/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/120701.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, July 1, 2012, Vol. 16, No. 181 Headlines 1776 CLO I: S&P Affirms Rating on Class E Notes at 'B+' ACAS BUSINESS 2007-1: S&P Raises Rating on Class C Notes to 'B-' ACE SECURITIES 2003-NC1: S&P Cuts Rating on Class M-4 to 'D' AIRLIE CLO 2006-II: S&P Raises Rating on Class D Notes to 'B+' ALM VI: S&P Gives 'B' Rating on Class E Deferrable Notes AMERICREDIT AUTO: DBRS Confirms 'BB(sf)' Rating on Class E Notes AMERICREDIT AUTO: Moody's Assigns '(P)Ba2' Rating to Cl. E Notes ARES XI: S&P Raises Rating on Class E Notes to 'BB+'; Off Watch ARES XII: S&P Affirms 'BB' Rating on Class E Notes; Off Watch Pos ARES XIX: Moody's Upgrades Rating on Class D Notes to 'Ba3' ATTENTUS CDO III: S&P Lowers Ratings on 3 Classes to 'CC(sf)' BABSON CLO 2012-II: S&P Rates $18-Mil. Class D Notes 'BB(sf)' BANC OF AMERICA 2003-1: Fitch Junks Rating on 3 Cert. Classes BANC OF AMERICA 2005-5: Moody's Keeps C Ratings on 2 Cert Classes BEAR STEARNS 2005-TOP18: Moody's Cuts Rating on H Secs. to 'Caa1' BEAR STEARNS 2006-BBA7: Fitch Keeps 'CCC' Rating on $9.6MM Certs. BEAR STEARNS 2006-PWR12: Moody's Cuts Ratings on 2 Certs. to 'C' BEAR STEARNS 2006-TOP22: Moody's Cuts Ratings on 2 Certs. to 'C' BLUEMOUNTAIN CLO III: S&P Raises Rating on Class E Notes to 'BB' CABELA'S CREDIT: Fitch Rates $13.75-Mil. Class D Notes 'BB+sf' CAPITAL LEASE: Stable Performance Cues Fitch to Affirm Ratings CARLYLE GLOBAL 2012-2: S&P Rates $23-Mil. Class E Notes 'BB' CENTERLINE 2007-1: S&P Lowers Rating on Class B Debt to 'D' CENTURION CDO: Moody's Upgrades Rating on Class B Notes From Ba3 CHRYSLER FINC'L 2008-B: DBRS Discontinues Ratings on Securities CITIGROUP MORTGAGE: Moody's Cuts Rating on Cl. A-3A RMBS to 'Ca' COMM 2001-J2: Moody's Affirms Rating on Cl. H Securities at 'Ca' COMMERCIAL MORTGAGE: Moody's Cuts Rating on Cl. F Certs. to 'B3' CPS AUTO: Moody's Assigns 'B2' Rating to Class D Notes CREDIT SUISSE 2001-CKN5: Moody's Reviews Rating on 8 CMBS Classes CREDIT SUISSE 2002-CKN2: S&P Lowers Ratings on 2 Classes to 'D' CREDIT SUISSE 2003-CK2: Fitch Cuts Rating $13.6MM M Certs to 'C' CREDIT SUISSE 2005-C3: Moody's Lowers Rating on F Certs. to 'C' CSMC TRUST 2012-CIM2: S&P Assigns 'BB' Rating to Class B-4 Certs. CWALT INC: Moody's Lowers Ratings on 12 RMBS Tranches to 'Caa2' CWCAPITAL COBALT II: S&P Lowers Ratings on 7 Note Classes to 'D' DRYDEN XXIII: S&P Rates $9-Mil. Class E Deferrable Notes 'B' FIRST UNION 1999-C2: Fitch Affirms Csf Rating $11.8MM Cl. M Notes FIRST UNION 2000-C1: Fitch Cuts Rating on $5.8MM L Notes to 'CCsf' FLAGSHIP CREDIT 2012-1: S&P Gives 'BB' Rating on Class D Notes FMC REAL: Improved Credit Cues Fitch to Upgrade Ratings GCO EDUCATION: Fitch Affirms 'Bsf' Rating on Jr. Subordinate Loan GILLESPIE CLO: S&P Raises Rating on Class E Notes to 'B-' GMAC COMMERCIAL: Stable Performance Cues Fitch to Affirm Ratings GMAC COMMERCIAL: Moody's Cuts Ratings on 3 Note Classes to 'C' GREENWICH CAPITAL 2003-C2: S&P Cuts Ratings on 2 Classes to 'D' GREENWICH COMMERCIAL: Moody's Affirms 'C' Rating on Cl. M Certs. GSAA HOME: Moody's Downgrades Ratings on Three Tranches to 'C' GS MORTGAGE 2007-GG10: Moody's Cuts Rating on D Certs. to 'Ca' HALCYON STRUCTURED: Moody's Lifts Rating on Cl. D Notes From 'Ba1' HELLER FINANCIAL: Moody's Cuts Rating on Cl. X Certs. to 'Caa3' JP MORGAN 1999-C8: Moody's Affirms Rating on X Certs. at 'Caa3' JP MORGAN 2004-FL1: S&P Lowers Rating on Cl. L Certs to 'CCC-' JP MORGAN 2012-CIBX: Moody's Rates Class G Certificates '(P)B2' LANDMARK V: Moody's Raises Rating on Class B-1L Notes From 'Ba1' LATITUDE CLO: S&P Affirms Rating on Class D Notes at 'CCC-' LB-UBS MORTGAGE: Moody's Lowers Rating on Cl. D Certs. to 'B1' LEHMAN BROTHERS: Fitch Affirms D Rating on $57.5MM Class J Notes LEHMAN BROTHERS: Moody's Upgrades Rating on Cl. H Secs. to 'B3' LNR CDO 2003-1: S&P Lowers Ratings on 3 Classes to 'D'; Off Watch LONE STAR 2011-1: Fitch Affirms Rating on Six Certificate Classes MACH ONE 2004-1: S&P Cuts Ratings on 3 Classes of Certs. to 'CCC-' ML-CFC COMMERCIAL: Moody's Affirms 'C' Ratings on 8 CMBS Classes ML-CFC COMMERCIAL: Moody's Cuts Rating on Cl. C Certs. to 'Caa3' MORGAN STANLEY 2001-IQ: Moody's Affirms 'Caa1' Rating on 2 Certs. MORGAN STANLEY 2002-TOP7: Moody's Cuts Rating on L Certs. to 'C' MORGAN STANLEY 2004-HQ3: Moody's Affirms Caa3 Rating on Q Certs. MORGAN STANLEY 2006-18: Moody's Removes Rating on $43-Mil. Notes MORGAN STANLEY 2007-IQ14: S&P Rates Class A-A-MFX Certs. 'BB' NOMURA ASSET: Moody's Lowers Rating on Cl. M-2 Tranche to 'C' OCTAGON INVESTMENT X: S&P Raises Rating on Class E Notes to 'BB' OWS CLO I: S&P Affirms 'BB+' Rating on Class C Notes; Off Watch OZLM FUNDING: S&P Rates $21.6MM Class D Deferrable Notes 'BB' PALISADES CDO: Fitch Junks Rating on Seven Note Classes PNC MORTGAGE: Fitch Affirms 'D' Rating on Five Note Classes RACE POINT III: S&P Raises Rating on Class E Notes to 'BB' RAMP SERIES: Moody's Raises Rating on Class M-2 Tranche From Ba3 SALOMON BROTHERS: Moody's Lifts Rating on Cl. M-1 Secs. From B1 SANDELMAN FINANCE 2006-2: S&P Ups Rating on Class D Notes to 'BB+' SANTANDER CONSUMER: Moody's Reviews 'Ba2' Ratings for Upgrade SANTANDER DRIVE: Fitch to Rate $47.46-Mil. Class E Notes 'BBsf' SANTANDER DRIVE: Moody's Assigns '(P)Ba2' Rating to Cl. E Secs. SATURNS 2001-6: Moody's Cuts Rating on $63-Mil. Certs. to 'Ba2' SEQUOIA MORTGAGE: Fitch Rates $1.4MM Class B-4 Certs. at 'BBsf' SLATER MILL: S&P Rates $14-Mil. Class E Deferrable Notes 'BB' SLM STUDENT 2007-4: Fitch Affirms BBsf Ratings on 3 Note Classes SLM STUDENT 2007-5: Fitch Affirms Low-B Rating on Two Not Classes SLM STUDENT 2006-7: Fitch Affirms 'BBsf' Rating on Class B Note SOLOSO CDO: Moody's Raises Rating on Class A-1LB Notes to 'B1' STRUCTURED ASSET: Moody's Cuts Rating on One Tranche to 'Caa3' TALMAGE STRUCTURED: Moody's Lifts Rating on Cl. C Secs. to 'Ba2' TRIMARAN CLO VII: S&P Raises Rating on Class B-2L Notes to 'B+' UBS-BARCLAYS 2012-C2: Fitch to Rate Two Note Classes Low-Bs UBS COMMERCIAL 2007-FL1: Fitch Affirms 'Csf' Ratings on 3 Secs. UBS COMMERCIAL 2007-FL1: Moody's Raises Rating on K Certs. to Caa3 WACHOVIA BANK 2003-C5: Moody's Affirms 'Caa3' Rating on O Certs. WACHOVIA BANK 2007-C30: Moody's Raises Rating on D Certs. to Caa3 WACHOVIA BANK 2007-C33: Moody's Cuts Ratings on 4 Certs. to 'C' WAVE SPC 2007-1: S&P Lowers Rating to Class A-1 Debt to 'D' WELLS FARGO 2012-C7: Fitch Rates $19.3-Mil. Class G Notes 'Bsf' WILSHIRE FUNDING: Moody's Confirms 'Caa2' Rating on M-3 Tranche * Fitch Says Credit Quality for Grade Debt Issues Stabilized * Moody's Cuts Ratings on 26 U.S. Structured Finance Securities * Moody's Cuts Ratings on 37 Structured Finance Securities * Moody's Says U.S. Subprime Auto Lending Market Similar to 90's * Moody's Takes Rating Action on $1.58-Bil. Alt-A RMBS Tranches * Moody's Takes Rating Actions on Four Tobacco Securitizations * Moody's Takes Rating Actions on $161MM US Scratch & Dent RMBS * S&P Takes Various Rating Actions on 33 Scratch-And-Dent Deals * S&P Lowers Ratings on 72 Classes From 32 U.S. RMBS Transactions * S&P Lowers Ratings on 495 Classes From 284 RMBS Deals to 'D' * S&P Cuts Ratings on 61 Classes From 25 RMBS Risk Transfer Deals * S&P Raises Ratings on 12 Tranches From 4 U.S. CDO Transactions * S&P Raises Ratings on 15 Tranches From 8 US TruPs CDO Deals ********* 1776 CLO I: S&P Affirms Rating on Class E Notes at 'B+' ------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on the class A1, A2, B, C, D, and E notes from 1776 CLO I Ltd., a U.S. collateralized loan obligation (CLO) transaction backed by corporate loans. On The Green LLC manages the transaction. "This transaction's reinvestment period ended in May 2012 and we expect the transaction's amortization period to begin in August 2012. The affirmations reflect credit support commensurate with the current rating levels," S&P said. "Our rating on the class E notes reflects the application of the largest obligor default test, a supplemental stress test we introduced as part of our September 2009 corporate criteria update," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED 1776 CLO I Ltd. Class Rating A1 AA+ (sf) A2 AA+ (sf) B AA (sf) C A (sf) D BB+ (sf) E B+ (sf) ACAS BUSINESS 2007-1: S&P Raises Rating on Class C Notes to 'B-' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B and C notes from ACAS Business Loan Trust 2007-1, a cash flow collateralized loan obligation (CLO) transaction managed by American Capital Ltd. "At the same time, we affirmed our rating on the class D notes," S&P said. "The transaction is in its amortization phase and continues to use its principal proceeds to pay down the senior notes in the payment sequence as specified in the indenture. The upgrades reflect the paydowns to the notes that improved the credit support available to them. The class A note was paid in full on the May 2012 distribution date. In addition, the class B note received a paydown of $15.46 million on the May 2012 distribution date, reducing the note balance to $20.63 million, which is 46% of its original balance," S&P said. Standard & Poor's took into account the concentration risk of the transaction due to a relatively low number of loans remaining to support the notes. "We affirmed our rating on the class D note to reflect the availability of credit support at the current rating level. The obligor concentration supplemental test (which is part of our criteria for rating corporate CDO transactions) drove the rating on the class D note," 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 Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111688.pdf RATINGS RAISED ACAS Business Loan Trust 2007-1 Rating Class To From B AA- (sf) A+ (sf) C B- (sf) CCC+ (sf) RATING AFFIRMED ACAS Business Loan Trust 2007-1 Class Rating D CCC- (sf) ACE SECURITIES 2003-NC1: S&P Cuts Rating on Class M-4 to 'D' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 11 classes from eight U.S. residential mortgage-backed securities (RMBS) transactions. "Concurrently, we raised our rating on one class from one transaction and affirmed our ratings on 90 classes from 16 transactions. We subsequently withdrew one of the affirmed ratings due to the small number of loans remaining," S&P said. All of the transactions in this review are backed by subprime mortgage loan collateral issued from 1996 through 2010. "In accordance with our published criteria, these rating actions reflect our view of the recent performance of the collateral backing these transactions, our current projected losses, the timing of the projected defaults and losses, and the projected credit support to cover those losses. The actions also reflect our view of structural features, such as cross collateralization, payment allocations, and super-senior/subordinate senior relationships," S&P said. "The downgrades reflect our belief that projected credit enhancement for the affected classes will be insufficient to cover the projected losses we applied at the applicable rating stresses and/or, where applicable, the application of our interest shortfall criteria. We lowered our rating on one class from one of the transactions based on our interest shortfall criteria. This class can be identified in the table below by an asterisk and accompanying footnote," S&P said. "Among other factors, the upgrade reflects our view of decreased delinquencies within the structure associated with the affected class. The decreased delinquencies have reduced the remaining projected loss for this structure, allowing the class to withstand more stressful scenarios. In addition, the upgrade reflects our assessment that the projected credit enhancement for the affected class will be more than sufficient to cover our projected loss at the revised rating level; however, we are limiting the extent of the upgrade to reflect our view of ongoing market risk," S&P said. "The affirmations reflect our belief that projected credit enhancement available for the affected classes will be sufficient to cover our projected losses at the current rating levels. The affirmed 'CCC (sf)' and 'CC (sf)' ratings reflect our assessment that the credit enhancement for these classes will remain insufficient to cover projected losses," S&P said. "The affirmed rating and subsequent withdrawal reflects our opinion that projected credit support for the affected class will be sufficient to cover our projected loss at the current rating level. In addition, this class is backed by a pool with a small number of remaining loans. If any of the remaining loans default, the resulting loss could have a greater effect on the pool's performance than if the pool consisted of a larger number of loans. Because this performance volatility may have an adverse effect on our outstanding rating, we withdrew our rating on the related transaction," S&P said. "In order to maintain a 'B' rating on a class, we assessed whether, in our view, a class could absorb the remaining base-case loss assumptions we used in our analysis. In order to maintain a rating higher than 'B', we assessed whether the class could withstand losses exceeding our remaining base-case loss assumptions at a percentage specific to each rating category, up to 150% for a 'AAA' rating. For example, in general, we would assess whether one class could withstand approximately 110% of our remaining base-case loss assumptions to maintain a 'BB' rating, while we would assess whether a different class could withstand approximately 120% of our remaining base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in our view, withstand approximately 150% of our remaining base-case loss assumptions under our analysis," S&P said. Subordination, overcollateralization, and excess interest generally provide credit support for the classes within these subprime transactions. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS ACE Securities Corp. Home Equity Loan Trust, Series 2003-NC1 Series 2003-NC1 Rating Class CUSIP To From M-1 004421CQ4 BB (sf) A (sf) M-2 004421CR2 CC (sf) CCC (sf) M-4 004421CT8 D (sf) CC (sf)* Ameriquest Mortgage Securities Inc. Series 2003-6 Rating Class CUSIP To From M-4 03072SGS8 BB- (sf) BB+ (sf) Bear Stearns Asset Backed Securities Trust 2004-HE3 Series 2004-HE3 Rating Class CUSIP To From M-4 07384YSA5 CC (sf) CCC (sf) CTS Home Equity Loan Trust 1996-1 Series 1996-1 Rating Class CUSIP To Interim From A 126502AC7 NR BB (sf) BB (sf) CWABS Asset-Backed Certificates Trust 2004-15 Series 2004-15 Rating Class CUSIP To From AF-4 126673TU6 AA (sf) AAA (sf) MV-5 126673UR1 B (sf) B- (sf) Home Equity Asset Trust 2004-8 Series 2004-8 Rating Class CUSIP To From M-2 437084GS9 A- (sf) AA (sf) Merrill Lynch Mortgage Investors Trust, Series 2005-WMC1 Series 2005-WMC1 Rating Class CUSIP To From M-3 59020UQX6 BBB (sf) A (sf) Morgan Stanley ABS Capital I Inc. Trust 2004-OP1 Series 2004-OP1 Rating Class CUSIP To From M-3 61744CJF4 BB- (sf) BBB+ (sf) Renaissance Home Equity Loan Trust 2006-2 Series 2006-2 Rating Class CUSIP To From AV-2 759676AB5 CCC (sf) B (sf) AF-2 759676AE9 CCC (sf) B (sf) RATINGS AFFIRMED ACE Securities Corp. Home Equity Loan Trust, Series 2003-NC1 Series 2003-NC1 Class CUSIP Rating A-1 004421CN1 AAA (sf) A-2A 004421CP6 AAA (sf) A-2C 004421CX9 AAA (sf) M-3 004421CS0 CC (sf) Ameriquest Mortgage Securities Inc. Series 2003-6 Class CUSIP Rating M-2 03072SGQ2 A (sf) M-3 03072SGR0 A- (sf) Bear Stearns Asset Backed Securities Trust 2004-HE3 Series 2004-HE3 Class CUSIP Rating M-2 07384YRY4 A (sf) M-3 07384YRZ1 B (sf) M-5 07384YSB3 CC (sf) M-6 07384YSC1 CC (sf) CWABS Asset-Backed Certificates Trust 2004-15 Series 2004-15 Class CUSIP Rating AF-5 126673TV4 A+ (sf) AF-6 126673TW2 A+ (sf) MF-1 126673TX0 BB- (sf) MF-2 126673TY8 B- (sf) MF-3 126673TZ5 CCC (sf) MF-4 126673UA8 CC (sf) MF-5 126673UB6 CC (sf) MF-6 126673UC4 CC (sf) MF-7 126673UD2 CC (sf) MF-8 126673UE0 CC (sf) BF 126673UF7 CC (sf) MV-1 126673UM2 AA+ (sf) MV-2 126673UN0 AA (sf) MV-4 126673UQ3 BB (sf) MV-6 126673US9 CCC (sf) MV-7 126673UT7 CC (sf) MV-8 126673UU4 CC (sf) BV 126673UV2 CC (sf) MV-3 126673UP5 A+ (sf) Home Equity Asset Trust 2004-8 Series 2004-8 Class CUSIP Rating M-1 437084GR1 AA+ (sf) M-3 437084GT7 B+ (sf) M-4 437084GU4 B- (sf) M-5 437084GV2 CC (sf) M-6 437084GW0 CC (sf) Home Improvement & Home Equity Loan Trust 1997-E Series 1997-E Class CUSIP Rating HE:B-1 393505YX4 A- (sf) HSBC Home Equity Loan Trust (USA) 2007-2 Series 2007-2 Class CUSIP Rating A-S 40431MAA4 AAA (sf) A-M 40431MAB2 AAA (sf) A-2F 40431MAE6 AAA (sf) A-2V 40431MAF3 AAA (sf) A-3F 40431MAG1 AAA (sf) A-3V 40431MAH9 AAA (sf) A-4 40431MAJ5 AAA (sf) M-1 40431MAK2 AA+ (sf) M-2 40431MAL0 AA (sf) HSBC Home Equity Loan Trust (USA) 2007-3 Series 2007-3 Class CUSIP Rating A-PT 40431XAA0 AAA (sf) A-2 40431XAC6 AAA (sf) A-3 40431XAD4 AAA (sf) A-4 40431XAE2 AAA (sf) M-1 40431XAF9 AA+ (sf) M-2 40431XAG7 AA (sf) Merrill Lynch Mortgage Investors Trust, Series 2005-WMC1 Series 2005-WMC1 Class CUSIP Rating M-1 59020UQV0 AA (sf) M-2 59020UQW8 AA (sf) M-4 59020UQY4 CCC (sf) B-1 59020UQZ1 CCC (sf) B-2 59020URA5 CC (sf) B-3 59020URB3 CC (sf) B-4 59020URC1 CC (sf) B-5 59020URD9 CC (sf) Mid-State Capital Corporation 2006-1 Trust Series 2006-1 Class CUSIP Rating A Notes 59548PAA7 AAA (sf) M-1 Notes 59548PAB5 AA (sf) M-2 Notes 59548PAC3 B (sf) B Notes 59548PAD1 CC (sf) Mid-State Capital Trust 2010-1 Series 2010-1 Class CUSIP Rating B 59560WAE7 BBB (sf) M 59560WAC1 A (sf) A 59560WAA5 AAA (sf) Mid-State Trust VI Series Class CUSIP Rating A-1 59549NAA1 AAA (sf) A-2 59549NAB9 AA+ (sf) A-3 59549NAC7 AA (sf) A-4 59549NAD5 BBB (sf) Morgan Stanley ABS Capital I Inc. Trust 2004-OP1 Series 2004-OP1 Class CUSIP Rating M-1 61744CJD9 AA+ (sf) M-2 61744CJE7 AA (sf) M-4 61744CJG2 B- (sf) M-5 61744CJH0 CCC (sf) M-6 61744CJJ6 CC (sf) B-1 61744CJK3 CC (sf) B-2 61744CJL1 CC (sf) B-3 61744CJM9 CC (sf) Renaissance Home Equity Loan Trust 2006-2 Series 2006-2 Class CUSIP Rating AV-3 759676AC3 CCC (sf) AF-3 759676AF6 CCC (sf) AF-4 759676AG4 CCC (sf) AF-5 759676AH2 CCC (sf) AF-6 759676AJ8 CCC (sf) M-1 759676AK5 CC (sf) Terwin Mortgage Trust Series TMTS 2004-5HE Series TMTS2004-5HE Class CUSIP Rating M-1 881561FP4 AA (sf) M-1-X 881561HP2 AA (sf) M-2 881561FQ2 CC (sf) M-3 881561FR0 CC (sf) B-1 881561HV9 CC (sf) B-2 881561HW7 CC (sf) * Based on application of interest shortfall criteria AIRLIE CLO 2006-II: S&P Raises Rating on Class D Notes to 'B+' -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2, B, C, and D notes from Airlie CLO 2006-II Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Airlie Opportunity Capital Management LLP. "At the same time, we affirmed our rating on the class A-1 notes," S&P said. "The upgrades primarily reflect improved performance of the transaction's underlying asset portfolio since March 2010, when we downgraded all five of the notes following the application of our September 2009 corporate collateralized debt obligation (CDO) criteria. As of the June 2012 trustee report, assets from obligors rated in the 'CCC' category were $17.56 million, compared with $29.3 million in February 2010, which we referenced for our March 2010 rating actions," S&P said. The upgrades also reflect an incremental increase in the overcollateralization (O/C) available to support the notes since the March 2010 rating actions. The trustee reported these O/C ratios in the June 2012 monthly report: The class A O/C ratio was 123.33%, compared with a reported ratio of 122.07% in February 2010; The class B O/C ratio was 114.70%, compared with a reported ratio of 113.53% in February 2010; The class C O/C ratio was 108.55%, compared with a reported ratio of 107.44% in February 2010; and The class D O/C ratio was 103.34%, compared with a reported ratio of 102.29% in February 2010. "We affirmed our rating on the class A-1 notes to reflect the availability of credit support at the current rating level," 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 Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111687.pdf RATING ACTIONS Airlie CLO 2006-II Ltd. Rating Class To From A-2 AA- (sf) A+ (sf) B A (sf) BBB+ (sf) C BBB (sf) BB+ (sf) D B+ (sf) CCC- (sf) RATING AFFIRMED Airlie CLO 2006-II Ltd. Class Rating A-1 AA+ (sf) TRANSACTION INFORMATION Issuer: Airlie CLO 2006-II Ltd. Co-issuer: Airlie CLO 2006-II Corp. Collateral manager: Airlie Opportunity Capital Management LLP Underwriter: JPMorgan Securities Inc. Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO ALM VI: S&P Gives 'B' Rating on Class E Deferrable Notes -------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to ALM VI Ltd./ALM VI LLC's $475.0 million floating- and fixed-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 it 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/1111688.pdf RATINGS ASSIGNED ALM VI Ltd./ALM VI LLC Class Rating Amount (mil. $) A-1 AAA (sf) 321.5 A-2 AA (sf) 51.5 B-1 (deferrable) A (sf) 29.5 B-2 (deferrable) A (sf) 15.0 C (deferrable) BBB (sf) 23.0 D (deferrable) BB (sf) 20.0 E (deferrable) B (sf) 14.5 Subordinated notes NR 39.0 NR--Not rated. AMERICREDIT AUTO: DBRS Confirms 'BB(sf)' Rating on Class E Notes ---------------------------------------------------------------- DBRS, Inc. has reviewed the AmeriCredit Automobile Receivables Trust Series 2011-2 and Series 2011-3. In the two series, 12 classes were confirmed and 2 classes were discontinued due to repayment of the noteholders. The following classes were reviewed: AmeriCredit Automobile Receivables Trust Series 2011-2: - Series 2011-2 Notes, Class A-1 previously rated R-1 (high) (sf) are now rated Disc.-Repaid - Series 2011-2 Notes, Class A-2 have been confirmed at AAA (sf) - Series 2011-2 Notes, Class A-3 have been confirmed at AAA (sf) - Series 2011-2 Notes, Class B have been confirmed at AA (sf) - Series 2011-2 Notes, Class C have been confirmed at A (sf) - Series 2011-2 Notes, Class D have been confirmed at BBB (sf) - Series 2011-2 Notes, Class E have been confirmed at BB (sf) AmeriCredit Automobile Receivables Trust Series 2011-3: - Series 2011-2 Notes, Class A-1 previously rated R-1 (high) (sf) are now rated Disc.-Repaid - Series 2011-2 Notes, Class A-2 have been confirmed at AAA (sf) - Series 2011-2 Notes, Class A-3 have been confirmed at AAA (sf) - Series 2011-2 Notes, Class B have been confirmed at AA (sf) - Series 2011-2 Notes, Class C have been confirmed at A (sf) - Series 2011-2 Notes, Class D have been confirmed at BBB (sf) - Series 2011-2 Notes, Class E have been confirmed at BB (sf) The collateral supporting the transactions is performing within DBRS expectations and available credit enhancement for each class is sufficient to cover DBRS expected losses. AMERICREDIT AUTO: Moody's Assigns '(P)Ba2' Rating to Cl. E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by AmeriCredit Automobile Receivables Trust 2012-3 (AMCAR 2012-3). This is the third public subprime transaction of the year for AmeriCredit Financial Services, Inc. (AmeriCredit). The complete rating actions are as follows: Issuer: AmeriCredit Auto Receivables Trust 2012-3 Cl. A-1, Assigned (P)P-1 (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa1 (sf) Cl. C, Assigned (P)Aa3 (sf) Cl. D, Assigned (P)Baa1 (sf) Cl. E, Assigned (P)Ba2 (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, and the experience and expertise of AmeriCredit as servicer. 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 AMCAR 2012- 3 pool is 10.25% and total credit enhancement required to achieve Aaa rating (i.e. Aaa proxy) is 38.5%. The loss expectation was based on an analysis of AmeriCredit's 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 Low/Medium versus a Medium for the sector. This is driven by the Low/Medium assessment for Governance due to the presence of a highly rated backup servicer, Wells Fargo (Aa3 negative outlook/P-1), in addition to the size and strength of AmeriCredit's servicing platform. 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 20%, 25% or 35.0%, the initial model output for the Class A notes might change from Aaa to Aa1, Aa2, and A3, respectively; Class B notes might change from Aa1 to A3, Baa3, and below B3, respectively; Class C notes might change from Aa3 to Ba2, B3, and below B3, respectively; Class D notes might change from Baa1 to below B3 in all three scenarios; and Class E notes might change from Ba2 to below B3 in all three scenarios. