/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/120617.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, June 17, 2012, Vol. 16, No. 167 Headlines ACCESS GROUP 2002-1: S&P Lowers Rating on Class B Notes to 'B' ALTERNATIVE LOAN 2007-9T1: S&P Cuts Rating on Class 2-A-22 to 'CC' AMAC CDO: Loss Expectation Cues Fitch to Affirm All Ratings BANC OF AMERICA: Fitch Lowers Rating on Four Certificate Classes BLUEMOUNTAIN CLOD 2012-1: S&P Gives 'BB' Rating to Class E Notes C-BASS CBO VII: Fitch Affirms Junk Rating on $14MM Class D Notes C-BASS MORTGAGE: Moody's Confirms Caa1 Rating on Cl. M-2 Tranche C-BASS MORTGAGE: Moody's Confirms 'B3' Rating on Cl. M-3 Tranche CBA COMMERCIAL: Fitch Affirms Junk Rating on Three Note Classes CENTEX HOME: Moody's Downgrades Rating on Class BF RMBS to 'Ca' CHASE FUNDING: Moody's Lowers Rating on Cl. B-1 Tranche to 'Ba1' CIT HOME: Moody's Upgrades Rating on Cl. MV-1 Tranche to 'B1' CLOVERIE PLC: S&P Withdraws 'CCC-' Rating on Tranche 2007-4 CPS AUTO 2012-B: Moody's Assigns '(P)B2' Rating to Class D Notes CPS AUTO 2012-B: S&P Gives 'B+' Rating on Class D Notes CREDIT SUISSE 2005-C2: S&P Affirms 'CCC-' Rating on Cl. A-J CMBS CREST G-STAR 2001-2: S&P Affirms 'CCC-' Rating on Composite Notes CWMBS INC 2003-J11: Moody's Lowers Rating on One Tranche to 'B3' DUKE FUNDING VI: S&P Lowers Rating on Class X Notes to 'D' FIRST UNION: Fitch Affirms 'Dsf' Rating on $8.7MM Class M Certs. GMAC COMMERCIAL: Higher Expected Losses Cue Fitch to Lower Ratings GREENWICH CAPITAL 2006-FL4: Fitch Junks Rating on 5 Note Classes G-STAR 2002-1: Fitch Affirms Junk Rating on Three Note Classes GS MORTGAGE 1998-C1: Fitch Affirms 'Dsf' Ratings on 2 Securities GS MORTGAGE 2007-EOP: S&P Affirms 'B-' Rating on Class L Certs. GS MORTGAGE 2012-GCJ7: Moody's Rates Class F Certificates 'B2' KEY COMMERCIAL 2007-SL1: Fitch Junks Rating on 6 Cert. Classes KIRKWOOD CDO 2004-1: Moody's Raises Rating on A Notes to 'Caa1' KODIAK CDO I: S&P Lowers Rating on Class A-2 From 'BB' to 'BB-' LANDMARK VIII: Moody's Raises Rating on Class D Notes From Ba1 LB-UBS COMMERCIAL 2002-C7: Fitch Cuts Rating on 2 Certs. to 'Csf' LB-UBS COMMERCIAL 2005-C5: S&P Cuts Rating on Class F to 'B+' LEHMAN BROS 2006-LLF: S&P Raises Rating on Cl. E Certs. to 'BB-' LONG GROVE: S&P Withdraws 'B+' Rating on Class D Notes MERRILL LYNCH: Moody's Takes Action on $205MM in 2001-2004 RMBS MERRILL LYNCH 2005-CIP1: Expected Losses Cues Fitch to Cut Ratings MORGAN STANLEY 1998-HF2: Fitch Affirms 'Dsf' Rating on $4MM Certs MORGAN STANLEY 2001-IQ: Fitch Affirms Ratings on 3 Cert. Classes MORGAN STANLEY 2004: Moody's Cuts Ratings on 10 RMBS Class to 'C' MORGAN STANLEY 2007-TOP25: Fitch Keeps D Rating on 9 Note Classes MORGAN STANLEY 2001-IQ: Fitch Affirms Ratings on 3 Cert. Classes MORGAN STANLEY 2011-C2: Fitch Affirms 'B-' Rating on $15.2MM Certs MOUNTAIN CAPITAL II: Moody's Ups Rating on B-1L Notes From 'Ba2' MT WILSON: Moody's Ugprades Rating on Class E Notes to 'Ba2' NACM CLO I: Moody's Raises Rating on Class D Notes to 'Ba2' NEW CENTURY: Moody's Confirms 'Ca' Rating on Cl. M-5 RMBS Tranche NOVASTAR MORTGAGE: Moody's Lifts Cl. M-2 Tranche Rating to 'Caa1' PARK PLACE: Moody's Cuts Rating on Cl. M-4 RMBS Tranche to 'Caa3' PARTS PRIVATE: Deteriorating Performance Cues Fitch to Cut Ratings PPLUS TRUST: Moody's Cuts Rating on Class B Certificates to 'Ba2' RAMP SERIES 2002-RS2: Moody's Cuts Rating on M-I-2 Tranche to 'C' SNAAC AUTO 2012-1: S&P Gives 'BB' Rating on Class D Fixed Notes SOUNDVIEW HOME: Moody's Cuts Rating on II-A-4 Tranche to 'Caa2' SOUTH STREET 2000-1: Fitch Withdraws 'D' Rating on 5 Note Classes VENTURE X: Moody's Assigns 'Ba2' Rating to Class E Notes VENTURE X: S&P Gives 'BB-' Rating on Class F Deferrable Notes WACHOVIA BANK: Fitch Affirms 'CC' Ratings on 9 Cert. Classes WAVE SPC 2007-1: S&P Lowers Ratings on 4 Classes to 'D(sf)' * Moody's Puts $378MM Resecuritized RMS on Review for Upgrade * Moody's Takes Rating Actions on $49-Mil. Subprime RMBS * Moody's Says US Comm'l Real Estate Prices Down 0.6% in April * S&P Lowers Ratings on 9 Classes From 3 U.S. RMBS Re-REMIC Deals * S&P Raises Ratings on 17 Tranches From 9 U.S. CDO Transactions * S&P Takes Actions on 312 Classes from 22 US RMBS Transactions ********* ACCESS GROUP 2002-1: S&P Lowers Rating on Class B Notes to 'B' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class B notes from Access Group Inc.'s series 2002-1, 2003-1, and 2004-1 issuances and removed them from CreditWatch negative, where S&p placed them on Nov. 9, 2010. "At the same time, we affirmed our ratings on the class A notes from the same series," S&P said. "The rating actions reflect the trust's collateral performance to date, our views regarding future collateral performance, the trust's structure, and the credit enhancement available. In addition, our analysis incorporated cash flow modeling and secondary credit factors such as credit stability, payment priorities under certain scenarios, and sector- and issuer- specific analysis," S&P said. STRUCTURE The liabilities in each series are composed of both taxable floating-rate notes (FRNs) and auction-rate notes (ARS)-- approximately 54% and 46%. All of the class B notes are ARS. The FRNs pay interest based on three-month-LIBOR and are intended to pay down their principal based on predetermined principal amortization schedules. If the auctions fail for the ARS, the trust documents stipulate that the ARS pay interest at the maximum auction rate defined as the lesser of: - LIBOR plus a margin of 1.50% with respect to any class of notes rated at least 'A-(sf)' by at least two rating agencies; - The 90-day T-bill rate plus a margin of 1.2% to 1.75%, depending on the rating; - A net loan rate, which is the weighted average return on the trust's student loans less expenses and interest on the FRNs expressed as a percentage of the average principal amount of the ARS notes; or - 18%. "At closing, the trust structure for all of the notes provided a sequential principal payment waterfall with an initial senior parity of 101.6% and a total parity of 98.1%. For the FRNs, principal distributions are scheduled to be paid according to a predetermined schedule. The series can use any excess cash to pay down the ARS. If the assets do not generate enough cash to adhere to the overall schedule, the principal distribution amount is allocated first to the 2002-1 FRNs and second to the 2003-1 FRNs until they meet the scheduled remaining principal amounts, and lastly to the 2004-1 FRNs," S&P said. "The structure also permits optional subordinate note redemptions subject to a senior parity test of 105% and total parity of 100.5%. Since both parity numbers have not reached these thresholds, principal is paid sequentially and has only been paid to the class A notes," S&P said. "All classes of notes within each series benefit from a capitalized interest fund in the amount of the greater of 0.25% of the principal amount of the notes then outstanding, or 0.15% of the principal amount of the notes outstanding at issuance. The capitalized interest fund is available to, among other things, cover any shortfalls of interest if amounts available in the collection fund are insufficient," S&P said. TRUST PERFORMANCE "The percentage of loans in the student loan portfolio that are in nonpaying status (30-plus-days delinquent, deferment, forbearance, and in-school or grace) are currently approximately 12% of the total pool balance. As of March 2012, 30-plus-days delinquent loans, loans in deferment, and loans in forbearance were approximately 2.3%, 3.5%, and 6.3%. Recent historical numbers are shown in table 1," S&P said. Table 1 Collateral Performance Metrics As of December 31st 2011 2010 2009 30+ days delinquent 3.4% 3.5% 4.7% Deferment 3.7% 4.0% 6.7% Forbearance 7.1% 7.3% 5.4% "The senior parity level for the trust has increased since closing (see table 2). As of the April 2012 servicer report, which covered the first quarter of 2012, senior parity was 104.4%. The increases in parity over the past few years are primarily due to the scheduled principal paydowns of the FRNs. However, the total parity has been trending flat at approximately 98%. There has not been enough excess spread in the trust to build total parity primarily due to the increased cost of funds on the ARS, even though we have recently been experiencing a low interest rate environment," S&P said. Table 2 Parity As of December 31st 2011 2010 2009 Senior parity 104.4% 103.8% 103.3% Total parity 98.1% 98.1% 98.0% "Due to a high amount of loan consolidations within the collateral pool in the mid-2000s, the collateral is now composed of longer- dated assets, which pay down principal on different amortization schedules than originally anticipated. This has affected the scheduled principal payments on the FRNs. The 2002-1 FRNs are receiving their scheduled amortization payments and the 2003-1 FRNs are currently receiving quarterly principal payments, but not in an amount sufficient to meet their amortization schedule. The 2004-1 FRNs are not receiving any principal payments at this time. The 2003-1 and 2004-1 FRNs are behind in making their scheduled principal payments because the trust is not receiving enough cash at the speed and amount needed to meet all of the scheduled payments. The trust documents stipulate that if scheduled principal amortization payments are due on any of the FRNs, these payments will be allocated first to the 2002-1 notes and 2003-1 notes prior to distributions of principal on any other notes," S&P said. The legal final maturities for the FRNs are listed in table 3. Table 3 FRN Legal Final Maturities Current Outstanding ($) Legal Final Maturity 2002-1 A-2 44,277,000 9/1/2025 2003-1 A-2 84,304,292 12/27/2016 2004-1 A-1 50,721,165 12/28/2015 2004-1 A-2 414,672,000 9/26/2033 "To address the risk of failing to meet the near-term maturities of the 2003-1 A-2 and 2004 A-1 notes, we ran a variety of cash flow scenarios to test whether the trust assets will generate enough cash to pay these notes in full by their legal final maturity dates. The cash flow runs included different scenarios testing for both various prepayment speeds and default assumptions," S&P said. CASH FLOW MODELING ASSUMPTIONS S&P said it ran cash flows under various interest rate scenarios and rating stress assumptions. These are some of the major assumptions S&P modeled: - Rating-dependent default scenarios in the 6% to 18% range; - A moderately front-loaded six-year default curve; - Rejected servicer claims for government guaranteed reimbursements at a rate of 1.25% to 2.50% of the claims submitted; - Special allowance payments and interest rate subsidy delays of two months; - Delay of U.S. DOE claim reimbursement on defaulted loans of 630 days; - Two prepayment scenarios including 1) rating dependent prepayment speeds starting at approximately 3% CPR (constant prepayment rate, an annualized prepayment speed stated as a percent of the current loan balance) that ramp up 1% per year to a maximum rate of 5%-8% CPR, after which the applicable maximum rate was held constant, and 2) prepayments remaining flat at 2% CPR for the life of the transaction; - Deferment levels of 8% for four years; - Forbearance levels of 10% for three years; and - Auctions were failed for the life of each series and auction rate coupons were based on maximum rate definitions in the trust indentures. CASH FLOW MODELING RESULTS/RATING ACTIONS The benefit of the existing trust enhancement was partially offset by the limited available excess spread due to the maximum rate definitions of the ARS notes. "The downgrade of the class B notes reflects our view that, while the trust currently has the capacity to meet its debt service obligations, it is unlikely to repay the principal balances in full at their legal final maturity dates, absent significant consistent improvement in trust performance. The class B notes are currently undercollateralized, as evidenced by the sub-par total parity ratios. Accordingly, we lowered our ratings on the class B notes to 'B (sf)' from 'BBB (sf)'," S&P said. "However, the class A notes are supported by a senior parity level of 104.4%, as the transaction is building toward its senior parity threshold of 105%. Additionally, optional redemptions of class B notes cannot occur until the series achieve total parity of 100.5%. Lastly, no releases of enhancement can be contemplated unless the series realize total parity of 101%. The available enhancement to the class A notes includes existing parity, which continues to rise, and funds in the capitalized interest account. Additionally, the results of our analysis of the near-term maturities indicated that the (2004-1 A-1 and 2003-1 A-2 notes paid in full before the legal maturity dates in table 3 in all of our cash flow scenarios. Based on all of these factors, we affirmed our 'AA+ (sf)' ratings on the class A notes," S&P said. "Standard & Poor's will continue to monitor the performance of these series to assess whether the credit enhancement available remains adequate, in our view, to support the ratings on each class under various stress scenarios," 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 AND REMOVED FROM CREDITWATCH NEGATIVE Access Group Inc. US$488.9 mil federal student loan asset-backed notes series 2002-1 Rating Class CUSIP To From B 00432CAP6 B (sf) BBB (sf)/Watch Neg Access Group Inc. US$669.154 mil federal student loan asset-backed notes series 2003-1 Rating Class CUSIP To From B 00432CBE0 B (sf) BBB (sf)/Watch Neg Access Group Inc. US$750 mil federal student loan asset-backed notes series 2004-1 Rating Class CUSIP To From B 00432CBT7 B (sf) BBB (sf)/Watch Neg Ratings Affirmed Access Group Inc. US$488.9 mil federal student loan asset-backed notes series 2002-1 Class CUSIP Rating A-2 00432CAL5 AA+ (sf) A-3 00432CAM3 AA+ (sf) A-4 00432CAN1 AA+ (sf) Access Group Inc. US$669.154 mil federal student loan asset-backed notes series 2003-1 Class CUSIP Rating A-2 00432CAY7 AA+ (sf) A-3 00432CAZ4 AA+ (sf) A-4 00432CBA8 AA+ (sf) A-5 00432CBB6 AA+ (sf) A-6 00432CBC4 AA+ (sf) Access Group Inc. US$750 mil federal student loan asset-backed notes series 2004-1 Class CUSIP Rating A-1 00432CBM2 AA+ (sf) A-2 00432CBN0 AA+ (sf) A-3 00432CBP5 AA+ (sf) A-4 00432CBQ3 AA+ (sf) A-5 00432CBR1 AA+ (sf) ALTERNATIVE LOAN 2007-9T1: S&P Cuts Rating on Class 2-A-22 to 'CC' ------------------------------------------------------------------ Standard & Poor's Ratings Services corrected its ratings on eight classes from three transactions by raising them. "At the same time, we corrected our ratings on two classes from two transactions by lowering them," S&P said. "Five of the corrected ratings were from Morgan Stanley Mortgage Loan Trust 2007-13. We previously lowered these ratings to 'D (sf)' after the classes experienced write downs, as reported in the January 2011 remittance report. We raised our ratings to 'CC (sf)' on these classes to reflect the revised remittance reports the trustee provided. The revised reports show that these classes are not experiencing current or cumulative write downs as of the May 2012 remittance period," S&P said. "We incorrectly lowered our ratings on class II-A-16 from Wells Fargo Mortgage Backed Securities 2007-8 Trust and classes A-3 and A-4 from Wells Fargo Mortgage Backed Securities 2007-15 Trust to 'CC (sf)' due to an error," S&P said. "We incorrectly affirmed our 'CCC (sf)' ratings on class 2-A-22 from Alternative Loan Trust 2007-9T1 and class 2-A-1 from MASTR Asset Securitization Trust 2006-2 on Feb. 16, 2010, and Aug. 11, 2011, respectively, due to an error. At that time, both ratings should have been lowered to 'CC (sf)' based on the classes' exchangeable schedules," S&P said. "The corrected ratings take into account the exchangeable schedule for these classes. All of the corrected ratings reflect our analysis of the projected credit support relative to the projected losses for these classes as of the May 2012 remittance 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS CORRECTED Alternative Loan Trust 2007-9T1 Series 2007-9T1 Rating Class CUSIP Current 2/16/10 Pre-2/16/10 2-A-22 02150JDG4 CC (sf) CCC (sf) CCC (sf) MASTR Asset Securitization Trust 2006-2 Series 2006-2 Rating Class CUSIP Current 8/11/11 Pre-8/11/11 2-A-1 55274QBM6 CC (sf) CCC (sf) CCC (sf) Morgan Stanley Mortgage Loan Trust 2007-13 Rating Class CUSIP Current 2/25/11 Pre-2/25/11 5-A-4 61756HBL3 CC (sf) D (sf) CCC (sf) 7-A-5 61756HBX7 CC (sf) D (sf) CCC (sf) 7-A-9 61756HCB4 CC (sf) D (sf) CCC (sf) 7-A-13 61756HCF5 CC (sf) D (sf) CCC (sf) 7-A-15 61756HCH1 CC (sf) D (sf) CCC (sf) Wells Fargo Mortgage Backed Securities 2007-8 Trust Rating Class CUSIP Current 7/22/11 Pre-7/22/11 II-A-16 94986ABR8 CCC (sf) CC (sf) BB (sf)/Watch Neg Wells Fargo Mortgage Backed Securities 2007-15 Trust Rating Class CUSIP Current 2/22/10 Pre-2/22/10 A-3 949797AC8 CCC (sf) CC (sf) BBB+ (sf)/ Watch Neg A-4 949797AD6 CCC (sf) CC (sf) BBB+ (sf)/ Watch Neg AMAC CDO: Loss Expectation Cues Fitch to Affirm All Ratings ----------------------------------------------------------- Fitch Ratings affirms all classes of AMAC CDO Funding I. The rating affirmations reflect Fitch's base case loss expectation of 11.7%, an improvement from 17.5% at the 2011 review. Fitch has also revised the Rating Outlook for class A-1 to Positive from Stable and class A-2 to Stable and Negative The Outlook revisions are based on the decrease in loss expectations in the base case. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. The transaction is primarily collateralized by senior commercial real estate (CRE) debt. Most of this senior debt is secured by stabilized multifamily properties that are lowly levered relative to loans in other CRE collateralized debt obligation (CDOs). The transaction's base case loss expectation of 11.7% is well below the loss expectations for typical CRE CDOs, which usually contain subordinate debt including B-notes and mezzanine debt. Consequently, the transaction's senior-most class maintains an investment grade rating despite its relatively low credit enhancement level of 36.9%. Presently, there are no defaulted loans in the pool. Approximately 10% of the pool is considered a Fitch Loan of Concern. The class C and class D/E overcollateralization (OC) tests have breached their respective covenants. As a result, classes D and below continue not to receive any interest proceeds as of the April 2012 trustee report. All excess interest (after class C) is currently being redirected to redeem the class A notes. As a result of ongoing amortization payments as well as loan payoffs, the class A balance has been reduced by approximately $10 million since the last review. AMAC CDO is a $361 million CRE CDO managed by C-III Asset Management. The transaction's five year reinvestment period ended in November 2011. As of the April 2012 trustee report and per Fitch categorizations, the CDO was substantially invested as follows: -- CRE whole loan/A-notes (96.8%); -- B-notes (2.6%); and -- Mezzanine loans (0.6%). Under Fitch's updated methodology, approximately 58.4% of the portfolio is modeled to default in the base case stress scenario (defined as the 'B' stress). In this scenario, the modeled average cash flow decline is 6.7% from generally year-end 2011 cash flows. Fitch estimates that average recoveries will be high relative to other CRE loan CDOs at 79.9%, due to the senior position of the majority of the debt and relatively low overall leverage. The largest component of Fitch's base case loss is a whole loan (6%) secured by a 203,000 sf office property located in Bethpage, NY. A significant tenant vacated their space at lease maturity, leaving cash flow low as a result. The sponsor has re-leased a large component of the space. When all signed tenants are in occupancy, the effective occupancy rate will be approximately 72%. The sponsor continues to actively market the remaining available space. The next largest component of Fitch's base case loss is a B-note (1.6%) secured by a 281,000 sf suburban office complex consisting of two, four-story buildings built in 2000 and 2001. The property is located in Indianapolis, IN, approximately 15-miles northwest of the CBD. Although the property continues to demonstrate stable performance, it remains highly leveraged. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions'. The criteria applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various defaults timing and interest rate stress scenarios as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. The breakeven rates for classes A-1, A-2, and B pass the cash flow model at the ratings listed below. The ratings for classes C through F are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern, factoring in anticipated recoveries relative to each class's credit enhancement. Fitch affirms the following classes and revises the Outlooks and Recovery Estimates as indicated: -- $208,844,646 class A-1 at 'BBBsf'; Outlook to Positive from Stable; -- $50,000,000 class A-2 at 'BBsf'; Outlook to Stable from Negative; -- $20,000,000 class B at 'Bsf'; Outlook Negative; -- $15,171,554 class C at 'CCCsf'; RE 50%; -- $12,671,259 class D-1 at 'CCsf'; RE 0%; -- $6,161,510 class D-2 at 'CCsf'; RE 0%; -- $6,415,535 class E at 'CCsf'; RE 0%; -- $16,224,127 class F at 'Csf'; RE 0%. BANC OF AMERICA: Fitch Lowers Rating on Four Certificate Classes ---------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed 14 classes of Banc of America Commercial Mortgage Inc., commercial mortgage pass- through certificates, series 2004-6 (BACM 2004-6). The downgrades reflect an increase in Fitch modeled losses across the pool. Fitch modeled losses of 11% of the remaining pool; modeled losses of the original pool are at 6.6%, including losses already incurred to date. As of the May 2012 distribution date, the pool's certificate balance has been reduced by 40.5% (to $569.58 million from $956.59 million), of which 40.4% was due to paydowns and 0.1% was due to realized losses. Two loans, representing 2.4% of the pool, have been defeased. Fitch has designated 30 loans (66%) as Fitch Loans of Concern, which includes five specially serviced loans (6.9%). The largest contributor to modeled losses is a loan (8.3%) secured by 496,895 square feet of a 750,377 square foot (sf) regional mall located in Springfield, OH. The loan was previously transferred to special servicing in June 2010 for imminent default and was subsequently modified. The terms of the modification included the bifurcation of the loan into an A-note and a B-note and the extension of the loan's maturity date. The loan has since transferred back to the master servicer. Fitch views the B-note portion of the loan as a hope note. As of year-end (YE) 2011, occupancy at the property was stable at 87%. The second largest contributor to modeled losses is a loan (4.5%) secured by a 171,365 sf office property located in Los Angeles, CA. For YE 2011, the debt service coverage ratio was 0.48 times, on a net-operating income basis. As of the March 2012 rent roll, the property was 77% occupied. The second largest tenant (16% of the net rentable area) vacated the property when its lease expired at the end of 2011. Operating expenses at the property have been higher than expected since the loan's inception. YE 2011 operating expenses increased 14% when compared to YE 2010 and 144% when compared to issuance. The increase in operating expenses is the result of an increase in real estate taxes and insurance expenses. The third largest contributor to modeled losses is a specially serviced loan (2.8%) secured by a 359,462 sf mixed use property located in Tustin, CA. The property improvements include a 15- building business park, a single tenant 60,000 sf building, and a 579 unit self storage facility. The loan was transferred to special servicing in December 2011 for imminent default. The borrower indicated in a letter to the master servicer that they would no longer be able to support operating shortfalls. The special servicer and the borrower continue to discuss loan workout options. Fitch has downgraded and revised Rating Outlooks on the following classes as indicated: -- $9.6 million class E to 'BBB-sf' from 'A-sf'; Outlook to Negative from Stable; -- $14.3 million class F to 'Bsf' from 'BBB-sf'; Outlook Negative; -- $9.6 million class G to 'B-sf' from 'BBsf'; Outlook Negative; -- $13.2 million class H to 'CCCsf' from 'B-sf'; RE 0%. In addition, Fitch has affirmed the following classes: -- $89.5 million class A-3 at 'AAAsf'; Outlook Stable; -- $35.4 million class A-4 at 'AAAsf'; Outlook Stable; -- $16.5 million class A-AB at 'AAAsf'; Outlook Stable; -- $237.4 million class A-5 at 'AAAsf'; Outlook Stable; -- $56.2 million class A-J at 'AAAsf'; Outlook Stable; -- $19.1 million class B at 'AAsf'; Outlook Stable; -- $9.6 million class C at 'AA-sf'; Outlook Stable; -- $17.9 million class D at 'Asf'; Outlook Stable; -- $6 million class J at 'CCCsf'; RE 0%; -- $4.8 million class K at 'CCCsf'; RE 0%; -- $4.8 million class L at 'CCCsf'; RE 0%; -- $3.6 million class M at 'CCsf'; RE 0%; -- $3.6 million class N at 'Csf'; RE 0%; -- $4.8 million class O at 'Csf'; RE 0%. Classes A-1 and A-2 have paid in full. Fitch does not rate class P. Fitch had previously withdrawn the rating on the interest-only classes X-C and X-P. BLUEMOUNTAIN CLOD 2012-1: S&P Gives 'BB' Rating to Class E Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to BlueMountain CLO 2012-1 Ltd./BlueMountain CLO 2012-1 LLC's $369.2 million floating-rate notes. The note issuance is a cash flow collateralized loan obligation securitization of a revolving pool consisting primarily of broadly syndicated senior-secured loans. The ratings reflect S&P's assessment of: - The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. - The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. - The transaction's legal structure, which is expected to be bankruptcy remote. - The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. - The portfolio manager's experienced management team. - S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.16%-13.80%. - The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. - The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification of excess interest proceeds that are available prior to paying uncapped administrative expenses and fees, subordinated hedge and synthetic security termination payments, portfolio manager incentive fees, and subordinated note payments to principal proceeds for the purchase of additional collateral assets during the reinvestment period. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111639.pdf RATINGS ASSIGNED BlueMountain CLO 2012-1 Ltd./BlueMountain CLO 2012-1 LLC Class Rating Amount (mil. $) A AAA (sf) 253.9 B AA (sf) 43.7 C (deferrable) A (sf) 34.8 D (deferrable) BBB (sf) 19.4 E (deferrable) BB (sf) 17.4 Subordinated notes NR 40.6 NR-Not rated. C-BASS CBO VII: Fitch Affirms Junk Rating on $14MM Class D Notes ---------------------------------------------------------------- Fitch Ratings has upgraded two and affirmed one class of notes issued by C-BASS CBO VII, Ltd./Corp. (C-BASS VII) as follows: -- $2,336,648 class B notes upgraded to 'AAAsf' from 'AAsf'; Outlook Stable; -- $20,000,000 class C notes upgraded to 'BBBsf' from 'BBsf'; Outlook Stable; -- $14,575,580 class D notes affirmed at 'CCCsf'. 