. The portfolios combined occupancy reported at 75% for trailing 12 month (TTM) December 2011. The second largest contributor to Fitch-modeled losses is secured by a 156,846sf retail center (1.07%) in Gibert, AZ. The movie theater anchored (28% of net rentable area (NRA)) property had experienced cash flow issues from occupancy declines due to a slow leasing market as well as newer competition in the subject area. The loan transferred to special servicing in February 2011 due to payment default. The receiver, which was appointed in November 2011, is currently interviewing leasing agents and marketing firms. The December 2011 rent roll reported occupancy at 82%. The third largest contributor to Fitch-modeled losses is secured by a 142-unit multifamily property (0.86%) located in Tucson, AZ. The servicer reported current occupancy at 90%. The loan transferred in December 2008 due to payment default. The Borrower subsequently filed for Chapter 11 Bankruptcy in September 2009. In October 2010 the Bankruptcy Court had ruled for the lender to modify the loan at specific terms, which included a significant principal reduction. The special servicer had appealed the ruling, which was denied by the US District Court of AZ in July 2011. The servicer is again appealing the decision to the US Court of Appeals. Briefings are anticipated to begin by late March or early April 2012. Fitch downgrades these classes, and assigns Recovery Estimates (REs): -- $191 million class AJ to 'BBB-sf' from 'BBBsf'; Outlook Stable; -- $48.5 million class B to 'Bsf' from 'BBsf'; Outlook Stable; -- $18.2 million class C to 'B-sf' from 'BBsf'; Outlook to Stable from Negative; -- $48.5 million class D to 'CCCsf' from 'B-sf'; RE 100%; -- $21.2 million class E to 'CCsf' from 'CCCsf; RE 100% -- $36.4 million class F to 'Csf' from 'CCCsf'; RE 15% -- $24.3 million class G to 'Csf' from 'CCCsf'; RE 0% -- $21.2 million class H to 'Csf' from 'CCsf'; RE 0% -- $12.1 million class J to 'Csf' from 'CCsf'; RE 0% Fitch also affirms these classes, and revises Ratings Outlooks: -- $129 million class A-2 at 'AAAsf'; Outlook Stable; -- $34 million class A-3 at 'AAAsf'; Outlook Stable; -- $108 million class A-SB at 'AAAsf'; Outlook Stable; -- $971.8 million class A-4 at 'AAAsf'; Outlook Stable; -- $304.1 million class A-1A at 'AAAsf'; Outlook Stable; -- $242.5 million class A-M at 'AAAsf'; Outlook Stable; Classes K through P will remain at 'Dsf', RE 0% due to realized losses. Class A-1 has repaid in full. Fitch does not rate class Q, which has been reduced to zero due to realized losses. MLMI 1998-C3: Moody's Affirms Cl. IO Notes Rating at 'Caa1' ----------------------------------------------------------- Moody's Investors Service affirmed the ratings of four classes of Merrill Lynch Mortgage Investors, Inc., Mortgage Pass-Through Certificates, Series 1998-C3: Cl. C, Affirmed at Aaa (sf); previously on Jul 20, 2006 Upgraded to Aaa (sf) Cl. D, Affirmed at Aaa (sf); previously on Apr 15, 2010 Upgraded to Aaa (sf) Cl. E, Affirmed at Aa2 (sf); previously on Apr 15, 2010 Upgraded to Aa2 (sf) Cl. IO, Affirmed at Caa1 (sf); previously on Feb 22, 2012 Downgraded to Caa1 (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 1.8% of the current balance. At last review, Moody's cumulative base expected loss was 6.3%. 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 U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. 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 3 compared to 4 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 March 9, 2011. DEAL PERFORMANCE As of the January 17, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 85% to $98.0 million from $638.4 million at securitization. The Certificates are collateralized by 21 mortgage loans ranging in size from less than 1% to 48% of the pool, with the top ten loans representing 76% of the pool. Five loans, representing 16% of the pool, have defeased and are collateralized with U.S. Government securities. Three loans, representing 4% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eleven loans have been liquidated from the pool, resulting in an aggregate realized loss of $32.1 million (49% loss severity overall). Currently, there are no loans in special servicing. Moody's was provided with full year 2010 and partial year 2011 operating results for 100% and 88% of the pool's non-defeased loans. Excluding troubled loans, Moody's weighted average LTV is 50% compared to 49% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 14% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding troubled loans, Moody's actual and stressed DSCRs are 1.82X and 2.22X, respectively, compared to 1.93X and 2.28X 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 top three performing conduit loans represent 59% of the pool balance. The largest loan is the 1700 Broadway Loan ($46.9 million -- 47.8% of the pool), which is secured by a 584,000 square foot (SF) office building located in New York City. The property was 87% leased as of September 2011 compared to 100% at last review. The property is subject to a 99-year ground lease with renewal options through March 2064. The ground lease rent was reset in March 2011 to 6% of the land value, a significant increase over the previous ground lease rent. At last review, Moody's stressed the property's cash flow to reflect the imminent expense increase. In addition to the increase in ground lease rent, the property's performance has declined due to an increase in vacancy. Despite these factors, recent operating performance remains above the level at securitization. Moody's LTV and stressed DSCR are 42% and 2.34X, respectively, compared to 40% and 2.42X at last review. The second largest conduit loan is the BJ's Wholesale Club Loan ($5.8 million -- 5.9% of the pool), which is secured by a 105,000 SF single-tenant retail property located in Philadelphia, Pennsylvania. The property is 100% leased to BJ's Wholesale Club Inc. through May 2013. Operating performance is stable. Moody's LTV and stressed DSCR are 96% and 1.09X, respectively, compared to 81% and 1.29X at last review. The third largest conduit loan is the Republic Beverage Building Loan ($5.3 million -- 5.4% of the pool), which is secured by a 385,000 SF industrial property located in Grand Prairie, Texas. The property is 100% leased to Republic Beverage Co. through August 2018. Performance is stable. The loan fully amortizes over its 20-year loan term. Moody's LTV and stressed DSCR are 58% and 1.78X, respectively, compared to 46% and 2.25X at last review. MLMT 2002-MW1: Moody's Affirms Cl. J Notes Rating at 'Ba2' ---------------------------------------------------------- Moody's Investors Service upgraded the ratings of four classes, downgraded the ratings of one class, and affirmed the ratings of nine classes of Merrill Lynch Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2002-MW1: Cl. A-4, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Jan 25, 2006 Upgraded to Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Dec 8, 2006 Upgraded to Aaa (sf) Cl. D, Affirmed at Aaa (sf); previously on Mar 9, 2011 Upgraded to Aaa (sf) Cl. E, Upgraded to Aaa (sf); previously on Mar 9, 2011 Upgraded to Aa1 (sf) Cl. F, Upgraded to Aa3 (sf); previously on Aug 9, 2007 Upgraded to A3 (sf) Cl. G, Upgraded to A2 (sf); previously on Aug 9, 2007 Upgraded to Baa2 (sf) Cl. H, Upgraded to Baa1 (sf); previously on Apr 3, 2006 Confirmed at Ba1 (sf) Cl. J, Affirmed at Ba2 (sf); previously on Apr 3, 2006 Confirmed at Ba2 (sf) Cl. K, Affirmed at B3 (sf); previously on May 21, 2009 Downgraded to B3 (sf) Cl. L, Affirmed at Caa2 (sf); previously on May 21, 2009 Downgraded to Caa2 (sf) Cl. M, Affirmed at Ca (sf); previously on May 21, 2009 Downgraded to Ca (sf) Cl. N, Downgraded to C (sf); previously on May 21, 2009 Downgraded to Ca (sf) Cl. XC, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) RATINGS RATIONALE The upgrades are due to overall improved pool financial performance and increased credit support due to loan payoffs and amortization. The downgrade is due to higher than expected losses from troubled loans and loans in special servicing. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 5.1% of the current balance. At last review, Moody's cumulative base expected loss was 3.2%. Moody's stressed scenario loss is 9.7% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the 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 CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. 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 16 compared to 22 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.2 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. DEAL PERFORMANCE As of the February 14, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 59% to $446.8 million from $1 billion at securitization. The Certificates are collateralized by 45 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten non- defeased loans representing 50% of the pool. Fourteen loans, representing 30% of the pool, have defeased and are secured by U.S. Government securities. Fifteen loans, representing 38% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nine loans have been liquidated from the pool, resulting in a realized loss of $15.6 million (23% loss severity overall). Currently four loans, representing 5% of the pool, are in special servicing. Moody's estimates an aggregate $1.6 million loss for the specially serviced loans (75% expected loss on average). Moody's has assumed a high default probability for one poorly performing loan representing 7% of the pool and has estimated an aggregate $4.7 million loss (25% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2010 operating results for 97% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 73% compared to 90% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 7.9% 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 1.49X and 1.55X, respectively, compared to 1.31X and 1.32X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the Burbank Empire Center Loan ($57.7 million -- 13% of the pool), which is secured by a 432,000 square foot (SF) power center and 181,393 SF of ground leased improvements located in Burbank, California. Major tenants include Target (24% of the net rentable area (NRA); lease expiration 1/1/2027) and Lowe's (22% of the NRA; lease expiration 10/1/2026). The property was 100% leased in January 2011 compared to 90% at last review. Moody's analysis incorporated concerns over near term tenancy risk, as leases accounting for nearly a third of the property's base rent expire in the next 18 months, which offset the potential benefit from improved occupancy. Moody's current credit estimate and stressed DSCR are Baa1 and 1.68X, respectively, compared to Baa2 and 1.52X at last review. The second loan with a credit estimate is the U-Haul Portfolio Loan ($53.6 million -- 12% of the pool), which is secured by 57 U- Haul self-storage facilities located across 27 states and 56 cities. Approximately 20% of the units have climate control. The loan has an anticipated repayment date on April 2012, with an actual maturity in April 2027. Property performance remains stable since last review. Moody's current credit estimate and stressed DSCR are A3 and 2.09X, respectively, compared to A3 and 1.97X at last review. The top three performing conduit loans represent 15% of the pool balance. The largest loan is the Seven Mile Crossing Loan ($31.8 million -- 7% of the pool) which is secured by a ground lease for three class A office buildings with 346,265 SF located in Livonia, Michigan. The loan is on the master servicer's watchlist. Since 2008, the property has been less than 70% leased and has not generated enough cash flow to cover debt service. However, the borrower continues to make payments and the loan is current. Due to the uncertainty around refinancing, Moodys considers this a troubled loan. The loan has an anticipated repayment date on April 2012, with an actual maturity in April 2027. Moody's LTV and stressed DSCR are 226% and 0.50X, respectively, compared to 171% and 0.66X at last review. The second largest loan is the Mayfair Shopping Center Loan ($19.9 million -- 4.5% of the pool), which is secured by a retail center located in Commack, New York. Major tenants include Waldbaums (28% of the NRA; lease expiration 10/31/2020) and Burlington Coat Factory (14% of the NRA; lease expiration on 1/31/2015). The property was 98% leased in September 2011, the same as at last review. Property performance has been stable. Moody's analysis at last review incorporated a stressed cash flow to reflect a negative outlook for the retail sector and commercial real estate in general. Moody's LTV and stressed DSCR are 53% and 1.98X, respectively, compared to 60% and 1.77X at last review. The third largest loan is the Lake Meridian Marketplace Loan ($15.8 million -- 3.5% of the pool), which is secured by a retail center located in Kent, Washington. The property was 68% leased in September 2011, compared to 74% at last review. Moody's analysis at this review incorporated a stressed cash flow to reflect a negative outlook for the uncertainty of lease rollover. Moody's LTV and stressed DSCR are 92% and 1.09X, respectively, compared to 71% and 1.42X at last review. MORGAN STANLEY: Fitch Junks Rating on Three Note Classes -------------------------------------------------------- Fitch Ratings has affirmed 10 classes and downgraded three classes of Morgan Stanley Dean Witter Capital Inc. commercial mortgage pass-through certificates, series 2003-TOP9. The downgrades reflect an increase in Fitch modeled losses across the pool. Fitch modeled losses of 2.05% of the original pool (includes losses realized to date) based on updated cashflows. Currently there is one specially serviced loan and no delinquent loans; however, 19.1% of the pool is considered a Fitch Loan of Concern. As of the February 2012 distribution date, the pool's certificate balance has paid down 33.7% to $714.4 million from $1.1 billion at issuance. In addition, 24 loans (14.2%) have been defeased. There are cumulative interest shortfalls currently affecting class O. The largest contributor to Fitch modeled losses is a loan (1.83%) secured by a 245,793 square foot anchored retail property in Weymouth, MA. The property experienced some lease turnover but new leases have been signed in 2011 increasing the occupancy to 100%. However, the debt service coverage ratio (DSCR) remains low as new tenants have been signed on at reduced rental rates. Fitch downgrades these classes and assigns or revises Recovery Estimates (RE): -- $5.4 million class L to 'CCCsf' from 'Bsf'; RE 100%; -- $2.7 million class M to 'CCsf' from 'CCCsf'; RE 100%; -- $2.7 million class N to 'CCsf' from 'CCCsf'; RE to 100% from 95%. In addition, Fitch affirms these classes and revises Outlooks: -- $569.6 million class A-2 at 'AAAsf'; Outlook