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time, rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. Additional research including a pre-sale report for this transaction is available at www.moodys.com. The special reports, "Updated Report on V Scores and Parameter Sensitivities for Structured Finance Securities" and "V Scores and Parameter Sensitivities in the U.S. Vehicle ABS Sector" are also available on moodys.com. ARES XI: S&P Raises Rating on Class E Notes to 'BB+'; Off Watch --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1a, A-1b, A-1c, A-2, B, C, D, and E notes from Ares XI CLO Ltd., a U.S. collateralized loan obligation (CLO) managed by Ares Management LLC. "Simultaneously, we removed the ratings on all classes of notes from CreditWatch, where we placed them with positive implications on June 18, 2012," S&P said. "The upgrades reflect improving credit support, primarily due to stronger credit quality of the assets and a lower level of defaults, since we lowered all of the ratings in March 2010 following the application of our September 2009 corporate collateralized debt obligation (CDO) criteria," S&P said. "As of the May 31, 2012, monthly report, the trustee reported that the transaction's portfolio had $22.36 million in 'CCC' rated assets, down from $65.33 million in the Feb. 4, 2010, monthly report, which we used for the March 2010 rating actions. When calculating the overcollateralization (O/C) ratios, the trustee haircuts from the O/C numerator a portion of the 'CCC' rated collateral that exceed the threshold specified in the transaction documents. This threshold has not breached in the time since our last rating action. Therefore, there is no haircut in the May 2012 O/C calculations as a result of this metric," S&P said. "Similarly, the amount of defaulted obligations held in the transaction's underlying portfolio declined during this period. According to the May 2012 trustee report, the transaction held $2.30 million in defaulted assets, down from $24.29 million in the February 2010 trustee report," S&P said. "Finally, the transaction's class A/B, C, D, and E O/C ratio tests have improved over the same period, and the weighted average spread has increased by 0.25%," S&P said. "Standard & Poor's notes that the transaction is currently passing its reinvestment O/C test. The transaction is structured such that failure of this test will, during the reinvestment period of the transaction, divert excess interest proceeds--equal to lesser of 66.00% of the available interest proceeds and the amount necessary to cure the test--to be deposit into the principal collection account for reinvestment. The transaction has not failed this test in the period since our March 2010 rating actions. Based on the May 2012 trustee report, the reinvestment O/C test result was 107.00%, compared with a required minimum of 104.81%," 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 Ares XI CLO Ltd. Rating Class To From A-1a AAA (sf) AA+ (sf)/Watch Pos A-1b AAA (sf) AA+ (sf)/Watch Pos A-1c AA+ (sf) AA- (sf)/Watch Pos A-2 AA+ (sf) AA- (sf)/Watch Pos B AA (sf) A- (sf)/Watch Pos C A (sf) BBB- (sf)/Watch Pos D BBB (sf) BB (sf)/Watch Pos E BB+ (sf) BB- (sf)/Watch Pos ARES XII: S&P Affirms 'BB' Rating on Class E Notes; Off Watch Pos ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class B notes from Ares XII Ltd., a U.S. collateralized loan obligation (CLO) managed by Ares Capital LLC. "Simultaneously, we affirmed our ratings on the class A, C, D, and E notes and removed all the ratings from CreditWatch with positive implications," S&P said. "The upgrade mainly reflects improvement in the credit quality of the assets in the transaction's underlying portfolio since our last rating action. The affirmations reflect sufficient credit support available to the notes at the current rating levels," S&P said. "The transaction is currently in its reinvestment period until November 2012. All principal proceeds from this transaction are currently being used to reinvest in new collateral," S&P said. "The improved performance of the underlying loans in Ares XII Ltd. since our March 2010 rating actions have benefited the CLO's rated notes. In particular, the amount of defaulted assets and 'CCC' rated obligations has decreased significantly. Based on the May 18, 2012, trustee report, which we referenced for the rating actions, the transaction contained $3.30 million of defaulted assets, down from the $27.39 million noted in the Jan. 15, 2010, trustee report, which we used for our last rating action on March 2010," S&P said. Standard & Poor's will continue to review whether, in its opinion, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Ares XII Ltd. Rating Class To From A AA+ (sf) AA+ (sf)/Watch Pos B AA+ (sf) AA (sf) /Watch Pos C A (sf) A (sf) /Watch Pos D BBB- (sf) BBB- (sf) /Watch Pos E BB (sf) BB (sf) /Watch Pos ARES XIX: Moody's Upgrades Rating on Class D Notes to 'Ba3' ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Ares XIX CLO, Ltd.: U.S.$19,000,000 Class A-2 Floating Rate Notes Due January 20, 2017, Upgraded to Aaa (sf); previously on September 15, 2011 Upgraded to Aa1 (sf); U.S.$15,500,000 Class B Deferrable Floating Rate Notes Due January 20, 2017, Upgraded to Aa1 (sf); previously on September 15, 2011 Upgraded to A2 (sf); U.S.$3,000,000 Class C-1 Floating Rate Notes Due January 20, 2017, Upgraded to Baa1 (sf); previously on September 15, 2011 Upgraded to Ba1 (sf); U.S.$8,000,000 Class C-2 Fixed Rate Notes Due January 20, 2017, Upgraded to Baa1 (sf); previously on September 15, 2011 Upgraded to Ba1 (sf); U.S.$9,000,000 Class D Floating Rate Notes Due January 20, 2017, Upgraded to Ba3 (sf); previously on September 15, 2011 Upgraded to B2 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in September 2011. Moody's notes that the Class A-1 Notes have been paid down by approximately $63.7 million or 45% since the last rating action. Based on the latest trustee report dated May 11, 2012, the Class A, Class B, Class C and Class D overcollateralization ratios are reported at 136.4%, 121.6%, 112.9% and 106.7%, respectively, versus August 2011 levels of 123.6%, 114.4%, 108.7% and 104.4%, respectively. The May 2012 trustee reported overcollateralization levels do not reflect deleveraging of the Class A-1 notes on the May 20, 2012 payment date. Additionally, Moody's notes that the underlying portfolio includes a number of investments in securities that mature after the maturity date of the notes. Based on the May 2012 trustee report, securities that mature after the maturity of the notes currently make up approximately 7.9% of the underlying portfolio. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $142.7 million, defaulted par of $4.2 million, a weighted average default probability of 17.03% (implying a WARF of 2838), a weighted average recovery rate upon default of 50.49%, and a diversity score of 46. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Ares XIX CLO, Ltd., issued in January 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using 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% (2270) Class A-1: 0 Class A-2: 0 Class B: +1 Class C-1: +2 Class C-2: +2 Class D: +1 Moody's Adjusted WARF + 20% (3406) Class A-1: 0 Class A-2: 0 Class B: -2 Class C-1: -2 Class C-2: -2 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 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. 3) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. ATTENTUS CDO III: S&P Lowers Ratings on 3 Classes to 'CC(sf)' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on five tranches and affirmed its rating on five other tranches from Attentus CDO III Ltd. "Simultaneously, we affirmed the ratings on eight tranches from Attentus CDO I Ltd. Both transactions are U.S. collateralized debt obligation (CDO) transactions collateralized mostly by trust preferred securities (TruPs) issued by mortgage REITs and structured finance (SF) assets," S&P said. "The rating actions reflect our recently updated 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. "The class A-1B note from Attentus CDO III is insured by Assured Guaranty Corp. ('AA-/NM'). For insured classes of notes, our rating is generally the higher of the rating on the insurer or the SPUR for the tranche. A SPUR is our opinion of the stand-alone creditworthiness of an obligation--that is, the capacity to pay debt service on a debt issue in accordance with its terms--without considering an otherwise applicable bond insurance policy," 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 Attentus CDO III Ltd. Rating Class To From A-2 B- (sf) B (sf) B CCC- (sf) CCC (sf) C-1 CC (sf) CCC- (sf) C-2 CC (sf) CCC- (sf) D CC (sf) CCC- (sf) RATINGS AFFIRMED Attentus CDO I Ltd. Class Rating A1 B- (sf) A2 CCC+ (sf) B CCC- (sf) C1 CCC- (sf) C2A CC (sf) C2B CC (sf) D CC (sf) E CC (sf) Attentus CDO III Ltd. Class Rating A-1A A+ (sf) A-1B AA- (sf) E-1 CC (sf) E-2 CC (sf) F CC (sf) BABSON CLO 2012-II: S&P Rates $18-Mil. Class D Notes 'BB(sf)' ------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Babson CLO Ltd. 2012-II/Babson CLO 2012-II LLC's $369.0 million floating- rate notes. The transaction is a cash flow collateralized loan obligation securitization of a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's assessment of: - The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes; - The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria; - The transaction's legal structure, which is expected to be bankruptcy remote; - The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans; - The asset manager's experienced management team. - 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 0.34%-11.57%. - The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS ASSIGNED Babson CLO Ltd. 2012-II/Babson CLO 2012-II LLC Class Rating Amount (mil. $) A-1 AAA(sf) 255.0 A-2 AA(sf) 42.0 B (deferrable) A(sf) 32.0 C (deferrable) BBB(sf) 22.0 D (deferrable) BB(sf) 18.0 Subordinated notes NR 37.85 NR-Not rated. BANC OF AMERICA 2003-1: Fitch Junks Rating on 3 Cert. Classes ------------------------------------------------------------- Fitch Ratings downgrades 3 classes of Banc of America Commercial Mortgage Inc. commercial mortgage pass-through certificates, series 2003-1. Downgrades reflect a slight increase in expected losses as a result of loans in special servicing. The Negative Outlooks reflect uncertainty related to the expected losses of several specially serviced loans coupled with the high concentration of near-term maturities and exposure to loans with refinance risk. As of the June 2012 distribution date, the pool's certificate balance has paid down 42.4% to $595.1 million from $1 billion at issuance. There are 71 remaining loans from the original 116 loans at issuance. Of the remaining loans, 18 loans (30.4%) have defeased. There are six specially serviced loans (11.3%) in the pool. Of the six loans, one loan (0.9%) is 30 days delinquent, two loans (1.2%) are real estate owned (REO) and three loans (9.2%) are current. The Emerald Square Mall is the largest loan in the pool and is the underlying collateral for the ES certificates. As of YE 2011, the Fitch stressed debt service coverage ratio (DSCR) for the A-note increased to 1.77 times (x) from 1.69x at issuance. The Fitch stressed DSCR for the whole loan increased to 1.27x from 1.21x at issuance. The DSCR has increased as a result of ongoing amortization payments which have reduced the balance of the whole loan by $22.7 million (15.7%). The mall was 95% occupied as of YE 2011 and continues to perform in line with occupancy at issuance. Fitch downgrades and assigns Recovery Estimates to the following classes as indicated: -- $6.5 million class M to 'CCCsf' from 'B-sf'; RE 100%; -- $5.2 million class N to 'CCsf' from 'CCCsf'; RE 80%; -- $3.9 million class O to 'Csf' from 'CCsf'; RE 0%; Fitch affirms the following classes and revises the Outlooks as indicated: -- $420.2 million class A-2 at 'AAAsf'; Outlook Stable; -- $34.9 million class B at 'AAAsf'; Outlook Stable; -- $12.9 million class C at 'AAAsf'; Outlook Stable; -- $24.5 million class D at 'AAAsf'; Outlook Stable; -- $11.6 million class E at 'AAAsf'; Outlook Stable; -- $11.6 million class F at 'AAAsf'; Outlook Stable; -- $11.6 million class G at 'AAAsf'; Outlook Negative from Stable; -- $10.3 million class H at 'AAsf'; Outlook Negative from Stable; -- $21.9 million class J at 'BBB-sf; Outlook Negative; -- $7.7 million class K at 'BBsf'; Outlook Negative; -- $6.5 million class L at 'Bsf'; Outlook Negative; -- $5.0 million class ES-A at 'AAsf'; Outlook Stable; -- $3.7 million class ES-B at 'AA-sf'; Outlook Stable; -- $4.0 million class ES-C at 'A+sf'; Outlook Stable; -- $4.2 million class ES-D at 'Asf'; Outlook Stable; -- $2.9 million class ES-E at 'A-sf'; Outlook Stable; -- $2.9 million class ES-F at 'BBB+sf'; Outlook Stable; -- $2.9 million class ES-G at 'BBBsf'; Outlook Stable; -- $8.9 million class ES-H at 'BBB-sf'; Outlook Stable; -- $1.1 million class SB-A at 'AAAsf'; Outlook Stable; -- $4.0 million class SB-B at 'AAAsf'; Outlook Stable; -- $9.3 million class SB-C at 'AAAsf'; Outlook Stable; -- $2.8 million class SB-D at 'AAAsf'; Outlook Stable; -- $6.2 million class SB-E at 'AAAsf'; Outlook Stable. Fitch does not rate classes P, WB-A, WB-B, WB-C and WB-D. Fitch has previously withdrawn the ratings of the interest only classes XP-1, XP-2 and XC. The SB certificates represent an interest in a subordinate note secured by the Sotheby's Building which is now fully defeased. The ES certificates represent an interest in a subordinate note secured by the Emerald Square Mall. BANC OF AMERICA 2005-5: Moody's Keeps C Ratings on 2 Cert Classes ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 16 classes of Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2005-5 as follows: Cl. A-3B, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-SB, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-M, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-J, Affirmed at Aa3 (sf); previously on Nov 3, 2010 Downgraded to Aa3 (sf) Cl. B, Affirmed at A3 (sf); previously on Nov 3, 2010 Downgraded to A3 (sf) Cl. C, Affirmed at Baa1 (sf); previously on Nov 3, 2010 Downgraded to Baa1 (sf) Cl. D, Affirmed at Baa3 (sf); previously on Nov 3, 2010 Downgraded to Baa3 (sf) Cl. E, Affirmed at Ba2 (sf); previously on Nov 3, 2010 Downgraded to Ba2 (sf) Cl. F, Affirmed at B2 (sf); previously on Nov 3, 2010 Downgraded to B2 (sf) Cl. G, Affirmed at Caa1 (sf); previously on Nov 3, 2010 Downgraded to Caa1 (sf) Cl. H, Affirmed at Ca (sf); previously on Nov 3, 2010 Downgraded to Ca (sf) Cl. J, Affirmed at C (sf); previously on Nov 3, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Nov 3, 2010 Downgraded to C (sf) Cl. XC, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. XP, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 5.2% of the current balance compared to 6.0% at last review. Realized losses have increased from 2.0% of the original balance to 2.8% since the prior review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 33 compared to 34 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated July 14, 2011. DEAL PERFORMANCE As of the June 11, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 26% to $1.45 billion from $1.96 billion at securitization. The Certificates are collateralized by 88 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 46% of the pool. Two loans, representing 2% of the pool, have defeased and are secured by U.S. Government securities. The pool contains one loan with and investment grade credit assessment, representing 4% of the pool. Fourteen loans, representing 16% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Six loans have been liquidated from the pool, resulting in an aggregate realized loss of $48.2 million (27% loss severity). Principal forgiveness from loan modifications have resulted in an additional $6.6 million in losses resulting in a total aggregate loss of $54.8 million. Currently five loans, representing 6% of the pool, are in special servicing. The largest specially serviced loan is the Thunder Hollow Apartments Loan ($33.5 million -- 2.3% of the pool), which is secured by a 301 unit, Class B+ multi- family residential complex consisting of 25 two-story buildings located in Bensalem, Pennsylvania. The property was 93% occupied as of March 2012, up from 78% at last review. The loan has been modified by the special servicer with a balance of $33.5 million, interest only payments, and an extension of the maturity date to June 2015. Once a lockbox is set up the loan will return to the Master Servicer. The second largest specially serviced loan is the i.park on Hudson Loan ($28.8 million -- 2.0% of the pool), which is secured by five mixed use buildings totaling 468,000 square feet (SF) located in Yonkers, New York. The loan transferred to special servicing in December 2011 due to imminent default. Kawasaki Rail Car has made on offer to purchase two of three buildings which it currently occupies (239,190 SF). The borrower has requested to prepay the loan in full (instead of defeasancing the loan) in order to effectuate the sale. The remaining three specially serviced properties are secured by a mix of property types. Moody's estimates an aggregate $18.8 million loss for the specially serviced loans (20% expected loss on average). Moody's has assumed a high default probability for four poorly performing loans representing 5% of the pool and has estimated an aggregate $14.3 million loss (20% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2011 operating results for 100% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 105% compared to 108% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 9% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.25%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.37X and 1.01X, respectively, compared to 1.40X and 0.99X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit assessment is the Torre Mayor Loan ($51.7 million -- 3.6% of the pool), which is secured by an 823,000 SF Class A office building located in Mexico City, Mexico. The collateral is the second tallest building in Latin America. The loan represents a 50% pari passu interest in a $103 million senior note. There is also a subordinate $18.8 million note held outside the trust. The property was 99% leased as of December 2011, the same at last review. However, approximately 51% of the net rentable area (NRA) expires in 2012 and 2013. Moody's net cash flow was stressed to incorporate the lease rollover risk. Moody's current credit estimate and stressed DSCR are A1 and 2.36X, respectively, compared to A1 and 2.52X at last review. The top three conduit loans represent 19% of the pool. The largest conduit loan is the Sotheby's Building Loan ($97.5 million -- 6.7% of the pool), which is secured by a 406,000 SF office building located in New York City. The loan represents a 48% pari passu interest in a $204.8 million loan. The property is 100% leased to Sotheby's (Moody's senior unsecured rating Ba3, stable outlook) through December 2022 with two, 10 year renewal options. Moody's utilized a Lit/Dark scenario in its analysis to account for the single tenant risk. Moody's LTV and stressed DSCR are 97% and 0.95X, respectively, compared to 98% and 0.94X at last review. The second largest conduit loan is the Fireman's Fund Loan ($88.8 million -- 6.1% of the pool), which is secured by a 710,000 SF office property located in Novato, California. The loan represents a 52% pari passu interest in a $169.4 million loan. The property is 100% leased to Fireman's Fund Insurance Company (Moody's insurance financial strength rating A2, stable outlook) through November 2018. Fireman's Fund occupied only 450,000 SF (64% of the NRA) at securitization with the rest of the space subleased. Moody's utilized a Lit/Dark scenario in its analysis to account for the single tenant risk. Moody's LTV and stressed DSCR are 107% and 0.99X, respectively, compared to 99% and 1.06X at last review. The third largest conduit loan is the Wateridge Office Park ($87.8 million -- 6.1% of the pool), which is secured by a 512,000 SF office property located in Los Angeles, California. Occupancy at the property had dropped from 94% in January 2011 to 69% in December 2011. However, as of March 2012 leasing is back up to 80% as new leases have been signed at or near market rental rates. Moody's analysis incorporates the revenue from the new leases and stabilization at market occupancy. Moody's LTV and stressed DSCR are 121% and 0.82X, respectively, compared to 118% and 0.85X at last review. BEAR STEARNS 2005-TOP18: Moody's Cuts Rating on H Secs. to 'Caa1' ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of two and affirmed 16 classes of Bear Stearns Commercial Mortgage Securities Trust Commercial Mortgage Pass-Through Certificates, Series 2005- TOP18 as follows: Cl. A-AB, Affirmed at Aaa (sf); previously on May 3, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on May 3, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-4FL, Affirmed at Aaa (sf); previously on May 3, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed at Aa2 (sf); previously on Oct 15, 2009 Downgraded to Aa2 (sf) Cl. B, Affirmed at A2 (sf); previously on Oct 15, 2009 Downgraded to A2 (sf) Cl. C, Affirmed at A3 (sf); previously on Oct 15, 2009 Downgraded to A3 (sf) Cl. D, Affirmed at Baa2 (sf); previously on Oct 15, 2009 Downgraded to Baa2 (sf) Cl. E, Affirmed at Baa3 (sf); previously on Oct 15, 2009 Downgraded to Baa3 (sf) Cl. F, Affirmed at Ba1 (sf); previously on Oct 15, 2009 Downgraded to Ba1 (sf) Cl. G, Downgraded to B3 (sf); previously on Feb 16, 2011 Downgraded to B1 (sf) Cl. H, Downgraded to Caa1 (sf); previously on Feb 16, 2011 Downgraded to B3 (sf) Cl. J, Affirmed at Caa2 (sf); previously on Feb 16, 2011 Downgraded to Caa2 (sf) Cl. K, Affirmed at Caa3 (sf); previously on Feb 16, 2011 Downgraded to Caa3 (sf) Cl. L, Affirmed at Ca (sf); previously on Feb 16, 2011 Downgraded to Ca (sf) Cl. M, Affirmed at C (sf); previously on Feb 16, 2011 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Oct 15, 2009 Downgraded to C (sf) Cl. O, Affirmed at C (sf); previously on Oct 15, 2009 Downgraded to C (sf) Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The downgrades are due to concerns regarding potential increases in interest shortfalls. In April 2011 interest shortfalls spiked to Class F but were paid down in May and June from proceeds from liquidated loans. Interest shortfalls currently affect Classes O through H. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 3.2% of the current balance compared to 3.7% at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 28 compared to 31 at Moody's prior full review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated September 29, 2011. DEAL PERFORMANCE As of the June 13, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 26% to $834.4 million from $1.12 billion at securitization. The Certificates are collateralized by 134 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 46% of the pool. Five loans, representing 4% of the pool, have defeased and are collateralized with U.S. Government securities. At last review the pool contained two defeased loans representing 0.5% of the pool. Four loans, representing 15% of the pool, have investment grade credit assessments. Twenty loans, representing 11% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eleven loans have been liquidated from the pool since securitization, resulting in an aggregate $8.0 million loss (6% loss severity on average). Currently six loans, representing 3% of the pool, are in special servicing. The master servicer has recognized an aggregate $12.8 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate loss of $11.6 million (50% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for nine poorly performing loans representing 4% of the pool and has estimated a $5.6 million loss (16% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2010 and partial year 2011 operating results for 98% and 85% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 81%, essentially the same at last full review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.67X and 1.34X, respectively, compared to 1.74X and 1.32X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit assessment is the 111-115 Fifth Avenue Loan ($75.0 million -- 9.0%), which is secured by two contiguous office/retail buildings totaling 582,600 square feet (SF) located in the Flatiron District of New York City. Based on the leasable area, the office component represents 80% of the property and retail represents 20%. The property is primarily tenanted by high-end textile and home furnishing companies. The largest tenant is Perkins Eastman, an architecture and design firm, which leases 14% of the net rentable area (NRA) through May 2018. The property was 97% leased as of December 2011, same as at last review. Performance has improved due to rent steps. Moody's current credit assessment and stressed DSCR are Aa1 and 2.29X, respectively, compared to Aa3 and 1.96X at last review. The second loan with a credit assessment is the Capitol Arms Apartment Loan ($27.5 million -- 3.3%), which is secured by a 278- unit apartment tower located in the Midtown West / Times Square districts of New York City. Occupancy was 95% as of May 2012 compared to 99% at last review. The decrease in occupancy was offset by an increase in rents. Performance is stable. Moody's current credit assessment and stressed DSCR are Aa2 and 1.82X, respectively, compared to Aa2 and 1.61X at last review. The third loan with a credit assessment is the 340 East 93rd Street Co-op Loan ($15.0 million -- 1.8%) is secured by a 358-unit residential co-op located in New York City. Performance is stable. Moody's current credit assessment and stressed DSCR are Aaa and 3.97X, respectively, compared to Aaa and 4.05X at last review. The fourth loan with a credit assessment is the 3200 Liberty Avenue Loan ($6.6 million -- 0.8%) is secured by a 212,600 SF warehouse/flex space building located in North Bergen, New Jersey. The property was 86% occupied as of December 2011 compared to 100% at last review. Moody's current credit assessment and stressed DSCR are Baa3 and 1.44X, respectively, compared to Baa3 and 1.42X at last review. The top three performing conduit loans represent 23% of the pool balance. The largest loan is the 95-97 Horatio Street Apartment Loan ($85.0 million -- 10.2%), which is secured by a 325-unit multi-family complex located in the West Village neighborhood of New York City. The property was 96% leased as of December 2011 compared to 98% at last review. Performance has declined due to a drop in occupancy and rents along with an increase in real estate taxes and operating expenses. Moody's LTV and stressed DSCR are 90% and 0.96X, respectively, compared to 86% and 1.07X at last review. The second largest loan is the Waikele Center Loan ($63.3 million -- 7.6%), which represents a 45% pari passu interest in a $140.7 million loan. The collateral is a 521,332 SF community shopping center located in Waipahu, Hawaii. The property was 91% leased as of December 2011, the same as last review. Moody's LTV and stressed DSCR are 84% and 1.09X, respectively, compared to 88% and 1.07X at last review. The third largest loan is the Janus World Headquarters Loan ($35.0 million -- 4.2%), which is secured by a 160,000 SF office property located in Denver, Colorado. The property is 99% leased to Janus Capital group through January 2019. Moody's has stressed the cash flow to reflect the risk due to the single tenant lease exposure. Moody's LTV and stressed DSCR are 100% and 0.94X, respectively, compared to 82% and 1.16X at last review. BEAR STEARNS 2006-BBA7: Fitch Keeps 'CCC' Rating on $9.6MM Certs. ----------------------------------------------------------------- Fitch Ratings has affirmed Bear Stearns Commercial Mortgage Securities, Inc. commercial mortgage pass-through certificates, series 2006-BBA7. The affirmations are the result of performance of the remaining loan, the Citigroup Property Investors Hilton Portfolio (CPI) loan, being stable to Fitch's expectations. Fitch analyzed servicer reported operating statements, updated performance statistics, and the performance of the loan under the modification. The CPI interest-only loan was originally collateralized by four Hilton Garden Inns and one Homewood Suites, with a total of 955 rooms. One property, the Hilton Garden Inn Chicago (Hoffman Estates, IL) was released, which reduced the outstanding loan balance by $6.98 million and the total number of rooms to 771. The remaining four properties are located primarily in suburban markets, in or near Atlanta, Denver, Orlando and San Francisco. The loan transferred to special servicing in July 2009 due to imminent default. The special servicer modified the loan and returned it to the master servicer and the loan remains current on debt service payments. The terms of the modification include a maturity extension through Dec. 31, 2012 with a one-year extension option, a short-term extension option and a two-year option, with a new final maturity of March 12, 2016. The modification also included new Preferred Equity of $2.3 million, provisions for an additional $1.5 million in Preferred Equity during the term if extended, continued principal and interest payments to the senior debt, modification to the mezzanine debt including extensions for the senior debt and interest-only payments including the ability to defer interest to the senior debt. In addition, all fees were paid by the borrower and no interest shortfalls were incurred by the trust. Per the March 2012 performance data, the properties' (excluding the Hoffman Estates property) combined occupancy, ADR and RevPAR were 76.8%, $95.7, and $73.5, respectively, which compares to 77.3%, $92.1, and $71.3 at Fitch's last review. At issuance, the combined occupancy, ADR and RevPAR were 72.5%, $95.50 and $67.06, respectively. Although net operating income (NOI) has declined since issuance, as of year-end 2011 the servicer reported NOI improved 46.7% since year-end 2009. Fitch affirms the ratings and Outlooks of the following classes: -- $12.4 million class H at 'Asf'; Outlook Stable; -- $8.8 million class J at 'BBsf'; Outlook Stable; -- $9.6 million class K at 'CCCsf'; RE 95%. Classes A-1 through G, and X-1A and X-2 have paid in full. Classes X-1B and X-3 were previously withdrawn. BEAR STEARNS 2006-PWR12: Moody's Cuts Ratings on 2 Certs. to 'C' ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of eight classes and affirmed seven classes of Bear Stearns Commercial Mortgage Securities, Commercial Mortgage Pass-Through Certificates, Series 2006-PWR12 as follows: Cl. A-3, Affirmed at Aaa (sf); previously on Jun 26, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed at Aaa (sf); previously on Jun 26, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Jun 26, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Jun 26, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-M, Affirmed at Aaa (sf); previously on Dec 17, 2010 Confirmed at Aaa (sf) Cl. A-J, Downgraded to Baa3 (sf); previously on Dec 17, 2010 Downgraded to A3 (sf) Cl. B, Downgraded to Ba2 (sf); previously on Dec 17, 2010 Downgraded to Baa2 (sf) Cl. C, Downgraded to B1 (sf); previously on Aug 11, 2011 Downgraded to Ba1 (sf) Cl. D, Downgraded to Caa1 (sf); previously on Aug 11, 2011 Downgraded to B1 (sf) Cl. E, Downgraded to Caa3 (sf); previously on Aug 11, 2011 Downgraded to B3 (sf) Cl. F, Downgraded to Ca (sf); previously on Dec 17, 2010 Downgraded to Caa2 (sf) Cl. G, Downgraded to C (sf); previously on Dec 17, 2010 Downgraded to Caa3 (sf) Cl. H, Downgraded to C (sf); previously on Dec 17, 2010 Downgraded to Ca (sf) Cl. J, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The downgrades are due to higher than anticipated realized losses from specially serviced loans. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 7.0% of the current balance, the same as at last review. Realized losses have increased from 1.1% of the original balance to 2.8% since the prior review. Moody's provides a current list of base losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 43 compared to 46 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated August 11. 2011. DEAL PERFORMANCE As of the June 11, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 13% to $1.81 billion from $2.08 billion at securitization. The Certificates are collateralized by 196 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 35% of the pool. One loan, representing 1% of the pool, has defeased and is secured by U.S. Government securities. Seventy-seven loans, representing 36% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eleven loans have been liquidated from the pool, resulting in an aggregate realized loss of $59.06 million (59% loss severity on average). Thirteen loans, representing 8% of the pool, are currently in special servicing. The largest specially serviced loan is the Tower at Erieview ($42.4 million -- 2.3% of the pool), which is secured by a 703,205 square foot (SF) office building located in Cleveland, Ohio. There is also $8.6 million in mezzanine debt. The loan transferred to special servicing for the second time since securitization in May 2010 due to imminent payment default. The loan was previously delinquent from November 2008 to August 2009, at which point the delinquency was cured by the borrower. The special servicer indicated that an offer to purchase the note was received from the Mezzanine Lender and the sale completed in June 2012. The remaining twelve specially serviced properties are secured by a mix of property types. Moody's estimates an aggregate $61.9 million loss for the specially serviced loans (47% expected loss on average). Moody's has assumed a high default probability for 24 poorly performing loans representing 11% of the pool and has estimated an aggregate $33.3 million loss (17% expected loss on average) from these troubled loans. Moody's was provided with full and/or partial year 2011 operating results for 95% of the pool's non-specially serviced and non- defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 98% compared to 102% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.35X and 1.06X, respectively, compared to 1.33X and 1.00X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 21% of the pool. The largest loan is the 1675 Broadway Loan ($153.1 million -- 8.4% of the pool), which is secured by a leasehold interest in a 761,092 SF office building located in the Midtown Manhattan submarket of New York City. The property is also encumbered by a $25.0 million B-Note. The building is leased to three tenants -- The MacManus Group (56% of the NRA; lease expiration January 2021), Mayer Brown LLP (33% of the NRA; lease expiration August 2015) and ARENT Fox, PPLC (11% of the NRA; lease expiration June 2018). After the conclusion of a five year interest only period, the loan began amortizing in July 2011. The property's 2011 cash flow increased due to increase in base rent and the MacManus Group leasing additional space in August 2010. Moody's LTV and stressed DSCR are 66% and 1.48X, respectively, compared to 86% and 1.14X at last review. The second largest loan is the Woodland Mall Loan ($149.9 million -- 8.3% of the pool), which is secured by a 1.1 million SF mall located in Grand Rapids, Michigan. The collateral consists of 397,897 SF of in-line tenant space. Excluded from the collateral are shadow anchors, including Sears, JC Penney, Macy's and Kohl's. As of April 2012 the property was 91% leased, the same as last review. The loan is sponsored by PREIT. Leases accounting for 12% of the collateral's NRA expire within the next 24 months. The property is currently on the master servicer's watchlist due to low DSCR. Moody's LTV and stressed DSCR are 117% and 0.81X, respectively, compared to 114% and 0.80X at last review. The third largest loan is the Orange Plaza Loan ($85.3 million -- 4.7% of the pool), which is secured by a 765,390 SF regional power center in Middletown, New York. Major tenant includes Wal-Mart (30% of the NRA; lease expiration April 23, 2022), Home Depot (15% of the NRA; lease expiration January 31, 2015) and Kohl's (12% of the NRA; lease expiration January 28, 2023). Leases accounting for 11% of the center's NRA expire within the next 24 months. Moody's LTV and stressed DSCR are 105% and 0.87X, respectively, compared to 109% and 0.84X at last review. BEAR STEARNS 2006-TOP22: Moody's Cuts Ratings on 2 Certs. to 'C' ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of nine classes and affirmed 11 classes of Bear Stearns Commercial Mortgage Securities Trust, Series 2006-TOP22 as follows: Cl. A-3, Affirmed at Aaa (sf); previously on Apr 24, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed at Aaa (sf); previously on Apr 24, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Apr 24, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Apr 24, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-M, Affirmed at Aaa (sf); previously on Apr 24, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed at Aa3 (sf); previously on Feb 9, 2009 Downgraded to Aa3 (sf) Cl. B, Affirmed at A3 (sf); previously on Dec 17, 2010 Downgraded to A3 (sf) Cl. C, Affirmed at Baa1 (sf); previously on Dec 17, 2010 Downgraded to Baa1 (sf) Cl. D, Affirmed at Ba1 (sf); previously on Dec 17, 2010 Downgraded to Ba1 (sf) Cl. E, Downgraded to B1 (sf); previously on Dec 17, 2010 Downgraded to Ba2 (sf) Cl. F, Downgraded to B2 (sf); previously on Dec 17, 2010 Downgraded to Ba3 (sf) Cl. G, Downgraded to Caa1 (sf); previously on Dec 17, 2010 Downgraded to B2 (sf) Cl. H, Downgraded to Caa2 (sf); previously on Dec 17, 2010 Downgraded to B3 (sf) Cl. J, Downgraded to Caa3 (sf); previously on Dec 17, 2010 Downgraded to Caa1 (sf) Cl. K, Downgraded to Caa3 (sf); previously on Dec 17, 2010 Downgraded to Caa2 (sf) Cl. L, Downgraded to Ca (sf); previously on Dec 17, 2010 Downgraded to Caa3 (sf) Cl. M, Downgraded to C (sf); previously on Dec 17, 2010 Downgraded to Ca (sf) Cl. N, Downgraded to C (sf); previously on Dec 17, 2010 Downgraded to Ca (sf) Cl. O, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The downgrades are due to an increase in realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 4.5% of the current balance, compared to 3% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an estimate of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. The conduit model includes a IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 57, compared to 82 at last review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R)(Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. DEAL PERFORMANCE As of the June 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 23% to $1.32 billion from $1.7 billion at securitization. The transaction's aggregate certificate balance has decreased by 4% to $1.32 billion from $1.38 billion at last review. The Certificates are collateralized by 199 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten representing 29% of the pool. The pool contains eight loans with investment grade credit assessments, representing 12% of the pool. There are 60 loans, representing 26% of the pool, on the Master Servicer's Watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nine loans have been liquidated from the pool, resulting in an aggregate $6.2 million loss (13% loss severity overall). Six loans, representing 3% of the pool are in special servicing. The largest specially serviced loan is Killian Hill Center ($14 million -- 1.1 % of the pool), which is secured by a retail property located in Lilburn, Georgia. The loan transferred to the special servicer in November 2011 due to imminent default. The second largest specially serviced loan is Desert Square ($6.7 million - 0.5% of the pool), which is secured by an anchored retail center in Tucson, Arizona. The loan transferred to special servicing in February of 2012 for payment default. The servicer has recognized an aggregate $11.3 million appraisal reduction for four specially serviced loans, while Moody's has estimated an aggregate $16.5 million loss for all of the specially serviced loans. Moody's identified an additional 12 loans ($100 million -- 7.6%) that have a high default probability and has recognized an aggregate $16.1 million loss (16.2% expected loss on average). Moody's was provided with full year 2010 and full or partial year 2011 operating results for 95% and 82% of the pool, respectively. Excluding specially serviced, troubled and defeased loans, Moody's weighted average LTV is 87% compared to 97% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Excluding special serviced, troubled and defeased loans, Moody's actual and stressed DSCRs are 1.63X and 1.28X, respectively, compared to 1.51X and 1.16X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit assessment is the Chesterbrook/Glenhardie Portfolio ($120 million -- 9.1% of the pool), which is secured by 17 office properties located in suburban Philadelphia, Pensylvania. Occupancy as of year end 2011 was 83% compared to 88% as of September 2010 and 90% in December 2009. Moody's credit assessment and stressed DSCR are Baa1 and 1.53X, respectively, compared to Baa1 and 1.55X at prior review. The second largest loan with a credit assessment is Oak Ridge Estates Loan ($11 million -- 1.0% of the pool), which is secured by a manufactured housing community in Monroe, Michigan. Occupancy as of March 2011 was 97%, the same as at last review. Performance has been stable. Moody's credit assessment and stressed DSCR are A3 and 1.61X, respectively, the same as last review. The top three performing conduit loans represent 9% of the pool. The largest conduit loan is the Mervyn's Portfolio ($52.6 million - 4.0% of the pool), which was originally a portfolio of 25 Mervyns stores located in California and Texas. Meryvns vacated all properties following its bankruptcy and the portfolio was 60% occupied by new tenants as of December 2012. The loan matures in approximately four months. Moody's has identified this as a troubled loan due to its poor performance and near term maturity. The second largest loan is the Olympic Plaza Loan ($36 million -- 2.8% of the pool), which is secured by a 244,448 square foot (SF) Class B office building located in Los Angeles. The property was 81% occupied as of March 2012 compared to 92% as of March 2011. Performance declined slightly in 2011 compared to 2010 due to decreased occupancy. Moody's LTV and stressed DSCR are 75% and 1.31X, respectively, compared to 73% and 1.32X at last review. The third largest loan is 234 West 48th Street Loan ($30 million - - 2.3% of the pool), which is secured by the fee interest in the land currently occupied by a Best Western Hotel located in Manhattan's Times Square. The hotel contains 332 guest rooms. Performance has been stable. Moody's LTV and stressed DSCR are 94% and 0.8X, respectively, the same as at last review. BLUEMOUNTAIN CLO III: S&P Raises Rating on Class E Notes to 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1a, A-1b, A-2, B, C, D, and E notes from BlueMountain CLO III Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by BlueMountain Capital Management L.P. "The upgrades primarily reflect improved performance of the transaction's underlying asset portfolio since April 2010, when we downgraded six of the notes following the application of our September 2009 corporate collateralized debt obligation (CDO) criteria," S&P said. "As of the June 2012 trustee report, the transaction had $4.35 million of defaulted assets. This was down from the $19.68 million we referenced for our April 2010 rating actions. Furthermore, assets from obligors rated in the 'CCC' category were reported at $19.85 million in June 2012, down significantly from the $40.89 million we referenced in our last rating action," S&P said. The upgrades also reflect rises in the overcollateralization (O/C) available to support the notes since the April 2010 rating actions. The trustee reported these O/C ratios in the June 2012 monthly report: - The class A/B O/C ratio was 128.02%, compared with a referenced ratio of 125.14% in April 2010; - The class C O/C ratio was 117.91%, compared with a referenced ratio of 115.26%; - The class D O/C ratio was 111.80%, compared with a referenced ratio of 109.28%; and - The class E O/C ratio was 106.06%, compared with a referenced ratio of 103.67%. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS BlueMountain CLO III Ltd. Rating Class To From A-1a AAA (sf) AA+ (sf) A-1b AAA (sf) AA+ (sf) A-2 AAA (sf) AA+ (sf) B AA (sf) A+ (sf) C A (sf) BBB+ (sf) D BBB (sf) BB+ (sf) E BB (sf) CCC+ (sf) TRANSACTION INFORMATION Issuer: BlueMountain CLO III Ltd. Co-issuer: BlueMountain CLO III Inc. Collateral manager: BlueMountain Capital Management L.P. Underwriter: Deutsche Bank Securities Inc. Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO CABELA'S CREDIT: Fitch Rates $13.75-Mil. Class D Notes 'BB+sf' -------------------------------------------------------------- Fitch Ratings assigns the following ratings and Outlooks to Cabela's Credit Card Master Note Trust's asset-backed notes, series 2012-II: -- $300,000,000 class A-1 fixed-rate 'AAAsf'; Outlook Stable; -- $125,000,000 class A-2 floating-rate 'AAAsf'; Outlook Stable; -- $40,000,000 class B fixed-rate 'A+sf'; Outlook Stable; -- $21,250,000 class C fixed-rate 'BBB+sf'; Outlook Stable; -- $13,750,000 class D fixed-rate 'BB+sf'; Outlook Stable. Fitch's ratings are based on the underlying receivables pool, available credit enhancement, World's Foremost Bank's underwriting and servicing capabilities, and the transaction's legal and cash flow structures, which employ early redemption triggers. CAPITAL LEASE: Stable Performance Cues Fitch to Affirm Ratings -------------------------------------------------------------- Fitch Ratings has affirmed the three remaining rated classes of Capital Lease Funding Securitization, L.P., Series 1997-CTL-1 corporate credit backed pass-through securities. The affirmations reflect stable overall pool performance due to amortization which mitigates the highly concentrated pool with nine loans remaining. Currently, 77.2% of the underlying credit tenants are considered below investment grade by Fitch, compared with 75.4% at the previous review and 30.4% at issuance. One tenant, RadioShack Corp., experienced a downgrade of their Issuer Default Rating (IDR) since the last review. The pool's tenants consist of RadioShack Corp. (43.0% of the pool; rated 'B-' with a Stable Outlook as of May 2012), Rite Aid Corp. (34.2%; rated 'B-' with a Stable Outlook as May 2012), Delhaize America Inc. (8.7%; rated investment grade), Walgreen Co. (8.4%; rated investment grade), CVS Caremark Corporation (5.7%; rated 'BBB+' with a Stable Outlook as of December 2011). As of the June 2012 distribution, the pool balance has been reduced by 92.4% to $9.7 million from $129.4 million at issuance. Due to the nature of credit tenant leases, the master servicer does not provide updated financial reporting on a regular basis for a majority of the loans in the pool. Fitch assumed net operating income (NOI) consistent with 1.00x debt service coverage on an actual basis for loans without recently reported financials. Fitch applied an adjusted market capitalization rate to determine value. The loans also underwent a refinance test based on a comparison of the stressed cash flow of each loan relative to a hypothetical debt service amount (calculated using an 8% interest rate and 30-year amortization schedule). Fitch modeled losses of approximately 2.52% of the remaining pool balance, most of which is attributable to Fitch's modeled performing loan stress. Fitch affirms the following classes and Outlooks: -- $5.9 million class D at 'B-sf'; Outlook Negative; -- $3.9 million class E at 'Dsf'; RE90. Classes A-1, A-2, A-3,B, and C have repaid in full. Classes F and G, which remain at 'D', have been reduced to zero due to realized losses. Fitch previously withdrew its rating on the interest-only class IO. CARLYLE GLOBAL 2012-2: S&P Rates $23-Mil. Class E Notes 'BB' ------------------------------------------------------------ Standard & Poor's Ratings Services assigned its ratings to Carlyle Global Market Strategies CLO 2012-2 Ltd./Carlyle Global Market Strategies CLO 2012-2 Corp.'s $462.5 million fixed- and floating- rate notes. The note issuance is 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 (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 the ratings agency assessed using S&P's cash flow analysis and assumptions commensurate with the assigned ratings under various interest rate scenarios, including LIBOR ranging from 0.34%-11.57%. - 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 termination payments; portfolio manager incentive fees; and subordinated note payments to principal proceeds for the purchase of additional collateral assets during the reinvestment period and to reduce the balance of the rated notes outstanding, sequentially, after 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 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 Carlyle Global Market Strategies CLO 2012-2 Ltd./Carlyle Global Market Strategies CLO 2012-2 Corp. Class Rating Amount (mil. $) A-1 AAA (sf) 310.0 A-2 AAA (sf) 13.0 B-1 AA (sf) 35.0 B-2 AA (sf) 20.0 C-1 (deferrable) A (sf) 30.0 C-2 (deferrable) A (sf) 7.5 D (deferrable) BBB (sf) 24.0 E (deferrable) BB (sf) 23.0 Subordinated notes NR 47.5 NR-Not rated. CENTERLINE 2007-1: S&P Lowers Rating on Class B Debt to 'D' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'D (sf)' from 'CC (sf)' on class B from Centerline 2007-1 Resecuritization Trust (Centerline 2007-1), a U.S. commercial real estate collateralized debt obligation (CRE CDO) transaction. The downgrade reflects principal losses of $9.2 million sustained by class B that have reduced the principal balance of class B to $26.5 million from $35.7 million at issuance. The principal losses are due to principal losses on the underlying commercial mortgage-backed securities (CMBS) collateral, per the June 20, 2012, trustee report, as well as the application of principal proceeds to the hedge counterparty. According to the June 20, 2012, remittance report, Centerline 2007-1 was collateralized by 50 CMBS and three resecuritized real estate mortgage investment conduit (re-REMIC) certificates ($353.0 million, 100%) from 13 distinct transactions issued between 2000 and 2007. RATING LOWERED Centerline 2007-1 Resecuritization Trust Rating Class To From B D (sf) CC (sf) CENTURION CDO: Moody's Upgrades Rating on Class B Notes From Ba3 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Centurion CDO IV Limited: U.S.