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, as described below, to conclude the rating affirmations for the rated notes. Since Fitch's last rating action in June 2011, the credit quality of the collateral has deteriorated with approximately 30.4% of the portfolio downgraded a weighted average of 3.3 notches, and 5.8% upgraded a weighted average of 3.2 notches. Approximately 71% of the portfolio has a Fitch derived rating below investment grade and 57.5% rated in the 'CCC' category or lower, compared to 70.8% and 57%, respectively, at last review. The upgrade of the class B notes is due to the amortization of the notes increasing credit enhancement which more than offset the deterioration of the underlying portfolio. Since the last review, the class B notes have received approximately $10.8 million of principal repayment, or 82.2% of its previous outstanding balance. A portion of the paydowns to the class B notes was due to interest collected from defaulted assets in the portfolio. Fitch expects these notes to be paid in full within the next one to two distribution dates. The amortization of the capital structure has also increased the class C credit enhancement (CE) level significantly, providing sufficient cushion for the notes to withstand potential further negative migration in the portfolio. Although the notes are passing higher ratings than 'BBBsf' based on the cash flow modeling results, concentration risk and potential adverse selection remain a concern as the portfolio continues to amortize. Only 42.5% of the portfolio is considered performing (rated above 'CCCsf'), with the five largest assets representing more than 59% of the performing portfolio. Fitch has maintained the Stable Outlook for the class B and class C notes due to the expected stable future performance of the classes, with cash flow modeling results displaying a cushion above their current ratings in all scenarios. Fitch does not assign Rating Outlooks to classes rated 'CCC' or below. The affirmation of the class D notes is due to amortization of the class B notes offsetting the deterioration in the portfolio. The notes are likely to remain outstanding beyond a two year horizon, exposing them to potential further negative migration. C-BASS VII is a cash flow structured finance collateralized debt obligation that closed on July 30, 2003. The portfolio is currently monitored by NIC Management LLC, an affiliate of Newcastle Investment Corp., who became the substitute collateral manager for Credit-Based Asset Servicing & Securitization, LLC on Feb. 10, 2011. The portfolio is comprised of 75.3% residential mortgage-backed securities, 15.8% commercial and consumer asset- backed securities, and 8.9% SF CDOs from 1998 through 2003 vintage transactions. C-BASS MORTGAGE: Moody's Confirms Caa1 Rating on Cl. M-2 Tranche ---------------------------------------------------------------- Moody's Investors Service has confirmed the ratings of two tranches issued by C-Bass. The collateral backing the deals are subprime loans that were originated before 2005. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in these rating actions were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board still expects below-trend growth for the US economy for 2012, with the unemployment rate remaining high, between 8% and 9%, and home prices dropping another 1% from their 4Q 2011 levels. Complete rating actions are as follows: Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1 Cl. M-1, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB2 Cl. M-2, Confirmed at Caa1 (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF287654 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 C-BASS MORTGAGE: Moody's Confirms 'B3' Rating on Cl. M-3 Tranche ---------------------------------------------------------------- Moody's Investors Service has confirmed the rating of one tranche from C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005- CB3 backed by Subprime loans. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board still expects below-trend growth for the US economy for 2012, with the unemployment rate remaining high, above 7.5% through 2013, and home prices dropping another 1% from their 4Q 2011 levels. Complete rating actions are as follows: Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3 Cl. M-3, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Downgrade A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF288969 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 CBA COMMERCIAL: Fitch Affirms Junk Rating on Three Note Classes --------------------------------------------------------------- Fitch Ratings affirms all classes of CBA Commercial Assets, LLC, series 2004-1. As of the May 2012 distribution date, the transaction's balance has been reduced by 66.7% to $34 million from $102 million at issuance. The transaction is collateralized by 103 small balance commercial loans secured by multifamily, retail, office, industrial, and mixed use properties. The loans are smaller than typical CMBS loans with an average loan size of $330,277. Fitch does not receive updated operating information on the loans. The transaction has experienced higher than average delinquencies and realized losses to date. As of the May 2012 distribution date, 24.9% of the underlying loans are delinquent; with 15 loans (14.7%) in special servicing. The pool has experienced 6.7% in realized losses. Fitch modeled losses of 2.6% of the remaining pool. Fitch assumed a 70% loss severity for those loans already delinquent. The loss severity assumption is based upon the average loss experienced on recent dispositions of loans in the pool. Fitch affirms the following classes and revises the Recovery Estimate (RE) as indicated: -- $13.5 million class A-1 at 'BBsf'; Outlook Negative; -- $5.9 million class A-2 at 'BBsf'; Outlook Negative; -- $3.2 million class A-3 at 'BBsf'; Outlook Negative; -- $2.9 million class M-1 at 'Csf'; RE 100%; -- $3.6 million class M-2 at 'Csf'; RE 50%; -- $3.7 million class M-3 at 'Csf'; RE 0%. Class M-5 remains at 'Dsf'; RE 0% due to realized losses. Classes M-4, M-6, M-7, and M-8 are not rated by Fitch. Fitch had previously withdrawn the rating of the interest-only class I/O. CENTEX HOME: Moody's Downgrades Rating on Class BF RMBS to 'Ca' --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two tranches and confirmed the ratings of two tranches from one RMBS transaction backed by Subprime loans issued by Centex Home Equity Loan Trust. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (11% for all vintages 2004 and prior). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast. The unemployment rate fell from 9.0% in April 2011 to 8.2% in May 2012. Moody's forecasts a further drop to 7.8% for 2013. Moody's expects house prices to drop another 1% from their 4Q2011 levels. Complete rating actions are as follows: Issuer: Centex Home Equity Loan Trust 2004-D Cl. MF-1, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. MF-2, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade Cl. MF-3, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade Cl. BF, Downgraded to Ca (sf); previously on Mar 18, 2011 Downgraded to Caa3 (sf) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF287685 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 CHASE FUNDING: Moody's Lowers Rating on Cl. B-1 Tranche to 'Ba1' ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one tranche, confirmed the ratings of three tranches, and reinstated the ratings of two tranches issued by Chase Funding Loan Acquisition Trust 2003-C2. The collateral backing this RMBS transaction primarily consists of first-lien, subprime mortgages. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008 and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The methodology used in rating Interest-Only Securities is "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's has also reinstated the ratings of the Class IA-X and IIA- X interest-only tranches, which were withdrawn on May 28, 2009 due to an internal administrative error. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. When assigning the final ratings to senior bonds, in addition to the methodologies described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board still expects below-trend growth for the US economy for 2012, with the unemployment rate remaining high, above 7.5% through 2013 and home prices dropping another 1% from their 4Q 2011 levels. Complete rating actions are as follows: Issuer: Chase Funding Loan Acquisition Trust 2003-C2 Cl. IA, Confirmed at A1 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade Cl. IIA, Confirmed at A1 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade Cl. IA-X, Reinstated to Ba3 (sf) Cl. IIA-X, Reinstated to Ba3 (sf) Cl. B-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. B-2, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF287649 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 CIT HOME: Moody's Upgrades Rating on Cl. MV-1 Tranche to 'B1' ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 2 tranches from CIT Home Equity Loan Trust 2002-2, backed by Subprime loans. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 76, the rate of delinquency is increased by 1% for every loan less than 76. For example, for a pool with 75 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board and Moody's Analytics (MA) still expect a below-trend growth for the US economy for 2012, with the unemployment rate remaining above 7.5% and home prices dropping another 1% from the levels seen in 4Q 2011. Complete rating actions are as follows: Issuer: CIT Home Equity Loan Trust 2002-2 Cl. AV, Upgraded to A1 (sf); previously on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade Cl. MV-1, Upgraded to B1 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF287672 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 CLOVERIE PLC: S&P Withdraws 'CCC-' Rating on Tranche 2007-4 ----------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on the notes issued by Cloverie PLC's series 2007-4, 2007-8, 2007-17, 2007-19, and 2007-29, which are synthetic corporate investment- grade collateralized debt obligation (CDO) transactions. The rating withdrawal follows the repurchase and cancellation of the notes. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The 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 RATINGS WITHDRAWN Cloverie PLC Series 2007-4 Rating Class To From Tranche 2007-4 NR CCC- (sf) Cloverie PLC Series 2007-8 Rating Class To From Tranche 2007-8 NR CCC- (sf) Cloverie PLC Series 2007-17 Rating Class To From Tranche 2007-17 NR CCC- (sf) Cloverie PLC Series 2007-19 Rating Class To From Tranche 2007-19 NR CCC- (sf) Cloverie PLC Series 2007-29 Rating Class To From Notes NR CCC- (sf) NRgNot rated. CPS AUTO 2012-B: Moody's Assigns '(P)B2' Rating to Class D Notes --------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by CPS Auto Receivables Trust 2012-B. This is the second senior/subordinated transaction of the year for Consumer Portfolio Services, Inc. (CPS). The complete rating actions are as follows: Issuer: CPS Auto Receivables Trust 2012-B Class A Notes, rated (P) A2 (sf); Class B Notes, rated (P) Baa3 (sf); Class C Notes, rated (P) Ba3(sf); Class D Notes, rated (P) B2 (sf); Ratings Rationale Moody's said the ratings are based on the quality of the underlying auto loans and their expected performance, the strength of the structure, the availability of excess spread over the life of the transaction, the experience and expertise of CPS as servicer, and the backup servicing arrangement with Aa3-rated Wells Fargo Bank, N.A. 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 underlying pool is 14.0%. The loss expectation was based on an analysis of CPS' portfolio vintage performance as well as performance of past securitizations, and current expectations for future economic conditions. The Assumption Volatility Score for this transaction is Medium/High versus a Medium for the sector. This is driven by the Medium/High assessment for Governance due to the unrated sponsor/servicer. 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 18.5%, 23% or 28%, the initial model output for the Class A notes might change from A2 to A3, Baa3, and Ba3, respectively. If the net loss used in determining the initial rating were changed to 15%, 17.5% or 19%, the initial model output for the Class B notes might change from Baa3 to Ba1, B1, and B3, respectively. If the net loss used in determining the initial rating were changed to 14.5%, 16% or 17%, the initial model output for the Class C notes might change from Ba3 to B1, B3, and Caa1, respectively. If the net loss used in determining the initial rating were changed to 14.25%, 16% or 17%, the initial model output for the Class D notes might change from B2 to 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. CPS AUTO 2012-B: S&P Gives 'B+' Rating on Class D Notes ------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to CPS Auto Receivables Trust 2012-B's $141.5 million asset-backed notes series 2012-B. The note issuance is an asset-backed securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of June 11, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: - The availability of approximately 34.5%, 27.8%, 21.2%, and 20.6% of credit support for the class A, B, C, and D notes based on stressed cash flow scenarios (including excess spread). "These credit support levels provide coverage of more than 2.3x, 1.75x, 1.45x, and 1.15x our 13.00-13.50% expected cumulative net loss range for the class A, B, C, and D notes. - The expectation that, under a moderate stress scenario of 1.75x S&P's expected net loss level, the ratings on the class A, B, and C notes will not decline by more than two rating categories during the first year, all else being equal. This is consistent with S&P's credit stability criteria, which outlines the outer bound of credit deterioration equal to a two-category downgrade within the first year for 'A', 'BBB', and 'BB' rated securities. - The credit enhancement underlying each of the preliminary rated notes, which is in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A, B, C, and D notes. - The timely interest and principal payments made to the preliminary rated notes under S&P's stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned preliminary ratings. - The collateral characteristics of the subprime automobile loans securitized in this transaction. - 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 PRELIMINARY RATINGS ASSIGNED CPS Auto Receivables Trust 2012-B Class Rating Type Interest Amount rate (mil. $) A A (sf) Senior Fixed 120.275 B BBB (sf) Subordinate Fixed 8.490 C BB (sf) Subordinate Fixed 7.075 D B+ (sf) Subordinate Fixed 5.660 CREDIT SUISSE 2005-C2: S&P Affirms 'CCC-' Rating on Cl. A-J CMBS ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on two classes of commercial mortgage pass-through certificates from Credit Suisse First Boston Mortgage Securities Corp.'s series 2005-C2, a U.S. commercial mortgage-backed securities (CMBS) transaction. "In addition, we affirmed our 'AAA (sf)' ratings on five other classes and our 'CCC- (sf)' rating on one class. We also withdrew our rating on one class from the same transaction," S&P said. "Our rating actions follow our analysis of the credit characteristics of the remaining collateral in the pool, the transaction structure, and the liquidity available to the trust. The downgrades reflect actual credit support erosion from liquidations associated to eight assets that resulted in cumulative losses to the trust totaling $88.5 million to date, as well as further credit support erosion that we anticipate will occur upon the eventual resolution of 11 ($180.2 million, 14.5%) of the 12 ($180.7 million, 14.6%) specially serviced assets," S&P said. "The affirmed ratings on the principal and interest certificates reflect subordination and liquidity support levels that are consistent with the outstanding ratings. We affirmed our 'AAA (sf)' rating on the class A-X interest-only (IO) certificate based on our current criteria. Furthermore, we withdrew our rating on the A-SP interest-only class following the reduction of this class' notional balance to zero, as noted in the May 2012 trustee remittance report," S&P said. "Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.27x and a loan-to-value (LTV) ratio of 101.7%. We further stressed the assets' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.96x and an LTV ratio of 131.7%. The implied defaults and loss severity under the 'AAA' scenario were 70.7% and 41.6%. The DSC and LTV calculations we noted above exclude 11 ($180.2 million, 14.5%) of the 12 ($180.7 million, 14.6%) special serviced assets and 12 ($76.3 million, 6.1%) defeased loans. We separately estimated losses for the excluded specially serviced assets and included them in the 'AAA' scenario implied default and loss severity figures," S&P said. CREDIT CONSIDERATIONS "As of the May 17, 2012, trustee remittance report, 12 ($180.7 million, 14.6%) assets in the pool were with the special servicers, CWCapital Asset Management LLC (CWCapital). The reported payment status of the specially serviced assets as of the May 2012 trustee remittance report is: eight ($35.5 million, 2.9%) are real estate-owned (REO), two ($6.9 million, 0.6%) are in foreclosure, one ($137.8 million, 11.1%) is 90-plus-days delinquent, and one ($500,216) is 30 days delinquent. Appraisal reduction amounts (ARAs) totaling $139.7 million were in effect for nine of the specially serviced assets. Details of the two largest specially serviced assets are set forth," S&P said. "The Tri-County Mall loan is the largest specially serviced loan and is the largest loan in the pool with a whole-loan balance of $146.5 million. The whole loan consists of a $137.8 million pooled balance and an $8.7 million non-pooled junior participation that is not rated by Standard & Poor's. The total current trust exposure is $148.5 million. The loan is secured by 1.1 million sq.-ft. of $1.3 million sq.-ft. regional mall in Springdale, Ohio, a suburb of Cincinnati. The loan was transferred to the special servicer, CWCapital, on Aug. 13, 2009, due to monetary default. The reported payment status of the loan is 90 plus days delinquent. According to CWCapital, it will proceed with foreclosure while still evaluating alternative workout strategies. An ARA of $119.3 million is in effect against the trust portion of this loan. We expect a significant loss upon the resolution of this loan," S&P said. "The Five Star Plaza asset ($13.5 million, 1.1%) is the second- largest asset with the special servicer and has a total trust exposure of $15.5 million. The collateral is a 133,451-sq.-ft. retail property in Rocklin, Calif., within the Sacramento metropolitan statistical area. The loan was transferred to CWCapital on Feb. 18, 2010, due to monetary default and became REO on Nov. 28, 2011. An ARA of $9.1 million is in effect for this loan. According to CWCapital, the property is currently being marketed for lease. The occupancy was 53% as of April 2012. We expect a significant loss upon the resolution of this asset," S&P said. "The 10 remaining assets with the special servicer have individual balances that represent less than 0.6% of the total pool balance. ARAs totaling $11.3 million are in effect against seven of these assets. We estimated losses for nine of these assets, arriving at a weighted average loss severity of 44.7%. The remaining asset was recently transferred to the special servicer," S&P said. TRANSACTION SUMMARY "As of the May 17, 2012, trustee remittance report, the collateral pool had a trust balance of $1.24 billion, down from $1.60 billion at issuance. The pool currently includes 135 loans and eight REO assets, down from 168 loans at issuance. The master servicer, KeyCorp Real Estate Capital Markets Inc. (KeyCorp), provided financial information for 86.3% (by balance) of the nondefeased loans in the pool, the majority of which is full-year 2011 data (78.7%)," S&P said. "We calculated a weighted average DSC of 1.21x for the pool based on the reported figures. Our adjusted DSC and LTV ratio were 1.27x and 101.7%, which exclude the 11 ($180.2 million, 14.5%) of the 12 ($180.7 million, 14.6%) specially serviced assets for which we separately estimated losses and 12 ($76.3 million, 6.2%) defeased loans. Thirty-four loans ($249.1 million, 20.1%), including four of the top 10 loans secured by real estate in the pool, are on the master servicers' combined watchlist. Thirty-one ($268.5 million, 21.6%) loans have a reported DSC below 1.10x, 23 ($214.7 million, 17.3%) of which have a reported DSC below 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 trust balance of $596.6 million (48.0%), which includes the non-pooled junior participant loan. Using servicer- reported numbers, we calculated a weighted average DSC of 1.05x for nine of the top 10 loans. Our adjusted DSC and LTV ratio for the top 10 loans were 1.10x and 115.4%. These figures exclude the Tri-County Mall loan, which we discussed above. Four of the top 10 loans ($246.2 million, 20.8%) in the pool are on the master servicers' combined watchlist," S&P said. "The SP-Portfolio loan ($80.7 million, 6.5%), the third-largest loan in the pool, consists of six cross-collateralized and cross- defaulted loans secured by six office properties totaling 676,029 sq. ft. all located in the Chicago central business district. Four of the six loans, which represent $55.1 million of the portfolio, are on the master servicers' combined watchlist due to a low reported DSC. The reported DSC and occupancy for the entire portfolio as of the year ended Dec. 31, 2011, was 0.95x and 93.4%," S&P said. "The Washington Mutual Irvine Campus loan ($55.4 million, 4.5%), the fifth-largest loan in the pool, is on the master servicers' combined watchlist due to the modification of the loan and a low reported DSC. The loan is secured by four low rise office buildings totaling 414,597 sq. ft. in Irvine, Calif. This loan was modified and returned to the trust on March 25, 2011. The modification terms included a $47.8 million principal-write off, as well as an interest-only period and loan term extension. The principal write-off of this loan resulted in a $44.5 million realized loss to the trust. The occupancy was 12.9%, according to the October 2011 rent roll," S&P said. "The Yorktown Apartments & Bluffs of Berkshire Apartments loan ($40.9 million, 3.2%), the six-largest loan in the pool, consists of two cross-collateralized and cross-defaulted loans secured by a 565-unit multifamily property in Houston (Yorktown) and a 382-unit garden-apartment complex in Austin, Texas (Bluffs of Berkshire). The Bluffs of Berkshire loan is on the master servicers' combined watchlist due to a low reported DSC, which was 0.94x for the year ended Dec. 31, 2011. The combined DSC and occupancy for the year ended Dec. 31, 2011, was 1.11x and 85.8%," S&P said. "The Newport & Sunchase & Benchmark loan ($27.4 million, 2.2%), the eighth-largest loan in the pool, consists of three cross- collateralized and cross-defaulted loans secured by three multifamily properties totaling 738 units located in Tampa, Fla., Bradenton, Fla. And Irving, Texas. The Sunchase Apartments loan ($7.9 million) located in Bradenton, Fla., is on the master servicers' combined watchlist due to a low reported DSC, which was 0.81x for the year ended Dec. 31, 2011. The combined DSC and occupancy for the three properties was 1.07x and 85.0% for the year ended Dec. 31, 2011," S&P said. Standard & Poor's stressed the remaining 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 Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-C2 Rating Class To From Credit enhancement (%) A-MFL BBB (sf) A- (sf) 18.82 A-MFX BBB (sf) A- (sf) 18.82 RATINGS AFFIRMED Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-C2 Class Rating Credit enhancement (%) A-3 AAA (sf) 31.82 A-AB AAA (sf) 31.82 A-4 AAA (sf) 31.82 A-1-A AAA (sf) 31.82 A-J CCC- (sf) 9.89 A-X AAA (sf) N/A RATING WITHDRAWN Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-C2 Rating Class To From Credit enhancement (%) A-SP NR AAA (sf) N/A N/A-Not applicable. CREST G-STAR 2001-2: S&P Affirms 'CCC-' Rating on Composite Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on the class A, B-1, B-2, C, and composite notes from Crest G-Star 2001-2 Ltd., a cash flow collateralized debt obligation (CDO) transaction backed by commercial mortgage-backed securities. "In addition, we removed our ratings on the A, B-1, B-2, and composite notes from CreditWatch, where we placed them with negative implications on March 19, 2012," S&P said. "The affirmed ratings on the class A, B-1, B-2, C, and composite notes reflect our belief that the credit support available is commensurate with the current rating levels," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. 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 Crest G-Star 2001-2 Ltd. Rating Class To From A A+ (sf) A+ (sf)/Watch Neg B-1 CCC+ (sf) CCC+ (sf)/Watch Neg B-2 CCC+ (sf) CCC+ (sf)/Watch Neg Composite notes CCC- (sf) CCC- (sf)/Watch Neg RATING AFFIRMED Crest G-Star 2001-2 Ltd. Class Rating C CC (sf) CWMBS INC 2003-J11: Moody's Lowers Rating on One Tranche to 'B3' ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 40 tranches, upgraded the ratings of two tranches and confirmed the ratings of four tranches from nine RMBS transactions, backed by Alt-A loans, issued by Countrywide. Ratings Rationale The actions are a result of the recent performance of Alt-A pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The downgrades are due to deteriorating performance of the pools and/or structural features resulting in higher expected losses for certain bonds than previously anticipated. For e.g., for shifting interest structures, back-ended liquidations could expose the seniors to tail-end losses. In its current approach, Moody's captures this risk by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural nuances of the transaction. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's adjusts the methodologies noted above for 1) Moody's current view on loan modifications 2) small pool volatility. Loan Modifications As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until the end of 2013. Small Pool Volatility The above RMBS approach only applies to structures with at least 40 loans and a pool factor of greater than 5%. Moody's can withdraw its rating when the pool factor drops below 5% and the number of loans in the deal declines to 40 loans or lower. If, however, a transaction has a specific structural feature, such as a credit enhancement floor, that mitigates the risks of small pool size, Moody's can choose to continue to rate the transaction. As such, Moody's has withdrawn the rating of CWMBS, Inc. Alternative Loan Trust 2002-16. For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate. To project losses on Alt-A pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For Alt-A and Option Arm pools, Moody's first applies a baseline delinquency rate of 10% for 2004, 5% for 2003 and 3% for 2002 and prior. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a 2004 pool with 75 loans, the adjusted rate of new delinquency is 10.1%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate calculated above by a factor ranging from 0.50 to 2.0 for current delinquencies that range from less than 2.5% to greater than 30% respectively. Moody's then uses this final adjusted rate of new delinquency to project delinquencies and losses for the remaining life of the pool under the approach described in the methodology publication. When assigning the final ratings to senior bonds, in addition to the methodologies described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 9.0% in April 2011 to 8.1% in April 2012. Moody's forecasts a further drop to 7.8% for 2013. Moody's expects house prices to drop another 1% from their 4Q2011 levels before gradually rising towards the end of 2013. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. Complete rating actions are as follows: Issuer: CWMBS, Inc. Alternative Loan Trust 2002-13 Cl. A-13, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A-14, Downgraded to Aa3 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. PO, Downgraded to Aa1 (sf); previously on Oct 15, 2002 Assigned Aaa (sf) Issuer: CWMBS, Inc. Alternative Loan Trust 2002-14 Cl. A-4, Downgraded to Aa3 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A-5, Downgraded to A1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. PO, Downgraded to Aa3 (sf); previously on Oct 15, 2002 Assigned Aaa (sf) Issuer: CWMBS, Inc. Alternative Loan Trust 2002-16 Cl. A-8, Withdrawn (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. PO, Withdrawn (sf); previously on Nov 26, 2002 Assigned Aaa (sf) Issuer: CWMBS, Inc. Mortgage Pass Through Certificates 2003-13 Cl. A-6, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A-PO, Downgraded to Aa1 (sf); previously on Apr 21, 2003 Assigned Aaa (sf) Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2003-16 Cl. A-5, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. A-6, Downgraded to Baa2 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. A-7, Downgraded to Baa1 (sf); previously on Feb 22, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. A-PO, Downgraded to A3 (sf); previously on Mar 22, 2011 Downgraded to Aa1 (sf) Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2003-33 Cl. A-2, Downgraded to A1 (sf); previously on Mar 22, 2011 Downgraded to Aa3 (sf) Cl. A-3, Downgraded to A1 (sf); previously on Mar 22, 2011 Downgraded to Aa3 (sf) Cl. A-5, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. A-6, Downgraded to A3 (sf); previously on Feb 22, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. A-7, Downgraded to A1 (sf); previously on Mar 22, 2011 Downgraded to Aa3 (sf) Cl. A-8, Downgraded to A1 (sf); previously on Mar 22, 2011 Downgraded to Aa3 (sf) Cl. A-9, Downgraded to A3 (sf); previously on Mar 22, 2011 Downgraded to A1 (sf) Cl. A-10, Downgraded to Baa1 (sf); previously on Mar 22, 2011 Downgraded to A1 (sf) Cl. A-11, Downgraded to A3 (sf); previously on Mar 22, 2011 Downgraded to A1 (sf) Cl. A-12, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. A-13, Downgraded to Baa1 (sf); previously on Mar 22, 2011 Downgraded to A1 (sf) Cl. PO, Downgraded to A2 (sf); previously on Mar 22, 2011 Downgraded to A1 (sf) Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2003-J11 Cl. 3-A-2, Upgraded to Ba1 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Upgrade Cl. 2-X, Confirmed at B1 (sf); previously on Feb 22, 2012 B1 (sf) Placed Under Review Direction Uncertain Cl. 3-X, Upgraded to Ba3 (sf); previously on Feb 22, 2012 B1 (sf) Placed Under Review Direction Uncertain Cl. 4-X, Confirmed at B2 (sf); previously on Feb 22, 2012 B2 (sf) Placed Under Review Direction Uncertain Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2003-J12 Cl. A-1, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. X, Downgraded to B3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2004-4CB Cl. 1-A-1, Downgraded to Ba2 (sf); previously on Mar 28, 2011 Downgraded to Ba1 (sf) Cl. 1-A-2, Downgraded to Ba2 (sf); previously on Mar 28, 2011 Downgraded to Ba1 (sf) Cl. 1-A-3, Downgraded to Ba3 (sf); previously on Mar 28, 2011 Downgraded to Ba1 (sf) Cl. 1-A-4, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-5, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-6, Downgraded to B2 (sf); previously on Mar 28, 2011 Downgraded to Ba3 (sf) Cl. 2-A-1, Downgraded to B1 (sf); previously on Feb 22, 2012 Ba3 (sf) Placed Under Review Direction Uncertain Cl. 3-A-1, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 3-A-2, Downgraded to B2 (sf); previously on Mar 28, 2011 Downgraded to Ba3 (sf) Cl. 3-A-3, Downgraded to B2 (sf); previously on Mar 28, 2011 Downgraded to Ba3 (sf) Cl. 3-A-4, Downgraded to B2 (sf); previously on Mar 28, 2011 Downgraded to Ba3 (sf) Cl. PO, Downgraded to B2 (sf); previously on Mar 28, 2011 Downgraded to Ba3 (sf) Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2004-5CB Cl. 1-A-1, Downgraded to B2 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-1, Downgraded to Ba3 (sf); previously on Mar 28, 2011 Downgraded to Baa3 (sf) Cl. 3-A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. PO, Downgraded to B2 (sf); previously on Mar 28, 2011 Downgraded to Baa3 (sf) A list of these actions including CUSIP identifiers may be found at http://moodys.com/viewresearchdoc.aspx?docid=PBS_SF287689 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256 DUKE FUNDING VI: S&P Lowers Rating on Class X Notes to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class X notes from Duke Funding High Grade VI Ltd. to 'D (sf)' from 'CCC- (sf)' and the class A-1 notes from Orchid Structured Finance CDO II Ltd. to 'CC (sf)' from 'CCC- (sf)'. "Both transactions are collateralized debt obligations (CDOs) backed by structured finance assets. Simultaneously, we removed the ratings from CreditWatch, where we placed them with negative implications on March 19, 2012," S&P said. "On May 25, 2012, we received notice for Duke Funding High Grade VI Ltd. indicating that the transaction had liquidated. According to the May 29, 2012, final note valuation report, the proceeds from liquidation were insufficient to pay down the class X noteholders in full. As a result, we lowered our rating to 'D (sf)', which is in line with our criteria," S&P said. "On May 22, 2012, Standard & Poor's received notice of proposed liquidation for Orchid Structured Finance CDO II Ltd. The notice further indicated that no payments would be made on the upcoming distribution date. It stated that all proceeds from the liquidated collateral would be held until the liquidation is completed, at which time the transaction will make a final payment. According to the May 1, 2012, trustee report, the transaction currently holds collateral with a par value of $90.17 million, $60.36 million of which is considered defaulted, with a class A principal coverage ratio of 18.59% (vs. the requirement of 105.00%). We lowered our rating on the $85.78 million class A-1 notes to 'CC (sf)' based on our review of the underlying collateral and the unlikelihood of ultimate payment of principal to the notes," 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 ACTION Duke Funding High Grade VI Ltd. Rating Class To From X D (sf) CCC- (sf)/Watch Neg Orchid Structured Finance CDO II Ltd. Rating Class To From A-1 CC (sf) CCC- (sf)/Watch Neg OTHER RATINGS OUTSTANDING Duke Funding High Grade VI Ltd. Class Rating A-1LA D (sf) A-1LB D (sf) A-2L D (sf) A-3L D (sf) B-1L D (sf) Orchid Structured Finance CDO II Ltd. Class Rating A-2 D (sf) A-3 D (sf) B D (sf) FIRST UNION: Fitch Affirms 'Dsf' Rating on $8.7MM Class M Certs. ---------------------------------------------------------------- Fitch Ratings has upgraded one class of First Union National Bank Commercial Mortgage Trust's commercial mortgage pass-through certificates, series 1999-C4. The rating upgrade is due to increased credit enhancement as a result of paydown and defeasance. As of the May 2012 distribution date, the pools certificate balance has been reduced 95.6% (including 2% in realized losses) to $38.9 million from $885.7 million at issuance. There are 11 of the original 156 loans remaining in the transaction. Seven loans (45.8% of pool balance) are fully defeased. Fitch modeled losses of 10.43% of the remaining pool; expected losses of the original pool are at 2.48%, including losses realized to date. Out of the four non-defeased loans (54.2%), Fitch has identified three as Loans of Concern (49.7% of pool balance), which includes one asset in special servicing (18.9%). Fitch expects that losses associated with the specially serviced loan to be absorbed by class M. The specially serviced asset, which is the second largest in the pool (18.9%), is secured by a 190 unit multifamily complex in Jonesboro, GA. The loan had transferred to special servicing in October 2009 due to maturity default. A receiver was appointed in May 2010, and the property was foreclosed on in July 2010. The special servicer continues working to stabilize and market the property for sale. The servicer reported occupancy as of June 2012 at 92%. The largest loan in the pool (28.4%) is a Fitch Loan of Concern. The loan is secured by a 215,860 square foot (sf) retail center in Ashwaubenon, WI. The loan had previously transferred to special servicing in 2009 due to maturity default. The loan returned back to the master servicer in March 2011 after receiving a modification. The modification included an extension of it's maturity and interest only period to August 2012 and a reduction in interest rate. The servicer reported a slight improvement in occupancy, currently at 75% versus 63% in March 2011, due to the lease up of approximately 50% of a previously vacated 46,000 sf (21% net rentable area [NRA]) anchor space. Fitch stressed the cash flow of the three non-specially serviced and non-defeased loans by applying a minimum 5% reduction to 2011 fiscal year end (YE) net operating income. Fitch also applied an adjusted market cap rate between 9% and 10% to determine value. The three non-specially serviced and non-defeased loans also underwent a refinance test by applying an 8% interest rate and 30- year amortization schedule based on the stressed cash flow. All three of the loans are considered to pay off at maturity, and could refinance to a debt service coverage ratio (DSCR) above 1.25 times (x). Of the 11 remaining loans in the pool, one (28.4%) is scheduled to mature in 2012, one (2.4%) in 2014, seven (36.31%) in 2016, and one (10.4%) in 2019. Fitch upgrades the following class: -- $1.5 million class G to 'AAAsf' from 'AAsf'; Outlook Stable. Fitch also affirms the following classes and assigns Recovery Estimates (REs) as indicated: -- $11.1 million class H at 'Asf '; Outlook Stable; -- $2.2 million class J at 'A-sf'; Outlook Stable; -- $6.6 million class K at 'BBBsf'; Outlook Stable; -- $8.9 million class L at 'CCCsf'; RE 100%; -- $8.7 million class M at 'Dsf'; RE 70%. Class N is not rated by Fitch. Due to realized losses, class N has been reduced to $0 from $17.7 million at issuance. Classes A-1, A-2, B, C, D, E and F have paid in full. Fitch had previously withdrawn the rating on the interest-only class IO. GMAC COMMERCIAL: Higher Expected Losses Cue Fitch to Lower Ratings ------------------------------------------------------------------ Fitch Ratings downgraded one class and affirmed nine classes of GMAC Commercial Mortgage Securities, Inc.'s mortgage pass-through certificates, series 2001-C1. The downgrade is due to higher expected losses on specially serviced loans, as well as increased concentration, and adverse selection of the remaining pool. Fitch modeled losses of 40.27% of the remaining pool. All nine (100%) of the remaining loans are in special servicing. Four assets (79.80%) are real-estate owned (REO). As of the May 2012 distribution date, the pool's aggregate principal balance has been reduced 90.64% to $80.9 million from $864.1 million at issuance. Realized losses to date are 5.13% of the original pool balance. As of the May 2012 remittance, interest shortfalls are affecting class G through P and total $6.9 million. The largest contributor to Fitch's modeled losses is a REO property (19.2% of the pool balance) located in Grand Rapids, MI. The 315,202 square foot (sf) 17 story office property was built in 1993 within the central business district (CBD). The servicer- reported occupancy was 56% as of March 2012. Varnum, the largest tenant, occupying 112,936 sf of the net rentable area (NRA) is evaluating alternate options before committing to renew their lease which expires in early 2013. The special servicer continues to market the vacant space and recently listed the property for sale. The second largest contributor to modeled losses is REO The Village on Lorna Shopping Center (12.5%). The property is located in Hoover, AL and was formerly anchored by Food World. As of March 31, 2012, the property had an occupancy rate of 44%. The special servicer has been working to increase occupancy and retain the current tenants. The building will be listed for sale shortly. The third-largest contributor to modeled losses, the REO Providence Office Center (11.9% of the pool), is a 94,238 sf two- building office complex located in Norristown, PA. The collateral was transferred to the special servicer in April 2010 for monetary default. The property is being marketed for lease and a number of prospects have shown interest but a serious offer has not been submitted. The property received a low bid that was rejected and the property continues to be marketed for sale. Fitch has downgraded the following class and assigned a recovery estimate as indicated: -- $13 million class G to 'CCCsf', RE100% from 'Bsf'. Fitch has affirmed the following classes as indicated: -- $4.2 million class D at 'AAAsf'; Outlook Stable; -- $17.3 million class E at 'Asf'; Outlook Negative; -- $13 million class F at 'BBB-sf'; Outlook Negative; -- $25.9 million class H at 'Csf'; RE5%; -- $6.5 million class J at 'Csf'; RE0%. Classes K, L, M and N remain at 'Dsf'; RE0%; due to realized losses. Class A-1, A-2, A-3 and the interest-only class X-2 have paid in full. Fitch does not rate class P. Class X-1 and O was previously withdrawn. GREENWICH CAPITAL 2006-FL4: Fitch Junks Rating on 5 Note Classes ---------------------------------------------------------------- Fitch Ratings has downgraded five non-pooled classes, upgraded two pooled classes, and affirmed 14 classes of Greenwich Capital Commercial Funding Corporation (GCCFC), series 2006-FL4. Downgrades to the non-pooled classes associated with the 260 East 161st Street and 2600 West Olive Avenue loans were due to increased loss expectations on those loans. Upgrades to two of the senior classes reflect higher credit enhancement levels due to principal paydown. Under Fitch's methodology, approximately 70% of the pool is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 14.4% from generally year-end 2011 servicer-reported financial data, or from recent appraised values. To determine a sustainable Fitch cash flow and stressed value, Fitch analyzed servicer-reported operating statements and rent rolls, updated property valuations, and comparisons with properties' competitive sets. Fitch estimates average recoveries on the pooled loans will be approximately 80% in the base case. The transaction is collateralized by seven assets, which includes three loans secured by hotels (68.3% of the pooled and non-pooled trust balance), two loans by office properties (17.6%), one real estate owned (REO) regional mall (12.3%), and one loan by a multifamily/condominium project (1.8%). All of the original final maturity dates, including all extension options, have passed. Each of the remaining loans has been further extended through a modification and/or forbearance, with the exception of one asset (12.3% by scheduled loan balance) that has been REO since 2009. Of the remaining loans, 19.4% are scheduled to mature in 2013, with 68.3% scheduled to mature in 2014. With respect to the pooled classes, four loans were modeled to take a loss in the base case: PGA National Resort and Spa (33.8% of the pooled trust balance), Northwest Plaza (11%), 260 East 161st Street (8.5%) and 2600 West Olive Avenue (7%). The 10 junior non-pooled component classes have all either incurred or are expected to incur losses. The primary contributor to loss under the 'B' stress is the specially serviced Northwest Plaza, an REO asset consisting of an approximately 1.7 million square foot (sf) regional mall and an attached 12-story, 153,000 sf office building located in St. Ann, MO. The loan transferred to special servicing in October 2008 for payment default and in September 2009, the property became REO. Following a failed redevelopment effort, the interior of the mall was shuttered in December 2010. The last information available on the property indicated that the mall was only 8% occupied by several tenants with exterior access, with the attached office building 49% occupied. Within the past 12 months, a new, local broker was engaged to market and sell the property and it is now under contract with closing slated for mid-July. However, Fitch modeled no recoveries on both the pooled and nonpooled trust assets. Fitch downgrades the following classes and assigns or revises Recovery Estimates (REs) as indicated: -- $770,025 class N-E161 to 'Csf' from 'Bsf'; RE 0%; -- $1.4 million class N-2600 to 'Csf' from 'CCCsf'; RE 0%; -- $2 million class O-2600 to 'Csf' from 'CCCsf'; RE 0%; -- $1.3 million class P-2600 to 'Csf' from 'CCCsf'; RE 0%; -- $1.7 million class Q-2600 to 'Csf' from 'CCsf'; RE 0%. Fitch upgrades the following classes and revises Rating Outlooks as indicated: -- $35.4 million class B to 'AAAsf' from 'AAsf'; Outlook revised to Stable from Positive; -- $30.7 million class C to 'AAsf' from 'Asf', Outlook revised to Stable from Positive. Fitch affirms the following class and revises the Rating Outlook as indicated: -- $11.3 million class F at 'BBsf'; Outlook revised to Stable from Negative. Fitch affirms the following classes and revises REs as indicated: -- $53.1 million class A2 at 'AAAsf'; Outlook Stable; -- $18 million class D at 'BBBsf'; Outlook Stable; -- $16.7 million class E at 'BBB-sf'; Outlook Stable; -- $15 million class G at 'CCCsf'; RE 100%; -- $17.6 million class H at 'CCsf'; RE 70%; -- $14.2 million class J at 'Csf'; RE 0%; -- $7.2 million class K at 'Csf'; RE 0%; -- $5.1 million class L at 'Dsf'; RE 0%; -- $2 million class N-NZH at 'Dsf'; RE 85%; -- $1.6 million class N-NW at 'Csf'; RE 0%; -- $894,510 class O-NW at 'Csf'; RE 0%; -- $956,200 class P-NW at 'Csf'; RE 0%; -- $1.2 million class Q-NW at 'Csf'; RE 0%. In addition, the following classes originally rated by Fitch have paid in full: A1, N-MET, O-MET, N-LAX, N-SCR, O-SCR, N-PDS, O-PDS, N-WYN, N-HAP, O-HAP, P-HAP, N-CPH, O-CPH, P-CPH, Q-CPH, S-CPH, N- LJS, N-LDC, O-LDC, P-LDC, N-444, O-444, and X-1. G-STAR 2002-1: Fitch Affirms Junk Rating on Three Note Classes -------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed three classes issued by G-Star 2002-1, Ltd./Corp. (G-Star 2002-1) as a result of significant delevering of the capital structure. Since Fitch's last rating action in June 2011, approximately 27% of the collateral has been downgraded and 15.9% has been upgraded. Currently, 64.6% of the portfolio has a Fitch derived rating below investment grade and 38.9% has a rating in the 'CCC' category and below. Over this period, the class A-1MM notes received $28.6 million and the class A-2 notes have received $15.7 million in paydowns. The paydowns are due to principal repayments from the underlying collateral as well as the redirection of interest proceeds due to the failure of the class B principal coverage test. 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 class A-2 and B notes are passing above their current ratings. The upgrade to the class A-2 notes is due to the amortization of the notes increasing the credit enhancement which more than offsets the deterioration of the underlying portfolio. However, an upgrade to the class B notes is not warranted given the concentration risk and potential adverse selection as the portfolio continues to amortize. For the class C notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class C notes have been affirmed at 'Csf', indicating that default is inevitable. The Stable Outlook on the class A-2 notes reflects Fitch's expectation that the notes will continue to delever. Fitch does not assign Outlooks to classes rated 'CCC' and below. G-Star 2002-1 is a cash flow commercial real estate collateralized debt obligation (CRE CDO) which closed on April 16, 2002. The collateral is composed of 18 assets from 14 obligors of which 95.4% commercial mortgage backed securities (CMBS) and 4.6% real estate investment trusts (REIT). Fitch has taken the following actions as indicated: -- $13,965,326 class A-2 upgraded to 'Asf' from 'BBBsf'; Outlook revised to Stable from Negative; -- $15,759,835 class B-FL affirmed at 'CCCsf'; -- $18,702,403 class B-FX affirmed at 'CCCsf'; -- $12,710,681 class C affirmed at 'Csf'. GS MORTGAGE 1998-C1: Fitch Affirms 'Dsf' Ratings on 2 Securities ---------------------------------------------------------------- Fitch Ratings has affirmed two classes of GS Mortgage Securities Corporation II 1998-C1, commercial mortgage pass-through certificates. The affirmation is due to sufficient credit enhancement to the remaining investment grade class. The pool has become more concentrated, with 44 remaining loans from the original 323 at issuance. Of the remaining loans, 13 loans (20.2%) are defeased. Fitch identified 11 (42.6%) Loans of Concern, of which two (21.5%) are specially serviced. As of the May 2012 distribution date, the pool's certificate balance has paid down 89.9% to $115.3 million from $1.8 billion. The expected losses of the original pool are at 4.72%, which includes 3.87% to date. In addition, cumulative interest shortfalls totaling $7.7 million are affecting classes H through K. The largest contributor to losses is a real estate owned (REO) asset secured by a 296,735 square foot (SF) shopping center located in Queensbury, NY. The loan transferred to special servicing in May 2008 due to imminent default and became REO in March 2012 via a deed-in-lieu. The second contributor to losses is a loan secured by a 211,089 SF office building located in San Juan, PR. The loan transferred to special servicing in February 2011 for imminent default. The property has been suffering from poor performance since 2008 due to declining occupancy. Fitch affirms the following classes and assigns Recovery Estimate (RE) as indicated: -- $23.2 million class G at 'BBBsf'; Outlook Negative; -- $44.2 million class H at 'Dsf'; RE 55%; -- Class J at 'Dsf'; RE0%. Fitch does not rate classes F and K. Classes A-1, A-2, A-3, B, C, D, and E have paid in full. Fitch has previously withdrawn the rating on the interest-only class X. GS MORTGAGE 2007-EOP: S&P Affirms 'B-' Rating on Class L Certs. --------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on 14 classes of commercial mortgage pass-through certificates from GS Mortgage Securities Corp. II's series 2007-EOP, a U.S. commercial mortgage-backed securities (CMBS) transaction. "The affirmations follow our analysis of the transaction, which included our revaluation of the collateral securing the transaction's sole $4.82 billion floating-rate interest-only (IO) mortgage loan, and a review of the deal structure and liquidity available to the trust. Our adjusted valuation on the collateral, using a weighted average capitalization rate of 9.90%, yielded an intrust stressed loan-to-value ratio of 102.7%," S&P said. The mortgage loan was transferred to the special servicer, Bank of America N.A. (BofA), on May 21, 2010, after the borrower requested a modification and extension of the loan and concerns surrounding the borrower's ability to refinance the mortgage loan by its Feb. 1, 2012, final maturity date. According to BofA, the loan was modified on Dec. 22, 2010, and returned to the master servicer, also BofA on Feb. 1, 2011. The terms of the modification include, but are not limited to: - The addition of two one-year extension options following the initial maturity date, providing a fully extended maturity date of Feb. 1, 2014; - The borrower will pay an additional interest rate spread pursuant to a schedule ranging from 105 to 175 basis points that will be allocated to the pooled certificateholders in a manner contemplated by the amended trust and servicing agreement (TSA); - The borrower paid all fees associated with the modification including special servicing fees and has agreed to pay all future workout fees; - The borrower paid $50.0 million in amortization during the 2011 calendar year and will pay an additional $75.0 million per year for the 2012 and 2013 calendar years; - As additional collateral for the loan, the borrower has pledged approximately $350.0 million in CMBS bonds. All principal and interest received on bonds will be used to pay down the mortgage loan balance; and - Approximately $424.0 million in mezzanine financing was repaid. "The affirmed 'AAA (sf)' rating on the class X IO certificate reflects our current criteria," S&P said. "We based our analysis of the collateral, in part, on a review of the borrower's operating statements for the trailing-12-months (TTM) ended Dec. 31, 2011, as well as the borrower's rent rolls as of Feb. 29, 2012. BofA reported a debt service coverage of 3.97x for the portfolio for year-end 2011, and overall occupancy was 87.4% according to the February 2012 rent rolls. The one-month LIBOR rate was 0.239% (according to the June 6, 2012, trustee remittance report). Based on the reported historical financial data, the portfolio performance has been stable with reported overall occupancies ranging from 82.0% (2009) to 85.0% (year-end 2011)," S&P said. As of the June 6, 2012, trustee remittance report, the mortgage loan has a trust and whole-loan balance of $4.82 billion, which is currently secured by 94 office properties totaling 34.1 million sq. ft. in nine U.S. states. Since issuance, 40 office properties were fully released from the collateral pool, resulting in a $1.94 billion paydown of the senior loan balance. The top five geographic concentrations are: Boston (34.8% of net rentable area {NRA}), Northern California (32.6% of NRA), Southern California (16.8% of NRA), Manhattan (4.1% of NRA), and New Orleans (3.6% of NRA). The floating-rate IO loan matures on Feb. 1, 2013, and has one one-year extension option remaining. Details of the current collateral for the mortgage loan are: - First mortgage liens on 78 office properties totaling 23.5 million sq. ft.; - Cash flow pledges of the borrower's joint venture interests in 10 office properties totaling 7.6 million sq. ft.; - Equity pledges of the borrower's joint venture interests in three properties totaling 1.7 million sq. ft.; and - Other collateral including covenants to apply proceeds and collateral note assignments with respect to three properties totaling 1.3 million sq. ft. 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 GS Mortgage Securities Corp. II Commercial mortgage pass-through certificates series 2007-EOP Class Rating A-1 AAA (sf) A-2 AAA (sf) A-3 AAA (sf) B AAA (sf) C AA+ (sf) D AA (sf) E A+ (sf) F BBB+ (sf) G BBB (sf) H BBB- (sf) J BB+ (sf) K BB (sf) L B- (sf) X AAA (sf) GS MORTGAGE 2012-GCJ7: Moody's Rates Class F Certificates 'B2' -------------------------------------------------------------- Moody's Investors Service has assigned ratings to thirteen classes of CMBS securities, issued by GS Mortgage Securities Trust Commercial Mortgage Pass-Through Certificates, Series 2012-GCJ7. Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-AB, Definitive Rating Assigned Aaa (sf) Cl. X-A, Definitive Rating Assigned Aaa (sf) Cl. X-B, Definitive Rating Assigned Ba3 (sf) Cl. A-S, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba2 (sf) Cl. F, Definitive Rating Assigned B2 (sf) Ratings Rationale The Certificates are collateralized by 79 fixed rate loans secured by 175 properties. The ratings are based on the collateral and the structure of the transaction. Moody's CMBS ratings methodology combines both commercial real estate and structured finance analysis. Based on commercial real estate analysis, Moody's determines the credit quality of each mortgage loan and calculates an expected loss on a loan specific basis. Under structured finance, the credit enhancement for each certificate typically depends on the expected frequency, severity, and timing of future losses. Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's LTV ratio. The Moody's Actual DSCR of 1.42X is greater than the 2007 conduit/fusion transaction average of 1.31X. The Moody's Stressed DSCR of 1.09X is greater than the 2007 conduit/fusion transaction average of 0.92X. Moody's Trust LTV ratio of 97.8% is lower than the 2007 conduit/fusion transaction average of 110.6%. Moody's Total LTV ratio, (inclusive of subordinated debt) of 101.4% is also considered when analyzing various stress scenarios for the rated debt. Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. With respect to loan level diversity, the pool's loan level (includes cross collateralized and cross defaulted loans) Herfindahl Index is 33.9. The transaction's loan level diversity is at the higher end of the band of Herfindahl scores found in most multi-borrower transactions issued since 2009. With respect to property level diversity, the pool's property level Herfindahl Index is 40.2. The transaction's property diversity profile is higher than the indices calculated in most multi-borrower transactions issued since 2009. This deal has a super-senior Aaa class with 30% credit enhancement. Although the additional enhancement offered to the senior most certificate holders provides additional protection against pool loss, the super-senior structure is credit negative for the certificate that supports the super-senior class. If the support certificate were to take a loss, the loss would have the potential to be quite large on a percentage basis. Thin tranches need more subordination to reduce the probability of default in recognition that their loss-given default is higher. This adjustment helps keep expected loss in balance and consistent across deals. The transaction was structured with additional subordination at class A-S to mitigate the potential increased severity to class A-S. Moody's also grades properties on a scale of 1 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 2.5, which is higher than the indices calculated in most multi-borrower transactions since 2009. 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 analysis employs the excel-based CMBS Conduit Model v2.60 which derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level DSCR and LTV ratios. Major adjustments to determining proceeds include loan structure, property type, sponsorship and diversity. Moody's analysis also uses the CMBS IO calculator ver1.0 which references 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 V Score for this transaction is assessed as Low/Medium, the same as the V score assigned to the U.S. Conduit and CMBS sector. This reflects typical volatility with respect to the critical assumptions used in the rating process as well as an average disclosure of securitization collateral and ongoing performance. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling, and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 14%, or 23%, the model-indicated rating for the currently rated junior Aaa class would be Aa1, Aa2, A1, respectively. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of, Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. KEY COMMERCIAL 2007-SL1: Fitch Junks Rating on 6 Cert. Classes -------------------------------------------------------------- Fitch Ratings has downgraded seven and affirmed four classes of Key Commercial Mortgage Securities Trust 2007-SL1 commercial mortgage pass-through certificates. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 10.4% of the remaining transaction balance; expected losses of the original pool are at 9.1%, including losses already incurred to date (2.4%). Fitch has designated 30 loans (28.2%) as Fitch Loans of Concern, which includes five specially serviced loans (5%). As of the May 2012 distribution date, the pool's certificate balance has been reduced by 34.9% to $154.5 million from $237.5 million at issuance. There are 113 of the original 155 loans remaining in the transaction. The average loan size for the transaction is $1.4 million. Fitch stressed the cash flow of the remaining loans by applying cap rates ranging from 8.1%-10.5% to determine loan values and losses. The largest contributor to losses (3% of pool balance) is a 41,341 square feet (sf) office property located in Tacoma, WA. The property has experienced a severe decline in occupancy as a result of several tenants vacating the property. The property was 50.2% occupied as of January 2012. The loan remains current. The next largest contributor to losses (0.9%) is an industrial property located in Kent, OH. The property has suffered declines in performance as a result of low occupancy due to tenant vacancies and increased expenses. The loan remains current. Fitch downgrades the following classes, including revising the Outlooks and assigning Recovery estimates (RE) as indicated: -- $5.3 million class B notes to 'BBsf' from 'BBB-sf'; Outlook to Negative from Stable; -- $5.6 million class C notes to 'CCCsf' from 'BBsf'; RE 20%; -- $4.8 million class D notes to 'CCsf' from 'CCCsf'; RE 0%; -- $2.1 million class E notes to 'Csf' from 'CCCsf'; RE 0%; -- $1.8 million class F notes to 'Csf' from 'CCCsf'; RE 0%; -- $1.2 million class G notes to 'Csf' from 'CCsf'; RE 0%; -- $1.2 million class H notes to 'Csf' from 'CCsf'; RE 0%. Fitch affirms the following classes, including revising the Outlooks and assigning REs as indicated: -- $72.5 million class A-2 notes at 'Asf'; Outlook to Negative from Stable; -- $59.5 million class A-1A notes at 'Asf; Outlook to Negative from Stable; -- $0.5 million class J notes at 'Dsf'; RE 0%; -- Class K notes at 'Dsf'; RE 0%. Fitch previously withdrew the rating on the class X notes. Fitch does not rate the class L, R, and LR notes. Class A-1 has paid in full. KIRKWOOD CDO 2004-1: Moody's Raises Rating on A Notes to 'Caa1' --------------------------------------------------------------- Moody's Investors Service has upgraded the rating of the following notes issued by Kirkwood CDO 2004-1: U.S.$82,500,000 Class A Floating Rate Notes Due December 30, 2044 (current balance of $32,227,854), Upgraded to Caa1 (sf); previously on September 17, 2010 Downgraded to Ca (sf); Ratings Rationale According to Moody's, the rating action taken on the notes are primarily a result of deleveraging of the Class A Notes and the termination of four Credit Default Swaps (CDS) since the rating action in September 2010. Moody's notes that the Class A Notes have been paid down by approximately 20% or $8.1 million since the last rating action. Four CDS reached their scheduled termination date on March 20, 2012 thereby reducing the risk associated with these CDS. There are currently four CDS outstanding with a maturity date of March 20, 2015. The proceeds of the offering of the notes has been invested by the Issuer in U.S. dollar denominated collateralized loan obligations (CLOs) and structured finance CDOs. The Class A notes have been amortizing from the principal proceeds received from the underlying collateral. There are currently 6 CLOs which are providing the cash flow to the deal, all of which were upgraded in 2011 and 2012 with the lowest rating being Aa3. Moody's analysis also accounts for the risk of an early termination event due to a default of MBIA Insurance Corporation, the Credit Default Swap Insurer. On December 19, 2011 Moody's placed MBIA Insurance Corporation's insurance financial strength rating of B3 on review for possible downgrade. Kirkwood CDO 2004-1 issued in December 2004, is a collateralized debt obligation backed primarily by a portfolio of CLOs and synthetic exposure to corporate securities. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. Moody's analysis for this transaction is based on CDOROM v2.8. Moody's does not run a separate loss and cash flow analysis other than the one already done by the CDOROM model. For a description of the analysis, refer to the methodology and the CDOROM user's guide on Moody's website. Moody's analysis of transaction is subject to uncertainties, the primary sources of which include complexity, governance and leverage. Although the CDOROM model captures many of the dynamics of the structure, it remains a simplification of the complex reality. Of greatest concern are (a) variations over time in default rates for instruments with a given rating, (b) variations in recovery rates for instruments with particular seniority/security characteristics and (c) uncertainty about the default and recovery correlations characteristics of the reference pool. Similarly on the legal/structural side, the legal analysis although typically based in part on opinions (and sometimes interpretations) of legal experts at the time of issuance, is still subject to potential changes in law, case law and the interpretations of courts and (in some cases) regulatory authorities. Given the tranched nature of liabilities, rating transitions in the reference pool may have leveraged rating implications for the ratings of the liabilities, thus leading to a high degree of volatility. All else being equal, the volatility is likely to be higher for more junior or thinner liabilities. The base case scenario modeled fits into the central macroeconomic scenario predicted by Moody's of a sluggish recovery scenario in the corporate universe. Should macroeconomics conditions evolve, the ratings will change to reflect the new economic developments. Moody's rating action factors in a number of sensitivity analyses and stress scenarios, discussed below. Results are given in terms of the number of notches' difference versus the base case, where higher notches correspond to lower expected losses, and vice- versa: * Moody's reviews a scenario consisting of reducing the maturity of the CDS by six months, keeping all other things equal. Class A: +2 Class B: 0 Class C: 0 Class D: 0 * Market Implied Ratings ("MIRS") are modeled in place of the corporate fundamental ratings to derive the default probability of the reference entities in the portfolio. The gap between an MIR and a Moody's corporate fundamental rating is an indicator of the extent of the divergence in credit view between Moody's and the market. Class A: 0 Class B: 0 Class C: 0 Class D: 0 KODIAK CDO I: S&P Lowers Rating on Class A-2 From 'BB' to 'BB-' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on two tranches from Kodiak CDO I Ltd. and three tranches from Kodiak CDO II Ltd., both U.S. collateralized debt obligation (CDO) transactions collateralized mostly by trust preferred securities (TruPs) issued by mortgage REITs and structured finance (SF) assets. "Simultaneously, we affirmed our ratings on the other 17 tranches in these two transactions," S&P said. "The rating actions reflect our methodology and assumptions for rating CDO transactions backed by pools of structured finance assets, which we applied to these transactions because their collateral portfolios include exposure to commercial mortgage- backed securities (CMBS). The updated criteria include changes to correlation between SF assets and lower recovery rate parameters for cash SF assets depending on the economic scenario applicable to each rating level," 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED Kodiak CDO I Ltd. Rating Class To From A-1 BB+ (sf) BBB- (sf) A-2 BB- (sf) BB (sf) Kodiak CDO II Ltd. Rating Class To From A-2 BB- (sf) BB+ (sf) A-3 B- (sf) B (sf) E CC (sf) CCC- (sf) RATINGS AFFIRMED Kodiak CDO I Ltd. Class Rating B CCC+ (sf) C CCC- (sf) D-1 CCC- (sf) D-2 CCC- (sf) D-3 CCC- (sf) E-1 CC (sf) E-2 CC (sf) F CC (sf) G CC (sf) H CC (sf) Kodiak CDO II Ltd. Class Rating A-1 BB+ (sf) B-1 CCC (sf) B-2 CCC (sf) C-1 CCC- (sf) C-2 CCC- (sf) D CCC- (sf) F CC (sf) LANDMARK VIII: Moody's Raises Rating on Class D Notes From Ba1 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Landmark VIII CLO Ltd.: U.S.$ 34,000,000 Class C Secured Deferrable Floating Rate Notes Due 2020 Notes, Upgraded to A1 (sf); previously on August 12, 2011 Upgraded to A3 (sf); U.S.$ 26,000,000 Class D Secured Deferrable Floating Rate Notes Due 2020 Notes, Upgraded to Baa3 (sf); previously on August 12, 2011 Upgraded to Ba1 (sf); U.S.$ 8,000,000 Composite Obligations Due 2020 Notes (current rated balance of $4,917,878), Upgraded to Baa2 (sf); previously on August 12, 2011 Upgraded to Baa3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in October 2012. In consideration of the reinvestment restrictions applicable during the amortization period, and therefore limited ability to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will continue to maintain a positive "cushion" relative to certain covenant requirements. In particular, the deal is assumed to benefit from a lower WARF and higher spread levels compared to the levels assumed at the last rating action in August 2011. Moody's also notes that the transaction's reported overcollateralization ratios are stable since the last rating action. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $479 million, $12 million defaulted par, a weighted average default probability of 22.59% (implying a WARF of 2994), a weighted average recovery rate upon default of 50.05%, and a diversity score of 75. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Landmark VIII CLO Ltd., issued in October 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The methodologies used in this rating were "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, and "Using the Structured Note Methodology to Rate CDO Combo- Notes" published in February 2004. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -20% (2396) Class A-1: +0 Class A-2: +0 Class B: +1 Class C: +2 Class D: +2 Class E: +1 Composite Obligations: +2 Moody's Adjusted WARF + 20% (3593) Class A-1: -0 Class A-2: -0 Class B: -2 Class C: -2 Class D: -1 Class E: -1 Composite Obligations: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2014 and 2016 which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming the worse of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. However, as part of the base case, Moody's considered spread, coupon and diversity levels higher than the covenant levels due to the large difference between the reported and covenant levels. LB-UBS COMMERCIAL 2002-C7: Fitch Cuts Rating on 2 Certs. to 'Csf' ----------------------------------------------------------------- Fitch Ratings has downgraded five classes of LB-UBS Commercial Mortgage, series 2002-C7, commercial mortgage pass-through certificates. The downgrades are the result of an increase in Fitch expected losses on the specially serviced loans. Fitch modeled losses of 2.5% of the remaining pool; expected losses of the original pool are at 2.3%, including losses already incurred to date. Fitch has designated 13 loans (9%) as Fitch Loans of Concern, which include six specially serviced loans (3.3%). Fitch expects losses associated with the specially serviced assets to impact class T. As of the May 2012 distribution date, the pool's aggregate principal balance has been paid down by approximately 48% to $613 million from $1.19 billion at issuance. Twenty-nine loans representing 40% of the pool have defeased. Interest shortfalls are affecting classes P through U with cumulative unpaid interest totaling $1.1 million. The largest contributor to Fitch modeled losses (1.4%) is a 95,527 square feet (sf) retail center located in Houston, TX. The property became a real estate owned (REO) asset in June 2011 and was 46.8% occupied as of April 2012. The occupancy is expected to increase significantly when a newly signed lease for 22.2% of the property becomes effective in September 2012. Fitch expects losses upon liquidation of the asset based on recent property valuations obtained by the servicer. The second largest contributor to Fitch modeled losses (2.2%) is a 107,188 sf office property in San Diego, CA. The most recent servicer reported year-end (YE) 2011 debt service coverage ratio (DSCR) is 0.81 times (x). Occupancy at the property declined to 54% as of YE 2009 due to a large tenant (20,783 sf; 19% GLA) that left at lease expiration. Occupancy has since improved significantly due to the signing of new leases in 2010 and 2012. Based on the rent roll dated March 1, 2012, the property is 81.4% leased. Fitch has downgraded the following classes, revised ratings outlooks and revised/assigned Recovery estimates (RE) as indicated: -- $7.4 million class M to 'BBB-sf' from BBBsf'; Outlook to Negative from Stable; -- $5.9 million class N to 'BBsf' from 'BB+sf'; Outlook Negative; -- $8.9 million class P to 'CCCsf' from 'Bsf'; RE 0%; -- $4.5 million class Q to 'Csf' from 'CCsf; RE0%; -- $3 million class S to 'Csf' from 'CCsf'; RE0%. Fitch has affirmed the following classes and revised ratings outlooks as indicated: -- $357.2 million class A-4 at 'AAAsf'; Outlook Stable; -- $56.4 million class A-1b at 'AAAsf'; Outlook Stable; -- $20.8 million class B at 'AAAsf'; Outlook Stable; -- $17.8 million class C at 'AAAsf'; Outlook Stable; -- $17.8 million class D at 'AAAsf'; Outlook Stable; -- $14.8 million class E at ''AAAsf'; Outlook Stable; -- $14.8 million class F at 'AAAsf'; Outlook Stable; -- $14.8 million class G at 'AAAsf'; Outlook Stable; -- $19.3 million class H at 'AAAsf'; Outlook Stable; -- $11.9 million class J at 'AA'sf ; Outlook to Stable from Positive; -- $11.9 million class K at 'A+sf'; Outlook to Stable from Positive; -- $19.3 million class L at 'BBB+sf; Outlook Stable; -- $6.5 million class T at 'Dsf'; RE0%'. Fitch does not rate class U. Classes A-1, A-2 and A-3 have paid in full. Fitch has previously withdrawn the rating of the interest only classes X-CL and X-CP. LB-UBS COMMERCIAL 2005-C5: S&P Cuts Rating on Class F to 'B+' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes and affirmed its ratings on eight other classes of commercial mortgage pass-through certificates from LB-UBS Commercial Mortgage Trust 2005-C5 (LB-UBS 2005-C5), a U.S. commercial mortgage-backed securities (CMBS) transaction. "In addition, we raised our ratings on three classes and affirmed our ratings on five other classes of commercial mortgage pass-through certificates from 1345 Avenue of the Americas and Park Avenue Plaza Trust's series FB 2005-1 (FB 2005-1), also a U.S. CMBS transaction," S&P said. "Our rating actions on LB-UBS 2005-C5 follow our analysis of the credit characteristics of the collateral remaining in the pool, the deal structure, and the liquidity available to the trust. The downgrades on the LB-UBS 2005-C5 classes reflect credit support erosion that we anticipate will occur upon the eventual resolution of the six assets ($90.2 million, 5.3%) that are with the special servicer," S&P said. "The affirmed ratings on the principal and interest certificates in the LB-UBS 2005-C5 transaction reflect subordination and liquidity support levels that are consistent with the outstanding ratings. We affirmed our 'AAA (sf)' ratings on the class X-CL and X-CP interest-only (IO) certificates in the same transaction and the class X IO certificate in the FB 2005-1 transaction based on our current criteria," S&P said. "Our raised and affirmed ratings on the classes from the FB 2005-1 transaction reflect our analysis of the transaction, which included our revaluation of the two office collateral securing the two fixed-rate loans, 1345 Avenue of the Americas and Park Avenue Plaza loans, in the pool, and a review of the loans and transaction structure and available liquidity. The upgrades also considered the improved operating performance of the office collateral and amortization of the two whole-loan balances. Our adjusted valuation on the two office properties, using an 8.0% capitalization rate, yielded a stressed loan-to-value (LTV) ratio of 57.3% on the whole-loan balance. The whole loans secured by two office properties known as 1345 Avenue of the Americas and Park Avenue Plaza are participated in both the LB-UB 2005-C5 and FB 2005-1 transactions. The FB 2005-1 certificates derive 100% of their cash flow from the participated interests," S&P said. "Using servicer-provided financial information for the LB-UBS 2005-C5 transaction, we calculated an adjusted debt service coverage (DSC) of 1.36x and a LTV ratio of 103.1%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.84x and an LTV ratio of 141.8%. The implied defaults and loss severity under the 'AAA' scenario were 71.5% and 44.0%. The DSC and LTV calculations exclude six ($90.2 million, 5.3%) assets with the special servicer and one defeased loan ($36,495). We separately estimated losses for the excluded specially serviced assets and included them in our 'AAA' scenario implied default and loss severity figures," S&P said. CREDIT CONSIDERATIONS "As of the May, 17, 2012, trustee remittance report for LB-UBS 2005-C5, six assets ($90.2 million, 5.3%) in the pool were with the special servicer, LNR Partners LLC (LNR). The reported payment status of the specially serviced assets as of the most recent trustee remittance report is: three are real estate owned (REO; $66.7 million, 3.9%), two are in foreclosure ($21.3 million, 1.3%), and one is 90-plus-days delinquent ($2.2 million, 0.1%). Appraisal reduction amounts (ARAs) totaling $44.5 million are in effect for the six specially serviced assets. Details of the two largest specially serviced assets, one of which is also atop 10 asset, are as set forth," S&P said. "The TAG Portfolio asset ($53.4 million, 3.1%) is the seventh- largest asset in the LB-UBS 2005-C5 pool and the largest asset with the special servicer. The asset consists of three class A office buildings built between 1989 and 2000, totaling 404,524 sq. ft. Two of the office buildings are located on adjacent sites in Downers Grove, Ill., and one building is in Dulles, Va. The total reported exposure on the properties was $55.5 million. The loan was transferred to the special servicer on April 15, 2010, due to imminent default, and the properties became REO on Nov. 29, 2011. LNR indicated that the properties are currently 31.0% occupied, the Loudon property is under contract and pending sale, and leasing efforts are ongoing for Corridors I and II. An ARA of $28.7 million is in effect against the asset. Standard & Poor's expects a significant loss upon the eventual resolution of this asset," S&P said. "The Centre at Lake in the Hills loan ($14.8 million, 0.9%) is secured by a 99,451-sq.-ft. retail property in Lake in the Hills, Ill. The total reported exposure on the loan was $16.3 million. The loan was transferred to the special servicer on May 19, 2011, due to delinquent payments. LNR stated that it is pursuing foreclosure. The reported DSC was 1.19x as of year-end 2010 and reported occupancy was 79.0% as of January 2012. An ARA of $5.1 million is in effect against the loan. We expect a moderate loss upon the eventual resolution of this loan," S&P said. "The four remaining assets with the special servicer in LB-UBS 2005-C5 have individual balances that represent less than 0.6% of the total trust balance. ARAs totaling $10.7 million are in effect against these assets. We estimated losses for all of these assets, arriving at a weighted-average loss severity of 45.0%," S&P said. TRANSACTION SUMMARY "As of the May, 17, 2012, trustee remittance report for LB-UBS 2005-C5, the collateral pool had an aggregate trust balance of $1.72 billion, down from $2.34 billion at issuance. The pool comprises 100 loans and three REO assets, down from 115 loans at issuance. The master servicer, Wells Fargo Bank N.A. (Wells Fargo), provided financial information for 95.5% of the nondefeased loans in the pool, most of which reflected full-year 2010 and partial- or full-year 2011 data," S&P said. "We calculated a weighted average DSC of 1.37x for the loans in the LB-UBS 2005-C5 pool based on the servicer-reported figures. Our adjusted DSC and LTV ratio were 1.36x and 103.1%. Our adjusted figures exclude six ($90.2 million, 5.3%) assets with the special servicer and one defeased loan ($36,495). We separately estimated losses for the excluded specially serviced assets and included them in our 'AAA' scenario implied default and loss severity figures. To date, the transaction has experienced $1.4 million in principal losses from eight assets. Twenty-seven loans ($397.9 million, 23.1%) in the pool are on the master servicer's watchlist, including two of the top 10 assets. Nineteen loans ($196.7 million, 11.4%) have a reported DSC of less than 1.10x, 10 of which ($86.7 million, 5.0%) have a reported DSC of less than 1.00x," S&P said. SUMMARY OF TOP 10 ASSETS "The top 10 assets in LB-UBS 2005-C5 have an aggregate outstanding balance of $1.02 billion (59.5%). Using servicer-reported numbers, we calculated a weighted average DSC of 1.37x for nine of the top 10 assets. The remaining top 10 asset ($53.4 million, 3.1%) is with the special servicer. In addition, two other top 10 assets ($194.4 million, 11.4%) are on the master servicer's watchlist. Our adjusted DSC and LTV ratio for nine of the top 10 assets, excluding the specially serviced asset, were 1.33x and 106.8%, respectively. Details of the two top 10 assets with the master servicers are set forth," S&P said. "The Courtyard by Marriott Portfolio loan is the third-largest asset in the LB-UBS 2005-C5 pool and the largest loan on the master servicer's watchlist. The loan has a pooled trust balance of $162.4 million (9.4%) and a whole loan balance of $508.5 million. The loan is secured by a portfolio of 64 hotels totaling 9,443 rooms in 29 U.S. states. The loan appears on Wells Fargo's watchlist due to a low reported DSC. The reported DSC and occupancy for the loan were 1.12x and 66.0%, respectively, for year-end 2011, up from year-end 2010 of 0.94x and 62.9%," S&P said. "The Sandpiper Apartments loan ($32.0 million, 1.9%) is the 10th- largest asset in the LB-UBS 2005-C5 pool and the second-largest loan on the master servicer's watchlist. The loan is secured by a 488-unit multifamily property in Las Vegas. The loan appears on the master servicer's watchlist due to a low reported DSC. The reported DSC and occupancy for the loan were 1.07x and 89.8%, respectively, for year-end 2011, up from year-end 2010 of 0.82x and 74.0%," S&P said. "Standard & Poor's stressed the collateral in the LB-UBS 2005-C5 pool according to its criteria. The resultant credit enhancement levels are consistent with our lowered and affirmed ratings," S&P said. 1345 AVENUE OF THE AMERICAS AND PARK AVENUE PLAZA TRUST SERIES FB 2005-1 STAND-ALONE CMBS TRANSACTION "As of the May 10, 2012, trustee remittance report for FB 2005-1, the collateral pool had an aggregate trust balance of $548.7 million. The pool comprises a participated interest in two fixed- rate loans, the 1345 Avenue of the Americas and Park Avenue Plaza loans," S&P said. "We based our analysis of the FB 2005-1 transaction, in part, on a review of the borrower's operating statements for the year ended Dec. 31, 2011, the year ended Dec. 31, 2010, the borrower's 2012 budgets, and the borrower's March 27, 2012, rent rolls for the two office collateral securing the 1345 Avenue of the Americas and Park Avenue Plaza loans. Our analysis of the two loans also considered rent escalations over the lease terms for tenants in the two office properties rated investment grade by Standard & Poor's. Details on the two fixed-rate loans are as set forth," S&P said. "The larger of the two loans, the 1345 Avenue of the Americas loan, has a whole-loan balance of $679.0 million that consists of a senior A, subordinate B, and subordinate C notes. The senior A note totaling $462.5 million is further divided into five pari passu notes, of which note 1-A1 ($21.3 million) is in the Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20 (BSCMS 2005-TOP20) transaction, note 1-A2 ($21.3 million) is in the LB- UBS 2005-C5 transaction, and notes 1-A3 and 1-A4 ($338.4 million in aggregate) are in the FB 2005-1 transaction. The B note totaling $116.5 million, which is subordinate to the A notes, is split into three pari passu pieces, of which notes 1-B1 and 1-B2 totaling $98.0 million is in the FB 2005-1 transaction. The C note totaling $100.0 million, which is subordinate to the A and B notes, is divided into four pari passu notes," S&P said. "The whole loan matures on Aug. 8, 2025, and amortizes on a 30- year schedule. The amortization amount is used to paydown the note 1-A1 ($21.3 million) and note 1-A2 ($21.3 million) balances only. The first two and the last three years of the loan term is IO. The whole loan is secured by a 1,896,140-sq.