Stable; -- $32.3 million class B at 'AAAsf'; Outlook Stable; -- $35 million class C at 'AAsf'; Outlook to Stable from Positive; -- $12.1 million class D at 'A+sf'; Outlook to Stable from Positive; -- $14.8 million class E at 'A-sf'; Outlook Stable; -- $6.7 million class F at 'BBB+sf'; Outlook Stable; -- $5.4 million class G at 'BBBsf'; Outlook Stable; -- $10.8 million class H at 'BBsf'; Outlook Stable; -- $4 million class J at 'BBsf'; Outlook Stable. -- $5.4 million class K at 'Bsf'; Outlook to Negative from Stable; Fitch does not rate the $7.4 million class O. Fitch previously withdrew the rating on the interest-only class X- 1. MORGAN STANLEY: Stable Performance Cues Fitch to Affirm Ratings --------------------------------------------------------------- Fitch Ratings has affirmed Morgan Stanley Capital I Trust commercial mortgage pass-through certificates, series 2011-C1 Fitch's affirmations are based on the stable performance of the underlying collateral pool. There have been no delinquent or specially serviced loans since issuance. As is typical with new transactions, financial reporting is limited in the first year. Fitch reviewed 2011 quarterly financial performance for the majority of the transaction in addition to updated rent rolls for 13 of the top 15 loans representing in the transaction. As of the February 2012 distribution date, the pool's aggregate principal balance has been reduced by 0.9% to $1.53 billion from $1.55 billion at issuance. The largest loan in the transaction (15.3%) is secured by a 1.1 million square foot (sf) (435,219 sf owned) regional mall located in Newark, DE. The mall is anchored by Macy's, JC Penney, Target, and Nordstrom. Major tenants include Barnes & Noble (anchor owned), Forever 21 (2.5%) net rentable area (NRA) and H&M (1.8%) NRA. In-line tenants include Express/Express Men, Anthropologie, Victoria's Secret, and Urban Outfitters. In-line mall occupancy as of Sept. 30, 2011 was 97.3%, and total mall occupancy was 98.5% compared to 92.3% and 94% at issuance; respectively. The most recent servicer-reported debt service coverage ratio (DSCR) as of third quarter 2011 was 2.48 times (x) up from 1.88x at issuance. The loan sponsors are Prime Property Fund and General Growth Properties. The second largest loan in the pool (11.6%) is secured by a two- building office complex consisting of 1.9 million sf located in Chicago, IL. Major tenants are Blue Cross and Blue Shield Association (12%), lease expiration in March 2024, Fox Television Studios (5%), lease expiration December 2022, and Unilever (4%), lease expiration July 2013. There is limited near-term rollover with 8% rolling in 2013. Additionally, less than 15% rolls annually through 2020. The property, which is currently 80.74% leased with average in-place rent of $21.71 per square foot. The most recent servicer-reported DSCR as of third quarter 2011 was 2.53x up from 1.87x at issuance. The loan sponsors are Loeb Partners Realty LLC (Loeb) and Sir Joseph Hotung. The eighth largest loan in the deal (3.6%) is secured by a 222,768 sf office building located in the Westwood section of Los Angeles, CA. The largest tenants at issuance were Richardson & Patel (10.3%) NRA, with a lease expiration in October 2011, Castle & Cook (10.2%), lease expiration July 2015, and The Regency Club (8.2%), lease expiration in June 2011. The most recent servicer- reported occupancy as of November 2011 is 70% down from 84.2% at issuance. The most recent servicer-reported DSCR as of September 2011 was 2.06x up from 1.55x at issuance. Fitch did not receive an updated rent roll at the time of this review and was unable to confirm whether or not the largest tenants whose leases expired in 2011 renewed. Given the increase in performance since issuance, the increase in vacancy is not a concern. Fitch affirms these classes and Rating Outlooks: -- $73 million class A-1 at 'AAAsf'; Outlook Stable; -- $597.1 million class A-2 at 'AAAsf'; Outlook Stable; -- $105.1 million class A-3 at 'AAAsf'; Outlook Stable; -- $404.1 million class A-4 'at AAAsf'; Outlook Stable; -- Interest-only class X-A 'at 'AAAsf'; Outlook Stable; -- $60 million class B at 'AAsf'; Outlook Stable; -- $89 million class C at 'Asf'; Outlook Stable; -- $85.2 million class D at 'BBBsf'; Outlook Stable; -- $19.4 million class E at 'BBB-sf'; Outlook Stable; -- $13.5 million class F at 'BB+sf'; Outlook Stable; -- $15.5 million class G at 'BBsf'; Outlook Stable. Fitch does not rate the $13.5 million class H, $15.5 million class J, $13.5 million class K, $9.7 million class L, $19.4 million class M, and interest-only class X-B. N-45 First: Fitch Affirms Rating on $9.1 Mil. Notes at 'B+sf' ------------------------------------------------------------- Fitch Ratings affirms the ratings on N-45 First CMBS Issuer Corporation, Series 2003-1: -- $46.6 million class A-2 at 'AAAsf'; -- $8.4 million lass B at 'AAAsf'; -- $16.8 million class C at 'AAAsf'; -- $19.6 million class D at 'Asf'; -- $14 million class E at 'BBB-sf'; -- $9.1 million class F at 'B+sf'. The Rating Outlook is Stable. Fitch does not rate the $13.3 million class G. Affirmations are due to the pool's stable performance and low future expected losses following Fitch's prospective review of potential stresses to the transaction. Fitch expected losses are 2.4% of the outstanding balance. As of the February 2012 distribution date, the pool's certificate balance has paid down 77% to $129.7 million from $559.7 million at issuance. The pool is concentrated, as 12 of the original 63 loans remain. There are no specially serviced loans as of the February 2012 remittance report. One loan (0.4% of the pool) has a debt service coverage ratio (DSCR) below 1.0 times (x). The loan, which is approaching its maturity date in April 2012, is collateralized by a retail center in Terrebone (Montreal), QC. While Fitch assumed losses on the loan based on its current performance, the loan is low levered at $26 per square foot. OAK HILL IV: S&P Raises Ratings on 2 Classes of Notes to 'BB+' -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2a, A-2b, B-1, B-2, C-1, C-2, and C-3 notes from Oak Hill Credit Partners IV Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Oak Hill Advisors LP. "At the same time, we removed our ratings on the class B-1, B-2, C-1, C-2, and C-3 notes from CreditWatch, where we were placed them with positive implications on Dec. 20, 2011, and we affirmed our ratings on the class A-1a and A-1b notes," S&P said. "The upgrades reflect a paydown to the class A-1a and A-1b notes and improved performance we have observed in the transaction's underlying asset portfolio since we last downgraded some of the classes on March 30, 2010, following the application of our September 2009 corporate CDO criteria. As of the Feb. 1, 2012 trustee report, the transaction's asset portfolio had $0.68 million in defaulted obligations and approximately $33.24 million in assets from obligors rated in and below the 'CCC' range. This was down from $8.08 million in defaulted obligations and from approximately $36.11 million in assets from obligors rated in and below the 'CCC' range noted in the March 1, 2010, trustee report, which we used for our March 2010 rating actions," S&P said. "In addition, the weighted average spread increased to 3.36% from 2.86%, and post reinvestment period principal amortization of the underlying securities resulted in a $7.55 million pro rata paydown to the class A-1a and A-1b notes over that same time period, leaving them at approximately 98.34% of their original balance," S&P said. "We also observed an increase in the overcollateralization (O/C) available to support the rated notes," S&P said. The trustee reported the O/C ratios in the Feb. 1, 2012 monthly report: * The A O/C ratio was 131.35%, compared with a reported ratio of 128.40% in March 2010; * The B O/C ratio was 121.59%, compared with a reported ratio of 118.95% in March 2010; and * The C O/C ratio was 109.68%, compared with a reported ratio of 107.40% in March 2010. "Note, in particular, that the class C-1, C-2, and C-3 notes were previously constrained due to failure of the largest obligor default test, a supplemental stress test we introduced as part of our 2009 corporate criteria update. This test is no longer a constraining factor on the notes, and in addition to the above mentioned improvements in the collateral, result in an upgraded rating for these classes," S&P said. "We affirmed our ratings on the class A-1a and A-1b notes to reflect our belief that the credit support available is commensurate at the current rating levels," S&P said. "Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary," 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 Oak Hill Credit Partners IV Ltd. Rating Class To From A-2a AA+ (sf) AA (sf) A-2b AA+ (sf) AA (sf) B-1 A+ (sf) A (sf)/Watch Pos B-2 A+ (sf) A (sf)/Watch Pos C-1 BB+ (sf) B+ (sf)/Watch Pos C-2 BB+ (sf) B+ (sf)/Watch Pos C-3 BB+ (sf) B+ (sf)/Watch Pos Ratings Affirmed Oak Hill Credit Partners IV Ltd. Class Rating A-1a AAA (sf) A-1b AAA (sf) PACIFICA CDO: S&P Affirms 'B+' Ratings on 2 Classes of Notes ------------------------------------------------------------ Standard & Poor's Ratings Services raised and removed from CreditWatch with positive implications its ratings on the class A- 1, A-2a, A-2b, B-1, and B-2 notes from Pacifica CDO III Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Alcentra Ltd. "At the same time, we affirmed our ratings on the class C-1 and C-2 notes," S&P said. "The upgrades reflect a paydown to the class A-1 notes and the improved performance we have observed in the transaction's underlying asset portfolio since we last upgraded most of the classes on Feb. 8, 2011. As of the Feb. 3, 2012 trustee report, the transaction's asset portfolio had $1.04 million in defaulted obligations and approximately $20.07 million in assets from obligors rated in the 'CCC' range. This was down from $8.58 million in defaulted obligations and approximately $22.21 million in assets from obligors rated in the 'CCC' range noted in the Jan. 3, 2011, trustee report, which we used for our February 2011 rating actions. In addition, the weighted average spread, which increased by 0.19%, and principal amortization of the underlying securities resulted in a $106.85 million paydown to the class A-1 notes over that same time period. This paydown reduced the notes to approximately 41.50% of their original balance," S&P said. "We also observed an increase in the overcollateralization (O/C) available to support the rated notes," S&P said. The trustee reported the O/C ratios in the Feb. 3, 2012 monthly report: * The A O/C ratio was 129.25%, compared with a reported ratio of 117.99% in January 2011; * The B O/C ratio was 120.10%, compared with a reported ratio of 113.04% in January 2011; and * The C O/C ratio was 105.80%, compared with a reported ratio of 104.66% in January 2011. "As of the Feb. 3, 2012 trustee report, 17.80% of the collateral had a maturity date after the stated maturity of the transaction. This is up from 7.47% listed in the Jan. 3, 2011 trustee report. Our analysis took into account the potential market value and/or settlement related risk arising from the liquidation of the remaining securities on the legal final maturity date of the transaction," S&P said. "The ratings on the class C-1 and C-2 notes are constrained by the application of the largest obligor default test, a supplemental stress test we introduced as part of our 2009 corporate criteria update. Therefore, we affirmed our ratings on the class C-1 and C- 2 notes at their current rating levels," S&P said. "Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary," 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 Pacifica CDO III Ltd. Rating Class To From A-1 AAA (sf) AA+ (sf)/Watch Pos A-2a AA+ (sf) AA- (sf)/Watch Pos A-2b AA+ (sf) AA- (sf)/Watch Pos B-1 A (sf) A- (sf)/Watch Pos B-2 A (sf) A- (sf)/Watch Pos Ratings Affirmed Pacifica CDO III Ltd. Class Rating C-1 B+ (sf) C-2 B+ (sf) PARCS-R: S&P Raises Rating on Units From 'BB+' ---------------------------------------------- Standard & Poor's Ratings Services raised its credit rating on the units issued by Parcs-R Master Trust's series 2007-2, a loss- trigger based leveraged super senior (LSS) synthetic collateralized debt obligation (CDO) transaction. An LSS note is a type of credit-linked note in a synthetic CDO transaction. As such, LSS noteholders suffer losses when losses in the transaction's reference portfolio reach a predetermined subordination threshold. "LSS notes not only contain credit risk but also typically contain market-value risk through a trigger based on the market value of the underlying reference assets. The trigger exposes the noteholder to decreases in the market value of the LSS tranche in the portfolio. The trigger is not directly linked to the market value of the super senior tranche of the portfolio, but rather, is based on a market-value proxy reflected by portfolio losses. The proxy is in the form of 'stepped' loss triggers, which increase as the maturity of the transaction nears," S&P said. "The upgrade reflects seasoning of the transaction, as well as improvements in the credit quality of the underlying corporate reference obligors," 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 Raised Parcs-R Master Trust Series 2007-2 Rating Class To From Units BBB- (sf) BB+ (sf) PEGASUS 2007: Fitch Affirms Rating on Two Note Classes at Low-B --------------------------------------------------------------- Fitch Ratings has affirmed two classes issued by Pegasus 2007-1 Ltd. (Pegasus 2007-1). Despite negative credit migration in the reference portfolio since the last rating action, the credit risk of the notes remains consistent with the current ratings assigned. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the reference portfolio. The degree of correlated default risk of this reference collateral is high given the single sector and vintage concentration. Based on this analysis and the credit enhancement available to class A-1 and A-2, the credit characteristics of the bonds are consistent with the current 'BBsf' rating. Approximately 32.1% of the portfolio has been downgraded an average of two notches since Fitch's last rating action in March 2011 and one bond (3.6%) is currently on Rating Watch Negative. Currently, 96.4% is rated investment grade, with one asset in the reference portfolio carrying a Fitch derived rating of 'BB+'. The Negative Outlook on the notes reflects the concentration and the potential for further negative migration in the reference portfolio which consists of commercial mortgage backed securities (CMBS) from the 2006 vintage. Pegasus 2007-1, issued in April 2007, is a synthetic securitization referencing a portfolio of 28 $100 million class A- M CMBS bonds. The transaction is designed to provide credit protection for realized losses on the reference portfolio through a credit default swap between the issuer and the swap counterparty, DEPFA BANK PLC. (DEPFA) rated 'BBB+/F2', with a Negative Outlook by Fitch. An amount equal to $20,000,000 minus the aggregate amount of any actual principal writedowns is available as subordination with respect to each reference obligation. Until the writedowns related to a reference obligation exceed $20,000,000 the issuer will not be required to pay any cash settlements upon the trigger of a credit event. To date, there have been no principal writedowns. Fitch has affirmed these classes: -- $112,000,000 class A-1 notes at 'BBsf'; Outlook Negative; -- $1,400,000 class A-2 notes at 'BBsf'; Outlook Negative. PROJECT FUNDING: S&P Lowers Class IV Note Rating to 'D' on Default ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on the class IV notes from Project Funding Corp. II's series 2000-1, a collateralized loan obligation (CLO) transaction. "At the same time, we withdrew our rating on class III notes following the complete paydown of the notes," S&P said. "We lowered our rating on the class IV notes to 'D (sf)' following a shortfall in the final payment of the amount owed to the class IV noteholders on the final redemption date. On the final redemption date, the class IV notes had an outstanding balance of $15.70 million. Based on the termination agreement, the proceeds applied to pay down the notes totaled $14.11 million. This resulted in a $1.59 million default in the notes' principal payment," S&P said. "We withdrew our rating on the class III notes following the complete paydown of the notes on their recent payment date," 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 Project Funding Corp. II 2000-1 Rating Class To From III NR B+ (sf) IV D (sf) CCC-(sf) NR -- Not Rated. PRUDENTIAL MORTGAGE: Fitch Lowers Rating on Five Note Classes ------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed three classes of Prudential Mortgage Capital Funding ROCK commercial mortgage pass- through certificates, series 2001-C1. The downgrades reflect an increase in expected losses, the potential for additional interest shortfalls, and adverse selection as the transaction becomes increasingly concentrated. Specifically, the class H notes rating has been capped at 'Asf' due to the potential of interest shortfalls affecting the notes as discussed in the 'Criteria for Rating Caps in Global Structured Finance'. Fitch modeled additional losses of 21.1% of the remaining transaction balance. Seven of the remaining 14 loans are in special servicing representing 65.6% of the outstanding balance. Currently 17.7% the collateral are ARD loans. As of the February 2012 distribution date, the pool's aggregate principal balance has been paid down by 89.7% to $89 million from $908.2 million at issuance. Currently, interest shortfalls are affecting classes J through O. The largest contributor to loss (7.4% of pool balance) is a 436,573 square foot (sf) industrial portfolio in Ohio. The loan transferred to Special Servicer in December 2007. Two of the three properties that comprise the portfolio have already been foreclosed on. The most recent valuation of the property by the special servicer indicated significant losses upon liquidation of the properties. The next largest contributor to losses (15.1%) is a 762,776 sf industrial property located in Seymour, IN. The loan transferred to Special Servicing in November 2010 and is currently real estate owned (REO). Fitch expects losses upon liquidation of the loan. Fitch downgrades these classes and revises the Recovery Estimate (RE): -- $13.6 million class H notes to 'Asf' from 'AAsf'; Outlook to Negative from Stable; -- $22.7 million class J notes to 'BBB-sf' from 'BBB+sf'; Outlook to Negative from Stable; -- $6.8 million class K notes to 'BBsf' from 'BBB-sf'; Outlook to Negative from Stable; -- $4.5 million class L notes to 'Bsf' from 'BBsf'; Outlook to Negative from Stable; -- $9.1 million class M notes to 'Csf/RE: 15%' from 'CCsf/RE: 100%'. Fitch affirms these classes: -- $7.5 million class F notes at 'AAAsf'; Outlook Stable; -- $13.6 million class G notes at 'AAAsf'; Outlook Stable; -- $4.5 million class N notes at 'Csf'; RE to 0% from 75%. Fitch does not rate class O. Classes A-1, A-2, B, C, D, E, and X-1 have paid in full. Fitch has previously withdrawn the ratings on the interest only class X-2 notes. PRUDENTIAL STRUCTURED: Fitch Cuts Rating on Four Notes to 'Dsf' --------------------------------------------------------------- Fitch Ratings has taken various actions on four classes of notes issued by Prudential Structured Finance CBO I, Ltd. (Prudential SF CBO I): -- $4,200,000 class B-1 notes downgraded to 'Dsf' from 'Csf', and subsequently withdrawn; -- $8,000,000 class B-1L notes downgraded to 'Dsf' from 'Csf', and subsequently withdrawn; -- $2,500,000 class B-2 notes downgraded to 'Dsf' from 'Csf', and subsequently withdrawn; -- $5,000,000 class B-2L notes downgraded to 'Dsf' from 'Csf', and subsequently withdrawn. Prudential SF CBO I had its final distribution on Feb. 15, 2012. The class B-1 and B-1L notes received sufficient proceeds to cover accrued interest and marginally reduce its accumulated deferred interest. None of the classes received any principal repayment. As a result, the classes are downgraded to 'Dsf' and then withdrawn. Prudential SF CBO I was a cash flow collateralized debt obligation that closed on Oct. 26, 2000. The portfolio has been managed by Princeton Advisory Group since May 2011, when it replaced Prudential Investment Corporation as collateral manager. PUTNAM STRUCTURED: Moody's Raises Rating of Class B Notes to 'B2' ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of four classes and affirmed the ratings of two classes of Notes issued by Putnam Structured Product CDO 2001-1, Ltd. The upgrades are due are due to rapid and full amortization of the senior classes. 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) transactions. US$56,000,000 Class A1-MM-a Floating Rate Notes Due 2032, Upgraded to Aa1 (sf); previously on Mar 9, 2011 Upgraded to Aa3 (sf) US$50,000,000 Class A1-MM-b Floating Rate Notes Due 2032, Upgraded to Aa1 (sf); previously on Mar 9, 2011 Upgraded to Aa3 (sf) US$105,000,000 Class A1-SS Floating Rate Notes Due 2032, Upgraded to Aa1 (sf); previously on Mar 9, 2011 Upgraded to Aa3 (sf) US$24,000,000 Class B Floating Rate Notes Due 2037, Upgraded to B2 (sf); previously on Mar 9, 2011 Downgraded to Caa2 (sf) US$9,000,000 Class C-1 Floating Rate Notes due 2037, Affirmed at C (sf); previously on Feb 24, 2009 Downgraded to C (sf) US$9,000,000 Class C-2 Fixed Rate Notes Due 2037, Affirmed at C (sf); previously on Feb 24, 2009 Downgraded to C (sf) RATINGS RATIONALE Putnam Structured Product CDO 2001-1 Ltd. is a CRE CDO transaction backed by a portfolio of real estate investment trust bonds (REITs)(32.8% of the balance), asset backed securities (ABS) that are primarily residential mortgage backed securities (RMBS) (24.9%), corporate bonds (19.0%), commercial mortgage backed securities (CMBS) (12.7% of the pool balance), and collateralized debt obligations (10.6%). As of the January 31, 2012 Trustee report, the aggregate Note balance of the transaction, including preferred shares, $151.1 million from $300 million at issuance, with the paydown directed to the Class A-1 Notes, as a result of failing the Class A/B par value tests. There are eight assets with a par balance of $2.3 million (1.6% of the current pool balance) that are considered Defaulted Obligations as of the January 31, 2012 Trustee report. All of these assets (100% of the defaulted balance) are RMBS. While there have been limited realized losses in to date, Moody's does expect significant losses to occur once they are realized. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 1,825 compared to 1,487 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (14.4% compared to 18.3% at last review), A1-A3 (11.7% compared to 10.6% at last review), Baa1-Baa3 (45.9% compared to 46.5% at last review), Ba1-Ba3 (6.6% compared to 9.3% at last review), B1-B3 (4.2% compared to 2.3% at last review), and Caa1-C (17.2% compared to 13% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 2.9 years compared to 2.9 at last review. The WAL takes into account Moody's expectation of the remaining collateral pool and extension assumptions on certain collateral. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 38.6% compared to 36% at last review. The greater WARR is due to the collateral type composition of the pool. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 1.6% compared to 1.9% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 39% to 29% or up to 49% would result in average rating movement on the rated tranches of 0 to 2 notches downward and 0 to 2 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in 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. RED RIVER CLO: S&P Lowers Class E Note Rating From 'CCC-' to 'B+' ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on five classes of notes from Red River CLO Ltd., a collateralized loan obligation (CLO) transaction backed by corporate loans. Highland Credit Management L.P. manages the transaction. "At the same time, we removed these ratings from CreditWatch with positive implications, where we placed them on Dec. 20, 2011," S&P said. "The upgrades reflect an increase in the overall credit support available to the rated notes since our December 2011 rating actions," S&P said. "As of the January 2012 trustee report, the transaction's defaulted asset amount decreased to $49.60 million from $86.72 million as of the January 2011 monthly report, which we used for our February 2011 actions. The transaction held $97.73 million in 'CCC' rated assets, down from $98.48 million over the same time period," S&P said. As a result, the overcollateralization (O/C) ratios increased for all classes: * The class A/B O/C ratio was 123.31% in January 2012, compared with 115.74% in January 2011; * The class C O/C ratio was 115.67% in January 2012, compared with 108.82% in January 2011; * The class D O/C ratio was 108.21% in January 2012, compared with 102.04% in January 2011; and * The class E O/C ratio was 104.28% in January 2012, compared with 97.78% in January 2011. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. 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 are available at: http://standardandpoorsdisclosure-17g7.com Rating And Creditwatch Actions Red River CLO Ltd. Rating Class To From A AA+ (sf) AA- (sf)/Watch Pos B AA (sf) A (sf)/Watch Pos C A (sf) BB+ (sf)/Watch Pos D BB+ (sf) CCC- (sf)/Watch Pos E B+ (sf) CCC- (sf)/Watch Pos RITE AID: Moody's Affirms Cl. A-2 Notes Rating at 'B3' ------------------------------------------------------ Moody's Investors Service affirmed the ratings of Rite Aid Pass- Through Trust Certificates, Series 1999-1: Class A-1, Affirmed at B3; previously on Nov 29, 2000 Downgraded to B3 Class A-2, Affirmed at B3; previously on Nov 29, 2000 Downgraded to B3 RATINGS RATIONALE The rating of the certificate was affirmed based on the value of the real estate collateral relative to the outstanding loan balance, the rating of Rite Aid Corporation (senior unsecured debt rating Caa3/Ca, stable outlook) and the support provided by a residual value insurance provider, which is a rated entity. 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. No model was used in this review. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website. Moody's 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. DEAL PERFORMANCE The Certificates are supported by a portfolio of 53 drug stores located in 14 states and the District of Columbia. Each property is subject to a fully bondable, triple net lease guaranteed by Rite Aid. Residual insurance covers 51 of the 53 properties and is provided by Hartford Fire Insurance Company (senior unsecured debt rating of A2, stable outlook). The two properties not covered by the residual insurance secure loans that fully amortize by the lease expiration. The portfolio appraisal value at securitization was $171.6 million, which represented a 98% LTV. The deal has amortized 28% since securitization. Rite Aid is headquartered in Camp Hill, Pennsylvania. Rite Aid provides pharmacy services as well as over-the-counter medication and household items. SASCO 2007: Fitch Affirms Rating on Sixteen Note Classes -------------------------------------------------------- Fitch Ratings has downgraded one and affirmed 16 classes issued by SASCO 2007-BHC1 Trust as a result of significant negative credit migration and increased interest shortfalls on the underlying collateral. Since Fitch's last rating action in March 2011, approximately 20.8% of the portfolio has been downgraded. Currently, 100% of the underlying collateral has a Fitch derived rating below investment grade and 94.7% has a rating in the 'CCC' category or lower, compared to 99.2% and 86.8%, respectively, at the last rating action. As of the Jan. 31, 2012 trustee report, 75.5% of the portfolio is experiencing interest shortfalls, compared to 51.4% at the last review. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. However, given the portfolio's distressed nature, Fitch believes that the probability of default for all classes of notes can be evaluated without factoring in potential further losses from the non-defaulted portion of the portfolio. Therefore, this transaction was not modeled using the Structured Finance Portfolio Credit Model (SF PCM). For the class A through G notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class A-1 notes have been downgraded and the class A-2 through G notes have been affirmed at 'Csf', indicating that default is inevitable. The class A-1 notes are receiving partial interest payments and all other classes are currently deferring their entire interest payments. The transaction has experienced approximately $25.8 million in losses since issuance. These losses have caused a complete writedown to the class J through S note and 17.1% of the class H notes. These classes have been affirmed at 'Dsf'. Fitch does not assign outlooks to classes rated 'CCC' and below. SASCO 2007-BHC1 is backed by 84 mezzanine tranches from 40 commercial mortgage backed securities (CMBS) transactions. Approximately 85.5% are from the 2006 vintage, while the balance is from the 2005 (13.4%) and 2004 (1.1%) vintages. The transaction closed March 15, 2007. Fitch has downgraded this class: -- $350,912,000 class A-1 notes to 'Csf' from 'CCsf'. Fitch has affirmed these classes: -- $68,929,000 class A-2 notes at 'Csf'; -- $16,292,000 class B notes at 'Csf'; -- $10,026,000 class C notes at 'Csf'; -- $3,133,000 class D notes at 'Csf'; -- $8,146,000 class E notes at 'Csf'; -- $5,013,000 class F notes at 'Csf'; -- $6,266,000 class G notes at 'Csf'; -- $6,751,171 class H notes at 'Dsf'; -- $0 class J notes at 'Dsf'; -- $0 class K notes at 'Dsf'; -- $0 class L notes at 'Dsf'; -- $0 class M notes at 'Dsf'; -- $0 class N notes at 'Dsf'; -- $0 class P notes at 'Dsf'; -- $0 class Q notes at 'Dsf'; -- $0 class S notes at 'Dsf'. SBM7 2000-C1: Moody's Affirms Cl. J Notes Rating at 'Ba3' --------------------------------------------------------- Moody's Investors Service upgraded the rating of one class and affirmed seven classes of Salomon Brothers Securities VII, Inc., Commercial Mortgage Pass-Through Certificates, Series 2000-C1: Cl. G, Affirmed at Aaa (sf); previously on Mar 31, 2011 Upgraded to Aaa (sf) Cl. H, Upgraded to A3 (sf); previously on Mar 7, 2001 Definitive Rating Assigned Ba1 (sf) Cl. J, Affirmed at Ba3 (sf); previously on Jul 30, 2010 Downgraded to Ba3 (sf) Cl. K, Affirmed at Caa1 (sf); previously on Mar 31, 2011 Upgraded to Caa1 (sf) Cl. L, Affirmed at Caa3 (sf); previously on Mar 31, 2011 Upgraded to Caa3 (sf) Cl. M, Affirmed at C (sf); previously on Jul 30, 2010 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Jul 30, 2010 Downgraded to C (sf) Cl. X, Affirmed at Caa2 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) RATINGS RATIONALE The upgrades are due to overall improved pool financial performance and increased credit support due to loan payoffs and amortization. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 8.6% of the current balance. At last review, Moody's cumulative base expected loss was 14.4%. Moody's stressed scenario loss is 16.5% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the 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 CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. 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 4, the same as 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 March 31, 2011. DEAL PERFORMANCE As of the February 18, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 92% to $55.9 million from $713.3 million at securitization. The Certificates are collateralized by 20 mortgage loans ranging in size from less than 1% to 43% of the pool, with the top ten non-defeased loans representing 74% of the pool. Six loans, representing 14% of the pool, have defeased and are secured by U.S. Government securities. Two loans, representing 5% 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-four loans have been liquidated from the pool, resulting in a realized loss of $22 million (31% loss severity overall). Currently three loans, representing 14% of the pool, are in special servicing. Moody's estimates an aggregate $4 million loss for the specially serviced loans (64% expected loss on average). Moody's was provided with full year 2010 operating results for 100% of the pool. Excluding specially serviced loans, Moody's weighted average LTV is 74% compared to 68% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 18.6% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding special serviced loans, Moody's actual and stressed DSCRs are 1.12X and 1.69X, respectively, compared to 1.25X and 1.80X 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 loans represent 62% of the pool. The largest loan is the Putnam Building Loan ($23.8 million -- 43% of the pool), which is secured by a 231,000 square foot office building located in Norwood, Massachusetts, approximately 13 miles southwest of Boston. Built in 1978, the property is 100% triple net leased to Mercer Human Resources through July 2013. Performance has remained in line with last review, although due to the single tenant nature of this building, Moody's value reflects and stressed cash derived from a dark/lit analysis. Moody's LTV and stressed DSCR are 92% and 1.12X compared to 81% and 1.27X, respectively, at last review. The second largest loan is the Sports Arena Village Loan ($6.9 million -- 12.4% of the pool), which is secured by a 282,000 square foot retail and office property located in San Diego, California. As of December 2011, the property was 90% leased compared to 92% at last review. The largest tenant is Science Applications Corp. (24% of the net rentable area (NRA); lease expires in August 2015). The loan is fully amortizing and has amortized 46% since securitization. The loan matures in June 2018. Moody's LTV and stressed DSCR are 37% and 3.18X, respectively, compared to 36% and 3.29X, respectively, at last review. The third largest loan is The Sports Authority Loan ($3.7 million -- 6.8% of the pool), which is secured by a 46,000 square foot retail property located along the Northern Boulevard retail corridor in Long Island City, New York. The property is 100% leased to The Sports Authority through February 2015. Performance remains in-line with last review. The loan matures in February 2015 and has amortized 15% since securitization. Moody's LTV and stressed DSCR are 57% and 1.75X compared to 61% and 1.65X, respectively, at last review. SCSC 2004-CF2: Moody's Raises Cl. G Notes Rating to 'Ba1' --------------------------------------------------------- Moody's Investors Service upgraded the ratings of seven classes and affirmed six classes of Schooner Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-CF2: Cl. A-1, Affirmed at Aaa (sf); previously on Sep 28, 2004 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Sep 28, 2004 Definitive Rating Assigned Aaa (sf) Cl. B, Upgraded to Aaa (sf); previously on Sep 28, 2004 Definitive Rating Assigned Aa2 (sf) Cl. C, Upgraded to Aa3 (sf); previously on Sep 28, 2004 Definitive Rating Assigned A2 (sf) Cl. D, Upgraded to A3 (sf); previously on Sep 28, 2004 Definitive Rating Assigned Baa2 (sf) Cl. E, Upgraded to Baa1 (sf); previously on Sep 28, 2004 Definitive Rating Assigned Baa3 (sf) Cl. F, Upgraded to Baa3 (sf); previously on Sep 28, 2004 Definitive Rating Assigned Ba1 (sf) Cl. G, Upgraded to Ba1 (sf); previously on Sep 28, 2004 Definitive Rating Assigned Ba2 (sf) Cl. H, Upgraded to Ba2 (sf); previously on Sep 28, 2004 Definitive Rating Assigned Ba3 (sf) Cl. J, Affirmed at B1 (sf); previously on Sep 28, 2004 Definitive Rating Assigned B1 (sf) Cl. K, Affirmed at B2 (sf); previously on Sep 28, 2004 Definitive Rating Assigned B2 (sf) Cl. L, Affirmed at B3 (sf); previously on Sep 28, 2004 Definitive Rating Assigned B3 (sf) Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) RATINGS RATIONALE The upgrades are due to an increase in subordination from payoffs and amortization and overall stable pool performance. The pool has paid down 31% since securitization and 12% since last review. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 1.4% of the current balance. At last full review, Moody's cumulative base expected loss was 1.3%. 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 commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in 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, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. 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. The CMBS IO calculator ver1.0 uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid- point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. 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 17 compared to 18 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 March 23, 2011. DEAL PERFORMANCE As of the February 13, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 31% to $250.08 million from $363.33 million at securitization. The Certificates are collateralized by 51 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans representing 55% of the pool. Six loans, representing 9% of the pool, have defeased and are collateralized with U.S. Government securities. One loan, representing 4% of the pool, has an investment grade credit estimate. Four 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. The pool has not realized any losses since securitization. There are no loans currently in special servicing. Moody's has assumed a high default probability for one poorly performing loan representing 1% of the pool and has estimated a $276 thousand loss (15% expected loss based on a 50% probability default) from this troubled loan. Moody's was provided with full year 2010 operating results for 90% of the performing pool. Excluding the troubled loan, Moody's weighted average LTV is 67% compared to 71% at last full review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Excluding the troubled loan, Moody's actual and stressed DSCRs are 1.51X and 1.56X, respectively, compared to 1.46X and 1.44X 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 Confederation Mall Loan ($10.2 million -- 4.1% of the pool), which is secured by a 327,000 square foot (SF) retail center located in Saskatoon, Saskatchewan. The property was 94% leased as of January 2012 compared to 95% at last review. Performance has declined primarily due to the departure of Wal-Mart, a drop in rental rates and several tenants converting to percentage rent structures. Wal-Mart vacated its space (148,647 SF -- 45% of the NRA) prior to its January 2011 lease expiration. Canadian Tire has leased most of the space vacated by Wal-Mart (129,600 SF -- 40% of the NRA) as of March 2011 through February 2026. Winners (25,000 SF -- 9% of NRA) also recently signed its lease with occupancy commencing in September 2012. However, the loan is on the master servicer's watchlist due to an unauthorized $8 million second mortgage. The loan is 100% recourse to the borrower. Moody's current credit estimate and stressed DSCR are Baa3 and 1.69X, respectively, compared to Baa3 and 1.56X at last review. The top three performing conduit loans represent 30% of the pool balance. The largest loan is the PD Kanco Multifamily Portfolio ($35.8 million -- 14.3% of the pool), which is secured by seven multifamily properties totaling 736 units located in Ontario. The portfolio was 99% leased as of December 2010 compared to 97% at last review. Property performance has remained stable. The loan is partial recourse to the borrower. Moody's LTV and stressed DSCR are 83% and 1.08X, respectively, compared to 89% and 1.01X at last review. The second largest loan is the Westmount Square Loan ($25.3 million -- 10.1% of the pool), which is secured by a 330,000 SF Class A office and retail complex located in Montreal, Quebec. The complex consists of approximately 75% office space and 25% retail space. The property was 98% leased as of December 2010 compared to 95% at last review. The loan is 100% recourse to the borrower. Performance has remained stable since last review. Moody's LTV and stressed DSCR are 68% and 1.55X, respectively, essentially the same at last review. The third largest loan is the Stillwater Creek Retirement Community Loan ($14.9 million -- 6.0% of the pool), which is secured by a 204-unit facility offering independent living, assisted living and retirement care services located in Nepean, Ontario. The property was 91% leased as of December 2010 compared to 87% as of last review. Despite the increase in occupancy, property performance declined slightly due to lower rental rates. However, the decline in performance was offset by the loan's amortization. Moody's LTV and stressed DSCR are 57% and 1.98X, respectively, compared to 60% and 1.88X at last review. SCSC 2005-4: Moody's Affirms Cl. F Notes Rating at 'Ba1' -------------------------------------------------------- Moody's Investors Service affirmed the ratings of 16 classes of Schooner Trust Commercial Mortgage Pass-Through Certificates, Series 2005-4: Cl. A-1, Affirmed at Aaa (sf); previously on Oct 27, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Oct 27, 2005 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa1 (sf); previously on Mar 2, 2011 Upgraded to Aa1 (sf) Cl. C, Affirmed at A1 (sf); previously on Mar 2, 2011 Upgraded to A1 (sf) Cl. D, Affirmed at Baa2 (sf); previously on Oct 27, 2005 Definitive Rating Assigned Baa2 (sf) Cl. E, Affirmed at Baa3 (sf); previously on Oct 27, 2005 Definitive Rating Assigned Baa3 (sf) Cl. F, Affirmed at Ba1 (sf); previously on Oct 27, 2005 Definitive Rating Assigned Ba1 (sf) Cl. G, Affirmed at Ba2 (sf); previously on Oct 27, 2005 Definitive Rating Assigned Ba2 (sf) Cl. H, Affirmed at Ba3 (sf); previously on Oct 27, 2005 Definitive Rating Assigned Ba3 (sf) Cl. J, Affirmed at B1 (sf); previously on Oct 27, 2005 Definitive Rating Assigned B1 (sf) Cl. K, Affirmed at B2 (sf); previously on Oct 27, 2005 Definitive Rating Assigned B2 (sf) Cl. L, Affirmed at B3 (sf); previously on Oct 27, 2005 Definitive Rating Assigned B3 (sf) Cl. XP-1, Affirmed at Aaa (sf); previously on Oct 27, 2005 Definitive Rating Assigned Aaa (sf) Cl. XC-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. XP-2, Affirmed at Aaa (sf); previously on Oct 27, 2005 Definitive Rating Assigned Aaa (sf) Cl. XC-2, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) RATINGS RATIONALE The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 1.5% of the current balance. At last full review, Moody's cumulative base expected loss was 1.3%. 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 commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in 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 Structured Finance Interest- Only Securities" published in February 2012. 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. The CMBS IO calculator ver1.0 uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 22 compared to 23 at Moody's prior full review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated March 2, 2011. DEAL PERFORMANCE As of the February 13, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 32% to $373.52 million from $551.15 million at securitization. The Certificates are collateralized by 60 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 57% of the pool. One loan, representing 4% of the pool, has defeased and is collateralized with Canadian Government securities, compared to none at last review. At last full review, the Southland Mall Loan ($38.3 million -- 10.3% of the pool) had an investment grade credit estimate. The property that secured the loan, which is a 437,762 square foot (SF) anchored retail center located in Regina, Saskatchewan, lost its largest tenant, Wal-Mart (34% of net rentable area (NRA)) in January 2010. The borrower has been in negotiations with Zeller's for over a year. Due to declined performance and uncertainty around the timing of a replacement tenant for the Wal-Mart space, the loan no longer has a credit estimate and is analyzed as part of the conduit pool. Moody's LTV and stressed DSCR are 72% and 1.35X, respectively. Four loans, representing 15% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has not experienced any losses since securitization and currently there are no loans in special servicing. Moody's has assumed a high default probability for two poorly performing loans representing 1% of the pool and has estimated a $394 thousand loss (10% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2010 operating results for 94% of the performing pool. Excluding troubled loans, Moody's weighted average LTV is 75% compared to 76% at last full review. Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 8.8%. Excluding troubled loans, Moody's actual and stressed DSCRs are 1.44X and 1.38X, respectively, compared to 1.55X and 1.37X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 21% of the pool balance. The largest loan is the 66 Slater Street Loan ($28.2 million -- 7.6% of the pool) which is secured by a 22-story class B office building located a few blocks from the Parliament in downtown Ottawa, Ontario. The tenant base is dominated by the Canadian Government, which leases over 90% of the NRA. The loan is full recourse to the borrower. Moody's analysis incorporated a stressed cash flow due to concerns about near term lease expirations and dated financials. Moody's LTV and stressed DSCR are 74% and 1.31X, respectively, compared to 69% and 1.41X at last review. The second largest loan is the Nordel Crossing Shopping Centre Loan ($26.0 million -- 7.0% of the pool), which is secured by a 133,000 SF grocery-anchored retail center located in Surrey -- a suburb of Vancouver, British Columbia. As of December 2010, the property was 100% leased, the same as at last review. Major tenants include Save-on-Foods (33% of the NRA; lease expiration in August 2024) and Shopper's Drug Mart (14% of the NRA; lease expiration in September 2019). Property performance has been stable. Moody's LTV and stressed DSCR are 82% and 1.10X, respectively, compared to 83% and 1.08X at last review. The third largest loan is the Milliken Crossing Shopping Centre Loan ($22.7 million -- 6.1% of the pool), which is secured by a 140,000 SF grocery-anchored retail center located in Toronto, Ontario. As of December 2010, the property was 95% leased, the same s at last review. Major tenants include T&T Supermarkets (47% of the NRA; lease expiration in December 2019) and Shopper's Drug Mart (11% of the NRA; lease expiration in January 2020). Performance has improved since last review due to increase in base rent. Moody's LTV and stressed DSCR are 94% and 0.98X, respectively, compared to 105% and 0.88X at last review. SEAWALL 2006-1: Moody's Affirms Cl. C-1 Notes Rating at 'Ba1' ------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of all classes of Notes issued by Seawall 2006-1, Ltd., and Seawall SPC -- Series 2005-2. The affirmations are due to the key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO Synthetic) transactions. Issuer: Seawall 2006-1, Ltd. Cl. A-2, Affirmed at Baa2 (sf); previously on Apr 28, 2010 Downgraded to Baa2 (sf) Cl. B, Affirmed at Baa3 (sf); previously on Apr 28, 2010 Downgraded to Baa3 (sf) Cl. C-1, Affirmed at Ba1 (sf); previously on Apr 28, 2010 Downgraded to Ba1 (sf) Cl. C-2, Affirmed at Ba1 (sf); previously on Apr 28, 2010 Downgraded to Ba1 (sf) Cl. X, Affirmed at Aa3 (sf); previously on Feb 22, 2012 Downgraded to Aa3 (sf) Issuer: Seawall SPC - Series 2005-2 Cl. C-2, Affirmed at Ba1 (sf); previously on Apr 30, 2010 Downgraded to Ba1 (sf) RATINGS RATIONALE Seawall 2006-1, Ltd., is a static synthetic CRE CDO transaction backed by a portfolio of credit default swaps on commercial mortgage backed securities (CMBS) (100.0% of the pool balance). As of the January 20, 2012 Trustee report, the aggregate issued Note balance of the transaction, was $110.0 million, the same as that at issuance. Seawall SPC -- Series 2005-2 is a direct pass-through of the Class C-2 (Reference Class) from the Seawall 2006-1, Ltd. As of the January 20, 2012 Trustee report, the aggregate issued Note balance of the transaction, was $11.0 million, the same as that at issuance. Since the ratings of Seawall SPC -- Series 2005-2 are linked to the rating of the Reference Class, any credit action on the Underlying Class may trigger a review of the ratings of Seawall SPC -- Series 2005-2. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated reference obligations. The bottom-dollar WARF is a measure of the default probability within a reference obligation pool. Moody's modeled a bottom-dollar WARF of 4 compared to 5 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (96.6% compared to 96.7% at last review) and A1-A3 (3.4% compared to 3.3% 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 2.1 years compared to 2.9 at last review. WARR is the par-weighted average of the mean recovery values for the reference obligations in the pool. Moody's modeled a variable WARR with a mean of 74.7% compared to 77.3% at last review. The lower recovery rate is due to the current composition of the reference obligation pool. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the reference obligation pool (i.e. the measure of diversity). Moody's modeled a MAC of 66.5% compared to 71.2% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. Moody's review of the Interest Only securities (IO) incorporated the use of the excel-based IO Calculator Model version 1.0. 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 obligation pool. Holding all other key parameters static, changing the current ratings and credit estimates of the reference obligations by one notch downward or by one notch upward affects the model results by approximately 1.1 to 1.8 notches downward and 1.2 to 1.5 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and 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 these ratings was "Moody's Approach to Rating SF CDOs" published in November 2010 and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. SLM STUDENT: Fitch Affirms Rating on Sub. Student Loan at 'BBsf' ---------------------------------------------------------------- Fitch Ratings affirms both the senior notes at 'AAAsf' and subordinate student loan note at 'BBsf' issued by SLM Student Loan Trust series 2004-3. The Rating Outlook remains Negative for the senior classes and Stable for the subordinate class. Fitch used its 'Global Structured Finance Rating Criteria', and 'U.S. FFELP Student Loan ABS Surveillance Criteria', as well as 'Rating U.S. Federal Family Education Loan Program Student Loan ABS' to review the ratings. The ratings on the senior and subordinate notes are affirmed based on the sufficient level of credit to cover the applicable risk factor stresses. Credit enhancement for the senior and subordinate notes consists of overcollateralization and projected minimum excess spread, while the senior notes also benefit from subordination provided by the class B note. Fitch has taken these rating actions: SLM Student Loan Trust, Series 2004-3: -- Class A-4 affirmed at 'AAAsf'; Outlook Negative; -- Class A-5 affirmed at 'AAAsf'; Outlook Negative; -- Class A-6A affirmed at 'AAAsf'; Outlook Negative; -- Class A-6B affirmed at 'AAAsf'; Outlook Negative; -- Class B affirmed at 'BBsf'; Outlook Stable. SLM STUDENT: Fitch Keeps Rating on Sub. Student Loan at 'BBsf' -------------------------------------------------------------- Fitch Ratings affirms both the senior notes at 'AAAsf' and subordinate student loan note at 'BBsf' issued by SLM Student Loan Trust series 2004-1. The Rating Outlook remains Negative for the senior classes and Stable for the subordinate class. Fitch used its 'Global Structured Finance Rating Criteria', and 'U.S. FFELP Student Loan ABS Surveillance Criteria', as well as 'Rating U.S. Federal Family Education Loan Program Student Loan ABS' to review the ratings. The ratings on the senior and subordinate notes are affirmed based on the sufficient level of credit to cover the applicable risk factor stresses. Credit enhancement for the senior and subordinate notes consists of overcollateralization and projected minimum excess spread, while the senior notes also benefit from subordination provided by the class B note. Fitch has taken these rating actions: SLM Student Loan Trust, Series 2004-1: -- Class A-2 affirmed at 'AAAsf'; Outlook Negative; -- Class A-3 affirmed at 'AAAsf'; Outlook Negative; -- Class A-4 affirmed at 'AAAsf'; Outlook Negative; -- Class A-5 affirmed at 'AAAsf'; Outlook Negative; -- Class A-6 affirmed at 'AAAsf'; Outlook Negative; -- Class B affirmed at 'BBsf'; Outlook Stable. SORIN RE CDO: Moody's Affirms Cl. A-1B Notes Rating at 'Caa2' ------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of all classes of Notes issued by Sorin Real Estate CDO III Ltd. 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 and Re-Remic) transactions. Cl. A-1B, Affirmed at Caa2 (sf); previously on Apr 12, 2011 Downgraded to Caa2 (sf) Cl. A-2, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) Cl. B, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) Cl. C-FL, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) Cl. C-FX, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) Cl. D, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) RATINGS RATIONALE Sorin Real Estate CDO III Ltd. is a static CRE CDO transaction backed by a portfolio commercial mortgage backed securities (CMBS) (60.3% of the current collateral pool balance), asset backed securities (29.2%) that are primarily subprime residential mortgage-backed securities, and CRE CDOs (10.5%). As of the February 1, 2012 Trustee report, the aggregate Note balance of the transaction has decreased to $931.0 million, including Subordinated Notes, from $1.0 billion at issuance, with the paydown directed to the Class A-1B Notes; a result of the combination of principal repayment of assets and and interest proceeds redirection as principal as a result of failing the Class A/B overcollateralization test. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated credit estimates for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom- dollar WARF of 4,136 compared to 3,822 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (9.7% compared to 11.5% at last review), A1-A3 (8.0% compared to 9.2% at last review), Baa1-Baa3 (16.1% compared to 19.0% at last review), Ba1-Ba3 (15.3% compared to 12.5% at last review), B1-B3 (12.7% compared to 12.3% at last review), and Caa1-C (38.2% compared to 35.5% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 4.8 years compared to 5.0 at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 17.6% compared to 25.6% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 8.5% compared to 9.5% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 17.6% to 7.6% or up to 27.6% would result in average rating movement on the rated tranches of 0 to 1 notche downward and 0 notche upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in 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. SSB RV TRUST 2001-1: S&P Lowers Rating on Class C to 'BB+' ---------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on class B from Distribution Financial Services RV/Marine Trust 2001-1 and lowered its rating on class C from SSB RV Trust 2001-1. "At the same time, we affirmed our ratings on 16 other classes from these and seven other asset-backed securities (ABS) transactions backed by loan and installment sales contracts on RVs and/or marine assets (sport boats, power boats, and yachts)," S&P said. "The rating actions reflect each transaction's collateral performance to date, our views regarding future collateral performance, the structure of each transaction, and the declining respective credit enhancement levels supporting the notes," S&P said. "We based the raised rating on class B from Distribution Financial Services RV/Marine Trust 2001-1 on increased loss protection percentages, given our revised lifetime loss expectations, and the amount of credit enhancement in the form of available subordination provided through the existing class D. In addition, the class C is senior in payment priority and is currently receiving all principal collections. We believe the amount of credit enhancement is sufficient to support a 'AAA (sf)' rating," S&P said. "We revised our loss expectation for each of the transactions in this review taking into account performance to date, current trends, and our expectations of future collateral and sector performance (see table 1). In our view, many of the transactions have benefited from improved default and delinquency performance due to better macroeconomic conditions," S&P said. Table 1 Collateral Performance (%) As of February 2012 distribution Former Revised Pool Current lifetime lifetime Deal Mo. factor CNL CNL exp. CNL exp. Chase Manhattan Marine Owner Trust 1997-A 171 0.29 2.32 2.65-2.75 2.30-2.40 CIT Marine Trust 1999-A 155 1.31 6.58 6.75-6.90 6.75-6.90 Chase Manhattan RV Owner Trust 1997-A 172 0.03 2.91 2.91-2.94 2.91-2.94 CIT RV Trust 1998-A 163 1.16 8.64 9.00-10.00 8.80-9.00 CIT RV Trust 1999-A 152 1.80 9.62 10.00-11.00 9.90-10.10 Distribution Financial Services RV/Marine Trust 2001-1 122 3.55 4.92 5.50-5.75 5.45-5.65 E*Trade RV and Marine Trust 2004-1 85 24.77 7.24 10.00-10.50 11.30-11.50 JPMorgan RV Marine Trust 2004-A 85 7.00 11.76 13.00-15.00 13.00-13.50 SSB RV Trust 2001-1 121 4.27 8.77 9.00-10-00 9.50-10.00 CNL--cumulative net loss. "The transactions were originally structured with credit enhancement in the form of a combination of overcollateralization, subordination, cash reserves, and excess spread. However, higher- than-expected losses for CIT RV Trust 1998-A and 1999-A, Distribution Financial Services RV/Marine Trust 2001-1, JPMorgan RV Marine Trust 2004-A, and SSB RV Trust 2001-1 have reduced the amount of available credit enhancement. Specifically, as of the February 2012 distribution date, all forms of credit enhancement other than subordination have been fully depleted in these transactions. The Chase Manhattan Marine and Chase Manhattan RV transactions have reserve accounts that are currently at their target amounts," S&P said. "Our analysis of the nine transactions included the review of current and historical performance to estimate future performance. The various scenarios included forward-looking assumptions on defaults and recoveries that we believe are appropriate given the transactions' current performance," S&P said. "Standard & Poor's will continue to monitor the performance of the transactions to ensure the credit enhancement remains sufficient, in our view, to cover our revised cumulative net loss expectations under our stress scenarios for each of the rated classes," 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 are available at: http://standardandpoorsdisclosure-17g7.com Rating Raised Distribution Financial Services RV/Marine Trust 2001-1 Rating Class To From B AAA (sf) AA (sf) Rating Lowered SSB RV Trust 2001-1 Rating Class To From C BB+ (sf) BBB (sf) Ratings Affirmed Chase Manhattan Marine Owner Trust 1997-A Class Rating C AAA (sf) CIT Marine Trust 1999-A Class Rating A-4 BBB+ (sf) Certificate B (sf) Chase Manhattan RV Owner Trust 1997-A Class Rating Certs AA (sf) CIT RV Trust 1998-A Class Rating B CCC- (sf) CIT RV Trust 1999-A Class Rating B CCC- (sf) Distribution Financial Services RV/Marine Trust 2001-1 Class Rating C BBB (sf) D CCC- (sf) E*Trade RV and Marine Trust 2004-1 Class Rating A-4 BBB+ (sf) A-5 BBB+ (sf) B BB+ (sf) C B+ (sf) D B- (sf) E CCC- (sf) JPMorgan RV Marine Trust 2004-A Class Rating A-2 CCC-(sf) SSB RV Trust 2001-1 Class Rating D CCC- (sf) REALT 2006-1: Moody's Affirm Rating of Cl. F Notes at 'Ba1' ----------------------------------------------------------- Moody's Investors Service affirmed the ratings of 18 classes of Real Estate Asset Liquidity Trust Commercial Mortgage Pass-Through Certificates, Series 2006-1: Cl. A-1, Affirmed at Aaa (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed at A2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned A2 (sf) Cl. D-1, Affirmed at Baa2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Baa2 (sf) Cl. D-2, Affirmed at Baa2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Baa2 (sf) Cl. E-1, Affirmed at Baa3 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Baa3 (sf) Cl. E-2, Affirmed at Baa3 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Baa3 (sf) Cl. F, Affirmed at Ba1 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Ba1 (sf) Cl. G, Affirmed at Ba2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Ba2 (sf) Cl. H, Affirmed at Ba3 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Ba3 (sf) Cl. J, Affirmed at B1 (sf); previously on Apr 12, 2006 Definitive Rating Assigned B1 (sf) Cl. K, Affirmed at B2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned B2 (sf) Cl. L, Affirmed at B3 (sf); previously on Apr 12, 2006 Definitive Rating Assigned B3 (sf) Cl. XP-1, Affirmed at Aaa (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. XP-2, Affirmed at Aaa (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. XC-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. XC-2, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (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 1.4% of the current deal balance. At last review, Moody's cumulative base expected loss was approximately 1.3%. 