$190,000,000 Guaranteed Class A Floating Rate Notes Due March 1, 2016 (current outstanding balance of $10,554,741), Upgraded to Aaa (sf); previously on December 22, 2011 Upgraded to Aa1 (sf); U.S.$15,000,000 Class B Floating Rate Notes Due March 1, 2016, Upgraded to Baa3 (sf); previously on July 13, 2011 Upgraded to Ba3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in December 2011. Moody's notes that the Class A Notes have been paid down by approximately 65% or $19.4 million since the last rating action. Based on the latest trustee report dated May 10, 2012, the Class A and Class B overcollateralization ratios are reported at 424.39% and 175.29%, respectively, versus November 2011 levels of 230.55% and 153.57%, respectively. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $34.6 million, defaulted par of $32.2 million (including $9million of Ca/C-rated structured finance securities assumed to be defaulted in Moody's analysis), a weighted average default probability of 18.9% (implying a WARF of 3317), a weighted average recovery rate upon default of 25%, and a diversity score of 20. 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 CBO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Centurion CDO IV Limited, issued in March 2001, is a collateralized bond obligation backed primarily by a portfolio of senior unsecured bonds and some structured finance assets. 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% (2654) Class A: +0 Class B: +2 Class C-1: +0 Class C-2: +0 Moody's Adjusted WARF + 20% (3981) Class A: -0 Class B: -1 Class C-1: -0 Class C-2: -0 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. CBO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CBO 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 [bond/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) Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors that are rated non investment grade, especially when they experience a jump to default. In particular, the current portfolio is significantly exposed to two structured finance assets rated Ca and C, respectively. Due to the deal's lack of granularity, the expected losses on the various rated tranches can be very sensitive to the default probability and recovery rate assumptions for these two assets. In consideration of this uncertainty, Moody's supplemented its typical Binomial Expansion Technique analysis with individual scenario analysis. CHRYSLER FINC'L 2008-B: DBRS Discontinues Ratings on Securities --------------------------------------------------------------- DBRS, Inc. has discontinued its ratings on the Chrysler Financial Auto Securitization Trust 2008-B. The follow ratings have been discontinued due to repayment of the noteholders: -- Class A-1 previously rated R-1(high)(sf) are now rated Disc- Repaid -- Class A-2a previously rated AAA (sf) are now rated Disc-Repaid -- Class A-2b previously rated AAA (sf) are now rated Disc-Repaid -- Class A-3a previously rated AAA (sf) are now rated Disc-Repaid -- Class A-3b previously rated AAA (sf) are now rated Disc-Repaid -- Class A-4a previously rated AAA (sf) are now rated Disc-Repaid -- Class A-4b previously rated AAA (sf) are now rated Disc-Repaid -- Class B previously rated BBB (sf) are now rated Disc-Repaid -- Class C previously rated BB (sf) are now rated Disc-Repaid CITIGROUP MORTGAGE: Moody's Cuts Rating on Cl. A-3A RMBS to 'Ca' ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating on Cl. A-3A to Ca (sf) from Caa2 (sf). Issuer: Citigroup Mortgage Loan Trust 2007-AMC2 Cl. A-3A, Downgraded to Ca (sf); previously on Apr 6, 2010 Confirmed at Caa2 (sf) Ratings Rationale The action reflects the principal waterfall priorities based on mezzanine writedowns. Cl. A-3A is a front pay senior, where full receipt of principal is dependent on the timing of losses and principal payments in the transaction, not just the size of the collateral loss. Cl. A-3A has been receiving all principal payments from its related collateral group. However, when the last supporting mezzanine tranche is fully written down due to collateral losses, the tranche will pay pro rata with other outstanding senior tranches in their group. 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. Moody's adjusts the methodologies noted above for Moody's current view on 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. To assess the rating implications of the updated loss levels on subprime RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to extended foreclosure timelines by servicers is taken into consideration when assigning ratings. The primary source of assumption uncertainty is the 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. A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF290159 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/researchdocumentcontentpage.aspx?docid=PBS_SF198689 COMM 2001-J2: Moody's Affirms Rating on Cl. H Securities at 'Ca' ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 13 CMBS classes of COMM 2001-J2 Commercial Pass-Through Certificates as follows: Cl. A-2, Affirmed at Aaa (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Cl. A-2F, Affirmed at Aaa (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Sep 1, 2011 Downgraded to Aa2 (sf) Cl. C, Affirmed at Aa3 (sf); previously on Sep 1, 2011 Downgraded to Aa3 (sf) Cl. D, Affirmed at A3 (sf); previously on Sep 1, 2011 Downgraded to A3 (sf) Cl. E, Affirmed at Baa2 (sf); previously on Sep 1, 2011 Downgraded to Baa2 (sf) Cl. E-CS, Affirmed at Baa2 (sf); previously on Sep 1, 2011 Downgraded to Baa2 (sf) Cl. E-IO, Affirmed at Baa2 (sf); previously on Sep 1, 2011 Downgraded to Baa2 (sf) Cl. F, Affirmed at Baa3 (sf); previously on Sep 1, 2011 Downgraded to Baa3 (sf) Cl. G, Affirmed at B2 (sf); previously on Sep 1, 2011 Downgraded to B2 (sf) Cl. H, Affirmed at Ca (sf); previously on Sep 1, 2011 Downgraded to Ca (sf) Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. XC, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale Moody's ratings recognize the likelihood of interruptions in the timely payment of certificate interest due to future interest shortfalls that are expected to affect certificate Classes B through H as well as Moody's projection of expected loss. As of the June 18, 2012 Payment Date, cumulative interest shortfalls total approximately $2.2 million affecting Classes F and G. Special servicer workout fees are expected to increase due to interest accruals on prior shortfalls; additional workout fees based on 1% of the monthly principal and interest payments on the two remaining loans, the Willowbrook Mall loan and the AT&T Building loan; and workout fees equal to 1% of the unpaid principal balance of each loan at the time of loan payoff. The timing of future interest shortfalls partially depends on when the Willowbrook Mall loan pays off. Both loans mature in 2016. The defeased AT&T Building loan cannot be prepaid until three months prior to the maturity date. The Willowbrook Mall loan, that had an original maturity date in 2011 and was extended to 2016 as part of the General Growth Properties (GGP) bankruptcy plan, can be prepaid at any time. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based Large Loan Model v 8.4. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. The model incorporates the CMBS IO calculator ver1.0 that uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of e610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and Remittance Statements. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated September 1, 2011. DEAL AND PERFORMANCE SUMMARY As of the June 18, 2012 Payment Date, the deal's aggregate certificate balance has decreased by 77% to $342.0 million from $1.5 billion at securitization. The Certificates are collateralized by two loans. The largest loan in the pool, the AT&T Building loan ($193.1 million -- 56% of the pool balance) is fully defeased and is secured by U.S. Government securities. The second loan is the Willowbrook Mall loan ($148.9 million -- 44% of the pool balance) that is secured by approximately 500,000 square feet of mall shop space in a 1.5 million square foot regional mall located in Wayne, New Jersey. Willowbrook Mall is anchored by Macy's, Bloomingdales, Lord & Taylor and Sears. As of March 2012 rent roll the in-line space was approximately 96% leased. Moody's LTV is 43.5% and stressed DSCR is 2.05X. Neither loan in the trust is on the servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Financial Council (CREFC; formerly the Commercial Mortgage Securities Association) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Neither loan is in special servicing. COMMERCIAL MORTGAGE: Moody's Cuts Rating on Cl. F Certs. to 'B3' ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of three classes, confirmed one class and affirmed seven classes of Commercial Mortgage Asset Trust , Commercial Mortgage Pass-Through Certificates, Series 1999-C1 as follows: Cl. A-4, Affirmed at Aaa (sf); previously on Mar 25, 1999 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Jul 8, 2004 Upgraded to Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Jul 20, 2006 Upgraded to Aaa (sf) Cl. D, Downgraded to A1 (sf); previously on Apr 11, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. E, Downgraded to Baa3 (sf); previously on Apr 11, 2012 Downgraded to A2 (sf) and Placed Under Review for Possible Downgrade Cl. F, Downgraded to B3 (sf); previously on Apr 11, 2012 Downgraded to Ba2 (sf) and Placed Under Review for Possible Downgrade Cl. G, Affirmed at Caa3 (sf); previously on Apr 11, 2012 Downgraded to Caa3 (sf) Cl. H, Affirmed at C (sf); previously on Apr 11, 2012 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Nov 3, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Nov 3, 2010 Downgraded to C (sf) Cl. X, Confirmed at B1 (sf); previously on Apr 11, 2012 Downgraded to B1 (sf) and Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due primarily to higher anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's LTV ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of approximately 13% of the current deal balance compared to 12% at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating Structured Finance Interest- Only Securities" published in February 2012. For deals that include a pool of credit tenant loans, Moody's uses its credit-tenant lease (CTL) financing methodological approach (CTL approach). Under Moody's CTL approach, the rating of a transaction's certificates is primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenant, usually an investment grade rated company, leasing the real estate collateral supporting the bonds. This tenant's credit rating is the key factor in determining the probability of default on the underlying lease. The lease generally is "bondable", which means it is an absolute net lease, yielding fixed rent paid to the trust through a lock-box, sufficient under all circumstances to pay in full all interest and principal of the loan. The leased property should be owned by a bankruptcy-remote, special purpose borrower, which grants a first lien mortgage and assignment of rents to the securitization trust. The dark value of the collateral, which assumes the property is vacant or "dark", is then examined to determine a recovery rate upon a loan's default. Moody's also considers the overall structure and legal integrity of the transaction. For deals that include a pool of credit tenant loans, Moody's currently uses a Gaussian copula model, incorporated in its public CDO rating model CDOROMv2.8 to generate a portfolio loss distribution to assess the ratings. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 21, compared to a Herf of 23 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated April 11, 2012. DEAL PERFORMANCE As of the June 18, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 59% to $987 million from $2.37 billion at securitization. The Certificates are collateralized by 128 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans (excluding defeasance) representing 42% of the pool. The pool contains nine CTL loans, representing 3% of the pool. Forty-six loans, representing approximately 33% of the pool, are defeased and are collateralized by U.S. Government securities. Twenty-five loans, representing 13% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-eight loans have liquidated from the pool, resulting in an aggregate realized loss of $91 million (31% average loan loss severity). Currently, four loans, representing 18% of the pool, are in special servicing. The largest specially serviced loan is The Source Loan ($124 million -- 13% of the pool), which is secured by a 521,000 square foot regional mall located in Westbury, New York. The center, located on Long Island and known as "The Mall at The Source", was formerly anchored by Fortunoff, a high-end department store specializing in the sale of house wares and jewelry. As was reported at Moody's last review, the departure of the anchor and unfavorable economic conditions have precipitated the departure of other major retailers at the mall. Two of the largest remaining tenants, Saks Fifth Avenue Off 5th and Nordstrom Rack, will open stores at a nearby power center slated to open in Fall 2012. Both retailers are expected to close their stores at The Source upon their lease expirations in July 2012 and January 2013, respectively. The mall's inline space was 71% leased as of February 2012. The loan transferred to special servicing in January 2009 for imminent maturity default, which occurred in March 2009. The special servicer is dual tracking foreclosure while evaluating other workout options. The loan sponsor is Simon Property Group. The servicer has recognized a $49 million appraisal reduction. The remaining three specially serviced loans are secured by a mix of office and hotel property types. Moody's estimates an aggregate $113 million loss (overall 64% expected loss) for all specially serviced loans. Moody's has assumed a high default probability for four poorly- performing loans representing 4% of the pool. Moody's analysis attributes to these troubled loans an aggregate $5 million loss (15% expected loss severity based on a 50% probability of default). Moody's was provided with full-year 2010 and partial year 2011 operating results for 98% and 92% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 63%, the same as at last review. Moody's net cash flow reflects a weighted average haircut of 11.2% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.60X and 2.00X, respectively, compared to 1.60X and 1.99X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 11% of the pool. The largest loan is the Laurel Mall Loan ($45 million -- 5% of the pool). The loan is secured by a Class B regional mall located in Livonia, Michigan, a western suburb of Detroit. The mall is anchored by department stores Von Maur (not part of the collateral) and Parisian, a division of The Bon-Ton Stores, Inc. (Moody's Senior Unsecured Rating Caa3, negative outlook). Property performance is stable. Moody's current LTV and stressed DSCR are 74% and 1.42X, respectively, compared to 75% and 1.41X at last review. The second-largest loan is the Best of the West Shopping Center Loan ($34 million -- 3% of the pool). The loan is secured by 475,000 square foot power center located in Las Vegas, Nevada. The property was 84% leased at YE 2011, following the recent departure of a Borders bookstore. Property performance has improved slightly since Moody's last review. Moody's current LTV and stressed DSCR are 60% and 1.72X, respectively, compared to 60% and 1.71X at last review. The third-largest loan is the Hunter's Square Loan ($34 million -- 3% of the pool). The loan is secured by a 350,000 square foot power center located in Farmington Hills, Michigan, a northern suburb of Detroit. The property was 92% leased at YE 2011, compared to 95% in September 2010. Recent leasing activity has brought retailer Buy Buy Baby, Inc. to the center. The children's retailer signed a new lease for 28,000 square feet at the center, taking over much of the space formerly occupied by Border's. Moody's current LTV and stressed DSCR are 75% and, 1.44X respectively, compared to 75% and 1.43X at last review. The CTL component includes nine loans secured by properties leased under bondable leases. Moody's provides ratings for 85% of the CTL component and has updated its internal credit assessment for the remaining corporate credits. The CTL component includes R.R. Donnelley & Sons Company (56% of the CTL component, Moody's Senior Unsecured Rating Ba2 -- negative outlook), Interface, Inc. (29% of the CTL component, Moody's Senior Unsecured Rating B1 -- stable outlook) and Dairy Mart Convenience Stores, Inc. (15% of the CTL component). CPS AUTO: Moody's Assigns 'B2' Rating to Class D Notes ------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to the notes 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 A2 (sf); Class B Notes, rated Baa3 (sf); Class C Notes, rated Ba3(sf); Class D Notes, rated 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. CREDIT SUISSE 2001-CKN5: Moody's Reviews Rating on 8 CMBS Classes ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of two classes, placed eight classes on review for possible downgrade and affirmed three classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2001- CKN5 as follows: Cl. D, Downgraded to A1 (sf) and Placed Under Review for Possible Downgrade; previously on Dec 16, 2011 Confirmed at Aaa (sf) Cl. E, Downgraded to Ba1 (sf) and Placed Under Review for Possible Downgrade; previously on Mar 2, 2012 Downgraded to A3 (sf) Cl. F, B1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 2, 2012 Downgraded to B1 (sf) Cl. G, B3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 2, 2012 Downgraded to B3 (sf) Cl. H, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 2, 2012 Downgraded to Caa2 (sf) Cl. J, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 2, 2012 Confirmed at Caa3 (sf) Cl. K, Ca (sf) Placed Under Review for Possible Downgrade; previously on Mar 2, 2012 Confirmed at Ca (sf) Cl. L, Affirmed at C (sf); previously on Dec 16, 2011 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Aug 4, 2010 Downgraded to C (sf) Cl. A-X, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 2, 2012 Confirmed at Caa2 (sf) Cl. A-Y, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Ratings Rationale The downgrades are due to increased interest shortfalls and lower estimated recoveries resulting from the continued credit deterioration of the Macomb Mall Loan ($41.4 million; 34.2% of the pool) and One Sugar Creek Place Loan ($40.4 million; 33.5% of the pool) since the prior review. At Moody's prior review in March 2012, interest shortfalls affected Classes N through H. Moody's analysis determined that shortfalls would likely increase and affect Class F. Based on the most recent remittance statement, interest shortfalls have increased to Class E. This is primarily due to the One Sugar Creek Place Loan being determined non- recoverable by the master servicer. Given the deal's high exposure to specially serviced loans, Moody's placed eight classes on review for possible downgrade, including Classes D and E which were downgraded during this review, in order to further evaluate the ongoing risk of future interest shortfalls from specially serviced loans and the timing and severity of losses on the two largest exposures in the pool - Macomb Mall Loan and One Sugar Creek Place. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated March 2, 2012. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. DEAL PERFORMANCE As of the May 17, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 89% to $120.9 million from $1.07 billion at securitization. The Certificates are collateralized by 17 mortgage loans ranging in size from less than 1% to 34% of the pool. There are no defeased loans or loans with investment grade credit estimates. Three loans, representing 24% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty eight loans have been liquidated from the pool, resulting in a realized loss of $24.4 million (17% loss severity). Currently three loans, representing 74% of the pool, are in special servicing. CREDIT SUISSE 2002-CKN2: S&P Lowers Ratings on 2 Classes to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four classes of commercial mortgage pass-through certificates from Credit Suisse First Boston Mortgage Securities Corp.'s series 2002-CKN2, a U.S. commercial mortgage-backed securities (CMBS) transaction. "We lowered our rating to 'D (sf)' on class H due to aggregate principal losses totaling $1.9 million resulting from the liquidation of two assets: the Fairfield Inn - Syracuse and 300 Jackson Plaza assets. These two assets had an aggregate beginning scheduled principal balance of $4.6 million and were liquidated with an aggregate loss severity of 43.3% in June 2012, resulting in principal losses totaling $1.9 million to the trust. Consequently, class H incurred a 7.5% loss of its $11.5 million beginning principal balance. Class J experienced 100% loss on its 1.0 million beginning principal balance. Class J had previously been lowered to 'D (sf)' by Standard & Poor's," S&P said. "We lowered our rating to 'D (sf)' on the class G certificate because we expect the accumulated interest shortfalls to remain outstanding for the foreseeable future. We lowered our ratings on classes E and F due to reduced liquidity support available to these classes and their susceptibility to future interest shortfalls," S&P said. "According to the June 15, 2012, trustee remittance report, the trust incurred interest shortfalls due primarily from appraisal subordinate entitlement reduction (ASER) amounts related to eight ($31.8 million; 24.2%) of the 13 assets ($74.2 million; 56.6%) that are currently with the special servicer, C-III Asset Management LLC, as well as special servicing fees ($15,988). As of the June 15, 2012, trustee remittance report, appraisal reduction amounts (ARAs) totaling $17.5 million were in effect for eight of the specially serviced assets and the total reported ASER amount, excluding a $6,354 ASER recovery, was $92,628. The reported monthly interest shortfalls totaled $106,682, and affected all of the classes subordinate to and including class G," S&P said. "As of the June 2012 trustee remittance report, the collateral pool consisted of 15 loans and four real estate owned (REO) assets with an aggregate trust balance of $131.1 million, down from 204 loans totaling $918.1 million at issuance. To date, the trust has experienced losses on 16 assets totaling $50.7 million. Based on the June 2012 trustee remittance report data, the weighted average loss severity for these 16 assets was 62.9% (based on the asset's beginning scheduled balance at the time of disposition)," 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 Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2002-CKN2 Reported Rating Credit interest shortfalls Class To From enhcmt(%) Current Accumulated E BB+ (sf) BBB (sf) 26.49 0 0 F CCC (sf) B (sf) 15.98 (3,792) 0 G D (sf) CCC+ (sf) 8.10 46,884 110,071 H D (sf) CCC- (sf) 0.00 58,478 383,136 CREDIT SUISSE 2003-CK2: Fitch Cuts Rating $13.6MM M Certs to 'C' ---------------------------------------------------------------- Fitch Ratings has downgraded Credit Suisse First Boston Mortgage Securities Corp.'s (CSFB) commercial mortgage pass-through certificates, series 2003-CK2. The downgrades are the result of increased loss expectations on the specially serviced loans since Fitch's last rating action. Fitch modeled losses of 5.7% of the remaining pool; expected loss of the original pool balance is 4.7% including realized losses to date (1.35%). Fitch has designated 10 loans (11.6%) as Fitch Loans of Concern, which includes two specially serviced loans (5.4%). As of the June 2012 distribution date, the pool's collateral balance has paid down 42.1% to $575.5 million from $1 billion at issuance. Sixteen loans (37%) have fully defeased. The largest contributor to loss (4.3%) is a real estate owned (REO) asset. The original loan was secured by 24 office buildings and one retail property totaling 339,130 square feet (sf) located in Greater Lansing, MI. The loan transferred to the special servicer in May 2008 for imminent default. Foreclosure occurred in December 2010. Three assets are currently under contract and two others have been on the market for sale as of July 2011. The special servicer expects to market the remaining portfolio during the 2nd quarter of 2012. The properties are currently 65.4% occupied as of March 2012. The most recent appraisal indicates significant losses upon liquidation. The second largest contributor to loss (1.1%) is also REO. The original loan was secured by a 197-unit garden-style multifamily property located in Melbourne, FL. The loan was transferred to special servicing in October 2010 due to monetary default as a result of chronic delinquency. The foreclosure was completed in August 2011. Management is completing necessary capital repairs and