-ft. office property in midtown Manhattan. The master servicer, Wells Fargo, reported a DSC of 2.19x for the nine months ended Sept. 30, 2011, and occupancy was 99.9% according to the March 2012 rent roll. Our adjusted valuation, using an 8.0% capitalization rate, yielded a stressed LTV ratio of 67.1% on the whole loan balance," S&P said. "The other loan, the Park Avenue Plaza loan, has a whole-loan balance of $231.1 million that consists of a senior A note and a subordinate B note. The senior A note totaling $228.9 million is further split into five pari passu notes, of which note 1-A1 ($9.4 million) is in BSCMS 2005-TOP20, note 1-A2 ($9.4 million) is in LB-UBS 2005-C4, and notes 1-A3 and 1-A4 ($111.0 million in aggregate) are in FB 2005-1. The subordinate B note totaling $2.2 million is split into three pari passu pieces, of which notes 1-B1 and 1-B2 totaling $1.3 million are in the FB 2005-1 transaction. In addition, the equity interests in the borrower of the whole loan secure mezzanine debt totaling $85.0 million. The whole loan matures on Sept. 8, 2025, amortizes on a 315-month schedule, and is IO for the first 30 months and the last three years of the loan term. The amortization amount is used to paydown the note 1-A1 ($9.4 million) and note 1-A2 ($9.4 million) balances only. The whole loan is secured by a 1,136,807-sq.-ft. office property in midtown Manhattan. Wells Fargo reported a DSC of 2.53x for the year-end 2011, and occupancy was 99.8%, according to the March 2012, rent roll. Our adjusted valuation, using an 8.0% capitalization rate, yielded a stressed LTV ratio of 40.1% on the whole loan balance," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED LB-UBS Commercial Mortgage Trust 2005-C5 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-J BBB (sf) A- (sf) 16.28 B BBB- (sf) BBB+ (sf) 15.09 C BB+ (sf) BBB (sf) 13.21 D BB (sf) BBB- (sf) 11.51 E BB- (sf) BB+ (sf) 10.14 F B+ (sf) BB (sf) 8.44 RATINGS RAISED 1345 Avenue of the Americas and Park Avenue Plaza Trust Commercial mortgage pass-through certificates series FB 2005-1 Rating Class To From Credit enhancement (%) D AAA (sf) AA (sf) 6.50 E AAA (sf) A+ (sf) 3.14 F A+ (sf) A (sf) 0.00 RATINGS AFFIRMED LB-UBS Commercial Mortgage Trust 2005-C5 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-3 AAA (sf) 40.82 A-AB AAA (sf) 40.82 A-4 AAA (sf) 40.82 A-1A AAA (sf) 40.82 A-M A+ (sf) 27.19 G CCC- (sf) 6.91 X-CL AAA (sf) N/A X-CP AAA (sf) N/A 1345 Avenue of the Americas and Park Avenue Plaza Trust Commercial mortgage pass-through certificates series FB 2005-1 Class Rating Credit enhancement (%) A-2 AAA (sf) 18.10 A-3 AAA (sf) 18.10 B AAA (sf) 13.36 C AAA (sf) 8.32 X AAA (sf) N/A N/A-Not applicable. LEHMAN BROS 2006-LLF: S&P Raises Rating on Cl. E Certs. to 'BB-' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on four classes of commercial mortgage pass-through certificates from Lehman Bros. Floating Rate Commercial Mortgage Trust 2006-LLF C5, a U.S. commercial mortgage-backed securities (CMBS) transaction. "Concurrently, we affirmed our ratings on eight other classes from the same transaction," S&P said. "Our raised and affirmed ratings follow our analysis of the transaction, which included our revaluation of the collateral securing the remaining four floating-rate loans in the pool, one of which is currently with the special servicer. Our analysis also considered the deleveraging of the transaction following loan paydowns, deal structure, liquidity available to the trust, as well as refinancing risk. In addition, we also considered the workout fee that the transaction is incurring for the Continental Grand II loan," S&P said. "The upgrades reflect increased credit enhancement levels due to the deleveraging of the pool, as well as improved reported performance of the largest loan in the pool, the Walt Disney World Swan & Dolphin loan ($319.6 million, 75.8% of the pooled trust balance)," 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-2 and X-FLP interest-only (IO) certificates based on our current criteria," S&P said. "As of the May 15, 2012, trustee remittance report, the trust consists of four floating-rate IO loans indexed to one-month LIBOR with a pooled trust balance of $421.8 million and a trust balance of $454.2 million. The reported one-month LIBOR was 0.25% per the May 2012 trustee remittance report," S&P said. "According to the May 2012 trustee remittance report, classes H, J, K, and L incurred interest shortfalls due primarily to an appraisal subordinate entitlement reduction (ASER) amount of $51,651 for the specially serviced National Conference Center loan. The master servicer, Wells Fargo Bank N.A. (Wells Fargo), reported that the ASER amount was incorrect, which Wells Fargo expects to adjust in the next period remittance report," S&P said. "We based our analysis, in part, on a review of the borrowers' operating statements for year-end 2011 and 2010, the borrowers' available 2012 budgets, the borrowers' May 2012 rent rolls (for the office properties), and available Smith Travel Research (STR) reports (for the hotel properties). Details on the four remaining loans are as set forth," S&P said. "The Walt Disney World Swan & Dolphin loan, the largest loan in the trust, is secured by two upscale full-service convention and resort hotels totaling 2,267 rooms in Lake Buena Vista, Fla. (near Orlando). The loan has a trust and whole-loan balance of $330.0 million that is split into a $319.6 million (75.8% of the pooled trust balance) senior pooled component and a $10.4 million subordinate nonpooled component that supports the class WSD raked certificate (not rated). The reported year-end 2011 combined occupancy and average daily rate (ADR) for the lodging properties were 81.1% and $158.14, yielding a revenue per available room (RevPAR) of $128.27. This was up 8.4% from year-end 2010 and 6.1% from year-end 2009. Wells Fargo reported an in-trust debt service coverage (DSC) of 9.67x for year-end 2011. Our adjusted valuation using a 10.50% capitalization rate, yielded a stressed in-trust loan-to-value (LTV) ratio of 92.0%. The loan matures on Sept. 1, 2012, and has one 12-month extension option remaining," S&P said. "The National Conference Center loan, the second-largest loan in the pool, is secured by a 1.2-million-sq.-ft. conference facility in Lansdowne, Va. (917 guestrooms and 265,000 sq. ft. of meeting space). The loan has a trust balance of $41.4 million (9.8%) and a whole-loan balance of $63.4 million. In addition, equity interests in the borrower of the whole loan secure a $35.0 million mezzanine loan. The loan was previously transferred to the special servicer on July 22, 2010, and subsequently modified on Sept. 15, 2011. The modification terms included, among other items, a maturity extension to Aug. 9, 2012, with two 12-month extension options. The loan was returned back to the master servicer as a corrected mortgage loan subsequent to the modification on Sept. 15, 2011. The loan was transferred back to the special servicer, TriMont Real Estate Advisors (TriMont), on Feb. 8, 2012, due to imminent default. TriMont stated that it is currently exploring various workout strategies with the borrower. The borrower reported that cash flow was insufficient to cover operating expenses for year- end 2011. The borrower reported occupancy of 26.3% and RevPAR of $20.75, down 24.1% from year-end 2010. We considered the 2012 budgets in our adjusted valuation and used a capitalization rate of 11.75%, which yielded a stressed in-trust LTV ratio that significantly exceeded 100%," S&P said. "The Continental Grand II loan, the second-smallest loan in the pool, is secured by a 238,388-sq.-ft., class A office building in El Segundo, Calif. The loan has a trust and whole-loan balance of $36.0 million (8.5%). In addition, the equity interests in the borrower of the whole loan secure mezzanine debt totaling $22.0 million. The loan, which has a reported current payment status, was transferred to TriMont on June 8, 2010, due to imminent default. According to TriMont, the loan was modified on Sept. 10, 2010, and returned to the master servicer on Nov. 16, 2010. The modification terms included, but were not limited to, maturity date extension to Aug. 6, 2011, three one-year extension options, and funding for certain reserves. According to Wells Fargo, the borrower is not paying the special servicing and workout fees on the loan. Pursuant to the transaction documents, the special servicer is entitled to a workout fee that is 0.50% of all future principal and interest payments if the loan performs and remains with the master servicer. Our analysis considered current and potential additional interest shortfalls due to the workout fee on the loan paid by the trust. The borrower reported that cash flow was not sufficient to cover operating expenses for year-end 2011 and 2010. Occupancy was 67.0% according to the May 4, 2012, rent roll, up from a reported 56.0% occupancy at year-end 2011 and 38.0% in 2010. We considered market data in our adjusted valuation and used a 9.50% capitalization rate, which yielded a stressed in- trust LTV ratio of 145.1%," S&P said. "The 30 Montgomery Street loan, the smallest loan in the pool, is secured by a 292,172-sq.-ft., class B+ office building in Jersey City, N.J. The loan has a trust and whole-loan balance of $24.8 million (5.9%). The loan, which has a reported current payment status, was transferred to TriMont on March 31, 2011, due to maturity default. According to TriMont, the loan was modified on May 20, 2011, and returned to the master servicer on Sept. 30, 2011. The modification terms included, among other items, maturity extension to Sept. 9, 2013, and funding for certain reserves. It is our understanding from the master servicer that the borrower paid the special servicing and workout fees on the loan. Wells Fargo reported an in-trust DSC of 6.44x for year-end 2011. Occupancy was 72.4%, according to the May 25, 2012, rent roll. Our adjusted valuation, using a 9.00% capitalization rate, yielded a stressed in-trust LTV ratio of 122.9%," 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 RAISED Lehman Bros. Floating Rate Commercial Mortgage Trust 2006-LLF C5 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) B AA+ (sf) AA- (sf) 70.51 C A- (sf) BBB-(sf) 57.79 D BBB- (sf) BB+ (sf) 49.70 E BB- (sf) B+ (sf) 38.93 RATINGS AFFIRMED Lehman Bros. Floating Rate Commercial Mortgage Trust 2006-LLF C5 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-2 AAA (sf) 84.39 F B- (sf) 32.68 G CCC+ (sf) 22.01 H CCC (sf) 12.31 J CCC (sf) 11.45 K CCC- (sf) 3.66 X-FLP AAA (sf) N/A X-2 AAA (sf) N/A N/A - Not applicable. LONG GROVE: S&P Withdraws 'B+' Rating on Class D Notes ------------------------------------------------------ Standard & Poor's Ratings Services withdrew its ratings on 14 classes of notes from eight collateralized debt obligation (CDO) transactions. "The rating withdrawals follow the complete paydown of the notes on their most recent payment dates," S&P said. "ACAS Business Loan Trust 2006-1 is a U.S. cash flow collateralized loan obligation (CLO). The transaction paid the class A notes down in full on the May 28, 2012, payment date, from an outstanding balance of $4.80 million," S&P said. "ACAS Business Loan Trust 2007-1 is a U.S. CLO transaction that paid the class A notes down in full on the May 16, 2012, payment date, from an outstanding balance of $27.39 million," S&P said. "C-Bass CBO VIII Ltd. is a U.S. CDO backed by mezzanine structured finance assets. The transaction paid the class A-1 notes down in full on the May 2, 2012, payment date, from an outstanding balance of $0.57 million," S&P said. Landmark III CDO Ltd. is a U.S. CLO transaction that paid the class A-1LA notes down in full on the April 16, 2012, payment date, from an outstanding balance of $5.36 million. LightPoint CLO 2004-1 Ltd. is a U.S. CLO transaction that paid the class B notes down in full on the May 15, 2012, payment date, from an outstanding balance of $8.10 million. Long Grove CLO Ltd. is a U.S. cash flow CLO. The transaction paid the class A, B, C, and D notes down in full following an April 30, 2012, notice of optional redemption. The notes were paid down on the May 25, 2012, payment date, from outstanding balances of $40.40 million, $29.00 million, $17.80 million, and $9.29 million. Signature 7 L.P. is a CLO. The transaction paid the class A, B, and C notes down in full following a May 7, 2012, notice of optional redemption. The notes were paid down on the May 23, 2012, redemption date, from outstanding balances of $11.52 million, $15.09 million, and $11.43 million. Veer Cash Flow CLO Ltd. is a U.S. cash flow CLO that paid the class senior and mezzanine deferrable notes down in full on the March 15, 2012, and March 23, 2012, payment dates, from outstanding balances of $14.18 million and $15.00 million. 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 ACAS Business Loan Trust 2006-1 Rating Class To From A NR A+ (sf) ACAS Business Loan Trust 2007-1 Rating Class To From A NR AA+ (sf) C-Bass CBO VIII Ltd. Rating Class To From A-1 NR AA (sf) Landmark III CDO Ltd. Rating Class To From A-1LA NR AAA (sf) LightPoint CLO 2004-1 Ltd. Rating Class To From B NR AA- (sf) Long Grove CLO Ltd. Rating Class To From A NR AAA (sf) B NR AA+ (sf) C NR BBB- (sf) D NR B+ (sf) Signature 7 L.P. Rating Class To From A NR AAA (sf) B NR AAA (sf) C NR BB+ (sf) Veer Cash Flow CLO Ltd. Rating Class To From Sr Rt notes NR AAA (sf) Mez dfd nt NR AA (sf) NR-Not rated. MERRILL LYNCH: Moody's Takes Action on $205MM in 2001-2004 RMBS --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of four tranches, upgraded the ratings of three tranches, and confirmed the ratings of 12 tranches from three RMBS transactions, backed by prime jumbo loans, issued by Merrill Lynch. Ratings Rationale The actions are a result of the recent performance review of Prime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The rating action constitute a few upgrades as well as downgrades. The upgrades are due to improvement in collateral performance, and/ or rapid build-up in credit enhancement due to high prepayments. The downgrades are a result of deteriorating performance and/or structural features resulting in higher expected losses for certain bonds than previously anticipated. For e.g., for shifting interest structures, back-ended liquidations could expose the seniors to tail-end losses. The subordinate bonds in the majority of these deals are currently receiving 100% of their principal payments, and thereby depleting the dollar enhancement available to the senior bonds. In its current approach, Moody's captures this risk by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural nuances of the transaction The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is set at 3% for Jumbo and which is typically higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 76, the rate of delinquency is increased by 1% for every loan less than 76. For example, for a pool with 75 loans, the adjusted rate of new delinquency would be 3.03%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.75 to 2.5 for current delinquencies ranging from less than 2.5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. Moody's expects growth in the US to remain below trend for the rest of 2012, and then pick up again in 2013. The unemployment rate fell from 9.1% in April 2011 to 8.2% in March 2012. Moody's forecasts a further drop to 7.8% for 2013. House prices are expected to drop another 1% from their 4Q2011 levels before gradually rising towards the end of 2013. Performance of RMBS continues to remain highly dependent on servicer procedures; any change due to servicing transfers or other policy/regulatory change can impact the performance of the transaction. Complete rating actions are as follows: Issuer: Merrill Lynch Bank USA Mortgage Pass-Through Certificates, 2001-A Cl. A, Downgraded to A1 (sf); previously on Apr 18, 2011 Downgraded to Aa3 (sf) Cl. M-1, Downgraded to Baa1 (sf); previously on Apr 18, 2011 Downgraded to A3 (sf) Cl. M-2, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. B-1, Downgraded to B3 (sf); previously on Jul 9, 2009 Downgraded to B1 (sf) Cl. B-2, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf) Placed Under Review for Possible Upgrade Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2004-B Cl. A-1, Upgraded to A3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. A-2, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. A-3, Upgraded to Baa3 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. X-A, Upgraded to Baa1 (sf); previously on Feb 22, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. X-B, Confirmed at Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) and Placed Under Review for Possible Upgrade Cl. B-1, Confirmed at Caa1 (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Cl. B-2, Confirmed at Caa3 (sf); previously on Jan 31, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade Cl. B-3, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf) Placed Under Review for Possible Upgrade Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2004-F Cl. A-1A, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade Cl. A-1B, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade Cl. A-2, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade Cl. X-A, Confirmed at Baa2 (sf); previously on Feb 22, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade Cl. X-B, Confirmed at Caa2 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade Cl. B-1, Confirmed at B1 (sf); previously on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Upgrade A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF287657 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269 MERRILL LYNCH 2005-CIP1: Expected Losses Cues Fitch to Cut Ratings ------------------------------------------------------------------ Fitch Ratings has downgraded nine classes of Merrill Lynch Mortgage Trust (MLMT) 2005-CIP1 commercial mortgage pass-through certificates. The downgrades reflect an increase in expected losses across the pool since Fitch's last review of the transaction. Fitch modeled losses of 10.23% of the remaining pool. Total expected losses based on the original pool size are 9.93%, which also reflects 2.03% in losses already incurred to date. Fitch has designated 39 loans (43.5%) as Fitch Loans of Concern, which include 14 specially serviced loans (17.6%). Five of the Fitch Loans of Concern (24.48%) are within the transaction's top 15 loans by unpaid principal balance. As of the June 2011 distribution date, the pool's aggregate principal balance has reduced by 22.78% (including 2.03% of realized losses) to $1.59 billion from $2.06 billion at issuance. There are three defeased loans (7.13%). Interest shortfalls are affecting classes E through Q. The largest contributor to Fitch-modeled losses is attributed to the Highwoods Portfolio B-note (3.78% of the pool). The loan is secured by 31 cross-collateralized office properties in Charlotte, NC (18 properties) and Tampa, FL (13 properties). The original $160 million loan on this property, which matured in August 2010, had transferred to special servicing in March 2010 for imminent maturity default. The loan was modified in March 2011 while in special servicing. Terms of the modification included an extension to the original loan term and bifurcation of the loan into a senior ($100 million) and junior ($60 million) component. Although losses are not expected imminently, any recovery to the subject B-note is contingent upon full recovery to the A-note proceeds at the loan's maturity in May 2014. Unless collateral performance improves, recovery to the B-note component is unlikely. The second largest contributor to Fitch-modeled losses is the Equity Lifestyle Portfolio (2.37%) loan. The loan is collateralized by three manufactured housing recreational vehicle parks with two located in upstate New York and one located in New Hampshire. The properties have struggled since issuance. The servicer has reported that the subject properties experience seasonal peaks and are out of season until April or May of each year. The combined servicer-reported year end (YE) 2011 debt service coverage ratio (DSCR) and YE December 2010 DSCR was 0.71x and 0.62x,respectively. The third largest contributor to Fitch-modeled losses is secured by a B-note for University Village (0.64%). The loan is collateralized by a 161,090 square foot retail center located in Riverside, CA, near the University of California at Riverside campus. The original $32 million loan on this property had transferred to special servicing in January 2009 upon the borrower's request for a loan modification due to property performance deterioration from occupancy declines. The loan was modified in June 2011 while in special servicing. Terms of the modification included bifurcation of the loan into a senior ($21 million) and junior ($10.1 million) component. Although losses are not expected imminently, any recovery to the subject B-note is contingent upon full recovery to the A-note proceeds at the loan's maturity in July 2015. Unless collateral performance improves, recovery to the B-note component is unlikely. The largest loan in the pool possesses high risk characteristics due to the loan size (10.5%) relative to the pool balance and due to its secondary location (Fort Wayne, IN). Should property performance significantly decline and the loan was expected to experience a high loss severity, there can be reasonable probability that credit support on the investment grade classes would be eroded very quickly, negatively impacting the ratings. The Negative Outlook on class B reflects the increased concentration risk. Fitch downgrades the following classes, revises the Rating Outlooks on classes B and C, and assigns Recovery Estimates (REs) as indicated: -- $138.8 million class A-J to 'Asf' from 'AAsf'; Outlook Stable; -- $43.7 million class B to 'BBB-sf' from 'Asf'; Outlook to Negative from Stable; -- $18 million class C to 'Bsf' from 'BBB-sf'; Outlook to Negative from Stable; -- $38.6 million class D to 'CCCsf' from 'BBsf'; RE 40%; -- $25.7 million class E to 'CCCsf' from 'B-sf'; RE 0%; -- $33.4 million class F to 'CCsf' from 'CCCsf'; RE 0%; -- $10.3 million class J to 'Csf' from 'CCsf'; RE 0%; -- $5.1 million class K to 'Csf' from 'CCsf'; RE 0%; -- $7.7 million class L to to 'Csf; from 'CCsf'; RE 0%. Fitch affirms the following classes, maintains Rating Outlooks and assigns REs as indicated: -- $224.2 million class A-2 at 'AAAsf'; Outlook Stable; -- $157.9 million class A-3A at 'AAAsf'; Outlook Stable; -- $50 million class A-3B at 'AAAsf'; Outlook Stable; -- $70.4 million class A-SB at 'AAAsf'; Outlook Stable; -- $510.3 million class A-4 at 'AAAsf'; Outlook Stable; -- $205.7 million class A-M at 'AAAsf'; Outlook Stable; -- $20.6 million class G at 'CCsf'; RE 0%; -- $25.7 million class H at 'CCsf'; RE 0%. Class A-1 has repaid in full. Classes M, N and P remain at 'Dsf'; RE 0% due to realized losses. Fitch does not rate class Q, which has been reduced to zero due to realized losses. Fitch had previously withdrawn the rating on the interest-only classes X-C and X-P. MORGAN STANLEY 1998-HF2: Fitch Affirms 'Dsf' Rating on $4MM Certs ----------------------------------------------------------------- Fitch Ratings has upgraded one class of Morgan Stanley Capital I Trust's commercial mortgage pass-through certificates, series 1998-HF2. The upgrade reflects increased credit enhancement as a result of paydown and defeasance. As of the May 2012 distribution date, the pool's aggregate principal balance has reduced by 93.2% (including 1.6% in realized losses) to $71.8 million from $1.1 billion at issuance. Six loans in the pool (25.2%) are currently defeased. There are currently two loans (15.04%) in special servicing. Interest shortfalls are affecting classes L through N. The largest contributor to Fitch-modeled losses were originally two non cross-collateralized or cross-defaulted loans in Glen Ellyn, IL, one secured by seven parcels of land with six office buildings and one vacant lot within a corporate campus. The other was secured by two adjacent parcels of land with office buildings. The loans were transferred to special servicing in April 2010 due to monetary default and converted to real-estate-owned (REO) in August 2011. A sales contract is currently under negotiation. Fitch upgrades the following class: -- $10.6 million class H to 'AAAsf' from 'Asf'; Outlook Stable. Fitch affirms the following classes: -- $9.6 million class G at 'AAAsf'; Outlook Stable; -- $21.2 million class J at 'BBB-sf'; Outlook Stable; -- $10.6 million class K at 'BBsf'; Outlook Negative; -- $15.9 million class L at 'Csf'; RE 75%; -- $4 million class M at 'Dsf'; RE 0%. Classes A-1, A-2 and B through F have paid in full. Fitch does not rate class N. Fitch previously withdrew the rating on class X. MORGAN STANLEY 2001-IQ: Fitch Affirms Ratings on 3 Cert. Classes ---------------------------------------------------------------- Fitch Ratings has upgraded the ratings on two classes of Morgan Stanley Dean Witter Capital I Trust commercial mortgage pass- through certificates, series 2001-IQ. The upgrades are due to the pool's stable performance, scheduled principal pay down, and low future expected losses following Fitch's prospective review of potential stresses to the transaction. As of the May 2012 distribution date, the pool's certificate balance has been reduced 97.35% (including 0.52% in realized losses) to $18.9 million from $713 million at issuance. There are nine of the original 91 loans remaining in the transaction. There are no specially serviced loans as of the May 2012 remittance report. Fitch expects minimal losses to the remaining pool balance. Any incurred losses are expected to be absorbed by the non-rated class O. Fitch has identified four Loans of Concern (55.4% of the pool balance). The largest loan of concern (24.7%) is secured by a 54,597 square foot suburban office complex in Charlotte, NC. Updated financial information for the property have not been received by the servicer since year end (YE) December 2005, which at that time reported the debt service coverage ratio at 1.62 times (x), compared to 1.70x at issuance. REIS reported the first quarter 2012 class B office vacancy in the Charlotte / Randolph submarket at 14.4%, with average market rents at $17.39 per square food (psf). The most recent available rent roll reported occupancy at 93% as of May 2011, with in place rents at $23.27psf. The servicer reported that the property received a rating of 'good' at its most recent June 2011 inspection. The loan remains current as of the May 2012 remittance date. Fitch stressed the cash flow of the remaining loans by applying a 5% reduction to 2011 fiscal YE net operating income. Fitch also applied an adjusted market cap rate between 9% and 10% to determine value. Each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. All nine of the remaining loans are considered to pay off at maturity, and could refinance to a DSCR above 1.25x. The current weighted average DSCR for the remaining loans is 1.57x. Seven (55.4%) of the remaining nine loans are fully amortizing. Fitch upgrades the following classes: -- $4.7 million class J to 'Asf' from 'BBBsf'; Outlook Stable; -- $3.6 million class K to 'BBBsf' from 'BB+sf'; Outlook Stable. Fitch also affirms the following classes: -- $1.8 million class L at 'BBsf'; Outlook Stable; -- $5.4 million class M at 'Bsf'; Outlook Stable; -- $1.8 million class N at 'B-sf'; Outlook Negative. Class O is not rated by Fitch, which has been reduced to $1.66 million from $1.71 million at issuance due to realized losses. Classes A-1, A-2, A-3, B, C, D, E, F, G and H have paid in full. The interest only class X-2 has paid in full. Fitch had previously withdrawn the rating on the interest-only class X-1. MORGAN STANLEY 2004: Moody's Cuts Ratings on 10 RMBS Class to 'C' ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 12 tranches, upgraded the ratings of three tranches, and confirmed the ratings of five tranches from three RMBS transactions backed by Subprime loans issued by Morgan Stanley. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (11% for all vintages 2004 and prior). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast. The unemployment rate fell from 9.0% in April 2011 to 8.2% in May 2012. Moody's forecasts a further drop to 7.8% for 2013. Moody's expects house prices to drop another 1% from their 4Q2011 levels. Complete rating actions are as follows: Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE8 Cl. M-1, Downgraded to Baa1 (sf); previously on Mar 15, 2011 Downgraded to A1 (sf) Cl. M-2, Upgraded to B1 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Cl. M-4, Downgraded to Ca (sf); previously on Mar 15, 2011 Downgraded to Caa3 (sf) Cl. M-5, Downgraded to C (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Cl. M-6, Downgraded to C (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Cl. B-1, Downgraded to C (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Cl. B-2, Downgraded to C (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Cl. B-3, Downgraded to C (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE9 Cl. M-1, Upgraded to A1 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Upgraded to B3 (sf); previously on Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Cl. M-4, Downgraded to C (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Cl. M-5, Downgraded to C (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Cl. M-6, Downgraded to C (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Cl. B-1, Downgraded to C (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Cl. B-2, Downgraded to C (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC4 Cl. M-1, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Confirmed at Caa1 (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Cl. M-3, Confirmed at Caa3 (sf); previously on Jan 31, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade Cl. B-1, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf) Placed Under Review for Possible Upgrade Cl. B-2, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf) Placed Under Review for Possible Upgrade A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF287692 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 MORGAN STANLEY 2007-TOP25: Fitch Keeps D Rating on 9 Note Classes ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Morgan Stanley Capital I Trust, series 2007-TOP25 (MSCI 2007-TOP25). In addition, Fitch maintains five classes on Rating Watch Negative. Classes A-M through D remain on Rating Watch Negative based upon an increase in Fitch expected losses across the pool, primarily from the loans in special servicing. Fitch expects to resolve the Rating Watch status within the next several months following a complete review of the transaction, which will incorporate year-end 2011 operating history and updates on valuations and workout strategies of the specially serviced loans. Fitch expects class A-M could be downgraded several categories given limited subordination of the remaining classes relative to the increased expected losses on the pool. Fitch maintains the following classes on Rating Watch: -- $155.5 million class A-M 'AAAsf'; -- $110.8 million class A-J 'BBB-sf'; -- $27.2 million class B 'BBsf'; -- $11.7 million class C 'Bsf'; -- $25.3 million class D 'B-sf'. Additionally, Fitch affirms the following classes: -- $65.1 million class A-2 at 'AAAsf'; Outlook Stable; -- $58 million class A-AB at 'AAAsf'; Outlook Stable; -- $784.4 million class A-3 at 'AAAsf'; Outlook Stable; -- $135.5 million class A-1A at 'AAAsf'; Outlook Stable; -- $11.7 million class E at 'Csf; RE 0%; -- $13.1 million class F at 'Dsf'; RE 0%; -- $0 million class G at 'Dsf'; RE 0%' -- $0 million class H at 'Dsf'; RE 0%' -- $0 million class J at 'Dsf'; RE 0%' -- $0 million class K at 'Dsf'; RE 0%' -- $0 million class L at 'Dsf'; RE 0%' -- $0 million class M at 'Dsf'; RE 0%' -- $0 million class N at 'Dsf'; RE 0%' -- $0 million class O at 'Dsf'; RE 0%'. Class A-1 has paid in full. Fitch does not rate class P. The rating on class X had been previously withdrawn. MORGAN STANLEY 2001-IQ: Fitch Affirms Ratings on 3 Cert. Classes ---------------------------------------------------------------- Fitch Ratings has upgraded the ratings on two classes of Morgan Stanley Dean Witter Capital I Trust commercial mortgage pass- through certificates, series 2001-IQ. The upgrades are due to the pool's stable performance, scheduled principal pay down, and low future expected losses following Fitch's prospective review of potential stresses to the transaction. As of the May 2012 distribution date, the pool's certificate balance has been reduced 97.35% (including 0.52% in realized losses) to $18.9 million from $713 million at issuance. There are nine of the original 91 loans remaining in the transaction. There are no specially serviced loans as of the May 2012 remittance report. Fitch expects minimal losses to the remaining pool balance. Any incurred losses are expected to be absorbed by the non-rated class O. Fitch has identified four Loans of Concern (55.4% of the pool balance). The largest loan of concern (24.7%) is secured by a 54,597 square foot suburban office complex in Charlotte, NC. Updated financial information for the property have not been received by the servicer since year end (YE) December 2005, which at that time reported the debt service coverage ratio at 1.62 times (x), compared to 1.70x at issuance. REIS reported the first quarter 2012 class B office vacancy in the Charlotte / Randolph submarket at 14.4%, with average market rents at $17.39 per square food (psf). The most recent available rent roll reported occupancy at 93% as of May 2011, with in place rents at $23.27psf. The servicer reported that the property received a rating of 'good' at its most recent June 2011 inspection. The loan remains current as of the May 2012 remittance date. Fitch stressed the cash flow of the remaining loans by applying a 5% reduction to 2011 fiscal YE net operating income. Fitch also applied an adjusted market cap rate between 9% and 10% to determine value. Each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. All nine of the remaining loans are considered to pay off at maturity, and could refinance to a DSCR above 1.25x. The current weighted average DSCR for the remaining loans is 1.57x. Seven (55.4%) of the remaining nine loans are fully amortizing. Fitch upgrades the following classes: -- $4.7 million class J to 'Asf' from 'BBBsf'; Outlook Stable; -- $3.6 million class K to 'BBBsf' from 'BB+sf'; Outlook Stable. Fitch also affirms the following classes: -- $1.8 million class L at 'BBsf'; Outlook Stable; -- $5.4 million class M at 'Bsf'; Outlook Stable; -- $1.8 million class N at 'B-sf'; Outlook Negative. Class O is not rated by Fitch, which has been reduced to $1.66 million from $1.71 million at issuance due to realized losses. Classes A-1, A-2, A-3, B, C, D, E, F, G and H have paid in full. The interest only class X-2 has paid in full. Fitch had previously withdrawn the rating on the interest-only class X-1. MORGAN STANLEY 2011-C2: Fitch Affirms 'B-' Rating on $15.2MM Certs ------------------------------------------------------------------ Fitch Ratings has affirmed all 11 classes of Morgan Stanley Capital I Trust 2011-C2 commercial mortgage pass-through certificates. The affirmations are based on the stable performance of the underlying collateral pool. As of the May 2012 remittance, the pool had not experienced a realized loss. Fitch has not designated any loans as Fitch Loans of Concern, and there have not been any defaulted or specially serviced loans. As of the May 2012 distribution date, the pool's aggregate principal balance has been paid down by 0.9% to $1.20 billion for $1.21 billion at issuance. The largest loan of the pool (12.62%) is secured by Deerbrook Mall, a 1,203,612 square foot (sf) regional mall, of which 554,461 sf is collateral for the loan, located in Humble, TX. The mall features four non-collateral anchors, including Dillard's, Macy's, Sears, and JC Penney. The subject serves a large trade area that encompasses a population of more than 500,000 with an average household income of $68K. The closest competitor is another regional mall that is owned by the same sponsor more than 21 miles to the southwest. The occupancy as of March 2012 was 99% versus 98% at issuance and the year-end 2011 reported debt service coverage ratio (DSCR) was 1.51 times (x). The sponsor of the loan is General Growth Properties. The second largest loan (11.91%) is secured by a 1,125,747 sf regional mall, Ingram Park Mall, located in San Antonio, TX. The non-collateral anchors of the mall are Dillard's, Dillard's Home Center, Sears, JC Penney, and Macy's. The mall benefits from its proximity to the Lackland Airforce Base and Westover Hills master- planned community. The mall's occupancy as of year-end 2011 was 91% with a DSCR of 1.49x. The sponsor of the loan is Simon Property Group. The third largest loan (11.06%) is secured by 383,983 sf office building located in Midtown Manhattan in New York, NY. Built in 1962, the property is a 23-story office building containing 370,304 sf of office space and 13,679 sf of ground floor retail space. Major tenants at the location include Scripps HGTV, Misys International, and Snell & Weisheimer. The subject is less than one block from a metro subway station and benefits from its easy access to major New York City transit centers. The property has experienced steady performance since issuance and as of year-end 2011 occupancy of 90% with a DSCR of 1.69x. The sponsors are NNA Property Holding Group and Murray Hill Properties Real Estate. Fitch has affirmed the following classes as indicated: -- $55.9 million class A-1 at 'AAAsf'; Outlook Stable; -- $363.5 million class A-2 at 'AAAsf'; Outlook Stable; -- $89 million class A-3 at 'AAAsf'; Outlook Stable; -- $439.5 million class A-4 at 'AAAsf'; Outlook Stable; -- $45.5 million class B at 'AAsf'; Outlook Stable; -- $50.1 million class C at 'Asf'; Outlook Stable; -- $31.9 million class D at 'BBB+sf'; Outlook Stable; -- $50.1 million class E at 'BBB-sf'; Outlook Stable; -- $15.2 million class F at 'BB+sf'; Outlook Stable; -- $12.1 million class G at 'BBsf'; Outlook Stable; -- $15.2 million class H at 'B-sf'; Outlook Stable; -- $959 million class X-A at 'AAAsf'; Outlook Stable; Fitch does not rate class J and X-B. MOUNTAIN CAPITAL II: Moody's Ups Rating on B-1L Notes From 'Ba2' ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Mountain Capital CLO III Ltd.: U.S. $13,500,000 Class A-3L Floating Rate Notes due 2016, Upgraded to Aaa (sf); previously on September 15, 2011 Upgraded to A1 (sf); U.S. $6,000,000 Class A-3F 5.744% Notes due 2016, Upgraded to Aaa (sf); previously on September 15, 2011 Upgraded to A1 (sf); U.S. $15,000,000 Class B-1L Floating Rate Notes due 2016, Upgraded to Baa2 (sf); previously on September 15, 2011 Upgraded to Ba2 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging and an increase in the transaction's overcollateralization ratios. Moody's notes that the Class A-1L Notes have been fully paid down, and the Class A-2L Notes have been paid down by approximately 50% or $25.6 million since the rating action in September 2011. As a result of the deleveraging, the overcollateralization ratios have increased since the last rating action. Based on the latest trustee report dated May 7, 2012, the Senior Class A, Class A and Class B-1L overcollateralization ratios are reported at 169.8%, 131.3%, and 108.7%, respectively, versus August 2011 levels of 140.9%, 120.6%, and 107.4% respectively. The May 2012 trustee reported overcollateralization ratios do not take into account deleveraging of the Class A-2L Notes on the May 15, 2012 distribution date. Notwithstanding benefits of the deleveraging, Moody's notes that the credit quality of the underlying portfolio has deteriorated since the last rating action. Based on the May 2012 trustee report, the weighted average rating factor is currently 3039 compared to 2649 in August 2011. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $89 million, defaulted par of $5.8 million, a weighted average default probability of 16.3% (implying a WARF of 3290), a weighted average recovery rate upon default of 50.3%, and a diversity score of 26. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Mountain Capital CLO III Ltd., issued in May 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2632) Class A-1LB: 0 Class A-2L: 0 Class A-3L: 0 Class A-3F: 0 Class B-1L: 3 Moody's Adjusted WARF + 20% (3948) Class A-1LB: 0 Class A-2L: 0 Class A-3L: -1 Class A-3F: -1 Class B-1L: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2014 and 2016 which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. MT WILSON: Moody's Ugprades Rating on Class E Notes to 'Ba2' ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of the following notes issued by Mt. Wilson CLO, Ltd.: U.S. $227,600,000 Class A Floating Rate Senior Secured Notes due 2018 (current outstanding balance of $221,558,514), Upgraded to Aaa (sf); previously on September 2, 2011 Upgraded to Aa1 (sf); U.S. $8,900,000 Class B Floating Rate Senior Secured Notes due 2018, Upgraded to Aa1 (sf); previously on September 2, 2011 Upgraded to Aa3 (sf); U.S. $22,000,000 Class C Floating Rate Deferrable Interest Notes due 2018, Upgraded to A2 (sf); previously on September 2, 2011 Upgraded to Baa1 (sf); U.S. $16,900,000 Class D Floating Rate Deferrable Interest Notes due 2018, Upgraded to Ba1 (sf); previously on September 2, 2011 Upgraded to Ba2 (sf); and U.S. $6,900,000 Class E Floating Rate Deferrable Interest Notes due 2018, Upgraded to Ba2 (sf); previously on September 2, 2011 Upgraded to Ba3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in July 2012. In consideration of the reinvestment restrictions applicable during the amortization period, and therefore limited ability to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will continue to maintain a positive "cushion" relative to certain covenant requirements. In particular, the deal is assumed to benefit from lower WARF, and higher coupon and spread levels compared to the levels assumed at the last rating action in September 2011. Moody's also notes that the transaction's reported overcollateralization ratio are stable since the last rating action. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $291.5 million, defaulted par of $0, a weighted average default probability of 19.69% (implying a WARF of 2774), a weighted average recovery rate upon default of 50.35%, and a diversity score of 50. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Mt. Wilson CLO, Ltd., issued in May 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2219) Class A: 0 Class B: +1 Class C: +2 Class D: +1 Class E: +1 Moody's Adjusted WARF + 20% (3329) Class A: 0 Class B: -1 Class C: -2 Class D: -1 Class E: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2014 and 2016 which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's generally analyzes the impact of assuming the worse of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. However, as part of the base case, Moody's considered spread and coupon levels higher than the covenant levels and WARF lower than the covenant levels due to the short period of time until the end of the reinvestment period. 2) Deleveraging: Another source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will occur and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. NACM CLO I: Moody's Raises Rating on Class D Notes to 'Ba2' ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by NACM CLO I: U.S. $15,500,000 Class A-2 Floating Rate Notes Due 2019, Upgraded to Aa1 (sf); previously on September 1, 2011, Upgraded to Aa2 (sf) U.S. $16,500,000 Class B Deferrable Floating Rate Notes Due 2019, Upgraded to A2 (sf); previously on September 1, 2011, Upgraded to A3 (sf) U.S. $11,000,000 Class C Floating Rate Notes Due 2019, Upgraded to Baa2 (sf); previously on September 1, 2011, Upgraded to Baa3 (sf) U.S. $9,500,000 Class D Floating Rate Notes Due 2019, Upgraded to Ba2 (sf); previously on September 1, 2011, Upgraded to Ba3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in July 2012. In consideration of the reinvestment restrictions applicable during the amortization period, and therefore limited ability to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will continue to maintain a positive "cushion" relative to certain covenant requirements. In particular, the deal is assumed to benefit from higher spread and coupon levels compared to the levels assumed in the last rating action in September 2011. Moody's also notes that the transaction's reported overcollateralization ratio are stable since the last rating action. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $289.4 million, defaulted par of $5 million, a weighted average default probability of 17.88% (implying a WARF of 2455), a weighted average recovery rate upon default of 50.91%, and a diversity score of 55. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. NACM CLO I, issued in June of 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (1964) Class A-1: 0 Class A-2: +1 Class B: +2 Class C: +3 Class D: +1 Moody's Adjusted WARF + 20% (2946) Class A-1: 0 Class A-2: -2 Class B: -2 Class C: -1 Class D: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2014 and 2016 which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will occur and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming the worse of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. However, as part of the base case, Moody's considered spread and coupon levels higher than the covenant levels due to the large difference between the reported and covenant levels. NEW CENTURY: Moody's Confirms 'Ca' Rating on Cl. M-5 RMBS Tranche ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating of one tranche and confirmed the ratings of three tranches from one RMBS transaction backed by Subprime loans issued by New Century Home Equity Loan Trust. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (11% for all vintages 2004 and prior). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast. The unemployment rate fell from 9.0% in April 2011 to 8.2% in May 2012. Moody's forecasts a further drop to 7.8% for 2013. Moody's expects house prices to drop another 1% from their 4Q2011 levels. Complete rating actions are as follows: Issuer: New Century Home Equity Loan Trust, Series 2003-5 Cl. A-I-4, Upgraded to Aa2 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Upgrade Cl. A-I-5, Confirmed at A1 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Confirmed at Caa2 (sf); previously on Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Cl. M-5, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf) Placed Under Review for Possible Upgrade A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF287687 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 NOVASTAR MORTGAGE: Moody's Lifts Cl. M-2 Tranche Rating to 'Caa1' ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of five tranches from two RMBS transactions, backed by Subprime loans, issued by NovaStar trusts. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (11% for all vintages 2004 and prior). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board still expects below-trend growth for the US economy for 2012, with the unemployment rate remaining high, above 7.5% through 2013 and home prices dropping another 1% from their 4Q 2011 levels. Complete rating actions are as follows: Issuer: NovaStar Mortgage Funding Trust, Series 2003-3 Cl. A-1, Upgraded to A3 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade Cl. A-2C, Upgraded to Baa1 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Upgraded to B3 (sf); previously on Jan 31, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Upgraded to Caa1 (sf); previously on Jan 31, 2012 Ca (sf) Placed Under Review for Possible Upgrade Issuer: NovaStar Mortgage Funding Trust, Series 2003-4 Cl. M-1, Upgraded to B3 (sf); previously on Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF287674 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 PARK PLACE: Moody's Cuts Rating on Cl. M-4 RMBS Tranche to 'Caa3' ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one tranche and upgraded the rating of one tranche issued by Park Place 2004- WCW2. The collateral backing this RMBS transaction primarily consists of first-lien, subprime mortgages. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. When assigning the final ratings to senior bonds, in addition to the methodologies described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board still expects below-trend growth for the US economy for 2012, with the unemployment rate remaining high, aboe 7.5% through 2013 and home prices dropping another 1% from their 4Q 2011 levels. Complete rating actions are as follows: Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WCW2 Cl. M-2, Upgraded to Baa2 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. M-4, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF287673 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 PARTS PRIVATE: Deteriorating Performance Cues Fitch to Cut Ratings ------------------------------------------------------------------ Fitch Ratings has resolved the Rating Watch Negative by downgrading all the notes for PARTS Private Student Loan Trust Series 2007-CT1. Fitch assigns a Negative Outlook to the senior and subordinate note. Fitch used its 'Global Structured Finance Rating Criteria' and 'U.S. Private Student Loan ABS Criteria' to review the transaction. The downgrades on all the notes are due to deteriorating performance, reflected in increasing level of defaults and anticipated decrease in the loss coverage multiples. The level of defaults has increased to 15.66% from 11.87% last year, and total parity has continued to decrease from the previous year (February 2011) to the current (February 2012), from 99.85% to 88.33%. Loss coverage multiples were determined by comparing the projected net loss amount to available credit enhancement. Fitch used market vintage loss data to form a loss timing curve representative of the collateral pool. After giving seasoning credit for those loans in repayment, Fitch applied the current cumulative gross loss level to the loss timing curve to derive the expected gross losses over the remaining life. No credit is given to recovery, as data provided indicated minimal recovery after loans defaulted. The Recovery Estimate for the class C notes is RE0%. The Negative Outlooks are assigned to the senior and subordinate notes consistent with Fitch's negative view of the private student loan sector in general. The class C notes were downgraded further to 'Csf', as Fitch believes default is inevitable as they are severely under-collateralized. Credit enhancement consists of excess spread and overcollateralization. Furthermore, senior notes benefit from additional credit enhancement provided by the subordinate note. Fitch assumed excess spread to be the lesser of the current annualized excess spread; the average historical excess spread; and the most recent 12-month average excess spread. That same rate was applied over the remaining life. The collateral securing the notes are private loans originated according to either TERI or LEARN underwriting guidelines. PHEAA services the loan portfolio. Fitch has taken the following rating actions: PARTS Private Student Loan Trust Series 2007-CT1 -- Class A downgraded to 'Asf' from 'AAAsf', Outlook Negative; -- Class B downgraded to 'B-sf' from 'BBB-sf', Outlook Negative; -- Class C downgraded to 'Csf' from 'CCsf', RE 0%. PPLUS TRUST: Moody's Cuts Rating on Class B Certificates to 'Ba2' ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of the following certificates issued by PPLUS Trust Series RRD-1: $60,000,000 PPLUS 6.30% Class A Trust Certificates; Downgraded to Ba2; Previously on May 19, 2011 Downgraded to Ba1 $60,000,000 Notional Principal PPLUS 0.325% Class B Trust Certificates; Downgraded to Ba2; Previously on May 19, 2011 Downgraded to Ba1 Ratings Rationale The transaction is a structured note whose ratings are based on the rating of the Underlying Securities and the legal structure of the transaction. The rating actions are a result of the change of the rating of the Underlying Securities which are the 6.625% Senior Debentures due April 15, 2029 issued by R.R. Donnelley & Sons Company which were downgraded by Moody's to Ba2 on June 13, 2012. The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. Moody's conducted no additional cash flow analysis or stress scenarios because the ratings are a pass-through of the rating of the underlying security. Moody's says that the underlying securities are subject to a high level of macroeconomic uncertainty, which is manifest in uncertain credit conditions across the general economy. Because these conditions could negatively affect the ratings on the underlying securities, they could also negatively impact the ratings on the note. RAMP SERIES 2002-RS2: Moody's Cuts Rating on M-I-2 Tranche to 'C' ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of three tranches from RAMP Series 2002-RS2 Trust. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. Moody's rating actions are based on the current level of credit enhancement, collateral performance and updated pool-level loss expectations. Moody's took into account credit enhancement provided by seniority, crosscollateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. In addition, the rating actions reflect correction of an error wherein incorrect delinquent pipeline data was utilized in determining the rating actions taken on March 30, 2012 for group I of RAMP Series 2002-RS2 Trust. As of January 2011, the group I foreclosure loan balance as a percentage of the group I collateral balance was 17.81%; however, loss projection was calculated based on a 1.97% foreclosure loan balance. The rating actions takes into account the correct delinquent pipeline data and proper loss projection base. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board still expects below-trend growth for the US economy for 2012, with the unemployment rate remaining high, above 7.5% through 2013, and home prices dropping another 1% from their 4Q 2011 levels. Complete rating actions are as follows: Issuer: RAMP Series 2002-RS2 Trust Cl. A-I-5, Downgraded to B3 (sf); previously on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. M-I-1, Downgraded to Ca (sf); previously on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade Cl. M-I-2, Downgraded to C (sf); previously on Mar 30, 2011 Downgraded to Ca (sf) A list of these actions including CUSIP identifiers may be found at http://moodys.com/viewresearchdoc.aspx?docid=PBS_SF287733 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 SNAAC AUTO 2012-1: S&P Gives 'BB' Rating on Class D Fixed Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to SNAAC Auto Receivables Trust 2012-1's $150 million auto receivables- backed notes series 2012-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect S&P's view of: - The availability of approximately 38.1%, 30.1%, 23.2%, and 19.8% of credit support for the class A, B, C, and D notes based on stress cash flow scenarios (including excess spread), which provide coverage of slightly more than 3.10x, 2.40x, 1.75x, and 1.50x our 11%-12% expected cumulative net loss. - The timely interest and principal payments made under stress cash flow modeling scenarios appropriate to the assigned ratings. - S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, its ratings on the class A and B notes would remain within one rating category of its 'AA (sf)' and 'A (sf)' ratings, respectively, within the first year and its ratings on the class C and D notes would remain within two rating categories of our 'BBB (sf)' and 'BB (sf)' ratings within the first year. These potential rating movements are consistent with our credit stability criteria, which outlines the outer bound of credit deterioration equal to a one-category downgrade within the first year for 'AA' rated securities and a two-category downgrade within the first year for 'A' through 'BB' rated securities under moderate stress conditions. - The credit enhancement in the form of subordination, overcollateralization, reserve account, and excess spread. - A cumulative net loss performance trigger that is designed to increase credit enhancement if losses are higher than expected. - The favorable track record of the management team, which has many years of experience individually in the industry and together at the company. - The collateral characteristics of the securitized pool, with 11 months seasoning and 47 months of remaining terms. - The transaction's payment and legal structures. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS ASSIGNED SNAAC Auto Receivables Trust 2012-1 Class Rating Type Interest Amount rate (mil. $) A AA (sf) Senior Fixed 112.00 B A (sf) Subordinate Fixed 16.00 C BBB (sf) Subordinate Fixed 14.00 D BB (sf) Subordinate Fixed 8.00 SOUNDVIEW HOME: Moody's Cuts Rating on II-A-4 Tranche to 'Caa2' --------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one tranche and upgraded the rating of one tranche from Soundview Home Loan Trust 2006-OPT4, backed by subprime mortgage loans. Ratings Rationale The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. In addition, these actions reflect correction of an error in the Structured Finance Workstation cash flow model used by Moody's in rating this transaction previously, specifically in how the model handled cash distribution from prepayments between senior and subordinate certificates. When rating these deals, the error in the model led to some senior certificates not being credited with the appropriate amount of principal prepayments. It should be noted that model-generated output is but one factor considered by Moody's in rating these transactions. Moody's previous ratings on the deal assumed that after the depletion of the mezzanine certificates, principal distributions to the group II senior certificates would be made sequentially. However, corresponding deal documents indicate that the senior principal waterfall will be changed to pay pro-rata among senior bonds after the mezzanine certificates are depleted. As such, Moody's has revised the waterfall projection after mezzanine depletion to be in alignment with the corresponding deal document, and have adjusted Moody's analysis accordingly. The rating of Class I-A-1 issued by Soundview Home Loan Trust 2006-OPT4 has been downgraded to Caa1 (sf) from B2 (sf) and the rating of Class II-A- 4 issued by Soundview Home Loan Trust 2006-OPT4 has been upgraded to Caa2 (sf) from C (sf). The collateral backing these transactions consists primarily of first-lien, subprime residential mortgage loans. The actions are a result of the recent performance review of subprime pools and reflect Moody's updated loss expectations on subprime pools issued from 2005 to 2008. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology" published in July 2011. To assess the rating implications of the updated loss levels on Subprime RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprised of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to extended foreclosure timelines by servicers is taken into consideration when assigning ratings. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board and Moody's Analytics (MA) still expect a below-trend growth for the US economy for 2012, with the unemployment rate remaining high, above 7.5%, and home prices dropping another 1% from their 4Q 2011 levels. Complete rating actions are as follows: Issuer: Soundview Home Loan Trust 2006-OPT4 Cl. I-A-1, Downgraded to Caa1 (sf); previously on Jun 17, 2010 Downgraded to B2 (sf) Cl. II-A-4, Upgraded to Caa2 (sf); previously on Jun 17, 2010 Downgraded to C (sf) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF287732 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF198689 SOUTH STREET 2000-1: Fitch Withdraws 'D' Rating on 5 Note Classes ----------------------------------------------------------------- Fitch Ratings has downgraded and withdrawn the ratings of five classes of notes issued by South Street CBO 2000-1 Ltd./Corp. as follows: -- $12,136,423 class A-4L notes to 'Dsf' from 'Csf'; -- $4,854,569 class A-4A notes to 'Dsf' from 'Csf'; -- $6,068,211 class A-4C notes to 'Dsf' from 'Csf'; -- $15,000,000 class B-1 notes to 'Dsf' from 'Csf'; -- $4,198,658 class B-2 notes to 'Dsf' from 'Csf'. The transaction's final maturity date was May 30, 2012. At that time, total available proceeds of approximately $51,000 were used to pay senior fees and expenses. No class of notes received any payments at the final maturity date. The remaining classes of notes referenced above have each defaulted since they have not received their full principal balances by the final maturity date. Fitch has withdrawn the ratings due to the defaults of these tranches. According to the trustee reports, one defaulted bond and 12 equity positions remained in the portfolio after the final maturity date. Future recoveries on these assets are possible, though likely minimal. Fitch will not maintain any further surveillance on the transaction. South Street CBO 2000-1 was a cash flow collateralized bond obligation (CBO) that closed on May 3, 2000. VENTURE X: Moody's Assigns 'Ba2' Rating to Class E Notes -------------------------------------------------------- Moody's Investors Service has assigned the following ratings to two classes of notes issued by Venture X CLO, Limited: Ratings U.S. $263,500,000 Class A Senior Secured Floating Rate Notes due 2022 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) U.S. $13,750,000 Class E Senior Secured Deferrable Floating Rate Notes due 2022 (the "Class E Notes"), Definitive Rating Assigned Ba2 (sf) Ratings Rationale Moody's ratings of the Class A Notes and the Class E Notes are based on the expected losses of these notes. 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. Venture X is a managed cash flow CLO. At least 95% of the portfolio must consist of senior secured loans or eligible investments, and up to 5% of the portfolio may consist of second- lien loans, unsecured loans and bonds. The portfolio is approximately 87% ramped up as of the closing date. MJX Asset Management LLC (the "Manager") will manage the CLO. It 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, 50% of unscheduled principal payments and sale proceeds of credit risk assets may be used to purchase additional collateral obligations, subject to certain conditions. 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. 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. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. Moody's used the following base-case modeling assumptions: Par amount: $410,000,000 Diversity Score: 50 Weighted Average Rating Factor (WARF): 2450 Weighted Average Spread (WAS): 3.75% Weighted Average Coupon (WAC): 5% Weighted Average Recovery Rate (WARR): 46% Weighted Average Life (WAL): 7 years. The Class A-1 Notes' and Class E Notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the notes' performance. 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. Below is 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: Percentage Change in WARF Ratings Impact in Rating Notches WARF + 15% (to 2818 from 2450) Class A-1 Notes: 0 Class E Notes: -1 WARF +30% (to 3185 from 2450) Class A-1 Notes: 0 Class E Notes: -2 The V Score for this transaction is Medium/High. Moody's assigned this V Score in a manner similar to the Medium/High V score assigned for the global cash flow CLO sector, as described in the special report titled, "V Scores and Parameter Sensitivities in the Global Cash Flow CLO Sector," dated July 6, 2009, available on www.moodys.com. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction, rather than individual tranches. Further details regarding Moody's analysis of this transaction may be found in the pre-sale report, available on Moodys.com. The principal methodology used in assigning the rating to the notes issued by the Issuer was "Moody's Approach to Rating Collateralized Loan Obligations," published in June 2011. VENTURE X: S&P Gives 'BB-' Rating on Class F Deferrable Notes ------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Venture X CLO Ltd./Venture X CLO Corp.'s $383.5 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior-secured loans. The ratings reflect S&P's view of: - The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. - The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (excluding excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. - The transaction's legal structure, which is expected to be bankruptcy remote. - The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior-secured term loans. - The portfolio manager's experienced management team. - S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which it assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.35%-13.84%. - The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. - The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification of excess interest proceeds that are available prior to paying subordinated portfolio manager fees, uncapped administrative expenses and fees, portfolio manager incentive fees, and payments to the subordinated notes. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The 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 RATINGS ASSIGNED Venture X CLO Ltd./Venture X CLO Corp. Class Rating Amount (mil. $) A AAA (sf) 263.50 B AA (sf) 55.75 C (deferrable) A (sf) 27.00 D (deferrable) BBB (sf) 18.50 E (deferrable) BB (sf) 13.75 F (deferrable) BB- (sf) 5.00 Subordinated notes NR 41.50 NR-Not rated. WACHOVIA BANK: Fitch Affirms 'CC' Ratings on 9 Cert. Classes ------------------------------------------------------------ Fitch Ratings has affirmed Wachovia Bank Commercial Mortgage Commercial Mortgage Trust 2006-WHALE 7 based on performance being in line with expectations. The revisions in Rating Outlooks and Recovery Estimates represent a decrease in expected losses on the associated loans since Fitch's last rating action. Under Fitch's methodology, all of the pooled and non pooled loans were modeled to default in the base case stress scenario, defined as the 'B' stress, as all the loans in the pool are currently in special servicing. Expected losses to the pooled portion are 2.1%. In this scenario, the modeled average cash flow decline is 5.8% from generally year-end 2011 servicer-reported financial data, or to the recent appraised values. To determine sustainable Fitch cash flow and stressed value, Fitch analyzed servicer reported operating statements and rent rolls, updated property valuations, STR reports and recent lease and sales comparisons. Given that the loan positions within the pooled portion of the CMBS are the lower leveraged A-notes (average base case LTV of 76.8%), Fitch estimates that average recoveries on the pooled loans will be approximately 97.9% in the base case, whereas, the more highly leveraged non-pooled component notes have a lower modeled recovery. The transaction is collateralized by eight loans, four of which are secured by hotels (91.6%), three by office (6.6%), and one by retail (1.7%). All of the original final maturity dates including all extension options have passed; all of the remaining loans have been further extended through modifications and / or forbearance. Fitch's analysis resulted in loss expectations for four A-notes, and each of the B-note non-pooled components in the 'B' stress scenario. However, losses to certain B-note components have improved since Fitch's last rating action. The Recovery Estimates on certain B-notes associated with the Kyo Ya Hotel Portfolio and 4000 MacArthur Boulevard have been revised. The three largest pooled contributors to losses (by unpaid principal balance) in the 'B' stress scenario are: Westin Aruba (5.3%), Broadreach Pool (3.9%) and Colonial Mall - Myrtle Beach (1.7%). The Westin Aruba is a 478 room, real estate owned (REO) hotel property located in Palm Beach, Aruba. The property has beachfront access, retail and meeting space, as well as a nightclub and a 12,000 square foot (sf) casino. The loan transferred to special servicing in November 2008 when the borrower failed to make operating advances to the hotel operator as specified in the loan agreement. The property has been REO since May 2009, when the special servicer foreclosed on the mezzanine lender, Petra Realty Advisors, who foreclosed on the original sponsor, Belfonti Capital Partners. Starwood initiated an 'all inclusive' option in 2009 which has resulted in increased income. The casino operator ceased paying rent in April 2010, was evicted in October 2010 and the former casino operator's bank repossessed the casino equipment which resulted in a six week shut down. The casino reopened in December 2010 with new equipment and a new name, the Palm Beach Casino. Aruba Casino Management currently operates the casino. The Broadreach Pool was originally collateralized approximately 1.04 million sf in nine office properties in various submarkets of Los Angeles and San Diego, CA. One property, Whittier Financial Center in Whittier, CA, was released in February 2007, reducing the principal balance of the pooled note to $71.6 million from $85 million at issuance. The portfolio now has 900,233 sf. The remaining properties are as follows: Morehouse Tech Center in San Diego, CA; Activity Business Center in San Diego, CA; Freeway Business Center/1501 Hughes Way in Long Beach, CA; 3901 Via Oro Avenue in Long Beach, CA; South Bay Center in Torrance, CA; 91 Freeway Center in Artesia, CA; Norwalk Corporate Center in Norwalk, CA; and Glendale Corporate Center in Glendale, CA. The overall occupancy at issuance was below market at 83% and as of the April 2012 rent roll, it has declined to 64.5%. An additional 29% of the space expires by the end of 2014. The loan transferred to special servicing in August, 2011 before its maturity date the same month. The loan is categorized as Non Performing Matured and is currently being marketed for sale. The Colonial Mall - Myrtle Beach is collateralized by a 524,767 sf regional mall located in Myrtle Beach, SC. Anchors include J.C. Penney, two Belk stores, Bass Pro Shops, and the newly constructed Carmike Cinemas; in-line tenants are a typical mix of national retailers, with some local tenants. The anchors, with the exception of the cinema and the improvements to the Belk #2 store, are part of the collateral. The Belk #2 store pays ground rent. In 2004, a new super-regional mall opened 15 miles from the subject, resulting in declines in occupancy and sales. Issuance expectations assumed some level of performance stabilization; however, improved performance expectations have not been realized and occupancy has declined. At issuance, the total mall was 90.6% occupied, which was lower than historical rates in excess of 95%. Per the December 2009 rent roll, the total mall and in-line occupancy had declined to 84.2% and 66.5%, respectively. As of the December 2011 rent roll, total mall and in-line occupancy were 80.3% and 42.9%, respectively. J.C. Penney and both Belk store's (60% of the total anchor space) leases expire in 2014. As a percent of the total in-line space, rollover is as follows: 12.4% in 2012; 13.5% in 2013; 5.8% in 2014; and 6.7% in 2015. Fitch affirms and maintains or revises Rating Outlooks and Recovery Estimates (RE) as indicated: -- $632 million class A-1 at 'AAAsf'; Outlook Stable; -- $573.5 million class A-2 at 'Asf'; Outlook revised to Positive from Stable; -- $98.6 million class B at 'BBBsf'; Outlook revised to Positive from Stable; -- $95 million class C at 'BBBsf'; Outlook Stable; -- $76.8 million class D at 'BBBsf'; Outlook Stable; -- $75.2 million class E at 'BBsf'; Outlook Stable; -- $70.4 million class F at 'BBsf'; Outlook Stable; -- $71.8 million class G at 'Bsf'; Outlook Stable. -- $64.9 million class H at 'CCCsf'; RE 100%; -- $21.9 million class J at 'CCCsf'; RE100%'; -- $25.4 million class K at 'CCsf'; RE 0%'; -- $28.3 million class L at 'Dsf'; RE 0%'; -- $68.9 million class KH-1 at 'CCCsf'; RE 100%; -- $54.1 million class KH-2 at 'CCCsf'; RE 85%; -- $18 million class BH-1 at 'CCCsf'; RE 100%; -- $28 million class BH-2 at 'CCCsf'; RE 50%; -- $56 million class BH-3 at 'CCsf'; RE 0%; -- $46 million class BH-4 at 'CCsf'; RE 0%; -- $3.3 million class WA at 'Csf'', RE 0%; -- $2 million class BP-1 at 'CCsf; RE 50%; -- $2.2 million class BP-2 at 'CCsf; RE 0%; -- $2.3 million class MB-1 at 'CCsf', RE 100%; -- $2.6 million class MB-2 at 'CCsf'; RE 100%; -- $2.6 million class MB-3 at 'CCsf'; RE 10%; -- $2.5 million class MB-4 at 'CCsf', RE 0%; -- $1.1 million class CM at 'Csf'; RE 0%'. Interest-only class X-1A and rake classes UV and WB have paid in full and class X-1B was previously withdrawn. WAVE SPC 2007-1: S&P Lowers Ratings on 4 Classes to 'D(sf)' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four classes to 'D (sf)' from WAVE SPC's series 2007-1, a commercial real estate collateralized debt obligation (CRE CDO) transaction. "At the same time, we affirmed our 'CCC- (sf)' rating on class A-1 from the same transaction. We also removed all ratings from CreditWatch negative," S&P said. "The rating actions on classes A-2 and B reflect our analysis of the transaction following interest shortfalls to nondeferrable classes, which caused an event of default (EOD). Classes A-2 and B experienced interest shortfalls according to the May 22, 2012, trustee remittance report, and we subsequently lowered our ratings on these classes to 'D (sf)'," S&P said. "We lowered our ratings on classes C and D to 'D (sf)' because we determined that the classes are unlikely to be repaid in full," S&P said. "We affirmed our 'CCC- (sf)' rating on class A-1 based on our analysis of the transaction's liability structure and the credit characteristics of the underlying collateral using our criteria in 'Global CDOs Of Pooled Structured Finance Assets: Methodology And Assumptions,' published Feb. 21, 2012. Our criteria include revisions to our assumptions on correlations, recovery rates, and default patterns and timings of the collateral. The criteria also includes supplemental stress tests (largest obligor default test and largest industry default test), which we considered in our analysis," S&P said. "The trustee, Deutsche Bank Trust Co. Americas, delivered an EOD notice on May 29, 2012, which noted that WAVE 2007-1 had experienced an EOD under section 5.1 (a) of its indenture. The notice indicates that there was a default in the payment of interest accrued on the class A-2 and B notes. This default in payment continued for a period of three business days, which resulted in an EOD," S&P said. "The liquidity interruption resulted from the failure of the underlying commercial mortgage-backed securities (CMBS) for WAVE 2007-1 to produce sufficient interest proceeds to pay the full interest amount due to the nondeferrable interest classes," S&P said. "According to the most recent trustee report, WAVE 2007-1 was collateralized by 31 classes of CMBS ($952.0 million, 100%) from 31 distinct transactions issued between 2006 and 2007. All the securities are class A-J tranches from their respective CMBS transactions," S&P said. RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE WAVE SPC Series 2007-1 Collateralized debt obligations Rating Class To From A-2 D (sf) CCC- (sf) / Watch Neg B D (sf) CCC- (sf) / Watch Neg C D (sf) CCC- (sf) / Watch Neg D D (sf) CCC- (sf) / Watch Neg RATING AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE WAVE SPC Series 2007-1 Collateralized debt obligations Rating Class To From A-1 CCC- (sf) CCC- (sf)/Watch Neg * Moody's Puts $378MM Resecuritized RMS on Review for Upgrade ------------------------------------------------------------- Moody's Investors Service has placed ratings of nine tranches on upgrade review from four RMBS resecuritization transactions issued between 2005 and 2009. Ratings Rationale The actions are a result of Moody's recent review actions on the underlying vintage RMBS tranches backing these resecuritizations. On May 30, 2012, Moody's placed the ratings of 1,188 bonds on review for upgrade and the ratings of 384 bonds on review for downgrade from over 29,000 RMBS bonds issued since 2005 that Moody's rates. The methodologies used in the resecuritization bond ratings are "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, "Moody's Approach to Rating US Resecuritized Residential Mortgage-Backed Securities" published in February 2011, and "2005-2008 US RMBS Surveillance Methodology" published in July 2011. The methodology used in rating interest-only securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 9.0% in April 2011 to 8.2% in May 2012. Moody's forecasts a further drop to 7.8% for 2013. Moody's expects house prices to drop another 1% from their 4Q2011 levels before gradually rising towards the end of 2013. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of the underlying transactions and hence the resecuritizations. The review on the resecuritization bonds will be completed once the review on the underlying bonds is resolved. Complete rating actions are as follows: Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates, Series 2005-WF1 Cl. I-A-2, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Jun 1, 2011 Upgraded to Ba1 (sf) Cl. I-A-3, Caa1 (sf) Placed Under Review for Possible Upgrade; previously on Jun 1, 2011 Confirmed at Caa1 (sf) Cl. I-A-4, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Jun 1, 2011 Downgraded to Ba1 (sf) Cl. I-A-X, B1 (sf) Placed Under Review for Possible Upgrade; previously on Feb 22, 2012 Downgraded to B1 (sf) Cl. II-A-1, B3 (sf) Placed Under Review for Possible Upgrade; previously on May 12, 2011 Confirmed at B3 (sf) Issuer: GSMSC Pass-Through Trust 2009-1R Cl. 23A2, B2 (sf) Placed Under Review for Possible Upgrade; previously on Apr 7, 2009 Assigned B2 (sf) Issuer: Lehman Structured Securities Corp. Series 2005-1 Cl. A-1, Ba3 (sf) Placed Under Review for Possible Upgrade; previously on May 12, 2011 Downgraded to Ba3 (sf) Cl. IO, B3 (sf) Placed Under Review for Possible Upgrade; previously on Feb 22, 2012 Downgraded to B3 (sf) Issuer: Residential Mortgage Securities Funding 2008-3, Ltd. Notes, B2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 26, 2010 Downgraded to B2 (sf) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF287401 * Moody's Takes Rating Actions on $49-Mil. Subprime RMBS -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of three tranches and confirmed the rating of two tranches from various subprime issuers. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. In addition, Moody's has corrected the ratings of the Class A-1 tranche issued by Long Beach Mortgage Loan Trust Asset-Backed Certificates, Series 2001-3, the Class A-1V tranche issued by Long Beach Mortgage Loan Trust 2001-2 and the Class AV-1 tranche issued by C-BASS 2002-CB4 to Aaa (sf) from Aaa (sf) on review for downgrade. The ratings of the Class A-1V bonds issued by Long Beach Mortgage Loan Trust 2001-2 and the Class AV-1 bonds issued by C-BASS 2002- CB4 are based solely on guarantees by Freddie Mac (Aaa, negative outlook), and the rating of the Class A-1 bonds issued by Long Beach Mortgage Loan Trust Asset-Backed Certificates, Series 2001-3 is based solely on guarantees by Fannie Mae (Aaa, negative outlook). Due to an internal administrative error, the ratings of these tranches were inadvertently put on review for downgrade on January 31, 2012. Moody's is now correcting the ratings of these tranches to align them with the ratings of Freddie Mac and Fannie Mae, respectively. Complete rating history is as follows: Issuer: Long Beach Mortgage Loan Trust 2001-2, tranche Cl. A-1V -- Aaa (sf) rating assigned on July 31, 2001, rating placed on review for downgrade on July 13, 2011 and confirmed at Aaa (sf) on August 2, 2011; Issuer: Long Beach Mortgage Loan Trust Asset-Backed Certificates, Series 2001-3, tranche Cl. A-1 -- Aaa (sf) rating assigned on September 27, 2001, rating placed on review for downgrade on July 13, 2011 and confirmed at Aaa (sf) on August 2, 2011; Issuer: C-BASS 2002-CB4, tranche Cl. AV-1 -- Aaa (sf) rating assigned on September 18, 2002, rating placed on review for downgrade on July 13, 2011 and confirmed at Aaa (sf) on August 2, 2011. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (11% for all vintages 2004 and prior). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 76, the rate of delinquency is increased by 1% for every loan less than 76. For example, for a pool with 75 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if current delinquency levels in a small pool are low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board still expects below-trend growth for the US economy for 2012, with the unemployment rate remaining high, above 7.5% through 2013, and home prices dropping another 1% from their 4Q 2011 levels. Complete rating actions are as follows: Issuer: C-BASS 2002-CB4 Trust Cl. M-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to Caa1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. B-1, Downgraded to Ca (sf); previously on Mar 10, 2011 Downgraded to Caa3 (sf) Issuer: Long Beach Mortgage Loan Trust 2001-2 Cl. M-1, Confirmed at Caa2 (sf); previously on Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Issuer: Long Beach Mortgage Loan Trust Asset-Backed Certificates, Series 2001-3 Cl. M-1, Confirmed at Caa1 (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF288833 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 * Moody's Says US Comm'l Real Estate Prices Down 0.6% in April -------------------------------------------------------------- US commercial real estate prices, as measured by Moody's/RCA Commercial Property Price Indices (CPPI) national all-property composite, were down 0.6% in April. "A broad price recovery in commercial real estate prices has been effectively stalled since Fall 2011," says Moody's Director of Commercial Real Estate Research, Tad Philipp. "Even apartment prices in both major and non-major markets have settled down after leading in price recovery since the financial crisis." The April monthly performance of the CPPI is discussed in the report "Moody's/RCA CPPI: Commercial and Apartment Prices Stall." Apartment prices were down 1.2% in April after increasing by 37.4% from their January 2010 trough. Apartments in major markets started their recovery 28 months ago, according to the CPPI, and have since retraced 82.0% of their peak to trough decline, the strongest performance among the 20 sub-sectors of the CPPI. All of the commercial real estate sectors had flat-to-down prices in April, except the industrial sector, where prices gained 1.1% during the month. The industrial sector has posted the biggest gain over the last quarter, at 3.9%, but still slightly lags the recovery in the core commercial sectors overall. Moody's also notes that although the central business district office sector in non-major markets was the first to reach its post-crisis pricing bottom, which it did 31 months ago, it has yet to regain much pricing traction, retracing only 7.5% of its peak to trough decline. In the major markets, the suburban office sector has seen a significant setback to its nascent recovery, says Moody's, falling by 14.4% over the last 5 months. Prices across sectors for non-distressed properties in the major markets have recovered to 90.9% of peak levels, explains the "From the Lab" section of this month's CPPI report. Distressed transactions are showing price recovery in major markets, up 27.8% from the trough 19 months ago, while distressed transaction prices in non-major markets continue to languish, essentially flat since the fourth quarter of 2009. Composed of a suite of 20 indices, the Moody's/RCA Commercial Property Price Indices is a series that measures price changes in US commercial real estate through advanced repeat-sale regression (RSR) analytics. The indices use transaction data from Real Capital Analytics (RCA) and a methodology developed by David Geltner, a professor at MIT, in conjunction with Moody's and RCA. * S&P Lowers Ratings on 9 Classes From 3 U.S. RMBS Re-REMIC Deals ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on nine classes from three residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transactions issued between 2006 and 2010. "We also raised our rating on class N-3 from Greenwich Structured ARM Products CI 2006-1. In addition, we affirmed our ratings on 92 classes from two transactions with lowered ratings and five other transactions," S&P said. Four transactions in this review pay interest on a pro rata basis and five pay interest sequentially. "We intend our ratings on the re-REMIC classes to address the timely payment of interest and ultimate payment of principal. We reviewed the interest and principal amounts due on the underlying securities, which are then passed through to the applicable re- REMIC classes. 