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 commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in 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, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. 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 review also incorporated the CMBS IO calculator ver1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. 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 as at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.2 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 May 26, 2010. DEAL PERFORMANCE As of the February 13, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 36% to $253.0 million from $396.2 million at securitization. The Certificates are collateralized by 52 mortgage loans ranging in size from less than 1% to 17% of the pool, with the top ten loans (excluding defeasance) representing 67% of the pool. The pool includes two loans with investment-grade credit estimates, representing 21% of the pool. Three loans, representing approximately 6% of the pool, are defeased and are collateralized by Canadian Government securities. Eight loans, representing 10% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. No loans have liquidated from the pool and there are no loans currently in special servicing. Moody's was provided with full-year 2010 operating results for 92% of the performing pool. Moody's weighted average LTV is 74%, compared to 76% at last full review. Moody's net cash flow reflects a weighted average haircut of 13.3% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4% Moody's actual and stressed DSCRs are 1.49X and 1.52X, respectively, compared to 1.51X and 1.49X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with credit estimate is Crombie Portfolio Loan ($43.4 million -- 17.2% of the pool), which is secured by a portfolio of seven retail and mixed-use properties across three Canadian provinces (Newfoundland, Nova Scotia, New Brunswick) totaling 936,000 square feet. Year-end 2010 occupancy was 89% -- a slight uptick from the 88% occupancy reported the prior year. Performance remains stable. Moody's credit estimate and stressed DSCR are Baa2 and 1.43X, respectively, compared to Baa2 and 1.41X at last review. The second-largest loan with a credit estimate is the Royal Centre Loan ($9.0 million -- 3.6% of the pool), which is secured by a 163,000 square foot office building located in Vaughan, Ontario, a northern suburb of Toronto. The largest tenant is the Royal Bank of Canada (Moody's Long Term Rating Aa1, On Watch for Possible Downgrade), which recently renewed its lease through May 2020. Occupancy was 86% as of April 2010, compared to 92% at last Moody's review. The loan has amortized 4% since last review. Moody's current credit estimate and stressed DSCR are Aaa and 2.17X, respectively, compared to Aaa and 2.31X at last review. The top three conduit loans represent 27.4% of the pool. The largest loan is The Landing Loan ($27.8 million -- 11% of the pool), which is secured by a 183,000 square-foot, seven-story office building in the Gastown district of downtown Vancouver, British Columbia. The property was 99% leased at YE 2010 compared to 92% the prior year. The loan has amortized 3% since Moody's prior review. The largest tenant is Intrawest Corporation (20% NRA), the owner and operator of several North American destination resorts. Moody's current LTV and stressed DSCR are 80% and 1.21X, respectively, compared to 81% and 1.2X at last review. The second-largest loan is the Dominion Square Loan ($26.9 million -- 10.6% of the pool). The loan is Pari Passu (50%) with REALT 2006-2, and is secured by a 12-story 373,000 square-foot, mixed- use building located in downtown Montreal, Quebec. Local and state government agencies represent 32% of the tenancy in the building. As of April 2011, the property was 98% leased, up from 90% at YE 2009. Moody's current LTV and stressed DSCR are 82% and 1.19X, respectively, compared to 109% and 0.89X at last review. The third-largest loan is the Sandman Portfolio Loan ($14.5 million -- 5.7% of the pool). The loan is secured by a portfolio of four full-service hotels located in Edmonton, Alberta, and in Penticton, Revelstoke, and Terrace, British Columbia. Performance has been stable since Moody's last review. Moody's current LTV and stressed DSCR are 43% and, 3.05X respectively, compared to 45% and 2.90X at last review. REALT 2006-2: Moody's Affirms Cl. F Notes Rating at 'Ba1' --------------------------------------------------------- Moody's Investors Service affirmed the ratings of 18 classes of Real Estate Asset Liquidity Trust Commercial Mortgage Pass-Through Certificates, Series 2006-2: Cl. A-1, Affirmed at Aaa (sf); previously on Oct 13, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Oct 13, 2006 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Oct 13, 2006 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed at A2 (sf); previously on Oct 13, 2006 Definitive Rating Assigned A2 (sf) Cl. D-1, Affirmed at Baa2 (sf); previously on Oct 13, 2006 Definitive Rating Assigned Baa2 (sf) Cl. D-2, Affirmed at Baa2 (sf); previously on Oct 13, 2006 Definitive Rating Assigned Baa2 (sf) Cl. E-1, Affirmed at Baa3 (sf); previously on Oct 13, 2006 Definitive Rating Assigned Baa3 (sf) Cl. E-2, Affirmed at Baa3 (sf); previously on Oct 13, 2006 Definitive Rating Assigned Baa3 (sf) Cl. F, Affirmed at Ba1 (sf); previously on Oct 13, 2006 Definitive Rating Assigned Ba1 (sf) Cl. G, Affirmed at Ba2 (sf); previously on Oct 13, 2006 Definitive Rating Assigned Ba2 (sf) Cl. H, Affirmed at Ba3 (sf); previously on Oct 13, 2006 Definitive Rating Assigned Ba3 (sf) Cl. J, Affirmed at B1 (sf); previously on Oct 13, 2006 Definitive Rating Assigned B1 (sf) Cl. K, Affirmed at B2 (sf); previously on Oct 13, 2006 Definitive Rating Assigned B2 (sf) Cl. L, Affirmed at B3 (sf); previously on Oct 13, 2006 Definitive Rating Assigned B3 (sf) Cl. XP-1, Affirmed at Aaa (sf); previously on Oct 13, 2006 Definitive Rating Assigned Aaa (sf) Cl. XP-2, Affirmed at Aaa (sf); previously on Oct 13, 2006 Definitive Rating Assigned Aaa (sf) Cl. XC-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. XC-2, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (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 1.2% of the current deal balance. At last review, Moody's cumulative base expected loss was approximately 1.6%. 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 commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in 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, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. 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 review also incorporated the CMBS IO calculator ver 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. 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 17 compared to a Herf of 21 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.2 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 May 26, 2010. DEAL PERFORMANCE As of the February 13, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 23% to $317.2 million from $412.2 million at securitization. The Certificates are collateralized by 52 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans (excluding defeasance) representing 67% of the pool. The pool includes five loans with investment-grade credit estimates, representing 33% of the pool. Three loans, representing approximately 3% of the pool, are defeased and are collateralized by Canadian Government securities. Thirteen loans, representing 18% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has liquidated from the pool, resulting in an aggregate realized loss of $30,000 (1.2% loan loss severity). One loan, representing 0.4% of the pool, is in special servicing. Moody's has assumed a high default probability for one poorly-performing loan which represents 1.3% of the pool. Moody's has estimated an aggregate $767,000 loss (15% expected loss based on a 50% probability of default) for the specially-serviced and troubled loan. Moody's was provided with full-year 2010 operating results for 61% of the performing pool. Excluding troubled loans, Moody's weighted average LTV is 73%, compared to 78% at last full review. Moody's net cash flow reflects a weighted average haircut of 12.1% 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 1.56X and 1.48X, respectively, compared to 1.41X and 1.32X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the Crombie Pool A Loan ($32.6 million -- 10.3% of the pool). The loan is secured by a cross-collateralized portfolio of five anchored and unanchored retail centers located in Nova Scotia, New Brunswick, and Newfoundland. The sponsor is the Crombie REIT, a Canadian Real Estate Investment Trust based in Stellarton, Nova Scotia. Portfolio weighted average occupancy was 94%, compared to 89% the prior year. Moody's credit estimate and stressed DSCR are Baa3 and 1.36X, respectively, compared to Baa3 and 1.34X at last review. The second-largest loan with a credit estimate is the Trinity Crossing Orleans Loan ($29.2 million -- 9.2% of the pool), which is secured by a 200,000 square-foot retail center in Orleans, Ontario. The project anchor is the Real Canadian Superstore, which occupies space not included in the loan collateral. The property is 100% leased, the same as at last review. Performance remains stable. Moody's current credit estimate and stressed DSCR are Baa3 and 1.11X, respectively, compared to Baa3 and 1.01X at last review. The third loan with a credit estimate is the Sandman Vancouver Loan ($21.7 million -- 6.8% of the pool). The loan is secured by a 302-room, full-service hotel in downtown Vancouver, British Columbia. 2010 RevPar and occupancy were $73.12 and 68%, respectively, compared to $56.00 and 53%, respectively, at Moody's prior review. Performance has recovered strongly as the Canadian economy has emerged from the 2008-2009 recession. Moody's current credit estimate and stressed DSCR are Baa2 and 1.91X respectively, compared to Baa3 and 1.50X at last review. The fourth loan with a credit estimate is the Merivale Market Shopping Centre Loan ($13.7 million -- 4.3% of the pool), which is secured by a 80,000 square-foot neighborhood retail center located in Ottawa, Ontario. The anchor tenant is the Food Basics supermarket chain. The loan sponsor is RioCan Real Estate Investment Trust, Canada's largest REIT. YE 2010 occupancy was 100% compared to 95% at securitization. Moody's current credit estimate and stressed DSCR are Baa3 and 0.96X respectively, compared to Baa3 and 0.99X at last review. The fifth loan with a credit estimate is the Abbey Plaza Loan ($8.0 million -- 2.5% of the pool), which is secured by a 95,000 square-foot grocery-anchored neighborhood retail center in Oakville, Ontario. As of April, 2010, the property was 100% leased, the same as at last review. Moody's current credit estimate and stressed DSCR are Aa1 and 1.92X respectively, compared to Aa1 and 1.80X at last review. The top three conduit loans represent 25.6% of the pool. The largest loan is the Distillery Disctrict Loan ($29.8 million -- 9.4% of the pool), which is secured by a 330,000 square-foot mixed use redevelopment of the historic Gooderham & Worts distillery site located in the east end of downtown Toronto, Ontario. The property was 98% leased at YE 2010 compared to 96% the prior year. Moody's current LTV and stressed DSCR are 65% and 1.49X, respectively, compared to 67% and 1.45X at last review. The second-largest loan is the Dominion Square Loan ($26.9 million -- 8.5% of the pool), which represents a 50% pari passu interest in a first mortgage loan. The loan is secured by a 12-story 373,000 square-foot, mixed-use building located in downtown Montreal, Quebec. Local and state government agencies represent 32% of the tenancy in the building. As of April 2011, the property was 98% leased, up from 90% at YE 2009. Moody's current LTV and stressed DSCR are 82% and 1.19X, respectively, compared to 109% and 0.89X at last review. The third-largest loan is the Crombie Pool B Loan ($24.3 million - - 7.7% of the pool). The loan is secured by a cross-collateralized portfolio of three anchored retail centers and one mixed-use property located in British Columbia, Nova Scotia and New Brunswick. The largest property is the 386,000 square-foot Aberdeen Shopping Centre located in Richmond, British Columbia, representing nearly 50% of the portfolio NRA. Moody's current LTV and stressed DSCR are 78% and 1.33X respectively, compared to 88% and 1.17X at last review. SYMPHONY CLO V: 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, and D notes from Symphony CLO V Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Symphony Asset Management LLC. "At the same time, we removed the ratings on all of the classes from CreditWatch, where we placed them with positive implications on Dec. 20, 2011," S&P said. "The upgrades mainly reflect the improved performance of the transaction's underlying asset portfolio since we lowered our ratings on all of the notes in December 2009 following the application of our September 2009 collateralized debt obligation (CDO) criteria. As of the January 2012 trustee report, the transaction had $1.08 million of defaulted assets. This was down from the $28.69 million of defaulted assets noted in the October 2009 trustee report, which we referenced for our December 2009 rating actions. Additionally, the trustee reported $23.70 million in assets from obligors rated in the 'CCC' category in January 2012, compared with $53.25 million in October 2009," S&P said. The upgrades also reflect an improvement in the overcollateralization (O/C) available to support the notes since S&P's December 2009 rating actions. The trustee reported the O/C ratios in the January 2012 monthly report: * The class A O/C ratio was 123.19%, compared with a reported ratio of 119.57% in October 2009; * The class B O/C ratio was 117.59%, compared with a reported ratio of 114.14% in October 2009; * The class C O/C ratio was 113.10%, compared with a reported ratio of 109.78% in October 2009; and * The class D O/C ratio was 109.44%, compared with a reported ratio of 106.23% in October 2009. Furthermore, the transaction has benefited from an increase in the weighted average spread of the underlying floating-rate collateral. As of the January 2012 trustee report, the weighted average spread of this collateral was 4.26%, compared with 2.78% in October 2009. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. 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 Raised Symphony CLO V Ltd. Rating Class To From A-1 A+ (sf) A- (sf)/Watch Pos A-2 A (sf) BBB+ (sf)/Watch Pos B BBB+ (sf) BB+ (sf)/Watch Pos C BBB- (sf) B+ (sf)/Watch Pos D BB (sf) CCC+ (sf)/Watch Pos Transaction Information Issuer: Symphony CLO V Ltd. Co-issuer: Symphony CLO V Corp. Collateral manager: Symphony Asset Management LLC Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO TERRA II: DBRS Upgrades Rating on Class B3 CDS From 'BB' -------------------------------------------------------- DBRS Ratings Limited has upgraded these ratings of the Class B1, Class B2 and Class B3 Credit Default Swaps entered into by Terra II Mezzanine CLO LLC, a Delaware limited liability company, and Citibank, N.A., London Branch: -- Class B1 CDS: From AA (low) (sf) to AA (high) (sf) -- Class B2 CDS: From A (low) (sf) to A (high) (sf) -- Class B3 CDS: From BB (low) (sf) to BBB (high) (sf) The rating action reflects the February 7, 2012 release of an updated methodology (Rating Methodology for CLOs and CDOs of Large Corporate Credit) to rate and monitor collateralized loan obligations and collateralized debt obligations backed by non- granular portfolios of large corporate credits. The principal methodology is Rating Methodology for CLOs and CDOs of Large Corporate Credit, which can be found on www.dbrs.com. The sources of information used for this rating include Citigroup. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality. Lead Analyst: Simon Ross Surveillance Analyst: Orest Gavrylak Rating Committee Chair: Jerry van Koolbergen Initial Rating Date: August 17, 2010 Most Recent Rating Update: February 8, 2012 Ratings assigned by DBRS Ratings Limited are subject to EU regulations only. TERRA CDO: S&P Lowers Rating on Class B1 Notes to 'CC' ------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on the class B1 notes issued by Terra CDO SPC Ltd.'s series 2007-1, a corporate investment-grade synthetic collateralized debt obligation (CDO) transaction to 'CC (sf)' from 'CCC- (sf)'. "At the same time, we affirmed our rating on class A1," S&P said. "The downgrade follows a number of credit events within the transaction's underlying portfolio that have reduced the class B1's subordination level to zero. We affirmed the rating on the class A1 notes based on its available subordination," 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 Terra CDO SPC Ltd. Series 2007-1 Rating Class To From B1 CC (sf) CCC- (sf) Rating Affrimed Terra CDO SPC Ltd. Series 2007-1 Class Rating A1 CCC- (sf) UCAT 2005-1: S&P Raises Rating on Class A Notes From 'B-' --------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on the class A notes from UCAT 2005-1 to 'BBB (sf)' from 'B- (sf)'. The transaction is a repackaging of $95 million of the class A-1 notes and $50 million of the class A-2 notes from Lease Investment Flight Trust 2001-1 (LIFT). LIFT is an aircraft asset-backed securities transaction collateralized primarily by the long-term lease revenue and sale proceeds from 29 aircraft. "In our April 2011 analysis of this transaction, we used the incorrect payment priority for the underlying repackaged securities backing the transaction, which affected the rating we assigned to the class A notes. The rating action corrects this and also takes into account the pay downs the notes have received since our April 2011 analysis," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. 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. Rating Corrected UCAT 2005-1 Class Rating To From A BBB (sf) B- (sf) UNION SQUARE: S&P Affirms 'B+' Rating on Class C Notes; Off Watch ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class A-2 notes from Union Square CDO Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by GSO Capital Partners L.P. "At the same time, we affirmed our ratings on the class A-1, B, and C notes. In addition, we removed our ratings on the class A-2, B, and C notes from CreditWatch, where we had placed them with positive implications on Dec. 20, 2011," S&P said. "The upgrade mainly reflects paydowns to the class A-1 notes since we raised our ratings on some of the notes in December 2010. Since that time, the transaction has paid down the class A-1 notes by approximately $106.14 million, reducing their outstanding note balance to 9.94% of its original issuance. Primarily as a result of these paydowns, the transaction has subsequently experienced an improvement in the overcollateralization (O/C) available to support the notes. The trustee reported the O/C ratios in the January 2012 monthly report: * The class A O/C ratio was 160.71%, compared with a reported ratio of 125.89% in November 2010; * The class B O/C ratio was 127.38%, compared with a reported ratio of 113.39% in November 2010; and * The class C O/C ratio was 108.22%, compared with a reported ratio of 104.53% in November 2010. The upgrade also reflects a slight improvement in the performance of the transaction's underlying asset portfolio since the time of the last action. "As of the January 2012 trustee report, the transaction had $0.17 million in defaulted assets, down from the $2.00 million in defaulted assets noted in the November 2010 trustee report, which we referenced for our December 2010 rating actions," S&P said. "We affirmed our ratings on the class A-1, B, and C notes to reflect the availability of credit support at the current rating levels. Additionally, our affirmation of the class C notes reflects the largest obligor default test, which can be a potentially limiting factor to our tranche ratings according to our September 2009 collateralized debt obligation (CDO) criteria," 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 Union Square CDO Ltd. Rating Class To From A-2 AAA (sf) AA+ (sf)/Watch Pos B BBB+ (sf) BBB+ (sf)/Watch Pos C B+ (sf) B+ (sf)/Watch Pos Rating Affirmed Union Square CDO Ltd. Class Rating A-1 AAA (sf) Transaction Information Issuer: Union Square CDO Ltd. Co-issuer: Union Square CDO Corp. Collateral manager: GSO Capital Partners L.P. Underwriter: Credit Suisse AG Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO VENTURE V: S&P Raises Rating on Class C Notes From 'BB+' -------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B and C notes from Venture V CDO Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by MJX Asset Management LLC. "At the same time, we affirmed our ratings on the class A-1, A-2, and D notes," S&P said. "We raised our ratings on the class B and C notes due to an increase in the credit support available to them. The affirmed ratings on the class A-1, A-2, and D notes reflect our opinion that the credit support available at the notes' current rating levels is sufficient," S&P said. "The transaction, which is in its reinvestment period (ending May 2012), 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's asset portfolio had $10.29 million of defaulted assets, down from $25.02 million in the October 2009 monthly report. Some of the defaulted assets were sold at prices that were higher than the assumed recovery rates," S&P said. "In addition, the credit quality of the transaction's portfolio has improved during this time. Based on the January 2012 monthly trustee report, the transaction has an $15.83 million par balance of assets rated 'CCC+' or below, down from $30.0 million in October 2009. As per the transaction documents, the trustee haircuts the portion of 'CCC' rated collateral that is in excess of the limit specified in the indenture. Due to the lower level of 'CCC' assets, the trustee did not haircut the par value (i.e. overcollateralization {O/C}) numerator in the January 2012 monthly report; the haircut was $2.48 million in the October 2009 monthly report," S&P said. The factors improved the transaction's par value tests. The trustee reported the par value ratios in the January 2012 monthly report: * The class A par value ratio was 118.169%, compared with a reported ratio of 117.511% in October 2009; * The class B par value ratio was 111.106%, compared with a reported ratio of 110.488% in October 2009 * The class C par value ratio was 106.899%, compared with a reported ratio of 106.304% in October 2009; and * The class D par value ratio test was 103.558%, compared with a reported ratio of 102.982% in October 2009. "The obligor concentration supplemental test (which is part of our criteria for rating corporate CDO transactions) affected our rating on the class D notes," 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 Actions Venture V CDO Ltd. Rating Class To From B BBB+ (sf) BBB (sf) C BBB- (sf) BB+ (sf) Ratings Affirmed Venture V CDO Ltd. Class Rating A-1 AA+ (sf) A-2 A+ (sf) D B+ (sf) VERTICAL MILLBROOK: Moody's Affirms Rating of Cl. A-1 Notes at Ca ----------------------------------------------------------------- Moody's Investors Service has affirmed two classes of notes issued by Vertical Millbrook. Two transactions are affected: Vertical Millbrook 2007-1 - Series 56 (Series 56) and Vertical Millbrook 2007-1 - Series 57 (Series 57). The affirmations are due to the key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO Synthetic) transactions. Moody's rating action is: Issuer: Vertical Millbrook 2007-1 - Series 56 US$90,000,000 Class A-1 Variable Floating Rate Credit-Linked Notes Due October 12, 2052, Affirmed at Ca (sf); previously on Feb 10, 2010 Downgraded to Ca (sf) Issuer: Vertical Millbrook 2007-1 - Series 57 US$40,000,000 Class A-1A Variable Rate Credit-Linked Notes due August 25, 2037, Affirmed at Ca (sf); previously on Feb 10, 2010 Downgraded to Ca (sf) RATINGS RATIONALE Series 56 and Series 57 are synthetic CRE CDOs backed by the same static portfolio of reference obligations with the same attachment/detachment points. The reference obligations are comprised of commercial mortgage backed securities and REIT bonds. All of the CMBS reference obligations were securitized between 2005 and 2007. The Notes are funded in eligible assets such as cash and cash equivalent assets. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated reference obligations. The bottom-dollar WARF is a measure of the default probability within a reference obligation pool. Moody's modeled a bottom-dollar WARF of 8,265 compared to 8,220 at last review. The distribution of current ratings and credit estimates is: Baa1-Baa3 (5.3% compared to 6.5% at last review), Ba1-Ba3 (3.6% compared to 3.2% at last review), B1-B3 (5.3% compared to 6.5% at last review), and Caa1-C (85.8% compared to 83.9% 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 4.9 years compared to 5.3 years at last review. WARR is the par-weighted average of the mean recovery values for the reference obligations in the pool. Moody's modeled a variable WARR with a mean of 3.2% compared to 3.4% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the reference obligation pool (i.e. the measure of diversity). Moody's modeled a MAC of 0% compared to 100% at last review. The change in MAC is due to the number of high credit risk exposures in the reference pool. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. 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 commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in these ratings 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. WACHOVIA BANK: S&P Affirms 'B' Class O Certificate Rating --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on five classes of commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust 2003-C4, a U.S. commercial mortgage-backed securities (CMBS) transaction. "In addition, we affirmed our ratings on 11 other classes from the same transaction," S&P said. "The upgrades reflect the strong credit characteristics of the remaining pool collateral, as well as increased credit enhancement levels due to the deleveraging of the pool balance. Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.51x and a loan-to-value (LTV) ratio of 79.8%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 1.30x and an LTV ratio of 98.5%. The implied defaults and loss severity under the 'AAA' scenario were 23.0% and 24.1%, respectively. All of the DSC and LTV calculations noted above exclude the transaction's 11 ($58.9 million, 10.8%) defeased loans," 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-C interest-only (IO) certificate based on our current criteria," S&P said. "Our rating actions also considered the volume of upcoming loan maturities, and the liquidity available to the trust. Excluding defeased loans, 92 loans ($470.2 million, 86.0%) in the pool have an anticipated repayment date (ARD) or maturity date occurring by April 2013," S&P said. Transaction Summary "As of the Feb. 15, 2012 trustee remittance report, the pooled collateral had a balance of $546.7 million, down from $891.8 million at issuance. The pool currently includes 113 loans. The master servicer, Wells Fargo Commercial Mortgage Servicing, provided financial information for 98.3% of the pool (by balance), the majority of which reflected full-year 2010, partial-year 2011, or full-year 2011 data," S&P said. "We calculated a weighted average DSC of 1.55x for the pool based on the reported figures. Our adjusted DSC and LTV ratio were 1.51x and 79.8%, which exclude the transaction's 11 ($58.9 million, 10.8%) defeased loans. To date, the pool has experienced $5.3 million in principal losses related to three assets. Eighteen loans ($61.5 million, 11.3%), including one ($12.0 million, 2.2%) of the top 10 loans in the pool, are on the master servicer's watchlist. Fifteen ($52.6 million, 9.6%) loans have reported DSC under 1.10x, eight ($19.3 million, 3.5%) of which have reported DSC under 1.00x," S&P said. Summary of Top 10 Loans Secured By Real Estate "The top 10 loans secured by real estate have an aggregate outstanding pooled balance of $171.6 million (31.4%). Using servicer-provided financial information, we calculated an adjusted DSC of 1.55x and LTV ratio of 76.9% for the top 10 loans. The Calabasas Courtyard loan ($12.0 million, 2.2%), the eighth-largest loan in the pool, appears on the master servicer's watchlist for low reported DSC and occupancy which, as of September 2011, were 1.02x and 69.1%," S&P said. Credit Considerations As of the Feb. 15, 2012 trustee remittance report, there were no loans with the special servicer, Torchlight Loan Services LLC. Excluding defeased loans, 92 loans ($470.2 million, 86.0%) in the pool have an ARD or maturity date occurring by April 2013. Standard & Poor's stressed the loans in the pool according to its current criteria, and the analysis is consistent with the raised 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. Ratings Raised Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2003-C4 Rating Class To From Credit enhancement (%) C AAA (sf) AA+ (sf) 24.92 D AA+ (sf) AA (sf) 20.85 E AA (sf) AA- (sf) 18.60 F AA- (sf) A+ (sf) 16.36 G A+ (sf) A (sf) 14.12 Ratings Affirmed Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2003-C4 Class Rating Credit enhancement (%) A-2 AAA (sf) 33.28 A-1A AAA (sf) 33.28 B AAA (sf) 26.96 H A- (sf) 11.88 J BBB- (sf) 8.20 K BB+ (sf) 6.57 L BB (sf) 5.35 M BB- (sf) 4.13 N B+ (sf) 3.92 O B (sf) 3.11 X-C AAA (sf) N/A N/A -- Not applicable. WACHOVIA CRE: Fitch Keeps Junk Rating on Thirteen Note Classes -------------------------------------------------------------- Fitch Ratings maintains all classes of Wachovia CRE CDO 2006-1, Ltd. (Wachovia CRE CDO 2006-1) on Rating Watch Positive. Preliminary information continues to indicate significant overall improvement in the CDO's collateral since Fitch's last rating action. Fitch has requested further details on the assets. The information is expected to be received within the next 30 days, at which time, a full review will be conducted. Upgrades across the capital stack are expected. The CDO exited its reinvestment period in September 2011 and has begun to pay down its liabilities. As of the January 2012 trustee report, classes A-1A and A-2A have received approximately $117 million in principal repayment. Wachovia CRE CDO 2006-1 is a CRE collateralized debt obligation (CDO) managed by Structured Asset Investors, LLC with Wells Fargo Bank, N.A., successor-by-merger to Wachovia Bank, N.A., as sub- advisor. Fitch maintains these classes on Rating Watch: -- $534,755,475 class A-1A notes 'BBsf'; Rating Watch Positive; -- $68,500,000 class A-1B notes 'BBsf'; Rating Watch Positive; -- $110,392,829 class A-2A notes 'Asf'; Rating Watch Positive; -- $145,000,000 class A-2B notes 'BB'; Rating Watch Positive; -- $53,300,000 class B notes 'CCCsf'; Rating Watch Positive; -- $39,000,000 class C notes 'CCCsf'; Rating Watch Positive; -- $12,350,000 class D notes 'CCCsf'; Rating Watch Positive; -- $13,650,000 class E notes 'CCCsf'; Rating Watch Positive; -- $24,700,000 class F notes 'CCCsf'; Rating Watch Positive; -- $16,900,000 class G notes 'CCCsf'; Rating Watch Positive; -- $35,100,000 class H notes 'CCCsf'; Rating Watch Positive; -- $13,000,000 class J notes 'CCsf'; Rating Watch Positive; -- $14,950,000 class K notes 'CCsf'; Rating Watch Positive; -- $9,100,000 class L notes 'CCsf'; Rating Watch Positive; -- $34,450,000 class M notes 'Csf'; Rating Watch Positive; -- $16,250,000 class N notes 'Csf'; Rating Watch Positive; -- $6,500,000 class O notes 'Csf'; Rating Watch Positive. WAVE 2007-1: Moody's Lowers Cl. A-1 Notes Rating to 'Caa1' ---------------------------------------------------------- Moody's Investors Service has downgraded the rating of one class and affirmed the ratings of ten classes of Notes issued by WAVE 2007-1. The downgrade is due to deterioration in the credit quality of the underlying collateral as evidenced by an increase in the weighted average rating factor (WARF) and a decrease in the weighted average recovery rate (WARR). 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 and Re-Remic) transactions. Cl. A-1, Downgraded to Caa1 (sf); previously on Mar 9, 2011 Downgraded to B1 (sf) Cl. A-2, Affirmed at Caa3 (sf); previously on May 6, 2010 Downgraded to Caa3 (sf) Cl. B, Affirmed at Ca (sf); previously on May 6, 2010 Downgraded to Ca (sf) Cl. C, Affirmed at Ca (sf); previously on May 6, 2010 Downgraded to Ca (sf) Cl. D, Affirmed at Ca (sf); previously on May 6, 2010 Downgraded to Ca (sf) US$2,690,833.33 Swap Transaction, Affirmed at Aaa (sf); previously on Apr 19, 2010 Assigned Aaa (sf) US$2,542,766.67 Swap Transaction, Affirmed at Aaa (sf); previously on Apr 19, 2010 Assigned Aaa (sf) US$1,666,666.66 Swap Transaction, Affirmed at Aaa (sf); previously on Apr 19, 2010 Assigned Aaa (sf) US$595,591.66 Swap Transaction, Affirmed at Aaa (sf); previously on Apr 19, 2010 Assigned Aaa (sf) US$516,666.67 Swap Transaction, Affirmed at Aaa (sf); previously on Apr 19, 2010 Assigned Aaa (sf) US$7,819,225 Swap Transaction, Affirmed at Aaa (sf); previously on Apr 19, 2010 Assigned Aaa (sf) RATINGS RATIONALE WAVE 2007-1 is a static CRE CDO transaction backed by a portfolio commercial mortgage backed securities (CMBS) (100% of the collateral balance). The collateral consists of AJ tranches (95.5%) and one AM tranche (4.5%); AJ tranches are the junior most tranches with an original Aaa rating at securitization, AM tranches are the mezzanine tranches, typically with an original 20% credit-enhancement level, that were rated Aaa at securitization. As of the January 31, 2012 Trustee report, the collateral par amount is $952.0 million compared to $2.0 billion at securitization. The reduction in the collateral par amount is due to an In-Kind Redemption in September 2011. There have been no paydowns or losses to the collateral pool. On March 31, 2010, Moody's assigned ratings to six upfront swaps (collectively the "Swaps") in the WAVE 2007-1 transaction. Each of the Swaps is dated as of June 18, 2007 and each is between SMBC Capital Markets, Inc. (the "Swap Counterparty") and the Trust. Moody's ratings address the risk posed to the Swap Counterparty on an expected loss basis arising from the inability of the Trust to honor its obligations under the Swaps. The ratings take into account the rating of the Swap Counterparty, the transactions' legal structure and the characteristics of the collateral pool of the trust. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated credit estimates for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom- dollar WARF of 2,579 compared to 1,665 at last review. The distribution of current ratings and credit estimates is: A1-A3 (0.0% compared to 6.3% at last review), Baa1-Baa3 (21.6% compared to 34.7% at last review), Ba1-Ba3 (25.7% compared to 24.9% at last review), B1-B3 (32.7% compared to 23.3% at last review), and Caa1- C (20.1% compared to 8.3% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 4.9 years compared to 6.3 at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 18.9% compared to 28.5% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 21.8% compared to 34.0% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 18.9% to 9.9% or up to 28.9% would result in average rating movement on the rated tranch of 0 notches downward and 0 to 1 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the 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. WOLCOTT SYNTHETIC: S&P Lowers 4 Classes of Note Ratings to 'CC' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four series of notes issued by Tiers Wolcott Synthetic CDO Floating Rating Credit Linked Trust, a synthetic collateralized debt obligation (CDO) that references investment-grade corporate entities. "At the same time, we affirmed our rating on one series from the same transaction," S&P said. "The downgrades reflect the reduced current outstanding principal balances for the four series of notes due to recent credit events in the underlying reference portfolio. The portfolio also includes short positions, which may increase the available credit support if any of the short positions trigger a credit event. The affirmation reflects the availability of sufficient 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," 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 Tiers Wolcott Synthetic CDO Floating Rate Credit Linked Trust Rating Series To From 2007-27 CC (sf) CCC- (sf) 2007-28 CC (sf) CCC- (sf) 2007-29 CC (sf) CCC- (sf) 2007-30 CC (sf) CCC- (sf) Rating Affirmed Tiers Wolcott Synthetic CDO Floating Rate Credit Linked Trust Series Rating 2007-26 CCC- (sf) ZOO HF 3: S&P Retains 'CC' Ratings on 2 Classes of Notes -------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on the class A and B notes from Zoo HF 3 PLC, a U.S. collateralized fund obligation (CFO) transaction backed by a diversified pool of hedge funds, following the classes' full paydowns on the Feb. 14, 2012 payment date. Zoo HF 3 plc is a CFO transaction backed by a diversified pool of hedge funds. The market often refers to this investment vehicle type as a 'fund of funds.' 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 Withdrawn Zoo HF 3 PLC Rating Class To From A NR AA (sf) B NR AA (sf) NR -- Not rated. Other Ratings Outstanding Zoo HF 3 PLC Class Rating C BB+ (sf) D CC (sf) E CC (sf) * Fitch Downgrades 331 Distressed Bonds in 139 US RMBS to 'Dsf' --------------------------------------------------------------- Fitch Ratings has downgraded 331 distressed bonds in 139 U.S. RMBS transactions to 'Dsf'. The downgrades indicate that the bonds have incurred a principal write-down. Of the bonds downgraded to 'Dsf', all classes were previously rated 'Csf' or 'CCsf'. All ratings below 'Bsf' indicate a default is expected. As part of this review, the Recovery Estimates of the defaulted bonds were not revised. Additionally, the review only focused on the bonds which defaulted and did not include any other bonds in the affected transactions. Of the 331 classes affected by these downgrades, 180 are prime, 120 are Alt-A, and 24 are Subprime. The remaining transaction types are other sectors. The majority of the bonds (59.2%) have a Recovery Estimate of 50% - 90%, which indicates that the bonds will recover 50% - 90% of the current outstanding balance, while 21.8% have a Recovery Estimate of 0%. The spreadsheet also details Fitch's assignment of Recovery Estimates (REs) to the transactions. The Recovery Estimate scale is based upon the expected relative recovery characteristics of an obligation. For structured finance, Recovery Estimates are designed to estimate recoveries on a forward-looking basis. * S&P Lowers Ratings on 5 Classes from US RMBS Transactions ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on five classes from three U.S. residential mortgage-backed securities (RMBS) transactions issued between 2001 and 2004. "Concurrently, we raised our ratings on five classes from two transactions. Additionally, we affirmed our ratings on 34 classes from the eight transactions in this review," S&P said. The transactions in this review are backed by subprime and Alt-A mortgage loan collateral issued from 2001 through 2004. "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," 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 rating scenarios. In addition, each upgrade reflects our assessment that the projected credit enhancement for each of the affected classes will be more than sufficient to cover projected losses at the raised rating levels; however, we are limiting the extent of the upgrades to reflect our view of the ongoing market risk," S&P said. "The affirmations reflect our belief that projected credit enhancement for these 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," 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 the remaining base-case loss assumptions at a percentage specific to each rating category, up to 150% for an '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 base- case loss assumptions under our analysis," S&P said. Subordination, any applicable overcollateralization, bond insurance, and excess spread provide credit support for the transactions in this review. 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 Chase Funding Loan Acquisition Trust Series 2003-C2 Series 2003-C2 Rating Class CUSIP To From B-1 161542DF9 B- (sf) AA+ (sf) B-2 161542DG7 CCC (sf) A+ (sf) B-3 161542DH5 CC (sf) B (sf) Conseco Finance Home Equity Loan Trust 2001-C Series 2001-C Rating Class CUSIP To From B-1 20847TBB6 BB (sf) B (sf) B-2 20846QHJ0 B- (sf) CC (sf) Impac Secured Assets Corp. Series 2001-8 Rating Class CUSIP To From M-2 45254TKG8 CCC (sf) AA (sf) MESA 2002-3 Global Issuance Company Series 2002-3 Rating Class CUSIP To From B-1 55274LAE6 BB (sf) BBB (sf) NovaStar Mortgage Funding Trust Series 2003-2 Series 2003-2 Rating Class CUSIP To From M-2 66987WAS6 B (sf) CCC (sf) M-3 66987WAT4 B- (sf) CCC (sf) B-1 66987WAU1 B- (sf) CC (sf) Ratings Affirmed Accredited Mortgage Loan Trust 2004-1 Series 2004-1 Class CUSIP Rating A-1 004375AU5 AA+ (sf) A-2 004375AV3 AA (sf) Chase Funding Loan Acquisition Trust Series 2003-C2 Series 2003-C2 Class CUSIP Rating IA 161542CY9 AAA (sf) IIA 161542DB8 AAA (sf) IA-X 161542CZ6 AAA (sf) IIA-X 161542DC6 AAA (sf) IA-P 161542DA0 AAA (sf) IIA-P 161542DD4 AAA (sf) B-4 161542DJ1 CC (sf) B-5 161542DK8 CC (sf) Conseco Finance Home Equity Loan Trust 2001-C Series 2001-C Class CUSIP Rating A-5 20847TAX9 AAA (sf) M-1 20847TAZ4 AA+ (sf) M-2 20847TBA8 A (sf) Impac Secured Assets Corp. Series 2001-8 Class CUSIP Rating A-6 45254TJZ8 AAA (sf) A-7 45254TKA1 AAA (sf) A-IO 45254TKB9 AAA (sf) A-PO 45254TKC7 AAA (sf) M-1 45254TKF0 AAA (sf) M-3 45254TKH6 CCC (sf) MESA 2002-3 Global Issuance Company Series 2002-3 Class CUSIP Rating M-2 55274LAD8 AAA (sf) Mid-State Capital Corporation 2004-1 Trust Series 2004-1 Class CUSIP Rating A 59560UAA9 AAA (sf) M-1 59560UAB7 AA (sf) M-2 59560UAC5 A- (sf) B 59560UAD3 BBB (sf) NovaStar Mortgage Funding Trust Series 2003-2 Series 2003-2 Class CUSIP Rating A-1 66987WAP2 AAA (sf) A-2 66987WAQ0 AAA (sf) M-1 66987WAR8 A+ (sf) NovaStar Mortgage Funding Trust Series 2003-3 Series 2003-3 Class CUSIP Rating A-1 66987XCQ6 AAA (sf) A-2C 66987XCT0 AAA (sf) A-3 66987XCU7 AAA (sf) M-1 66987XCV5 AA (sf) M-2 66987XCW3 A- (sf) M-3 66987XCX1 BB- (sf) B-1 66987XCY9 B- (sf) ********* 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 Peter Chapman at 240/629-3300. *** End of Transmission ***