stabilizing the property before listing it for sale. The property is currently 52% occupied. The third largest contributor to loss (1.7%) is secured by a 109,586 sf retail property located in Alpharetta, GA. The largest tenants are Publix (51%), Jeffrey's Sports Bar & Grill (6%), and Dollar Tree (6%), with lease expirations in 2015, 2018, and 2016, respectively. There is minimal rollover at the property until 2016 when 11% of the leases roll. As of February 2012, the property is 87.3% occupied with average rent of $10.52 per sf. Per REIS, as of the first quarter of 2012, the Atlanta Metro market vacancy rate is 14.9% with asking rent $16.49 per sf. The Northeast Atlanta retail submarket vacancy rate is 20.2% with asking rent $13.97 per sf. Fitch downgrades and revises Recovery Estimates (RE) on the following classes: -- $4.9 million class L to 'CCC'; from 'B-'; RE 100%; -- $13.6 million class M to 'C' from 'CC'; RE 15%. Fitch also affirms and revises Rating Outlooks on the following classes as indicated: -- $37.3 million class A-3 at 'AAA'; Outlook Stable; -- $364.3 million class A-4 at 'AAA'; Outlook Stable; -- $32.1 million class B at 'AAA'; Outlook Stable; -- $12.4 million class C at 'AAA'; Outlook Stable; -- $29.6 million class D at 'AAA'; Outlook Stable; -- $12.4 million class E at 'AAA'; Outlook Stable; -- $12.4 million class F at 'AAA'; Outlook Stable; -- $19.8 million class G at 'AAA'; Outlook Stable; -- $14.8 million class H at 'AA'; Outlook Stable; -- $17.3 million class J at 'BBB'; Outlook revised to Negative from Stable; -- $17.3 million class K at 'BB'; Outlook revised to Negative from Stable. -- $6.2 million class N at 'C'; RE 0%; -- $4.9 million class O at 'C'; RE 0%; -- $3.1 million class GLC at 'BB'; Outlook revised to Stable from Negative. Classes A-1, A-2 and A-SP have been paid in full. Fitch does not rate the $3.9 million class P or class RCKB. The GLC rake class represents the non-pooled B-note for Great Lakes Crossing. Fitch has previously withdrawn the rating of the interest only class A- X. CREDIT SUISSE 2005-C3: Moody's Lowers Rating on F Certs. to 'C' --------------------------------------------------------------- Moody's Investors Service downgraded the rating of one class and affirmed 14 classes of Credit Suisse First Boston Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2005-C3 as follows: Cl. A-2, Affirmed at Aaa (sf); previously on Jul 11, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Jul 11, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed at Aaa (sf); previously on Jul 11, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Jul 11, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-1-A, Affirmed at Aaa (sf); previously on Jul 11, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-M, Affirmed at Aa1 (sf); previously on Nov 4, 2010 Downgraded to Aa1 (sf) Cl. A-J, Affirmed at Baa1 (sf); previously on Nov 4, 2010 Downgraded to Baa1 (sf) Cl. B, Affirmed at B2 (sf); previously on Nov 4, 2010 Downgraded to B2 (sf) Cl. C, Affirmed at Caa2 (sf); previously on Nov 4, 2010 Downgraded to Caa2 (sf) Cl. D, Affirmed at Caa3 (sf); previously on Nov 4, 2010 Downgraded to Caa3 (sf) Cl. E, Affirmed at Ca (sf); previously on Nov 4, 2010 Downgraded to Ca (sf) Cl. F, Downgraded to C (sf); previously on Nov 4, 2010 Downgraded to Ca (sf) Cl. A-X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. A-SP, Affirmed at Aaa (sf); previously on Jul 11, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-Y, Affirmed at Aaa (sf); previously on Jul 11, 2005 Definitive Rating Assigned Aaa (sf) Ratings Rationale The downgrade is due to higher realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 5.0% of the current balance. At last review, Moody's cumulative base expected loss was 5.4%. Realized losses have increased from 5.0% of the original balance to 5.9% since the prior review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005 and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 31 compared to 35 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated July 29, 2011. Deal Performance As of the May 17, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 28% to $1.18 billion from $1.64 billion at securitization. The Certificates are collateralized by 170 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten non-defeased loans representing 39% of the pool. The pool includes 53 loans, representing 15% of the pool balance, which are secured by residential co-ops located primarily in New York City. These co-op loans have Aaa credit estimates. Six loans, representing 6% of the pool, have defeased and are secured by U.S. Government securities. Thirty-four loans, representing 31% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nineteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $97.3 million (42% loss severity on average). Six loans, representing less than 2% of the pool, are currently in special servicing. Moody's estimates an aggregate $7.7 million loss for specially serviced loans (39% expected loss on average). Moody's has assumed a high default probability for 17 poorly performing loans representing 6% of the pool and has estimated an aggregate $12.9 million loss (18% expected loss on average) from these troubled loans. Moody's was provided with full year 2010/2011 operating results for 93% of the pool's non-specially serviced and non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 99% compared to 95% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.30X and 1.04X, respectively, compared to 1.32X and 1.08X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 23% of the pool. The largest loan is the San Diego Office Park Loan ($133.0 million -- 11.2% of the pool), which is secured by a nine-building, 644,540 square foot (SF), Class A office complex located in San Diego, California. The A-note is split into two components: $113 million is allocated to the office park while $20 million is allocated to developable land. In March of 2012 the loan (including the developable land) was assumed by Beacon Capital Partners from MPG Office Trust for $152.5 million. The loan matures in April 2015 and is interest only during its entire term. The property was 82% leased as of November 2011 which is inline with the prior review. Moody's LTV and stressed DSCR are 140% and 0.67X, respectively, compared to 168% and 0.58X at last review. The second largest loan is the 80-90 Maiden Lane Loan ($86.2 million -- 7.3% of the pool), which is secured by two Class B office buildings totaling 545,000 SF located in the Financial District of New York, New York. The property was 97% leased as of March 2012 compared to 98% at the last review. Despite the slight decrease in occupancy, the property's cash flow has increased due to a decrease in operating expenses. The loan is benefitting from amortization and matures in April 2015. Moody's LTV and stressed DSCR are 94% and 1.03X, respectively, compared to 99% and 0.99X at last review. The third largest loan is the Och Ziff Portfolio Loan ($51 million -- 4.3% of the pool), which is secured by eight limited-service hotels managed by various Marriott brands. Seven hotels are located in various cities in Ohio (Cincinnati, Cleveland and Columbus) while the eighth property is located in Covington, Kentucky. The 2011 portfolio revenue per available room (RevPAR) and NOI increased 5% and 11%, respectively, compared to 2010 and the portfolio's actual DSCR and debt yield was in excess of 1.7X and 14%, respectively, based on 2011 reported NOI. The loan was scheduled to mature in May 2012 and the borrower is currently negotiating the sale of the property. Moody's LTV and stressed DSCR are 100% and 1.24X, respectively, compared to 109% and 1.15X at last review. CSMC TRUST 2012-CIM2: S&P Assigns 'BB' Rating to Class B-4 Certs. ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to CSMC Trust 2012-CIM2's $417.652 million mortgage pass-through certificates. The note issuance is a residential mortgage-backed securities transaction of prime jumbo fixed-rate residential mortgage loans secured by single-family residences. The ratings reflect S&P's view of: - The likelihood that the credit enhancement of 8.25%, 6.60%, 4.90%, 3.10%, and 1.75% will be able to withstand its 'AAA', 'AA', 'A', 'BBB', and 'BB' stress scenarios, respectively, for this portfolio, which will be secured by residential mortgage loans. The credit enhancement is strictly subordination. - The risks and mitigating factors S&P see based on the results of its mortgage originator and conduit reviews, third-party due-diligence review, and representations and warranties review with respect to the mortgage assets. Although the mortgage loans are seasoned, S&P performed a review of DLJ Mortgage Capital's (DLJ's; the seller's) flow acquisition Program. - The significance to S&P's ratings of the timing of losses, the foreclosed properties' recovery value, and S&P's default assumptions. S&P has identified these factors that it believes strengthen the series 2012-CIM2 transaction: - The credit enhancement provided by the capital structure is greater than S&P's estimated loss coverage. - DLJ, the seller, purchased a portion of the mortgage pool as part of its flow acquisition program, and purchased another portion of the pool as a bulk transaction from MetLife Inc. In many respects, both pools have characteristics that are, from a credit perspective, better than S&P's archetypical pool. - Although both the primary servicers are ranked ABOVE AVERAGE, Wells Fargo Bank N.A. (ranked STRONG) will be the master servicer for the transaction. - Both the senior and subordinate classes are subject to an interest rate cap based on the underlying collateral's net weighted average coupon (although the subordinate classes are variable-rate certificates tied to the collateral's net weighted average coupon). - Although the transaction is a shifting interest structure, the potential principal payment to the subordinate classes does not result in the allocation of losses to any of the tranches under S&P's cash flow stresses for the following reasons: S&P is not assigning a rating to the lowest tranche, the credit enhancement provided is higher than S&P's estimated loss coverage, and the available funds are allocated to interest and principal on the senior classes based on their entitled interest and principal amounts and then to the subordinated classes. S&P has identified these factors that it believes weaken the series 2012-CIM2 transaction: - Loan modifications may reduce the net weighted average coupon to a level where the fixed interest rate on the senior certificates may not receive the full interest amount that is based on their fixed coupons. However, a mitigant is that each senior class is subject to an interest rate cap based on the underlying collateral's net weighted average coupon. - Loan modifications and the related recovery of outstanding servicer advances could stress liquidity so that an unanticipated reduction in available funds may result in an interest payment that is lower than the collateral's net weighted average coupon. - Many servicers have tightened their servicer stop advance policies over the past two to three years due to higher delinquencies and declining property values and their effect on both the volume and recoverability of servicer advances. If servicer advances are dramatically reduced, it could stress liquidity and decrease the interest payment to an amount that is lower than the collateral's net weighted average coupon. 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 CSMC Trust 2012-CIM2 Class Rating Amount (mil. $) A-1 AAA (sf) 390.021 A-IO-1 AAA (sf) Notional A-IO-S NR N/A B-1 AA (sf) 7.014 B-2 A (sf) 7.226 B-3 BBB (sf) 7.652 B-4 BB (sf) 5.739 B-5 NR 7.439 A-PP NR N/A R NR N/A NR-Not rated. N/A-Not applicable. CWALT INC: Moody's Lowers Ratings on 12 RMBS Tranches to 'Caa2' --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 64 tranches, upgraded the ratings of eight tranches, and confirmed the ratings of 12 tranches from 14 RMBS transactions, backed by Alt-A loans, issued by Countrywide from 2004 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 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 of a number of downgrades as well as upgrades. The upgrades are due to significant 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 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. 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 8.2% 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 these transactions. Complete rating actions are as follows: Issuer: Alternative Loan Trust 2004-J9 Cl. M-1, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Upgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-10CB Cl. A, Downgraded to Caa2 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-12CB Cl. 1-A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-3, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-1, Downgraded to Ba2 (sf); previously on Apr 6, 2011 Downgraded to Baa2 (sf) Cl. 2-A-2, Downgraded to Ba2 (sf); previously on Apr 6, 2011 Downgraded to Baa2 (sf) Cl. 3-A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. PO, Downgraded to Ba3 (sf); previously on Apr 6, 2011 Downgraded to Baa2 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-13CB Cl. A-1, Upgraded to A3 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Cl. A-2, Confirmed at B1 (sf); previously on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Upgrade Cl. A-3, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Upgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-16CB Cl. 1-A-2, Upgraded to A2 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-4, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-2, Upgraded to Baa1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-3, Upgraded to Ba1 (sf); previously on Mar 28, 2011 Downgraded to Ba3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-18CB Cl. 1-A-1, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-4, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-8, Downgraded to B2 (sf); previously on Mar 28, 2011 Downgraded to Ba3 (sf) Cl. 5-A-1, Downgraded to B3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. 5-A-2, Downgraded to Caa1 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-28CB Cl. 1-A-2, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 1-A-3, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 2-A-2, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B2 (sf) Cl. 2-A-3, Downgraded to Caa2 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 2-A-4, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 2-A-5, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 2-A-6, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 2-A-8, Downgraded to Caa2 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 2-A-9, Downgraded to Caa2 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 3-A-1, Downgraded to Caa2 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 6-A-1, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-30CB Cl. 1-A-1, Downgraded to B1 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-4, Upgraded to B1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 1-A-5, Downgraded to B1 (sf); previously on Feb 22, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-6, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 1-A-7, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B2 (sf) Cl. 1-A-8, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B2 (sf) Cl. 1-A-9, Downgraded to Ca (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-10, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 1-A-11, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 1-A-12, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 1-A-13, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 1-A-14, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 1-A-15, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 1-A-16, Downgraded to Caa2 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 1-A-18, Downgraded to C (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-2, Downgraded to Caa2 (sf); previously on Feb 22, 2012 B1 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-3, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-4, Downgraded to Caa2 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. PO, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-32CB Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 2-A-1, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B2 (sf) Cl. 2-A-2, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B2 (sf) Cl. 2-A-3, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B2 (sf) Cl. 2-A-4, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 2-A-5, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. PO, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-33 Cl. 1-A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-1, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 3-A-3, Downgraded to Ca (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade Cl. 4-A-1, Downgraded to Caa1 (sf); previously on Mar 28, 2011 Downgraded to B3 (sf) Cl. 3-X, Confirmed at Caa1 (sf); previously on Feb 22, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-J4 Cl. 1-A-5, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-1, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-J6 Cl. 1-A-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. PO, Downgraded to Baa3 (sf); previously on Mar 22, 2011 Downgraded to A2 (sf) Cl. 1-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. 2-X, Downgraded to B1 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. 3-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-J7 Cl. 1-A-3, Upgraded to A1 (sf); previously on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-5, Upgraded to Baa3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-6, Upgraded to A1 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Upgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-J8 Cl. 1-A-1, Downgraded to B3 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-1, Downgraded to B3 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-1, Downgraded to B3 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. 1-X, Downgraded to Caa1 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. 2-X, Downgraded to Caa2 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. 3-X, Downgraded to Caa1 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. 4-X, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. PO-A, Downgraded to B3 (sf); previously on Mar 22, 2011 Downgraded to Ba2 (sf) Cl. PO-B, Downgraded to B1 (sf); previously on Mar 22, 2011 Downgraded to Ba2 (sf) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF289777 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 CWCAPITAL COBALT II: S&P Lowers Ratings on 7 Note Classes to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 14 classes of notes from CWCapital Cobalt II Ltd., a commercial real estate collateralized debt obligation (CRE CDO) transaction, and removed them from CreditWatch with negative implications. "The downgrades reflect our analysis of the transaction's liability structure and the credit characteristics of the underlying collateral using our criteria for rating global CDOs of pooled structured finance assets. We also considered the amount of defaulted assets in the transaction and their expected recoveries in our analysis," S&P said. "Our recently amended criteria for rating global CDOs of pooled structured finance assets include revisions to our assumptions on correlations, recovery rates, and default patterns, and timings of the collateral. The criteria also include supplemental stress tests (largest obligor default test and largest industry default test) in our analysis," S&P said. "In our analysis, we also considered the amount of defaulted assets ($222.4 million, 41.3%) held in the portfolio and our expected recovery for the transaction. We lowered the ratings on classes D through K to 'D (sf)' from 'CCC- (sf)' due to our determination that the classes are unlikely to be repaid in full," S&P said. According to the May 31, 2012, trustee report, the transaction's collateral assets totaled $541.2 million, while its liabilities, including capitalized interest, totaled $513.4 million, which is down from $700.0 million in liabilities at issuance. The transaction's current asset pool includes: 40 CMBS tranches ($454.9 million, 84.1% of the collateral pool); Five whole loans and senior-interest loans ($74.1 million, 13.7%); Two CDO tranches ($9.4 million, 1.7%); and Cash ($2.8 million, 0.5%). "The trustee report noted 26 defaulted assets ($222.4 million, 41.3%), five of which are loans ($74.1 million, 13.7%). Standard & Poor's estimated asset-specific recovery rates ranging from 47% to 91%, with a weighted average recovery rate of 66.1%, which we based on information provided by the collateral manager," S&P said. The defaulted loan assets are listed: The Crowne Plaza Colorado whole loan ($28.8 million, 5.3%). The Comfort Inn Brooklyn whole loan ($15.5 million, 2.9%); The Aguilar Apartments first mortgage loan ($15.5 million, 2.9%); The Pala Mesa Resort Hotel whole loan ($13.9 million, 2.6%); And The Dunes at Chesterfield senior-interest loan ($383.2 thousand, 0.1%). "We reviewed the credit characteristics of the publicly rated underlying collateral using Standard & Poor's issued ratings. We based our analyses on the unrated collateral on information provided by the collateral manager, CWCapital Investments LLC, and trustee, Wells Fargo Bank N.A., as well as market and valuation data from third-party providers," 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 Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111687.pdf RATINGS LOWERED AND REMOVED FROM CREDITWATCH CWCapital Cobalt II Ltd. Rating Class To From A-1A BB+ (sf) A (sf)/Watch Neg A-1AR BB+ (sf) A (sf)/Watch Neg A-1B B+ (sf) BBB (sf)/Watch Neg A-2A A+ (sf) AA (sf)/Watch Neg A-2B B+ (sf) BBB (sf)/Watch Neg B CCC+ (sf) BB+ (sf)/Watch Neg C CCC- (sf) B- (sf)/Watch Neg D D (sf) CCC- (sf)/Watch Neg E D (sf) CCC- (sf)/Watch Neg F D (sf) CCC- (sf)/Watch Neg G D (sf) CCC- (sf)/Watch Neg H D (sf) CCC- (sf)/Watch Neg J D (sf) CCC- (sf)/Watch Neg K D (sf) CCC- (sf)/Watch Neg DRYDEN XXIII: S&P Rates $9-Mil. Class E Deferrable Notes 'B' ------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Dryden XXIII Senior Loan Fund/Dryden XXIII Senior Loan Fund LLC's $382.0 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 preliminary ratings are based on information as of June 27, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: - The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. - The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. - The transaction's legal structure, which is expected to be bankruptcy remote. - The diversified collateral portfolio, which primarily comprises broadly syndicated speculative-grade senior secured term loans. - The asset manager's experienced management team. - S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which it assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.34%-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. 