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. "We based our downgrades on our assessment of projected interest shortfalls and/or projected principal losses from the underlying securities that would impair the re-REMIC classes at the applicable rating stresses," S&P said. "The upgrade of class N-3 from Greenwich Structured ARM Products CI 2006-1 reflects our expectation of a fast pay down of this class prior to losses occurring," S&P said. "The affirmations reflect our assessment that the re-REMIC classes will likely receive timely interest and the ultimate payment of principal under the applicable stressed assumptions for the current ratings," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111639.pdf RATING ACTIONS CSMC Series 2009-14R Series 2009-14R Rating Class CUSIP To From 4-A-2 12639GCV8 CC (sf) B (sf) 4-A-16 12639GDK1 CC (sf) B (sf) 4-A-15 12639GDJ4 CC (sf) B (sf) 4-A-10 12639GDD7 CC (sf) B (sf) 4-A-19 12639GDN5 CC (sf) B (sf) 4-A-17 12639GDL9 CC (sf) B (sf) 4-A-18 12639GDM7 CC (sf) B (sf) Greenwich Structured ARM Products CI 2006-1 Series 2006-1 Rating Class CUSIP To From N-3 39700UAC8 BB (sf) CCC (sf) J.P. Morgan Alternative Loan Trust, Series 2008-R4 Series 2008-R4 Rating Class CUSIP To From 2-A-1 466309AC5 CCC (sf) B+ (sf) J.P. Morgan Mortgage Trust, Series 2008-R5 Series 2008-R5 Rating Class CUSIP To From A-1 46633BAA1 BBB- (sf) BBB+ (sf) RATINGS AFFIRMED BCAP LLC 2009-RR14 Trust Series 2009-RR14 Class CUSIP Rating XI-A7 05532LCC1 AA (sf) X-A11 05532LBU2 BBB (sf) XII-A3 05532LCK3 AA (sf) VIII-A3 05532LAU3 AA (sf) VIII-A7 05532LAY5 AA (sf) X-A9 05532LBS7 AA (sf) XII-A1 05532LCH0 AAA (sf) VIII-A5 05532LAW9 A (sf) VIII-A8 05532LAZ2 A (sf) IV-A1 05532LAJ8 AAA (sf) XII-A5 05532LCM9 A (sf) IX-A1 05532LBD0 AAA (sf) XIII-A1 05532LCU1 AAA (sf) VI-A1 05532LAN9 AAA (sf) XIII-A5 05532LCY3 A (sf) XIII-A3 05532LCW7 AA (sf) VIII-A1 05532LAS8 AAA (sf) X-A12 05532LBV0 BBB (sf) XI-A1 05532LBW8 AAA (sf) X-A10 05532LBT5 A (sf) XIII-A8 05532LDB2 A (sf) XII-A8 05532LCQ0 A (sf) X-A3 05532LBL2 AA (sf) XI-A5 05532LCA5 A (sf) X-A5 05532LBN8 A (sf) X-A1 05532LBJ7 AAA (sf) XIII-A7 05532LDA4 AA (sf) XII-A7 05532LCP2 AA (sf) XI-A8 05532LCD9 A (sf) X-A7 05532LBQ1 BBB (sf) XI-A3 05532LBY4 AA (sf) CSMC Series 2009-14R Series 2009-14R Class CUSIP Rating 4-A-6 12639GCZ9 AAA (sf) 2-A-23 12639GJW9 AAA (sf) 4-A-14 12639GDH8 AAA (sf) 4-A-9 12639GDC9 BBB (sf) 4-A-5 12639GCY2 AAA (sf) 2-A-22 12639GJV1 AAA (sf) 2-A-20 12639GJT6 BBB (sf) 2-A-5X 12639GBT4 AAA (sf) 2-A-8 12639GBC1 BBB (sf) 4-A-7 12639GDA3 AAA (sf) 2-A-25 12639GJY5 AAA (sf) 2-A-14 12639GBJ6 A (sf) 2-A-6 12639GBA5 AAA (sf) 2-A-6X 12639GBU1 AAA (sf) 4-A-1 12639GCU0 AAA (sf) 2-A-3X 12639GBR8 AAA (sf) 2-A-1 12639GAV0 BBB (sf) 2-A-12 12639GBG2 AAA (sf) 2-A-13 12639GBH0 AAA (sf) 2-A-AX 12639GBX5 AAA (sf) 4-A-11 12639GDE5 AAA (sf) 4-A-12 12639GDF2 AAA (sf) 2-A-11 12639GBF4 AAA (sf) 4-A-13 12639GDG0 AAA (sf) 4-A-8 12639GDB1 AAA (sf) 2-A-24 12639GJX7 AAA (sf) 2-A-BX 12639GBY3 AAA (sf) 4-A-3 12639GCW6 AAA (sf) 2-A-4 12639GAY4 AAA (sf) 2-A-4X 12639GBS6 AAA (sf) 2-A-21 12639GJU3 A (sf) 2-A-7 12639GBB3 A (sf) 2-A-5 12639GAZ1 AAA (sf) 2-A-3 12639GAX6 AAA (sf) 4-A-4 12639GCX4 AAA (sf) 2-A-CX 12639GBZ0 AAA (sf) J.P. Morgan Alternative Loan Trust, Series 2008-R4 Series 2008-R4 Class CUSIP Rating 1-A-1 466309AA9 CCC (sf) Jefferies Resecuritization Trust 2010-R4 Series 2010-R4 Class CUSIP Rating 4-A2 47233NAP4 BBB (sf) 2-A2 47233NAH2 BBB (sf) 3-A2 47233NAL3 BBB (sf) 2-A1 47233NAG4 AAA (sf) 3-A1 47233NAK5 AAA (sf) 4-A1 47233NAN9 AAA (sf) Morgan Stanley Re-REMIC Trust 2010-R8 Series 2010-R8 Class CUSIP Rating 1-C1 61759XAD4 BBB (sf) 1-A 61759XAA0 AAA (sf) 1-B 61759XAB8 A (sf) Picard Funding 4 Limited Series 4 Class CUSIP Rating J 71952YAK0 BB+ (sf) C 71952YAC8 AA- (sf) L 71952YAM6 BB- (sf) D 71952YAD6 A+ (sf) F 71952YAF1 A- (sf) A 71952YAA2 AAA (sf) B 71952YAB0 AA (sf) M 71952YAN4 B- (sf) H 71952YAH7 BBB (sf) I 71952YAJ3 BBB- (sf) G 71952YAG9 BBB+ (sf) K 71952YAL8 BB (sf) E 71952YAE4 A (sf) Wells Fargo Mortgage Loan 2010-RR4 Trust Series 2010-RR4 Class CUSIP Rating 1-A-1 94987FAC0 A (sf) 2-A-1 94987FAG A (sf) * S&P Raises Ratings on 17 Tranches From 9 U.S. CDO Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on 17 tranches from nine U.S. collateralized debt obligation (CDO) transactions backed by pools of trust preferred securities (TruPs). The upgraded tranches have a total issuance amount of $3.49 billion. "In addition, we affirmed our ratings on 10 tranches from six U.S. TruPs CDO transactions. We removed 12 ratings from CreditWatch with positive implications," S&P said. "The rating actions reflect the application of our updated criteria for rating CDOs backed by TruPs. Some of the trust- preferred CDO transactions have also benefited from improvements in their underlying collateral portfolios, including cessation of deferrals that had been occurring and changes in the credit quality of the small banks that issued the TruPs collateralizing the CDOs. Some of the rating actions also reflect significant paydowns made to the transaction's senior notes," S&P said. "Trust preferred CDOs are collateralized by hybrid (or TruPs) securities issued by banks, insurance companies, and REITs (real estate investment trusts). The assets collateralizing bank trust preferred CDOs rated by Standard & Poor's are deeply subordinated, long-dated securities issued predominantly by small community banks with speculative-grade credit profiles. Further, many of these banks have significant real estate exposures, and it is our view that their performance in times of economic and/or credit stress may be highly correlated," S&P said. "The updated criteria incorporate several elements, including a decreased emphasis on front-loaded defaults (which are generally more stressful on the transaction's cash flows) for lower rating categories; a potential deferral cure (PDC) credit in our cash flow analysis for prospective deferring and currently deferring bank TruPs; and an assumption that larger banks may redeem their TruPs due to U.S. regulatory changes that phase out Tier 1 capital credit for such securities," S&P said. "Given the current rating distribution of the TruPs CDOs, incorporating the differentiated default patterns in our cash flow scenarios will have the most impact on the current ratings of the affected transactions," S&P said. "Some tranches in our analysis had breakeven default rates (BDRs) that failed to exceed the 'CCC-' scenario default rate (SDR) generated by CDO Evaluator. We lowered our ratings on these tranches to 'CC (sf)' if, in our view, the transaction collateral even absent further deferrals was insufficient to cover the currently outstanding tranche balance. Otherwise, we assigned a 'CCC-(sf)' rating," S&P said. "We intend to review the remaining transactions with ratings on CreditWatch in connection with our TruPs CDO criteria update and resolve the CreditWatch status of the affected tranches within the next three months," S&P said. RATING AND CREDITWATCH ACTIONS MM Community Funding IX, Ltd Rating Class To From A-1 B (sf) CCC- (sf) /Watch Pos A-2 CCC- (sf) CCC- (sf) MMCapS Funding XVII,Ltd. Rating Class To From A-1 B+ (sf) CCC- (sf) /Watch Pos A-2 CCC+ (sf) CCC- (sf) /Watch Pos B CCC- (sf) CCC- (sf) MMCaps Funding XVIII Ltd Rating Class To From A-1 B+ (sf) CCC- (sf) /Watch Pos A-2 CCC+ (sf) CCC- (sf) Preferred Term Securities XIX, Ltd. Rating Class To From A-1 BB- (sf) CCC- (sf) /Watch Pos A-2 CCC (sf) CCC- (sf) Preferred Term Securities XV, Ltd. Rating Class To From A-1 BB- (sf) CCC- (sf) /Watch Pos A-2 CCC (sf) CCC- (sf) A-3 CCC (sf) CCC- (sf) Preferred Term Securities XVI, Ltd. Rating Class To From A-1 CCC+ (sf) CCC- (sf) /Watch Pos A-2 CCC- (sf) CCC- (sf) A-3 CCC- (sf) CCC- (sf) Preferred Term Securities XXIII Ltd Rating Class To From A-1 BB (sf) CCC+ (sf) /Watch Pos A-2 B (sf) CCC- (sf) A-FP B (sf) CCC- (sf) Preferred Term Securities XXV, Ltd. Rating Class To From A-1 BB+ (sf) CCC (sf) /Watch Pos A-2 CCC (sf) CCC- (sf) Regional Diversified Funding 2004-1 Ltd. Rating Class To From A-1 B+ (sf) CCC- (sf) /Watch Pos A-2 CCC- (sf) CCC- (sf) U.S. Capital Funding IV Ltd Rating Class To From A-1 CCC- (sf) CCC- (sf) /Watch Pos A-2 CCC- (sf) CCC- (sf) U.S. Capital Funding V Ltd Rating Class To From A-1 CCC- (sf) CCC- (sf) /Watch Pos A-2 CCC- (sf) CCC- (sf) A-3 CC (sf) CC (sf) * S&P Takes Actions on 312 Classes from 22 US RMBS Transactions --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 312 classes from 21 U.S. residential mortgage-backed securities (RMBS) transactions and affirmed its ratings on 157 classes from 22 transactions. S&P also withdrew its ratings on three classes from Alternative Loan Trust 2007-9T1 based on our current IO criteria. "The downgrades to 'CC (sf)' from 'CCC (sf)' reflect our opinion that the affected classes are highly vulnerable to nonpayment. We lowered our ratings to 'D (sf)' from 'CC (sf)' due to principal write-downs. The affirmations reflect our current assessment of the classes' vulnerability to nonpayment. During our review, we identified certain classes that we previously downgraded due to an error. We affirmed our ratings on these classes because our current projections are consistent with the current ratings," S&P said. "We withdrew our ratings on three classes from Alternative Loan Trust 2007-9T1 to reflect our current IO criteria," S&P said. "Our 'CCC (sf)' and 'CC (sf)' ratings reflect our assessment that the credit enhancement for these classes will remain insufficient to cover projected losses," S&P said. 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 RATING ACTIONS Alternative Loan Trust 2006-45T1 Series 2006-45T1 Rating Class CUSIP To From 1-A-1 02149JAA4 CC (sf) CCC (sf) 1-A-4 02149JAD8 CC (sf) CCC (sf) 1-A-6 02149JAF3 CC (sf) CCC (sf) 1-A-9 02149JAJ5 CC (sf) CCC (sf) 1-A-10 02149JAK2 CC (sf) CCC (sf) 1-A-12 02149JAM8 CC (sf) CCC (sf) 1-A-13 02149JAN6 CC (sf) CCC (sf) 1-A-15 02149JCA2 CC (sf) CCC (sf) 1-A-16 02149JCB0 CC (sf) CCC (sf) 2-A-3 02149JAS5 CC (sf) CCC (sf) 2-A-5 02149JAU0 CC (sf) CCC (sf) 2-A-10 02149JAZ9 CC (sf) CCC (sf) 2-A-11 02149JBA3 CC (sf) CCC (sf) 2-A-12 02149JBB1 CC (sf) CCC (sf) 2-A-13 02149JBC9 CC (sf) CCC (sf) 2-A-14 02149JBD7 CC (sf) CCC (sf) 2-A-16 02149JCC8 CC (sf) CCC (sf) PO 02149JBH8 D (sf) CC (sf) Alternative Loan Trust 2007-13 Series 2007-13 Rating Class CUSIP To From A-1 02150MAA3 CC (sf) CCC (sf) A-2 02150MAB1 CC (sf) CCC (sf) A-3 02150MAC9 CC (sf) CCC (sf) A-4 02150MAD7 CC (sf) CCC (sf) PO 02150MAP0 D (sf) CC (sf) Alternative Loan Trust 2007-18CB Series 2007-18CB Rating Class CUSIP To From 1-A-5 02151NAE2 D (sf) CC (sf) 2-A-9 02151NAR3 CC (sf) CCC (sf) 2-A-12 02151NAU6 CC (sf) CCC (sf) PO 02151NBM3 D (sf) CC (sf) Alternative Loan Trust 2007-9T1 Series 2007-9T1 Rating Class CUSIP To From 1-A-2 02150JAB8 CC (sf) CCC (sf) 1-A-22 02150JBW1 D (sf) CC (sf) 1-A-26 02150JCA8 NR CCC (sf) 1-A-28 02150JCC4 D (sf) CCC (sf) 1-A-32 02150JCG5 NR CCC (sf) 2-A-13 02150JCX8 CC (sf) CCC (sf) 2-A-14 02150JCY6 CC (sf) CCC (sf) 2-A-16 02150JDA7 NR CCC (sf) 2-A-18 02150JDC3 CC (sf) CCC (sf) 2-A-21 02150JDF6 CC (sf) CCC (sf) PO 02150JBC5 D (sf) CC (sf) Bank of America Funding 2007-2 Trust Series 2007-2 Rating Class CUSIP To From 1-A-1 05951GAP7 CC (sf) CCC (sf) 1-A-2 05951GAQ5 CC (sf) CCC (sf) 1-A-3 05951GAR3 CC (sf) CCC (sf) 1-A-5 05951GAT9 CC (sf) CCC (sf) 1-A-7 05951GAV4 CC (sf) CCC (sf) 1-A-9 05951GAX0 CC (sf) CCC (sf) 1-A-11 05951GAZ5 CC (sf) CCC (sf) 1-A-13 05951GBB7 CC (sf) CCC (sf) 1-A-15 05951GBD3 CC (sf) CCC (sf) 1-A-17 05951GBF8 CC (sf) CCC (sf) 1-A-20 05951GBJ0 CC (sf) CCC (sf) 1-A-22 05951GBL5 CC (sf) CCC (sf) 1-A-23 05951GBM3 CC (sf) CCC (sf) 1-A-24 05951GBN1 CC (sf) CCC (sf) 1-A-26 05951GBQ4 CC (sf) CCC (sf) 1-A-27 05951GBR2 CC (sf) CCC (sf) 1-A-29 05951GBT8 CC (sf) CCC (sf) 1-A-30 05951GBU5 CC (sf) CCC (sf) 1-A-31 05951GBV3 CC (sf) CCC (sf) 1-A-32 05951GBW1 CC (sf) CCC (sf) 1-A-33 05951GBX9 CC (sf) CCC (sf) 1-A-34 05951GBY7 CC (sf) CCC (sf) 1-A-36 05951GCA8 CC (sf) CCC (sf) 1-A-37 05951GCB6 CC (sf) CCC (sf) 1-A-39 05951GCD2 CC (sf) CCC (sf) 30-PO 05951GCK6 CC (sf) CCC (sf) T-A-3 05951GAD4 CC (sf) CCC (sf) T-A-5 05951GAF9 CC (sf) CCC (sf) CHL Mortgage Pass Through Trust 2007-21 Series 2007-21 Rating Class CUSIP To From 1-A-1 17025WAA2 CC (sf) CCC (sf) 1-A-2 17025WAB0 CC (sf) CCC (sf) 2-A-1 17025WAF1 CC (sf) CCC (sf) 2-A-2 17025WAG9 CC (sf) CCC (sf) 2-A-3 17025WAH7 CC (sf) CCC (sf) 2-PO 17025WAK0 CC (sf) CCC (sf) CHL Mortgage Pass Through Trust 2007-5 Series 2007-5 Rating Class CUSIP To From A-1 12544VAA7 CC (sf) CCC (sf) A-2 12544VAB5 CC (sf) CCC (sf) A-3 12544VAC3 CC (sf) CCC (sf) A-4 12544VAD1 CC (sf) CCC (sf) A-5 12544VAE9 CC (sf) CCC (sf) A-6 12544VAF6 CC (sf) CCC (sf) A-7 12544VAG4 CC (sf) CCC (sf) A-8 12544VAH2 CC (sf) CCC (sf) A-10 12544VAK5 CC (sf) CCC (sf) A-11 12544VAL3 CC (sf) CCC (sf) A-12 12544VAM1 CC (sf) CCC (sf) A-13 12544VAN9 CC (sf) CCC (sf) A-14 12544VAP4 CC (sf) CCC (sf) A-15 12544VAQ2 CC (sf) CCC (sf) A-16 12544VAR0 CC (sf) CCC (sf) A-18 12544VAT6 CC (sf) CCC (sf) A-20 12544VAV1 CC (sf) CCC (sf) A-22 12544VAX7 CC (sf) CCC (sf) A-46 12544VBX6 CC (sf) CCC (sf) A-47 12544VBY4 CC (sf) CCC (sf) A-49 12544VCL1 CC (sf) CCC (sf) M-A 12544VCD9 CC (sf) CCC (sf) A-23 12544VAY5 CC (sf) CCC (sf) A-24 12544VAZ2 CC (sf) CCC (sf) A-25 12544VBA6 CC (sf) CCC (sf) A-26 12544VBB4 CC (sf) CCC (sf) A-27 12544VBC2 CC (sf) CCC (sf) A-28 12544VBD0 CC (sf) CCC (sf) A-31 12544VBG3 CC (sf) CCC (sf) A-32 12544VBH1 CC (sf) CCC (sf) A-34 12544VBK4 CC (sf) CCC (sf) A-35 12544VBL2 CC (sf) CCC (sf) A-37 12544VBN8 CC (sf) CCC (sf) A-38 12544VBP3 CC (sf) CCC (sf) A-40 12544VBR9 CC (sf) CCC (sf) A-43 12544VBU2 CC (sf) CCC (sf) A-44 12544VBV0 CC (sf) CCC (sf) A-51 12544VCN7 CC (sf) CCC (sf) CHL Mortgage Pass-Through Trust 2007-14 Series 2007-14 Rating Class CUSIP To From A-2 12544DAB5 CC (sf) CCC (sf) A-6 12544DAF6 CC (sf) CCC (sf) A-7 12544DAG4 CC (sf) CCC (sf) A-8 12544DAH2 CC (sf) CCC (sf) A-10 12544DAK5 CC (sf) CCC (sf) A-12 12544DAM1 CC (sf) CCC (sf) A-15 12544DAQ2 CC (sf) CCC (sf) A-16 12544DAR0 CC (sf) CCC (sf) A-18 12544DAT6 CC (sf) CCC (sf) A-20 12544DAV1 CC (sf) CCC (sf) A-23 12544DAY5 CC (sf) CCC (sf) CHL Mortgage Pass-Through Trust 2007-15 Series 2007-15 Rating Class CUSIP To From 1-A-2 17025TAB7 CC (sf) CCC (sf) 1-A-3 17025TAC5 CC (sf) CCC (sf) 1-A-4 17025TAD3 CC (sf) CCC (sf) 1-A-5 17025TAE1 CC (sf) CCC (sf) 1-A-7 17025TAG6 CC (sf) CCC (sf) 1-A-9 17025TAJ0 CC (sf) CCC (sf) 1-A-11 17025TAL5 CC (sf) CCC (sf) 1-A-12 17025TAM3 CC (sf) CCC (sf) 1-A-13 17025TAN1 CC (sf) CCC (sf) 1-A-15 17025TAQ4 CC (sf) CCC (sf) 1-A-16 17025TAR2 CC (sf) CCC (sf) 1-A-20 17025TAV3 CC (sf) CCC (sf) 1-A-21 17025TAW1 CC (sf) CCC (sf) 1-A-22 17025TAX9 CC (sf) CCC (sf) 1-A-23 17025TAY7 CC (sf) CCC (sf) 1-A-25 17025TBA8 CC (sf) CCC (sf) 1-A-26 17025TBB6 CC (sf) CCC (sf) 1-A-29 17025TBE0 CC (sf) CCC (sf) 1-A-30 17025TBF7 CC (sf) CCC (sf) 2-A-2 17025TBJ9 CC (sf) CCC (sf) 2-A-4 17025TBL4 CC (sf) CCC (sf) 2-A-5 17025TBM2 CC (sf) CCC (sf) 2-A-7 17025TBZ3 CC (sf) CCC (sf) 2-A-8 17025TCA7 CC (sf) CCC (sf) 2-A-9 17025TCB5 CC (sf) CCC (sf) PO 17025TBQ3 D (sf) CC (sf) CHL Mortgage Pass-Through Trust 2007-HY7 Series 2007-HY7 Rating Class CUSIP To From 1-A-1 12544HAA8 CC (sf) CCC (sf) 2-A-1A 12544HAC4 CC (sf) CCC (sf) 2-A-1B 12544HAV2 CC (sf) CCC (sf) 2-A-1C 12544HBB5 CC (sf) CCC (sf) 3-A-1A 12544HAE0 CC (sf) CCC (sf) 3-A-1B 12544HAW0 CC (sf) CCC (sf) 3-A-1C 12544HBC3 CC (sf) CCC (sf) 4-A-1A 12544HAG5 CC (sf) CCC (sf) 4-A-1B 12544HAX8 CC (sf) CCC (sf) 4-A-1C 12544HBD1 CC (sf) CCC (sf) A-1 12544HAY6 CC (sf) CCC (sf) A-3 12544HBA7 CC (sf) CCC (sf) CSMC Mortgage Backed Trust 2007-4 Series 2007-4 Rating Class CUSIP To From 1-A-1 126379AA4 CC (sf) CCC (sf) 1-A-5 126379AE6 CC (sf) CCC (sf) 1-A-6 126379BJ4 D (sf) CC (sf) 3-A-1 126379AL0 CC (sf) CCC (sf) 3-A-8 126379AT3 CC (sf) CCC (sf) HSI Asset Loan Obligation Trust 2007-2 Series 2007-2 Rating Class CUSIP To From II-A-1 40432BAE9 CC (sf) CCC (sf) II-A-5 40432BAJ8 CC (sf) CCC (sf) II-A-7 40432BAL3 CC (sf) CCC (sf) II-A-9 40432BAN9 CC (sf) CCC (sf) II-A-10 40432BAP4 CC (sf) CCC (sf) II-A-11 40432BAQ2 CC (sf) CCC (sf) II-A-12 40432BAR0 CC (sf) CCC (sf) III-A-1 40432BAU3 CC (sf) CCC (sf) III-A-2 40432BAV1 CC (sf) CCC (sf) III-A-3 40432BAW9 CC (sf) CCC (sf) III-A-4 40432BAX7 CC (sf) CCC (sf) III-A-6 40432BAZ2 CC (sf) CCC (sf) III-A-7 40432BBA6 CC (sf) CCC (sf) III-A-8 40432BBB4 CC (sf) CCC (sf) III-A-9 40432BBC2 CC (sf) CCC (sf) J.P. Morgan Mortgage Trust 2007-S3 Series 2007-S3 Rating Class CUSIP To From 1-A-1 46631NAA7 CC (sf) CCC (sf) 1-A-11 46631NAL3 CC (sf) CCC (sf) 1-A-12 46631NAM1 CC (sf) CCC (sf) 1-A-13 46631NAN9 CC (sf) CCC (sf) 1-A-14 46631NAP4 CC (sf) CCC (sf) 1-A-15 46631NAQ2 CC (sf) CCC (sf) 1-A-16 46631NAR0 CC (sf) CCC (sf) 1-A-17 46631NAS8 CC (sf) CCC (sf) 1-A-20 46631NAV1 CC (sf) CCC (sf) 1-A-21 46631NAW9 CC (sf) CCC (sf) 1-A-22 46631NAX7 CC (sf) CCC (sf) 1-A-23 46631NAY5 CC (sf) CCC (sf) 1-A-24 46631NAZ2 CC (sf) CCC (sf) 1-A-25 46631NBA6 CC (sf) CCC (sf) 1-A-26 46631NBB4 CC (sf) CCC (sf) 1-A-27 46631NBC2 CC (sf) CCC (sf) 1-A-28 46631NBD0 CC (sf) CCC (sf) 1-A-30 46631NBF5 CC (sf) CCC (sf) 1-A-31 46631NBG3 CC (sf) CCC (sf) 1-A-32 46631NBH1 CC (sf) CCC (sf) 1-A-33 46631NBJ7 CC (sf) CCC (sf) 1-A-34 46631NBK4 CC (sf) CCC (sf) 1-A-35 46631NBL2 CC (sf) CCC (sf) 1-A-36 46631NBM0 CC (sf) CCC (sf) 1-A-37 46631NBN8 CC (sf) CCC (sf) 1-A-38 46631NBP3 CC (sf) CCC (sf) 1-A-42 46631NBT5 CC (sf) CCC (sf) 1-A-43 46631NBU2 CC (sf) CCC (sf) 1-A-44 46631NBV0 CC (sf) CCC (sf) 1-A-45 46631NBW8 CC (sf) CCC (sf) 1-A-46 46631NBX6 CC (sf) CCC (sf) 1-A-47 46631NBY4 CC (sf) CCC (sf) 1-A-48 46631NBZ1 CC (sf) CCC (sf) 1-A-49 46631NCA5 CC (sf) CCC (sf) 1-A-50 46631NCB3 CC (sf) CCC (sf) 1-A-51 46631NCC1 CC (sf) CCC (sf) 1-A-52 46631NCD9 CC (sf) CCC (sf) 1-A-53 46631NCE7 CC (sf) CCC (sf) 1-A-54 46631NCF4 CC (sf) CCC (sf) 1-A-55 46631NCG2 CC (sf) CCC (sf) 1-A-56 46631NCH0 CC (sf) CCC (sf) 1-A-57 46631NCJ6 CC (sf) CCC (sf) 1-A-58 46631NCK3 CC (sf) CCC (sf) 1-A-60 46631NCM9 CC (sf) CCC (sf) 1-A-64 46631NCR8 CC (sf) CCC (sf) 1-A-67 46631NCU1 CC (sf) CCC (sf) 1-A-68 46631NCV9 CC (sf) CCC (sf) 1-A-72 46631NCZ0 CC (sf) CCC (sf) 1-A-74 46631NDB2 CC (sf) CCC (sf) 1-A-75 46631NDC0 CC (sf) CCC (sf) 1-A-76 46631NDD8 CC (sf) CCC (sf) 1-A-77 46631NDE6 CC (sf) CCC (sf) 1-A-78 46631NDF3 CC (sf) CCC (sf) 1-A-79 46631NDG1 CC (sf) CCC (sf) 1-A-80 46631NDH9 CC (sf) CCC (sf) 1-A-81 46631NDJ5 CC (sf) CCC (sf) 1-A-83 46631NDL0 CC (sf) CCC (sf) 1-A-85 46631NDN6 CC (sf) CCC (sf) 1-A-87 46631NDQ9 CC (sf) CCC (sf) 1-A-90 46631NDT3 CC (sf) CCC (sf) 1-A-97 46631NEA3 CC (sf) CCC (sf) 1-A-99 46631NEC9 CC (sf) CCC (sf) A-100 46631NED7 CC (sf) CCC (sf) A-101 46631NEE5 D (sf) CC (sf) A-114 46631NET2 CC (sf) CCC (sf) JPMorgan Mortgage Trust 2007-A3 Series 2007-A3 Rating Class CUSIP To From 1-A-1 46630UAA2 CC (sf) CCC (sf) 2-A-1 46630UAC8 CC (sf) CCC (sf) 2-A-2 46630UAD6 CC (sf) CCC (sf) 2-A-3 46630UAE4 CC (sf) CCC (sf) 2-A-3M 46630UAF1 CC (sf) CCC (sf) 2-A-3L 46630UAH7 CC (sf) CCC (sf) 3-A-2 46630UAM6 CC (sf) CCC (sf) Lehman Mortgage Trust 2007-9 Series 2007-9 Rating Class CUSIP To From 1-A1 52522XAA5 CC (sf) CCC (sf) 2-A4 52522XAG2 CC (sf) CCC (sf) 2-A5 52522XAH0 CC (sf) CCC (sf) MASTR Asset Securitization Trust 2006-2 Series 2006-2 Rating Class CUSIP To From 1-A-8 55274QAH8 CC (sf) CCC (sf) 1-A-9 55274QAJ4 CC (sf) CCC (sf) 1-A-10 55274QAK1 CC (sf) CCC (sf) 1-A-30 55274QBF1 CC (sf) CCC (sf) MASTR Asset Securitization Trust 2006-3 Series 2006-3 Rating Class CUSIP To From 1-A-2 55274SAB7 CC (sf) CCC (sf) 1-A-3 55274SAC5 CC (sf) CCC (sf) 1-A-4 55274SAD3 CC (sf) CCC (sf) 1-A-5 55274SAE1 CC (sf) CCC (sf) 1-A-6 55274SAF8 CC (sf) CCC (sf) 1-A-7 55274SAG6 CC (sf) CCC (sf) 1-A-8 55274SAH4 CC (sf) CCC (sf) 1-A-9 55274SAJ0 CC (sf) CCC (sf) 1-A-11 55274SAL5 CC (sf) CCC (sf) 2-A-1 55274SAM3 CC (sf) CCC (sf) 2-A-4 55274SAQ4 CC (sf) CCC (sf) 2-A-5 55274SAR2 CC (sf) CCC (sf) 3-A-1 55274SAS0 CC (sf) CCC (sf) Morgan Stanley Mortgage Loan Trust 2007-12 Series 2007-12 Rating Class CUSIP To From 1-A-2 61755GAB9 CC (sf) CCC (sf) 2-A-2 61755GAF0 CC (sf) CCC (sf) 3-A-1 61755GAJ2 CC (sf) CCC (sf) 3-A-3 61755GAL7 CC (sf) CCC (sf) 3-A-7 61755GAQ6 CC (sf) CCC (sf) 3-A-8 61755GAR4 CC (sf) CCC (sf) 3-A-9 61755GAS2 CC (sf) CCC (sf) 3-A-11 61755GAU7 CC (sf) CCC (sf) 3-A-12 61755GAV5 CC (sf) CCC (sf) 3-A-13 61755GAW3 CC (sf) CCC (sf) 3-A-14 61755GAX1 CC (sf) CCC (sf) 3-A-16 61755GAZ6 CC (sf) CCC (sf) 3-A-17 61755GBA0 CC (sf) CCC (sf) 3-A-18 61755GBB8 CC (sf) CCC (sf) 3-A-19 61755GBC6 CC (sf) CCC (sf) 3-A-20 61755GBD4 CC (sf) CCC (sf) 3-A-21 61755GBE2 CC (sf) CCC (sf) 3-A-22 61755GBF9 CC (sf) CCC (sf) 3-A-23 61755GBG7 CC (sf) CCC (sf) 3-A-26 61755GBK8 CC (sf) CCC (sf) 3-A-27 61755GBL6 CC (sf) CCC (sf) 3-A-29 61755GBN2 CC (sf) CCC (sf) 3-A-30 61755GBP7 CC (sf) CCC (sf) 3-A-32 61755GBR3 CC (sf) CCC (sf) 3-A-33 61755GBS1 CC (sf) CCC (sf) 3-A-35 61755GBU6 CC (sf) CCC (sf) 3-A-36 61755GBV4 CC (sf) CCC (sf) 3-A-37 61755GBW2 CC (sf) CCC (sf) 3-A-39 61755GBY8 CC (sf) CCC (sf) 3-A-41 61755GCA9 CC (sf) CCC (sf) 3-A-42 61755GCB7 CC (sf) CCC (sf) 3-A-P 61755GCC5 D (sf) CC (sf) Morgan Stanley Mortgage Loan Trust 2007-13 Series 2007-13 Rating Class CUSIP To From 2-A-P 61756HAJ9 D (sf) CC (sf) 7-A-4 61756HBW9 CC (sf) CCC (sf) 7-A-8 61756HCA6 CC (sf) CCC (sf) 5-A-P 61756HBM1 D (sf) CC (sf) Structured Asset Securities Corporation Mortgage Loan Trust, Series 2008-RF1 Series 2008-RF1 Rating Class CUSIP To From AF 86362DAA0 CC (sf) CCC (sf) AO 86362DAC6 CC (sf) CCC (sf) Wells Fargo Mortgage Backed Securities 2007-8 Trust Series 2007-8 Rating Class CUSIP To From I-A-3 94986AAC2 CC (sf) CCC (sf) I-A-13 94986AAN8 CC (sf) CCC (sf) I-A-14 94986AAP3 CC (sf) CCC (sf) I-A-16 94986AAR9 CC (sf) CCC (sf) I-A-22 94986AAX6 CC (sf) CCC (sf) A-PO 94986ABS6 D (sf) CC (sf) NR-Not rated. RATINGS AFFIRMED Alternative Loan Trust 2006-45T1 Series 2006-45T1 Class CUSIP Rating *2-A-15 02149JBE5 CC (sf) Alternative Loan Trust 2007-13 Series 2007-13 Class CUSIP Rating *A-9 02150MAJ4 CC (sf) *A-11 02150MAL9 CC (sf) Alternative Loan Trust 2007-18CB Series 2007-18CB Class CUSIP Rating *2-A-22 02151NBE1 CC (sf) Alternative Loan Trust 2007-9T1 Series 2007-9T1 Class CUSIP Rating 2-A-2 02150JAU6 CC (sf) 2-A-3 02150JAV4 CC (sf) 2-A-7 02150JCR1 CC (sf) 2-A-8 02150JCS9 CC (sf) 2-A-9 02150JCT7 CC (sf) 2-A-11 02150JCV2 CC (sf) 2-A-12 02150JCW0 CC (sf) 2-A-15 02150JCZ3 CC (sf) 2-A-17 02150JDB5 CC (sf) 2-A-19 02150JDD1 CC (sf) 2-A-20 02150JDE9 CC (sf) Bank of America Funding 2007-2 Trust Series 2007-2 Class CUSIP Rating 1-A-16 05951GBE1 CCC (sf) 1-A-18 05951GBG6 CCC (sf) *1-A-40 05951GCE0 CC (sf) *1-A-42 05951GCG5 CC (sf) 2-A-1 05951GCH3 CCC (sf) CHL Mortgage Pass Through Trust 2007-21 Series 2007-21 Class CUSIP Rating *1-A-3 17025WAC8 CC (sf) *1-PO 17025WAE4 CC (sf) CHL Mortgage Pass Through Trust 2007-5 Series 2007-5 Class CUSIP Rating *A-9 12544VAJ8 CC (sf) *A-17 12544VAS8 CC (sf) *A-19 12544VAU3 CC (sf) *A-21 12544VAW9 CC (sf) *A-29 12544VBE8 CC (sf) *A-30 12544VBF5 CC (sf) *A-36 12544VBM0 CC (sf) *A-41 12544VBS7 CC (sf) *A-42 12544VBT5 CC (sf) *A-48 12544VBZ1 CC (sf) *A-50 12544VCM9 CC (sf) *PO 12544VCB3 CC (sf) CHL Mortgage Pass-Through Trust 2007-14 Series 2007-14 Class CUSIP Rating A-1 12544DAA7 CCC (sf) A-3 12544DAC3 CC (sf) A-4 12544DAD1 CCC (sf) A-9 12544DAJ8 CC (sf) A-11 12544DAL3 CC (sf) A-14 12544DAP4 CC (sf) *A-17 12544DAS8 CC (sf) A-19 12544DAU3 CC (sf) A-21 12544DAW9 CC (sf) A-22 12544DAX7 CC (sf) PO 12544DAZ2 CC (sf) CHL Mortgage Pass-Through Trust 2007-15 Series 2007-15 Class CUSIP Rating *1-A-19 17025TAU5 CC (sf) CHL Mortgage Pass-Through Trust 2007-HY7 Series 2007-HY7 Class CUSIP Rating *A-2 12544HAZ3 CC (sf) *A-4 12544HBF6 CC (sf) CSMC Mortgage Backed Trust 2007-4 Series 2007-4 Class CUSIP Rating *1-A-3 126379AC0 CC (sf) 1-A-11 126379BP0 CC (sf) HSI Asset Loan Obligation Trust 2007-2 Series 2007-2 Class CUSIP Rating I-A-PO 40432BAD1 CC (sf) I-A-1 40432BAA7 CCC (sf) I-A-2 40432BAB5 CC (sf) II-A-PO 40432BAT6 CC (sf) *II-A-3 40432BAG4 CC (sf) II-A-4 40432BAH2 CC (sf) III-A-PO 40432BBE8 CC (sf) III-A-5 40432BAY5 CC (sf) A-PO 40432BBG3 CC (sf) J.P. Morgan Mortgage Trust 2007-S3 Series 2007-S3 Class CUSIP Rating *1-A-71 46631NCY3 CC (sf) *1-A-73 46631NDA4 CC (sf) *1-A-96 46631NDZ9 CC (sf) 2-A-1 46631NEX3 CC (sf) 2-A-2 46631NEY1 CC (sf) A-P 46631NFB0 CC (sf) JPMorgan Mortgage Trust 2007-A3 Series 2007-A3 Class CUSIP Rating *3-A-2M 46630UAN4 CC (sf) Lehman Mortgage Trust 2007-9 Series 2007-9 Class CUSIP Rating 1-A2 52522XAB3 CC (sf) 1-A3 52522XAC1 CC (sf) 2-A1 52522XAD9 CC (sf) 2-A2 52522XAE7 CC (sf) 2-A3 52522XAF4 CC (sf) *2-A6 52522XAJ6 CC (sf) 2-A8 52522XAL1 CC (sf) AP 52522XAM9 CC (sf) MASTR Asset Securitization Trust 2006-2 Series 2006-2 Class CUSIP Rating 1-A-1 55274QAA3 CC (sf) 1-A-3 55274QAC9 CC (sf) 1-A-4 55274QAD7 CC (sf) 1-A-5 55274QAE5 CC (sf) 1-A-6 55274QAF2 CC (sf) 1-A-11 55274QAL9 CC (sf) 1-A-12 55274QAM7 CC (sf) 1-A-13 55274QAN5 CC (sf) 1-A-14 55274QAP0 CC (sf) 1-A-15 55274QAQ8 CC (sf) 1-A-16 55274QAR6 CC (sf) 1-A-22 55274QAX3 CC (sf) 1-A-23 55274QAY1 CC (sf) 1-A-24 55274QAZ8 CC (sf) 1-A-26 55274QBB0 CC (sf) 1-A-27 55274QBC8 CC (sf) 1-A-28 55274QBD6 CC (sf) 1-A-31 55274QBG9 CC (sf) 1-A-32 55274QBH7 CC (sf) 1-A-33 55274QBJ3 CC (sf) 1-A-34 55274QBK0 CC (sf) 1-A-35 55274QBL8 CC (sf) 2-A-2 55274QBN4 CC (sf) PO 55274QBS3 CC (sf) MASTR Asset Securitization Trust 2006-3 Series 2006-3 Class CUSIP Rating *1-A-10 55274SAK7 CC (sf) 15-PO 55274SAV3 CC (sf) 30-PO 55274SAW1 CC (sf) Morgan Stanley Mortgage Loan Trust 2007-12 Series 2007-12 Class CUSIP Rating 1-A-1 61755GAA1 CC (sf) 1-A-3 61755GAC7 CC (sf) 1-A-P 61755GAD5 CC (sf) 2-A-1 61755GAE3 CC (sf) 2-A-3 61755GAG8 CC (sf) 3-A-6 61755GAP8 CC (sf) *3-A-15 61755GAY9 CC (sf) *3-A-25 61755GBJ1 CC (sf) Morgan Stanley Mortgage Loan Trust 2007-13 Series 2007-13 Class CUSIP Rating 1-A-1 61756HAA8 CC (sf) 1-A-2 61756HAB6 CC (sf) 1-A-3 61756HAC4 CC (sf) 1-A-P 61756HAD2 CC (sf) 2-A-1 61756HAF7 CC (sf) 2-A-2 61756HAG5 CC (sf) 2-A-3 61756HAH3 CC (sf) 3-A-1 61756HAK6 CC (sf) 4-A-4 61756HAQ3 CC (sf) 4-A-6 61756HAS9 CC (sf) 4-A-8 61756HAU4 CC (sf) 6-A-1 61756HBN9 CC (sf) 6-A-3 61756HBQ2 CC (sf) 6-A-4 61756HBR0 CC (sf) 6-A-5 61756HBS8 CC (sf) 7-A-1 61756HBT6 CC (sf) 7-A-6 61756HBY5 CC (sf) 7-A-11 61756HCD0 CC (sf) 7-A-17 61756HCK4 CC (sf) 5-A-1 61756HBH2 CC (sf) 5-A-3 61756HBK5 CC (sf) Structured Asset Securities Corporation Mortgage Loan Trust, Series 2008-RF1 Series 2008-RF1 Class CUSIP Rating *A 86362DAK8 CC (sf) Wells Fargo Mortgage Backed Securities 2007-15 Trust Series 2007-15 Class CUSIP Rating A-1 949797AA2 CCC (sf) A-2 949797AB0 CC (sf) A-5 949797AE4 CCC (sf) A-6 949797AF1 CCC (sf) A-7 949797AG9 CCC (sf) A-PO 949797AH7 CC (sf) Wells Fargo Mortgage Backed Securities 2007-8 Trust Series 2007-8 Class CUSIP Rating I-A-2 94986AAB4 CC (sf) I-A-4 94986AAD0 CC (sf) I-A-5 94986AAE8 CC (sf) I-A-6 94986AAF5 CC (sf) I-A-7 94986AAG3 CC (sf) I-A-9 94986AAJ7 CC (sf) I-A-10 94986AAK4 CC (sf) I-A-11 94986AAL2 CC (sf) I-A-12 94986AAM0 CC (sf) I-A-15 94986AAQ1 CC (sf) I-A-17 94986AAS7 CC (sf) I-A-18 94986AAT5 CC (sf) I-A-19 94986AAU2 CC (sf) I-A-20 94986AAV0 CC (sf) I-A-21 94986AAW8 CC (sf) I-A-23 94986AAY4 CC (sf) II-A-2 94986ABB3 CCC (sf) II-A-8 94986ABH0 CCC (sf) II-A-9 94986ABJ6 CCC (sf) II-A-11 94986ABL1 CCC (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, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2012. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $775 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Christopher Beard at 240/629-3300. *** End of Transmission ***