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/1111688.pdf PRELIMINARY RATINGS ASSIGNED Dryden XXIII Senior Loan Fund/Dryden XXIII Senior Loan Fund LLC Class Rating Amount (mil. $) X AAA (sf) 2.50 A-1 AAA (sf) 270.50 A-2a AA (sf) 19.75 A-2b AA (sf) 15.00 B (deferrable) A (sf) 28.75 C (deferrable) BBB (sf) 20.25 D (deferrable) BB (sf) 16.25 E (deferrable) B (sf) 9.00 Subordinated notes NR 31.40 NR-Not rated. FIRST UNION 1999-C2: Fitch Affirms Csf Rating $11.8MM Cl. M Notes ----------------------------------------------------------------- Fitch Ratings affirms six classes issued by First Union National Bank-Chase Manhattan Bank Commercial Mortgage Trust (FUNC 1999-C2) commercial mortgage pass-through certificates, series 1999-C2. As of the June 2012 remittance report the transaction balance has been reduced by 93.9% to $72.1 million from $1.2 billion at issuance. Thirty-eight loans remain in the transaction, of which 14 loans (32.8%) are defeased and two (9.3%) are in special servicing. Fitch modeled additional losses of 12.4% of the remaining pool for a total, including losses to date, of 2.5% of the original balance. Fitch stressed the cash flow of the remaining loans by applying a 5% reduction to the most recent fiscal year-end net operating income, and applying an adjusted market cap rate between 8.10% and 12% to determine value. All the loans also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Fifteen loans are modeled to pay off at maturity, and could refinance to a debt- service coverage ratio (DSCR) above 1.25x. The largest contributor to loss (6.6% of pool balance) is a 192- unit multifamily property located in Smyrna, GA. The property is real estate owned (REO) and has been listed for sale. The second largest contributor to loss (2.2%) is a 156-room limited service hotel located in Fredericksburg, VA. The loan is current as of June 2012 and has a servicer reported year end 2011 DSCR of -0.51x. The borrower is continuing with its marketing and sales effort and will continue to support the property. Fitch has affirmed the following classes, including assigning Recovery estimates (RE) as indicated: -- $12.3 million class G notes at 'AAAsf'; Outlook Stable; -- $11.8 million class H notes at 'AAAsf'; Outlook Stable; -- $11.8 million class J notes at 'AAsf'; Outlook Stable; -- $11.8 million class K notes at 'BB+sf'; Outlook Stable; -- $11.8 million class L notes at 'Bsf'; Outlook Stable; -- $11.8 million class M notes at 'Csf'; RE 30%. Fitch does not rate the class NR notes and previously withdrew the ratings on the IO notes. Classes A-1, A-2, B, C, D, E, and F have paid in full. FIRST UNION 2000-C1: Fitch Cuts Rating on $5.8MM L Notes to 'CCsf' ------------------------------------------------------------------ Fitch Ratings has downgraded two classes and removed three classes from Rating Watch Negative of First Union National Bank Commercial (FUNBC) Mortgage Trust's commercial mortgage pass-through certificates, series 2000-C1. The downgrades reflect Fitch modeled losses of 15.82% of the remaining pool; modeled losses of the original pool are at 3.47%, including losses already incurred to date. Fitch has identified four loans (28.1%) as Fitch Loans of Concern, which includes two specially-serviced loans (25%). Of the original 143 loans, 18 loans remain outstanding. As of the June 2011 distribution date, the pool's aggregate principal balance has reduced by 90.4% to $74.3 million from $776.3 million at issuance. In addition six loans (16.5%) have been fully defeased. Interest shortfalls totaling $2,098,691 are currently affecting classes J through N. The largest contributor to modeled losses is a specially serviced (10.9%) REO 206,011 square foot (sf) retail center located in Decatur, IL. The loan was transferred to special servicing in January 2010 due to the borrower's request for a discounted payoff. The servicer reported occupancy as of March 2011 was 8% even though the property was 87% leased with two vacant anchor tenant spaces paying rent. The trust took title to the property through Deed in Lieu of Foreclosure in July 2011. The second largest contributor to modeled losses is a loan (14.1%) secured by an unanchored 70,853 sf retail property located in Chicago, IL, and a block from the Chicago riverwalk. The loan was transferred to Special Servicing in January 2010 due to maturity default. The original maturity date was February 2010 and the borrower was granted a one-year extension but has still been unable to refinance. The special servicer filed a foreclosure complaint in January 2012 and in March 2012 made a determination that future P&I advances are non-recoverable. Fitch downgrades the following classes as indicated: -- $3.9 million class J to 'BBBsf' from 'A-sf'; Outlook Negative; Removed from Rating Watch Negative. -- $5.8 million class L to 'CCsf' from 'CCCsf'; RE 45%. Fitch affirms the following classes as indicated: -- $217,062 class E at 'AAAsf'; Outlook Stable; -- $11.6 million class F at 'AAAsf; Outlook Stable; -- $29.1 million class G at 'A+sf'; Outlook Stable; -- $7.8 million class H at 'Asf'; Outlook Negative; Removed from Rating Watch Negative; -- $7.8 million class K at 'B-sf'; Outlook Negative; Removed from Rating Watch Negative. Class M remains at 'Dsf/RE 0%'. Class N, which is not rated by Fitch has been reduced to zero from $14.6 million at issuance due to realized losses. Classes A-1, A-2, B, C, and D have paid in full. FLAGSHIP CREDIT 2012-1: S&P Gives 'BB' Rating on Class D Notes -------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Flagship Credit Auto Trust 2012-1's $109 million auto receivables-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of June 26, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: - The availability of approximately 34.4%, 26.9%, and 21.2% credit support (including excess spread) for the class B, C, and D notes, respectively, based on stress cash flow scenarios, which provide approximately 2.3x, 1.75x, and 1.4x coverage of our 13.75%-14.25% expected cumulative net loss for the class A, B, C, and D notes. - The availability of approximately 70.62% hard credit enhancement at closing for the class A notes. While the credit enhancement afforded to this class exceeds its stressed 'A+' scenario of approximately 2.5x expected losses, its preliminary rating on the class A notes reflects other limiting factors. - The timely interest and principal payments made under stress cash flow modeling scenarios that are appropriate to the preliminary rating categories. - S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, its ratings on the class A notes will not be lowered, and its ratings on the class B, C, and D notes will remain within two rating categories of the assigned preliminary ratings. This is within the two-category rating tolerance for 'A', 'BBB', and 'BB' rated securities, as outlined in S&P's credit stability criteria. - The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. - The characteristics of the collateral pool being securitized. - 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 Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111687.pdf PRELIMINARY RATINGS ASSIGNED Flagship Credit Auto Trust 2012-1 Class Rating Type Interest Amount rate(i) (mil. $)(i) A A+ (sf) Senior Fixed 36.00 B A (sf) Subordinate Fixed 55.00 C BBB (sf) Subordinate Fixed 10.90 D BB (sf) Subordinate Fixed 7.10 (i) The interest rates and actual sizes of these tranches will be determined on the pricing date. FMC REAL: Improved Credit Cues Fitch to Upgrade Ratings ------------------------------------------------------- Fitch Ratings has upgraded three classes and affirmed two classes of FMC Real Estate CDO 2005-1 Ltd. (FMC 2005-1) reflecting Fitch's base case loss expectation of 46.6%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market values and cash flow declines. The upgrades to the senior-most classes are attributable to significantly improved credit enhancement due to paydown, as the CDO exited its reinvestment period in August 2010. Since Fitch's last ratings action, the class A-1 and A-2 notes have paid in full and class B has received paydown of $27.5 million. Seven assets, with a par balance of $107.4 million, paid off or were disposed of since Fitch's last ratings action at an average loss severity of 30% ($32.5 million in realized losses to par). Defaulted assets have risen to 59% from 38.3%, while loans of concern have increased to 28.6% from 12.7%. In addition, 40% of the remaining collateral is real estate owned (REO). FMC 2005-1 is a commercial real estate (CRE) CDO managed by SCFFI GP LLC, an affiliate of Five Mile Capital. The portfolio is concentrated, with only 14 loans remaining. As of the May 2012 trustee report and per Fitch categorizations, the current CDO collateral consists of 54.6% senior debt, 23.6% B-notes, 21.7% mezzanine debt, and less than 1% cash. Under Fitch's methodology, approximately 98% 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 8.9% from generally year-end 2011. Modeled recoveries have improved slightly from Fitch's last ratings action to approximately 52%. The largest contributor to Fitch's base case loss expectation is a defaulted mezzanine loan (11.5%) secured by ownership interests in a portfolio of five resort hotels located in Wailea, HI; La Quinta, CA; Phoenix, AZ; Miami, FL; and Berkeley, CA. The mezzanine position remains significantly over-leveraged, and Fitch modeled a full loss in its base case scenario. The next largest contributor to Fitch's base case loss expectation is a first mortgage (10%) on a two-building office property comprising 230,650 square feet (sf), located in the Detroit suburb of Troy, MI. The property has suffered from tenant rollover, and Fitch modeled a significant loss on this loan in its base case scenario. The third largest contributor to Fitch's base case loss expectation is a C-note secured by a 1.3 million-sf regional mall located in Bloomingdale, IL. In June 2012, the securitized A-note (in JPMC 2007-FL1) reported a 40% loss severity from a discounted payoff. Therefore, Fitch modeled a full loss on the CDO position and expects the write-down to be reflected in the CDO's June reporting. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. 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'. The breakeven rates for classes B through D pass the cash flow model at the ratings listed below. Further, due to the concentrated nature of the pool and significant percentage of defaulted assets and Fitch Loans of Concern, Fitch performed additional sensitivity analysis, which assumed all loans term default, as well as applied additional cash flow stresses. In this scenario, the credit enhancement for classes B through D is consistent with the ratings listed below. The 'CCC' ratings for classes E and 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 upgrades the following classes and revises or assigns Rating Outlooks as indicated: -- $16.4 million class B to 'AAsf' from 'BBsf'; Outlook to Stable from Positive; -- $49.4 million class C to 'BBBsf' from 'Bsf'; Outlook Stable; -- $34.1 million class D to 'Bsf' from 'CCCsf'; Outlook Stable. Fitch affirms the following classes and revises Recovery Estimates (REs) as indicated: -- $13.2 million class E at 'CCCsf'; RE 100%; -- $22 million class F at 'CCCsf'; RE 30%. The class A-1 and A-2 notes have paid in full. Fitch previously withdrew the ratings of classes G and H following the surrender and cancellation of those certificates. Fitch does not rate the $53.8 million preferred shares. GCO EDUCATION: Fitch Affirms 'Bsf' Rating on Jr. Subordinate Loan ----------------------------------------------------------------- Fitch Ratings affirms the senior student loan notes at 'AAAsf' and junior subordinate student loan note at 'Bsf' and upgrades the subordinate student loan notes to 'BBsf' from 'Bsf' issued by GCO Education Loan Funding Master Trust II. The Rating Outlook on the senior notes, which is tied to the sovereign rating of the U.S. government, remains Negative, while the Rating Outlook on the subordinate and junior subordinate notes remains Stable. Fitch used its 'Global Structured Finance Rating Criteria' and 'Rating U.S. Federal Family Education Loan Program Student Loan ABS' to review the ratings. The ratings on the senior notes are affirmed and the ratings on the subordinate notes are upgraded based on the sufficient level of credit enhancement (consisting of subordination, overcollateralization, and the projected minimum excess spread) to cover the applicable risk factor stresses. Since last review, the subordinate notes parity, which excludes the junior subordinate note, increased considerably from 99.75% to 101.31%, although credit is given only up to the release level of 100.50%. While Fitch calculated total parity, which includes the junior subordinate note, increased slightly from 97.34% to 98.57%, signifying continued under collateralization of the junior subordinate note. Fitch has taken the following rating actions: GCO Education Loan Funding Master Trust II: -- 2006-2 A-1AR affirmed at 'AAAsf'; Outlook Negative; -- 2006-2 A-1RRN affirmed at 'AAAsf'; Outlook Negative; -- 2006-2 A-2AR affirmed at 'AAAsf'; Outlook Negative; -- 2006-2 A-2L affirmed at 'AAAsf'; Outlook Negative; -- 2006-2 A-3AR affirmed at 'AAAsf'; Outlook Negative; -- 2006-2 A-3L affirmed at 'AAAsf'; Outlook Negative; -- 2006-2 A-4AR affirmed at 'AAAsf'; Outlook Negative; -- 2007-1 A-5AR affirmed at 'AAAsf'; Outlook Negative; -- 2007-1 A-5L affirmed at 'AAAsf'; Outlook Negative; -- 2007-1 A-6AR affirmed at 'AAAsf'; Outlook Negative; -- 2007-1 A-6L affirmed at 'AAAsf'; Outlook Negative; -- 2007-1 A-7AR affirmed at 'AAAsf'; Outlook Negative; -- 2007-1 A-7L affirmed at 'AAAsf'; Outlook Negative; -- 2006-2 B-2AR upgraded to 'BBsf' from 'Bsf'; Outlook Stable; -- 2006-2 B-3AR upgraded to 'BBsf' from 'Bsf'; Outlook Stable; -- 2007-1 C-1L affirmed at 'Bsf'; Outlook Stable. GILLESPIE CLO: S&P Raises Rating on Class E Notes to 'B-' --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the A-1, A-2, A-3, B, C, D, and E notes from Gillespie CLO PLC. "Gillespie CLO PLC is a collateralized loan obligation (CLO) transaction managed by BNP Paribas S.A. The portfolio primarily consists of senior secured leverage loans denominated in Euros, British pounds, and U.S. dollars. According to the May 31, 2012, trustee report, about 16.5% of the portfolio assets are non-EUR denominated. The class A-2 notes is a multicurrency revolver that can be issued in three currencies (EUR, GBP, USD). The class A-1, A-3, B, C, D, and E notes are Euro-denominated," S&P said. "The upgrades mainly reflect the improved credit performance we have observed in the underlying asset pool since our March 2010 rating actions. In particular, the amount of defaulted assets has decreased. Based on the May 2012 trustee report, which we used for 's rating actions, the transaction held EUR8 million of defaulted assets, compared with EUR20 million in the February 2010 trustee report. Also, the transaction has paid down class A-1 and A-2 notes as a result of O/C tests failure prior to March 2012. Subsequently, the transaction has benefited from an increase in the overcollateralization (O/C) available to support the notes," S&P said. The transaction was passing all the O/C tests as of May 31, 2012. The trustee reported these O/C ratios: The class A/B O/C ratio was 136.05%, compared with a reported ratio of 121.48% in February 2010; The class C O/C ratio was 122.74%, compared with a reported ratio of 110.77% in February 2010; The class D O/C ratio was 113.12%, compared with a reported ratio of 102.87% in February 2010; and The class E O/C ratio was 106.29%, compared with a reported ratio of 97.03% in February 2010. "We also noted that all notes were current in their interest payments in May 2012 and did not have any outstanding deferred interest. The transaction paid off the previously deferred interest for classes D and E in February 2011 and August 2011, respectively," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Gillespie CLO PLC Rating Class To From A-1 AAA (sf) AA+ (sf) A-2 AAA (sf) AA+ (sf) A-3 AA+ (sf) AA- (sf) B AA- (sf) A- (sf) C BBB+ (sf) BBB- (sf) D BB+ (sf) B+ (sf) E B- (sf) CC (sf) GMAC COMMERCIAL: Stable Performance Cues Fitch to Affirm Ratings ---------------------------------------------------------------- Fitch Ratings has affirmed GMAC Commercial Mortgage Securities, Inc.'s mortgage pass-through certificates, series 1998-C2. The affirmations are the result of stable performance relative to the previous rating action for the remaining pool. Fitch modeled losses of 6.5% of the remaining pool; expected losses of the original pool are at 2.7% including losses already incurred to date. As of the June 2012 distribution date, the pool's aggregate principal balance has been paid down by 92.7% to $185.1 million from $2.53 billion at issuance. The largest contributor to modeled losses is an REO 26,543 square foot (sf) retail building (2.1% of the pool) previously occupied by Circuit City and located in Cortlandt, New York. The judicial foreclosure was completed in February 2011 for the 100% vacant building. Onyx Management Group, LLC has been retained in order to manage the building. The special servicer is currently securing a broker and approving a price in order to market the property for sale. The second largest contributor to modeled losses, Georgetown Plaza Shopping Center (2.08% of the pool), is secured by an 111,600sf retail center in Indianapolis, IN. The borrower was unable to refinance partly due to environmental issues relating to a former tenant at the site. The special servicer has worked with the borrower and insurance company to complete remediation activities at the site. A plan has been approved and the special servicer is currently evaluating workout options. The third largest contributor to modeled losses is 7277 World Communications Drive (Sitel Corp.), an REO 42,000 sf office building located Omaha, NE. The special servicer has completed capital improvements on the building's HVAC system and is marketing the property for sale. There are a number of interested buyers that the special servicer is evaluating offers from at this time. Fitch affirms the following classes as indicated: -- $77.1 million class F at 'AAAsf'; Outlook Stable; -- $44.3 million class G at 'AAAsf'; Outlook Stable; -- $18.9 million class H at 'Asf'; Outlook Stable; -- $18.9 million class J at 'BBsf'; Outlook Stable; -- $18.9 million class K at 'Csf' RE 75; -- $6.8 million class L at 'Dsf'; RE 0. Fitch does not rate class N. Class M is currently rated 'Dsf'; RE 0 and has been reduced to zero due to realized losses. Classes A- 1, A-2, and B through E have paid in full. Class X was previously withdrawn. GMAC COMMERCIAL: Moody's Cuts Ratings on 3 Note Classes to 'C' -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of five classes, downgraded seven classes and placed four of the downgraded classes on review for possible downgrade of GMAC Commercial Mortgage Securities, Inc., Series 2004-C2 as follows: Cl. A-3, Affirmed at Aaa (sf); previously on Aug 16, 2004 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Aug 16, 2004 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Aug 16, 2004 Definitive Rating Assigned Aaa (sf) Cl. B, Downgraded to A2 (sf) and Placed Under Review for Possible Downgrade; previously on Feb 9, 2011 Downgraded to Aa2 (sf) Cl. C, Downgraded to Baa2 (sf) and Placed Under Review for Possible Downgrade; previously on Feb 9, 2011 Downgraded to A2 (sf) Cl. D, Downgraded to B1 (sf) and Placed Under Review for Possible Downgrade; previously on Dec 15, 2011 Downgraded to Ba1 (sf) Cl. E, Downgraded to Caa2 (sf) and Placed Under Review for Possible Downgrade; previously on Dec 15, 2011 Downgraded to B1 (sf) Cl. F, Downgraded to C (sf); previously on Dec 15, 2011 Downgraded to Caa1 (sf) Cl. G, Downgraded to C (sf); previously on Dec 15, 2011 Downgraded to Caa3 (sf) Cl. H, Downgraded to C (sf); previously on Feb 9, 2011 Downgraded to Ca (sf) Cl. J, Affirmed at C (sf); previously on Feb 9, 2011 Downgraded to C (sf) Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The affirmations of the principal classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The downgrades are due to higher than expected realized and anticipated losses from specially serviced and troubled loans. Four out of the seven downgraded classes are placed on review for possible downgrade due to ongoing concerns about loans in special servicing and on the master servicer's watchlist. Moody's rating action reflects a cumulative base expected loss of 9.0% of the current balance compared to 8.7% at last review. Base expected loss plus realized losses to date total 10.3% compared to 8.2% at last review. Both increases are attributable to higher realized and forecast losses from specially serviced loans. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and the IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator version 1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 14, down from 15 at last review. In cases where the Herf falls below 20, Moody's employs the large loan/single borrower methodology. This methodology uses the excel- based Large Loan Model v 8.4. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated December 15, 2011. DEAL PERFORMANCE As of the June 12, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 27% to $686.4 million from $933.7 million at securitization. The Certificates are collateralized by 58 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans, excluding defeasance, representing 46% of the pool. Nine loans, representing 31% of the pool, have defeased and are secured by U.S. government securities. There are two loans representing 16% of the pool with investment grade credit assessments. There are twelve loans, representing 16% of the pool, on the master servicer's watchlist, compared to twelve loans, representing 11% of the pool, at last review. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nine loans have been liquidated from the pool since securitization resulting in an aggregate realized loss totaling $34.2 million (average loss severity of 41%). There are currently four loans, representing 12% of the pool, in special servicing compared to six loans, representing 15% of the pool, at last review. The largest specially serviced loan is the Parmatown Shopping Center Loan ($61.9 million -- 9.0% of the pool), which is secured by the borrower's interest in 861,207 square feet (SF) of an approximately 1.2 million SF enclosed regional shopping mall located in Parma, Ohio. The loan was transferred to special servicing in January 2011 due to imminent default. A Managing Director of CBRE was appointed receiver July 2011 and Eastdil was engaged to sell the note. Macy's announced earlier this year that they will close its store at this mall. Moody's has estimated an aggregate $51.6 million loss (62% expected loss) for the four specially serviced loans. Moody's has assumed a high default probability for three poorly performing loans representing 19% of the pool and has estimated a $3.5 million aggregate loss (19% expected loss based on a 50% probability of default) from these troubled loans. Moody's was provided with full year 2010 and full year 2011 operating results for 95% and 87% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average conduit LTV is 88% compared to 71% at last full review. Moody's net cash flow reflects a weighted average haircut of 11.5% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding specially serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.33X and 1.2X, respectively, compared to 1.68X and 1.5X, respectively, at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit assessment is the Jersey Gardens Loan ($73.2 million -- 10.7% of the pool), which represents a 52% participation interest in a $141.9 million first mortgage loan. The loan is secured by the borrower's interest in a 1.3 million SF outlet mall located in Elizabeth, New Jersey. The largest tenants are Loews Theatres, Burlington Coat Factory and Forever 21. The property was 100% leased as of December 2011, the same as at last review. Property performance has improved in each of the past three years. The loan sponsor is Glimcher Realty Trust (Moody's senior unsecured rating (P)Ba3; positive outlook). Moody's current credit assessment and stressed DSCR for the senior loan are A2 and 2.22X, respectively, compared to A2 and 2.03X at last review. The second largest loan with a credit assessment is the 731 Lexington Avenue Loan ($39.4 million -- 5.7% of the pool), which represents a 16% participation interest in the senior portion of a first mortgage loan totaling $247.7 million. The loan is secured by a 694,000 SF office condominium situated within a 1.4 million square foot complex located in midtown Manhattan. The property is also encumbered by an $86 million B-note that is held outside of the trust. The property is 100% leased to Bloomberg, LP through 2028. Moody's current credit assessment and stressed DSCR are A3 and 2.16X, respectively, compared to A3 and 2.1X at last review. The top three performing conduit loans represent 13% of the pool balance. The largest conduit loan is the Military Circle Mall Loan ($54.6 million -- 7.9% of the pool), which is secured by a 740,788 SF enclosed regional shopping mall located in Norfolk, Virginia. Anchor tenants include JC Penney, Macy's and Cinemark Theater. Sears recently closed its store at this location as announced earlier this year. Financial performance for full year 2011 declined slightly since last review even though occupancy increased to 92% as of December 2011 compared to 89% at last review. Moody's stressed the property cash flow to reflect the loss of Sears as an anchor tenant and to capture the negative impact on the mall's ongoing leasing and financial performance. The loan is also on the master servicer's watchlist due to the loss of Sears. Moody's LTV and stressed DSCR are 115% and 0.89X, respectively, compared to 83% and 1.24X at last review. The second largest loan is the Escondido Village Shopping Center Loan ($16.9 million -- 2.5% of the pool), which is secured by a 191,629 SF retail center located north of San Diego in Escondido, California. Financial performance has been steady for the past two years. The center was 93% leased as of December 2011 compared to 96% leased at last review. Moody's LTV and stressed DSCR are 81% and 1.24X, respectively, compared to 82% and 1.22X at last review. The third largest loan is the Stonybrook Apartments Loan ($14.0 million -- 2.0% of the pool), which is secured by a 258-unit apartment complex located in Deptford, New Jersey. Financial performance has consistently improved over the past three years due to sustained occupancy. The property was 93% leased as of March 2012 versus 92% at last review. Moody's LTV and stressed DSCR are 87% and 1.05X, respectively, compared to 94% and 0.98X at last review. GREENWICH CAPITAL 2003-C2: S&P Cuts Ratings on 2 Classes to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' from 'CCC- (sf)' on the class N and O commercial mortgage pass- through certificates from Greenwich Capital Commercial Funding Corp.'s series 2003-C2, a U.S. commercial mortgage-backed securities (CMBS) transaction. "We downgraded the class N and O certificates because we expect accumulated interest shortfalls to remain outstanding for the foreseeable future. Classes N and O had accumulated interest shortfalls outstanding for 11 months," S&P said. "As of the June 7, 2012, trustee remittance report, the trust experienced monthly interest shortfalls totaling $22,636 due primarily to appraisal subordinate entitlement reduction (ASER) amounts related to the three loans ($55.3 million, 6.3%) with the special servicer, LNR Partners LLC (LNR), and special servicing fees ($12,742). Appraisal reduction amounts (ARAs) totaling $23.8 million were in effect for the three specially serviced loans, and the reported monthly reported ASER amounts were $127,582. The reported monthly interest shortfalls, net of ASER recoveries for this period, of $119,631, totaled $22,636," 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 Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2003-C2 Reported Rating Credit interest shortfalls Class To From enhcmt(%) Current Accumulated N D (sf) CCC- (sf) 1.14 (31,917) 235,096 O D (sf) CCC- (sf) 0.41 28,394 312,339 GREENWICH COMMERCIAL: Moody's Affirms 'C' Rating on Cl. M Certs. ---------------------------------------------------------------- Moody's Investors Service affirmed five classes of Greenwich Commercial Mortgage Acceptance Corp, Commercial Mortgage Pass- Through Certificates 1999-C1 as follows: Cl. J, Affirmed at Baa3 (sf); previously on May 24, 2007 Upgraded to Baa3 (sf) Cl. K, Affirmed at Ba2 (sf); previously on May 24, 2007 Upgraded to Ba2 (sf) Cl. L, Affirmed at Caa1 (sf); previously on Jul 30, 2009 Downgraded to Caa1 (sf) Cl. M, Affirmed at C (sf); previously on Oct 28, 2010 Downgraded to C (sf) Cl. X, Affirmed at Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) Ratings Rationale The affirmations of the principal classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class X, is consistent with the expected credit performance of its reference classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of 7.5% of the current balance compared to 27.3% at last review. The decline in base expected loss since last review is offset by increased losses. Base expected loss plus realized losses at this review total 3.1% compared to 3.2% at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and the IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator version 1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 4 compared to 9 at last review. In cases where the Herf falls below 20, Moody's employs the large loan/single borrower methodology. This methodology uses the excel- based Large Loan Model v 8.4. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated August 4, 2011. Deal Performance As of the May 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $22.0 million from $733.8 million at securitization. The Certificates are collateralized by 16 mortgage loans ranging in size from less than 1% to 24% of the pool. Five loans, representing 19% of the pool, are defeased and collateralized by US Government Securities. Two loans, representing 27% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty loans have been liquidated from the pool since securitization resulting in an aggregate $21.5 million loss (average loss severity of 34%). Two loans, representing 27% of the pool, are currently in special servicing. The largest specially serviced loan is the Shoppes of Kenwood Loan ($4.7 million--21.2% of the pool). The loan was transferred to special servicing in January 2009 for maturity default. The borrower filed bankruptcy in June 2010. The borrower and lender filed a joint plan or reorganization which was approved by the court. The loan is in the process of being transferred back to the master servicer. The second loan in special servicing is the Lexington Center Loan ($1.3 million - 6.0% of the pool). The loan was transferred to special servicing in October 2009 as the result of maturity default. Foreclosure occurred in December 2011 and the loan is now real estate-owned (REO). Moody's has estimated a minimal loss for the specially serviced loans. Moody's has assumed a high default probability for one poorly performing loan representing 24% of the pool and has estimated a $700,000 loss (13% expected loss based on a 50% probability default) from this troubled loans. Moody's was provided with full year 2010 and full year 2011 operating results for 92% and 99% of the performing pool respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 74% compared to 78% at last full review. Moody's net cash flow reflects a weighted average haircut of 8.4% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 11.1%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.19X and 2.47X, respectively, compared to 1.23X and 2.41X, respectively, at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 41% of the pool. The largest loan is the Holiday Inn Express and Suites Loan ($5.2 million -- 23.8% of the pool), which is secured by a 120-key hotel located in Eagan, Minnesota. The loan had transferred into special servicing in November 2009 when the borrower sought a modification. The modification was denied and the loan returned to the master servicer in July 2010. The loan has been on the master servicer's watchlist since August 2010 due to low DSCR, however performance improved in 2011. Moody's LTV and stressed DSCR are 137% and 0.95X, respectively, compared to 141% and 0.92X, at last review. The second largest loan is the Holiday Inn, New Ulm Loan ($2.1 million -- 9.6% of the pool), which is secured by a 126-key hotel located in New Ulm, Minnesota. Property performance has improved every year since 2008. The loan is also benefiting from a 300- month amortization schedule. Moody's LTV and stressed DSCR are 51% and 2.55X, respectively, compared to 58% and 2.24X at last review. The third largest loan is the Deon Square Shopping Center Loan ($1.6 million -- 7.2% of the pool), which is secured by a 77,000 square foot retail property located in Bristol, Pennsylvania. The loan is fully amortizing and matures in June 2015. As of February 2012, the property was 100% leased. Moody's LTV and stressed DSCR are 25% and >4.0X, respectively, compared to 28% and 3.69X at last review. GSAA HOME: Moody's Downgrades Ratings on Three Tranches to 'C' -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 15 tranches, upgraded the ratings of five tranches, and confirmed the ratings of three tranches from eight RMBS transactions, backed by Alt-A loans, issued by GSAA Home Equity Trust. 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 upgrades are due to significant 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. 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. 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 8.2% 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 these transactions. Complete rating actions are as follows: Issuer: GSAA Home Equity Trust 2004-10 Cl. AF-3, Upgraded to Aa2 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Downgraded to B3 (sf); previously on Mar 15, 2011 Downgraded to Ba3 (sf) Cl. M-2, Downgraded to C (sf); previously on Mar 15, 2011 Downgraded to Caa3 (sf) Issuer: GSAA Home Equity Trust 2004-4 Cl. A-1, Upgraded to A1 (sf); previously on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade Cl. A-2B, Upgraded to A1 (sf); previously on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Upgraded to Ba1 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf) Placed Under Review for Possible Upgrade Issuer: GSAA Home Equity Trust 2004-5 Cl. M-1, Confirmed at Caa3 (sf); previously on Jan 31, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade Issuer: GSAA Home Equity Trust 2004-6 Cl. A-2, Upgraded to Ba1 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Upgrade Issuer: GSAA Home Equity Trust 2004-7 Cl. AF-4, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. AF-5, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to Ca (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to C (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Issuer: GSAA Home Equity Trust 2004-8 Cl. M-1, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Downgraded to C (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Issuer: GSAA Trust 2004-3 Cl. AF-4, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to B3 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to Ca (sf); previously on Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: GSAA Trust 2004-CW1 Cl. IA-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. IIA-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. IIA-3, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. A-P, Downgraded to Baa3 (sf); previously on Mar 15, 2011 Downgraded to A2 (sf) Cl. A-X, Downgraded to Caa1 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade A list of these actions including CUSIP identifiers may be found at http://moodys.com/viewresearchdoc.aspx?docid=PBS_SF289136 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 GS MORTGAGE 2007-GG10: Moody's Cuts Rating on D Certs. to 'Ca' -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of five classes and affirmed 18 classes of GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2007-GG10 as follows: Cl. A-2, Affirmed at Aaa (sf); previously on Oct 26, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Oct 26, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed at Aaa (sf); previously on Oct 26, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at A1 (sf); previously on Oct 5, 2010 Downgraded to A1 (sf) Cl. A-1A, Affirmed at A1 (sf); previously on Oct 5, 2010 Downgraded to A1 (sf) Cl. A-M, Downgraded to Ba1 (sf); previously on Oct 5, 2010 Downgraded to Baa1 (sf) Cl. A-J, Downgraded to Caa1 (sf); previously on Oct 5, 2010 Downgraded to B2 (sf) Cl. B, Downgraded to Caa2 (sf); previously on Oct 5, 2010 Downgraded to B3 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Oct 5, 2010 Downgraded to Caa2 (sf) Cl. D, Downgraded to Ca (sf); previously on Oct 5, 2010 Downgraded to Caa3 (sf) Cl. E, Affirmed at C (sf); previously on Oct 5, 2010 Downgraded to C (sf) Cl. F, Affirmed at C (sf); previously on Oct 5, 2010 Downgraded to C (sf) Cl. G, Affirmed at C (sf); previously on Oct 5, 2010 Downgraded to C (sf) Cl. H, Affirmed at C (sf); previously on Oct 5, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. O, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. P, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. Q, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The downgrades are due to higher than expected losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 15% of the current balance. At last review, Moody's cumulative base expected loss was 12%. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating Structured Finance Interest- Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 32 compared to 35 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated July 7, 2011. DEAL PERFORMANCE As of the June 12, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 9% to $6.9 billion from $7.5 billion at securitization. The Certificates are collateralized by 188 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 45% of the pool. There are no loans that have defeased and no loans have an investment grade credit assessment. Forty-eight loans, representing 44% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eleven loans have been liquidated from the pool, resulting in a realized loss of $130 million (33% loss severity). Currently 42 loans, representing 23% of the pool, are in special servicing. The largest specially serviced loan is the Two California Plaza Loan ($470 million -- 6.8% of the pool), which is secured by a 1.3 million square foot (SF), 54-story Class A office building located in downtown Los Angeles. This loan was transferred to special servicing in December 2010 due to imminent monetary default. The special servicer is expecting to take title via foreclosure by end of 2012. The property was 75% leased as of March 2012 compared to 84% at last review. The remaining 41 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $620 million loss for the specially serviced loans (40% expected loss on average). Moody's was provided with full year 2011 operating results for 85% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 120% compared to 122% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 3% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.34X and 0.84X, respectively, compared to 1.30X and 0.84X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 22% of the pool. The largest loan is the Shorenstein Portland Portfolio Loan ($697.2 million -- 10% of the pool), which is secured by 16 office properties located in Portland, Oregon. The portfolio totals 3.8 million SF. As of December 2011, the portfolio was 74% leased, compared to 80% at last review and 94% at securitization. The portfolio boasts a diversified tenant base yet many pre-2007 leases were signed at what is now above market rents that will roll to lower market rents upon renewal. The portfolio has significant rollover risk as 99% of the NRA expires during the loan term. The loan is interest- only for the entire term and matures in 2017. Moody's stressed the net cash flow to reflect an expected decline as leases roll. Despite the loan's high leverage, Moody's did not classify this at a troubled loan. Moody's LTV and stressed DSCR are 149% and 0.65X compared to 137% and 0.71X, respectively, at last review. The second largest loan is The Wells Fargo Tower Loan ($550 million -- 8% of the pool), which is secured by a 1.4 million square foot (SF) Class A, 53-story office building located in downtown Los Angeles. The loan was transferred to the special servicer in April 2011 on the basis of imminent default, but was returned in June 2011 after the borrower made timely payments for multiple months. The property was 93% leased as of December 2011 compared to 99% at last review. Leases representing over 30% of the NRA expire within the next six months. This includes two of the building's largest tenants, Gibson, Dunn & Crutcher (21% of the NRA, lease expiration on 11/28/12) and Wells Fargo (19% of the NRA, lease expiration on 2/28/13). The borrower is in negotiation with Wells Fargo on a 10-year renewal with an expected commencement date in July 2013. In the interim, Wells Fargo has been granted an extension to their renewal notice deadline. Moodys has classified this loan as a troubled loan due to the significant term rollover risk. Moody's LTV and stressed DSCR are 159% and 0.58X compared to 141% and 0.65X, respectively, at last review. The third largest loan is the TIAA RexCorp New Jersey Portfolio Loan ($270.4 million -- 3.9% of the pool), which is secured by six separate Class A office buildings totaling 1.0 million SF located in Madison, Short Hills and Morristown, New Jersey. As of December 2011, the portfolio was 74% leased compared to 87% at last review. The portfolio's 2011 NOI droped 22%, which is directly attributed to the drop in base rental revenue from the occupancy decline, as well as several tenants renewing their leases at lower base rents. The loan is interest-only for the entire term and matures in 2017. Moody's LTV and stressed DSCR are 141% and 0.69X compared to 135% and 0.72X, respectively, at last review. HALCYON STRUCTURED: Moody's Lifts Rating on Cl. D Notes From 'Ba1' ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of the following notes issued by Halcyon Structured Asset Management Long Secured/Short Unsecured 2007-1 Ltd.: U.S.$32,000,000 Class B Senior Secured Floating Rate Notes Due August 7, 2021, Upgraded to Aa1 (sf); previously on August 17, 2011 Upgraded to Aa3 (sf); U.S.$28,000,000 Class C Senior Secured Deferrable Floating Rate Notes Due August 7, 2021, Upgraded to A2 (sf); previously on August 17, 2011 Upgraded to A3 (sf); U.S.$27,500,000 Class D Secured Deferrable Floating Rate Notes Due August 7, 2021, Upgraded to Baa3 (sf); previously on August 17, 2011 Upgraded to Ba1 (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 August 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 diversity and 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 $487.7 million, defaulted par of $6.4 million, a weighted average default probability of 20.23% (implying a WARF of 2698), a weighted average recovery rate upon default of 46.97%, and a diversity score of 61. 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. Halcyon Structured Asset Management Long Secured/Short Unsecured 2007-1 Ltd., issued in July 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using 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% (2158) Class A-1: 0 Class A-2: 0 Class B: +1 Class C: +3 Class D: +2 Moody's Adjusted WARF + 20% (3238) Class A-1: 0 Class A-2: 0 Class B: -2 Class C: -2 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 commence and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus 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. HELLER FINANCIAL: Moody's Cuts Rating on Cl. X Certs. to 'Caa3' --------------------------------------------------------------- Moody's Investors Service downgraded the ratings of two classes and affirmed two CMBS classes of Heller Financial Commercial Mortgage Asset Corp., Mortgage Pass-Through Certificates, Series 2000 PH-1 as follows: Cl. E, Affirmed at Aaa (sf); previously on Aug 20, 2007 Upgraded to Aaa (sf) Cl. F, Affirmed at Aaa (sf); previously on Sep 25, 2008 Upgraded to Aaa (sf) Cl. H, Downgraded to Ca (sf); previously on Nov 3, 2010 Downgraded to Caa3 (sf) Cl. X, Downgraded to Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) Ratings Rationale The downgrade of Class H is due to higher realized and anticipated losses from specially serviced and troubled loans. The downgrade of the IO class, Class X, is due to a decline in the credit quality of its referenced classes. The affirmations are due to key parameters, including Moody's LTV ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of approximately 14% of the current deal balance. At last review, Moody's cumulative base expected loss was approximately 15%. Realized losses have increased from 4.1% of the original balance to 5.9% since the prior review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 4 compared to a Herf of 8 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.4 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated June 24, 2011. Deal Performance As of the May 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 94% to $62 million from $957 million at securitization. The Certificates are collateralized by 17 mortgage loans ranging in size from less than 1% to 38% of the pool, with the top ten loans (excluding defeasance) representing 86% of the pool. The pool contains no loans with investment-grade credit estimates. Six loans, representing approximately 14% of the pool, are defeased and are collateralized by U.S. Government securities. There are no loans on the master servicer's watchlist. Thirty loans have liquidated from the pool, resulting in an aggregate realized loss of $57 million (42% average loan loss severity). Currently, two loans, representing 17% of the pool, are in special servicing. The largest specially serviced loan is the Key Bank Building Loan ($9 million -- 14% of the pool), which is secured by a 160,000 square foot office building located in downtown Akron, Ohio. The largest tenant vacated in November 2011, leaving the property 33% occupied. Mission Capital / Rockwood is marketing the loan as part of a recent note sale offering. Moody's estimates a $8 million loss for all specially serviced loans. Moody's was provided with full-year 2010 and partial year 2011 operating results for 89% and 78% of the performing pool, respectively. Moody's weighted average conduit LTV is 69% compared to 75% at last full review. Moody's net cash flow reflects a weighted average haircut of 11.8% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed DSCRs are 1.29X and 1.60X, respectively, compared to 1.24X and 1.50X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 51% of the pool. The largest loan is the Valencia Marketplace Loan ($23 million -- 38% of the pool). The loan is secured by a 180,000 square foot retail center located in Valencia, California. The anchor is supermarket retailer Vons, a subsidiary of Safeway, Inc. (Moody's senior unsecured rating Baa3, stable outlook) Occupancy at the center was 88% at year-end 2011 reporting, up slightly from 85% at Moody's prior review. There is little lease rollover risk at the property, and performance has been stable overall. Moody's current LTV and stressed DSCR are 66% and 1.52X, respectively, compared to 67% and 1.50X at last review. The second-largest loan is the Centre 71 and Centre 71 Annex Loan ($4 million -- 7% of the pool). The loan is secured by a 80,000 square foot strip center located in Tulsa, Oklahoma. The property is located across a major thoroughfare from the super-regional Woodland Hills Mall. At year-end 2011 reporting, the Centre 71 Annex was 54% leased, while the Centre 71 building was 76% leased. The tenancy at the center consists primarily of local retailers. The loan has passed its anticipated repayment date (ARD) in October 2009. Moody's current LTV and stressed DSCR are 99% and 1.20X, respectively, compared to 87% and 1.37X at last review. The third-largest loan is the B&A Self Storage Loan ($4 million -- 6% of the deal). The loan is secured by a 110,000 square foot self-storage facility located in Los Angeles, California. Loan performance has been relatively stable. Moody's current LTV and stressed DSCR are 56% and 1.92X respectively, compared to 50% and 2.16X at last review. JP MORGAN 1999-C8: Moody's Affirms Rating on X Certs. at 'Caa3' --------------------------------------------------------------- Moody's Investors Service affirmed three classes of J.P. Morgan Commercial Mortgage Finance Corp., Mortgage Pass-Through Certificates, Series 1999-C8 as follows: Cl. G Certificate, Affirmed at B1 (sf); previously on Aug 11, 2011 Upgraded to B1 (sf) Cl. H Certificate, Affirmed at C (sf); previously on May 12, 2010 Downgraded to C (sf) Cl. X Certificate, Affirmed at Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 7.1% of the current balance compared to 1.4% at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessment in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 9 compared to 10 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.4 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated August 11, 2011. DEAL PERFORMANCE As of the June 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $21.9 million from $713.5 million at securitization. The Certificates are collateralized by 14 mortgage loans ranging in size from less than 1% to 23% of the pool, with the top ten loans representing 90% of the pool. One loan, representing 2% of the pool, has defeased and is secured by U.S. Government securities. Two loans are on the master servicer's watchlist, representing 17% of the pool. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-two loans have been liquidated since securitization, of which 16 loans generated an aggregate $56.2 million loss (52% average loss severity). Currently, there is one loan in special servicing, representing 4% of the pool. Moody's has estimated a loss of $450,000 for this loan (44% expected loss). Moody's has assumed a high default probability for one poorly performing loan representing 13% of the pool and has estimated a $874,000 loss (30% expected loss based on a 75% probability default) from this troubled loan. Moody's was provided with full year 2010 and 2011 operating results for 100% and 65% of the conduit pool, respectively. Excluding defeased, special and troubled loans, Moody's weighted average conduit LTV is 53% compared to 59% at last Moody's prior. Moody's net cash flow (NCF) reflects a weighted average haircut of 15% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.1%. Excluding defeased, special and troubled loans, Moody's actual and stressed conduit DSCRs are 1.30X and 2.74X, respectively, compared to 1.26X and 2.22X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 46% of the pool. The largest conduit loan is the Quail Park III Loan ($5.0 million -- 23% of the pool), which is secured by a 71,296 square foot (SF) medical office property located in Las Vegas, Nevada. As of December 2011 the property was 70% leased compared to 74% at last review. Net operating income has been declining since 2010 due to increasing vacancy. The loan has amortized 21% since securitization. Moody's LTV and stressed DSCR are 85% and 1.3X, respectively, compared to 77% and 1.44X at last review. The second largest loan is the Ridge Terrace Healthcare Center ($2.9 million -- 13% of the pool), which is secured by a 120-bed healthcare center located in South Palm Beach, Florida. The loan is the watch list for low debt service coverage ratio (DSCR). Loan is scheduled to fully amortize in less than 84 months. Moody's LTV and stressed DSCR are 152% and 0.96X, respectively, compared to 106% and 1.38X at last review. The third largest loan is the Bayshore Plaza Shopping Center ($2.2 million -- 10% of the pool), which is secured by a 57,000 SF retail property in Huntersville, North Carolina. As of December May 2012, the property was 97% leased compared to 100% in 2010. The largest tenant is Tony Fabric D�cor, which leases 38% of the net rentable area through 2014. Performance remains stable. Moody's LTV and stressed DSCR are 39% and 2.73X, respectively, compared to 40% and 2.61X at last review. JP MORGAN 2004-FL1: S&P Lowers Rating on Cl. L Certs to 'CCC-' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'CCC- (sf)' from 'BB (sf)' on the class L commercial mortgage pass- through certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2004-FL1, a U.S. commercial mortgage- backed securities (CMBS) transaction. "We downgraded class L due to accumulated interest shortfalls outstanding for five consecutive months," S&P said. "As of the June 18, 2012, trustee remittance report, the trust had experienced monthly interest shortfalls totaling $4,308 due to interest not advanced on the sole remaining loan in the trust, the Oasis Apartments loan, which the master servicer, Midland Loan Services, determined to be nonrecoverable on Feb. 10, 2012. The interest shortfalls affected the outstanding interest-only classes (not rated by Standard & Poor's) and class L in the trust. Class L has experienced interest shortfalls for five consecutive months. If class L continues to incur interest shortfalls, we may further downgrade this class to 'D (sf)'," S&P said. "The Oasis Apartments loan, the sole remaining loan in the trust, has a trust balance of $1.6 million and a whole loan balance of $2.9 million. The loan is secured by a 128-unit garden-style apartment complex in Las Vegas, Nev. The loan was transferred to the special servicer, CT Investment Co. Inc. (CT), on Aug. 7, 2008, due to imminent default," S&P said. "The borrower subsequently filed for bankruptcy. According to CT, the bankruptcy court confirmed a bankruptcy plan that includes extending the loan's maturity to 2021 from July 10, 2010. CT has stated that since the bankruptcy court did not allow for upfront reimbursement of lender costs, no principal and interest payments will be made to the trust for approximately four years while the master servicer recovers these costs. CT has indicated that it is appealing the confirmation of the bankruptcy plan and has also obtained summary judgment against the guarantor for the debt, which includes default interest and allowable costs. CT stated that it expects the court to rule on the size of the summary judgment within the month, and has also informed us that $3.4 million of the lender claim is not in dispute. The master servicer reported occupancy of 92.0% and in-trust debt service coverage of 2.02x for year-end 2011. The May 26, 2011, appraisal valued the property at $6.0 million. We will continue to monitor the liquidation outcome of the loan and will take appropriate rating action, where warranted," 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 JP MORGAN 2012-CIBX: Moody's Rates Class G Certificates '(P)B2' --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to fourteen classes of CMBS securities, issued by J.P. Morgan Chase Commercial Mortgage Securities Corp. Commercial Mortgage Pass- Through Certificates Series 2012-CIBX Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-3FL, Assigned (P)Aaa (sf)* Cl. A-3FX, Assigned (P)Aaa (sf)* Cl. A-4, Assigned (P)Aaa (sf) Cl. X-A, Assigned (P)Aaa (sf) Cl. X-B, Assigned (P)Ba3 (sf) Cl. A-S, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa2 (sf) Cl. C, Assigned (P)A2 (sf) Cl. D, Assigned (P)Baa1 (sf) Cl. E, Assigned (P)Baa3 (sf) Cl. F, Assigned (P)Ba2 (sf) Cl. G, Assigned (P)B2 (sf) * Holders of the Class A-3FL certificates may exchange all or a portion of their certificates for a like principal amount of Class A-3FX certificates. Ratings Rationale The Certificates are collateralized by 49 fixed rate loans secured by 59 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 1.40X is slightly higher than the 2007 conduit/fusion transaction average of 1.31X. The Moody's Stressed DSCR of 1.04X is higher than the 2007 conduit/fusion transaction average of 0.92X. Moody's Trust LTV ratio of 99.5% is lower than the 2007 conduit/fusion transaction average of 110.6%. Moody's Total LTV ratio, (inclusive of subordinated debt) of 104.3% 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 22.7. which is in-line with other multi-borrower pools rated by Moody's since 2009. The score is in-line with previously rated conduit and fusion transactions but higher than previously rated large loan transactions. With respect to property level diversity, the pool's property level Herfindahl score is 23.0. Five loans (6.6% of the pool balance) are secured by multiple properties. Loans secured by multiple properties benefit from lower cash flow volatility given that excess cash flow from one property can be used to augment another's cash flow to meet debt service requirements. These loans also benefit from the pooling of equity from each underlying property. 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 weighted average grade for the pool is 2.2, which is better than the indices calculated in most multi-borrower transactions since 2009. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000 and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's analysis employs the excel-based CMBS Conduit Model v2.61 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 version 1.0 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 4.6%, 13.4%, or 21.4%, 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. LANDMARK V: Moody's Raises Rating on Class B-1L Notes From 'Ba1' ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Landmark V CDO Ltd.: U.S. $23,000,000 Class A-2L Floating Rate Notes Due June 2017, Upgraded to Aaa (sf); previously on August 15, 2011 Upgraded to Aa1 (sf); U.S. $22,500,000 Class A-3L Floating Rate Notes Due June 2017, Upgraded to Aa3 (sf); previously on August 15, 2011 Upgraded to A2 (sf); U.S. $18,000,000 Class B-1L Floating Rate Notes Due June 2017, Upgraded to Baa3 (sf); previously on August 15, 2011 Upgraded to Ba1 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the Class A-1L notes and an increase in the transaction's overcollateralization ratios since the rating action in August 2011. Moody's notes that the Class A- 1L Notes have been paid down by approximately 41.1% or $100.4 million since the rating action in August 2011. Based on the latest trustee report dated May 2012, the Senior Class A, Class A, Class B-1L and Class B-2L overcollateralization ratios are reported at 130.5%, 117.1%, 108.3% and 103.5%, respectively, versus July 2011 levels of 123.3%, 113.7%, 107.1% and 103.4%, respectively. Notwithstanding benefits of the delevering, 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 2770 compared to 2688 in July 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 $225.0 million, defaulted par of $10.4 million, a weighted average default probability of 19.8% (implying a WARF of 3095), a weighted average recovery rate upon default of 48.7%, and a diversity score of 68. 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 V CDO Ltd., issued in March 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. 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% (3714) A-1L: 0 A-2L: 0 A-3L: -2 B-1L: -1 B-2L: -1 Moody's Adjusted WARF -20% (2476) A-1L: 0 A-2L: 0 A-3L: +2 B-1L: +3 B-2L: +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. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are 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. LATITUDE CLO: S&P Affirms Rating on Class D Notes at 'CCC-' ----------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on one class of notes from Latitude CLO I Ltd., a collateralized loan obligation (CLO) transaction backed by corporate loans and managed by Lufkin Advisors LLC. "We also removed the rating from CreditWatch, where we placed it on April 18, 2012, with positive implications. We affirmed our ratings on five other classes from the transaction and removed four of them from CreditWatch with positive implications," S&P said. "This transaction is currently in its reinvestment phase, which ends in December 2012. The upgrade reflects the improvement in the credit quality of the transaction's portfolio since our March 2010 rating actions. According to the May 2012 trustee report, the amount of defaulted assets within the asset portfolio decreased to $10.23 million from the $25.84 million reported in the January 2010 trustee report, which we used for our March 2010 actions. Over the same time period, the amount of 'CCC' rated assets decreased to $11.50 million from $57.99 million. Due to these and other factors, overcollateralization ratios increased for the A, B, C, and D notes," S&P said. "We note that the transaction has significant exposure to long- dated assets (i.e., assets maturing after the stated maturity of the CLO). According to the May 2012 trustee report, the balances of long-dated assets represent 12.85% of the portfolio. Our analysis accounted for the potential market value and/or settlement-related risk arising from the potential liquidation of the remaining securities on the transaction's legal final maturity date," S&P said. "The affirmations reflect credit support commensurate with our current ratings," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111687.pdf RATING AND CREDITWATCH ACTIONS Latitude CLO I Ltd. Rating Class To From A-2 AA+ (sf) AA (sf)/Watch Pos B-1 BBB- (sf) BBB- (sf)/Watch Pos B-2 BBB- (sf) BBB- (sf)/Watch Pos C CCC+ (sf) CCC+ (sf)/Watch Pos D CCC- (sf) CCC- (sf)/Watch Pos RATING AFFIRMED Latitude CLO I Ltd. Class Rating A-1 AAA (sf) LB-UBS MORTGAGE: Moody's Lowers Rating on Cl. D Certs. to 'B1' -------------------------------------------------------------- Moody's Investors Service downgraded four classes and placed them on review for possible downgrade and affirmed 11 classes of LB-UBS Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-C2 as follows: Cl. A-4, Affirmed at Aaa (sf); previously on Apr 25, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed at Aaa (sf); previously on Apr 25, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-5, Affirmed at Aaa (sf); previously on Dec 17, 2010 Confirmed at Aaa (sf) Cl. A-J, Downgraded to A3 (sf) and Placed Under Review for Possible Downgrade; previously on Nov 10, 2011 Downgraded to Aa3 (sf) Cl. B, Downgraded to Baa2 (sf) and Placed Under Review for Possible Downgrade; previously on Nov 10, 2011 Downgraded to A2 (sf) Cl. C, Downgraded to Ba2 (sf) and Placed Under Review for Possible Downgrade; previously on Nov 10, 2011 Downgraded to Baa2 (sf) Cl. D, Downgraded to B1 (sf) and Placed Under Review for Possible Downgrade; previously on Nov 10, 2011 Downgraded to Ba1 (sf) Cl. E, Affirmed at Caa1 (sf); previously on Nov 10, 2011 Downgraded to Caa1 (sf) Cl. F, Affirmed at Caa2 (sf); previously on Nov 10, 2011 Downgraded to Caa2 (sf) Cl. G, Affirmed at Caa3 (sf); previously on Nov 10, 2011 Downgraded to Caa3 (sf) Cl. H, Affirmed at Ca (sf); previously on Nov 10, 2011 Downgraded to Ca (sf) Cl. J, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. X-CL, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The downgrades of classes AJ through D are due to a recent increase in interest shortfalls stemming from the modification of the Park 80 West Loan. Given the deal's high exposure to specially serviced loans, Moody's has placed these classes on review for possible downgrade in order to further evaluate the ongoing risk of future interest shortfalls from specially serviced and modified loans. The Park 80 West Loan was modified on March 26, 2012 with an A/B Note structure. The modification split the former $100 million interest-only loan into a $72 million A-Note and a $28 million B-Note. The A-Note continues to pay interest at the original contract rate, while interest on the B-Note is accrued and deferred until the occurence of a capital event. The affirmations are due to key parameters, including Moody's LTV ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R)(Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated February 9, 2011. 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. Deal Performance As of the May 17, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 45% to $1.06 billion from $1.94 billion at securitization. The Certificates are collateralized by 80 mortgage loans ranging in size from less than 1% to 19% of the pool, with the top ten loans (excluding defeasance) representing 64% of the pool. The pool includes three loans with investment-grade credit estimates, representing 22% of the pool. Four loans, representing approximately 7% of the pool, are defeased and are collateralized by U.S. Government securities. Twenty-five loans, representing 42% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Sixteen loans have liquidated from the pool, resulting in an aggregate realized loss of $44 million (17% average loan loss severity). Currently, 17 loans, representing 35% of the pool, are in special servicing. Moody's next full review will focus on the impact of interest shortfalls, as well as the performance of the overall pool. LEHMAN BROTHERS: Fitch Affirms D Rating on $57.5MM Class J Notes ---------------------------------------------------------------- Fitch Ratings has upgraded seven classes and affirmed three classes of Lehman Brothers Floating Rate Commercial Mortgage Trust 2007-LLF C5. The upgrades reflect the deleveraging of the transaction due to $1.2 billion in loan repayments since the last review. Fitch's performance expectations incorporate prospective views regarding the outlook of the commercial real estate market. All of the remaining loans have reached their original final maturity dates; three loans have been modified or are in forbearance. Eleven of the twelve remaining loans are in special servicing or are expected to be transferred imminently. Under Fitch's methodology, all loans are modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 9.1% and pooled expected losses are 10.6%. To determine a sustainable Fitch cash flow and stressed value, Fitch analyzed servicer-reported operating statements and STR reports, updated property valuations, and recent sales comparisons. Fitch estimates that average recoveries will be strong at approximately 89.4% in the base case. The transaction is collateralized by 12 loans; five loans are secured by office or office/industrial properties (33.8%), six by hotels (26.1%), and one by industrial properties (40.1%). Ten loans (89.3%) mature in 2012 or have already matured, and two loans (10.7%) mature in 2013/2014. The three largest pooled contributors to losses in the 'B' stress scenario are: the CalWest Industrial Portfolio (40.1%), Sheraton Old San Juan (3.6%) and Park Hyatt Beaver Creek (4.6%). The CalWest Industrial Portfolio loan is secured by 95 warehouse, business park, and flex/office properties located in 12 distinct markets across six states with a total of 23.4 million rentable sf. In addition to the $275 million included in the trust, there is $825 million of pari passu debt and $1.348 billion of mezzanine debt held outside the trust. Since issuance, occupancy has dropped as tenant leases have expired and in place rents have declined. Occupancy at issuance was 92% with in place rents of approximately $7.29 psf. As of April 2012, the portfolio was 83.8% occupied with average in place rents of approximately $7.03 psf. The loan reached its final maturity in June 2012 and is expected to transfer to special servicing imminently. According to news reports, Blackstone Group LP reached an agreement to take control of the properties after having acquired significant portions of the mezzanine debt. The Sheraton Old San Juan loan is secured by the leasehold interest in a full service hotel containing 240 rooms located in San Juan, Puerto Rico. Amenities for the hotel include a casino, meeting space, full service restaurants, a swimming pool, and an exercise room. Performance lags the competition and is well below the banker's expectations underwritten at issuance. The loan transferred to special servicing in November 2011. The special servicer is assessing various resolution strategies. The Park Hyatt Beaver Creek loan is secured by a full serve hotel containing 190 rooms located in Avon, Colorado (Vail). The performance is well below the banker's expectations underwritten at issuance. The loan transferred to special servicing in April 2012 for imminent maturity. Fitch has upgraded these classes and revised outlooks: -- $276,478,550 class A-2 to 'AAAsf' from 'AAsf'; Outlook Stable; -- $80,308,000 class A-3 to 'AAAsf' from 'Asf'; Outlook Stable; -- $52,674,000 class B to 'AAAsf' from 'BBBsf'; Outlook Stable; -- $48,678,000 class C to 'Asf' from 'BBBsf'; Outlook to Stable; -- $31,839,000 class D to 'BBBsf' from 'BBsf'; Outlook to Stable from Negative; -- $28,756,000 class E to 'BBB-sf' from 'BBsf'; Outlook Stable from Negative; -- $28,756,000 class G to 'Bsf' from 'CCC'; Outlook Stable. Fitch has affirmed these classes and revised outlooks: -- $28,756,000 class F at 'BBsf'; Outlook to Stable from Negative; -- $51,761,000 class H at 'CCC', RE 30%; -- $57,513,000 class J at 'D' RE 0%. Classes A-1 and X-1 have paid in full. Fitch does not rate classes CGC, CPE, CQR-1, CQR-2, DMC-1, DMC-2, FBS-1, FBS-2, FTC- 1, FTC-2, HAR-1, HAR-2, HRH, HSS, INO, JHC, LCC, MVR, NOP-1, NOP- 2, NOP-3, OCS, ONA, OWS-1, OWS-2, PHO, SBG, SFO-1, SFO-2, SFO-3, SFO-4, SFO-5, TSS-1, and TSS-2, UCP, VIS, and WHH. Fitch previously withdrew the rating of the interest-only class X- 2. LEHMAN BROTHERS: Moody's Upgrades Rating on Cl. H Secs. to 'B3' --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of four classes and upgraded the ratings of nine classes of Lehman Brothers Floating Rate Commercial Mortgage Trust 2007-LLF C5. Moody's rating action is as follows: Cl. A-2, Upgraded to Aaa (sf); previously on Dec 1, 2011 Upgraded to A1 (sf) Cl. A-3, Upgraded to Aa1 (sf); previously on Dec 1, 2011 Upgraded to Baa1 (sf) Cl. B, Upgraded to Aa3 (sf); previously on Dec 1, 2011 Upgraded to Baa2 (sf) Cl. C, Upgraded to A3 (sf); previously on Dec 17, 2010 Downgraded to Ba2 (sf) Cl. D, Upgraded to Baa2 (sf); previously on Dec 17, 2010 Downgraded to B1 (sf) Cl. E, Upgraded to Baa3 (sf); previously on Dec 17, 2010 Downgraded to B2 (sf) Cl. F, Upgraded to Ba2 (sf); previously on Dec 17, 2010 Downgraded to B3 (sf) Cl. G, Upgraded to Ba3 (sf); previously on Dec 17, 2010 Downgraded to Caa1 (sf) Cl. H, Upgraded to B3 (sf); previously on Dec 17, 2010 Downgraded to Caa3 (sf) Cl. J, Affirmed at Ca (sf); previously on Dec 17, 2010 Downgraded to Ca (sf) Cl. INO, Affirmed at B3 (sf); previously on Dec 1, 2011 Downgraded to B3 (sf) Cl. PHO, Affirmed at Caa1 (sf); previously on Dec 17, 2010 Downgraded to Caa1 (sf) Cl. X-2, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) remaining within acceptable ranges. The upgrades are due to loan payoffs of 14 loans (57% of the pooled balance) and the resulting build up of credit support. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000 and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based Large Loan Model v 8.4. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. The model incorporates the CMBS IO calculator ver1.0 which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and Remittance Statements. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated December 1, 2011. DEAL PERFORMANCE As of the June 15, 2012 Payment Date, the transaction's aggregate certificate balance decreased by approximately 59% from last review to approximately $713 million. The Certificates are collateralized by 12 floating rate whole loans and senior interests in whole loans. The loans range in size from 2% to 40% of the pooled balance, with the top three loans representing 65% of the pooled balance. The trust Herfindahl Index has decreased due to 14 loans paying off since last review, and resulting in a chunkier pool. The current Herfindahl Index is 4.8, down from 13.5 at last review. Majority of the loans have additional debt in the form of a non-pooled or rake bond within the trust, B note or mezzanine debt outside of the trust. The largest loan in the pool is secured by fee and leasehold interests in Calwest Industrial Portfolio Loan ($275 million, or 40% of the pooled balance). There is additional debt in the form of pari passu and mezzanine debt outside the trust. The pro rata portion that is included in the trust as well as the referenced mezzanine debt accounts for 25% of the total outstanding debt. The 95 property portfolio (23.3 million square feet) is located across six states and 12 MSAs. As of April 2012 rent roll, the portfolio was 84% leased. In 2011, total Net Cash Flow (NCF) for the portfolio was $99.3 million compared to $96.3 million achieved in 2010. The loan matured on June 8, 2012. The controlling mezzanine holder (Blackstone) stepped into Walton Street Capital's shoes, and is reported to be seeking financing to retire the outstanding debt. Moody's weighted average LTV for the pooled portion is 103%. Moody's current credit assessment for the pooled portion is B3, compared to Caa3 at last review, reflecting the high likelihood of this loan paying off and the trust not incurring any losses. The second largest loan in the pool, the Normandy Office Portfolio Loan (14% of pooled balance plus $12.5 million rake bonds) transferred to special servicing in October 2011 due to imminent maturity default. The special servicer is still in discussion with the borrower for a potential modification. The portfolio is comprised of ten class A/B office and industrial buildings totaling approximately 1.4 million square feet located in the greater Boston area and northern New Jersey. As of March 2012 rent roll, the portfolio was 71% leased. For the trailing twelve month period ending March 2012, the property achieved NCF of $8.6 million up from $7.7 million achieved in calendar year 2011. Moody's weighted average LTV for the pooled portion is 107%. Moody's current credit assessment for the pooled portion is Caa3. Moody's does not rate three rake bonds associated with this loan (NOP-1, NOP-2, NPO-3). The PHOV Hotel Portfolio Loan (11% of pooled balance plus a $7.4 million rake bond) has been modified and and remains current after it was transferred to special servicing in April 2011 due to imminent maturity default. As part of the modification, the loan maturity date has been extended to September 9, 2013, continued cash management and cash trap at the senior loan level, and a principal curtailment was made. The portfolio includes Marriott Burbank, CA, Marriott Pleasanton, CA, and Renaissance Denver, CO assets totaling 1,130 guestrooms. The portfolio's net cash flow for 2011 was $9.3 million, continuing to trend up from $7.2 million in 2010 and $5.4 million in 2009. Moody's weighted average LTV for the pooled portion is 87%. Moody's current credit assessment for the pooled portion is B3. All the loans in the pool excluding the PHOV Hotel Portfolio Loan are in special servicing. However, a few loans have been modified and pending return to master servicer (Interstate Office Portfolio Loan, Liberty Square Loan and Ventana Inn and Spa Loan) and others are still in discussions for potential modifications. Some of the loans just transferred to special servicing, and are in the process of being evaluated by the special servicer. The cumulated bond loss totals $85,757 and interest shortfalls total $351,131 as of the current distribution date. The majority of the bond losses affect pooled Class J, as well as rake bond classes HSS and INO. A few other rake classes have been affected with minimal losses but are no higher than $22. The interest shortfalls affect pooled Class J, as well as rake bond classes INO, NOP-1, NOP-2, NOP-3, and VIS. There are no outstanding advances. Moody's weighted average pooled LTV ratio is 95% compared to 85% at last review, and Moody's weighted average pooled stressed DSCR is 1.07X compared to 1.19X at last review. LNR CDO 2003-1: S&P Lowers Ratings on 3 Classes to 'D'; Off Watch ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 13 classes from LNR CDO 2003-1 Ltd., a U.S. commercial real estate collateralized debt obligation (CRE CDO) transaction, and removed them from CreditWatch with negative implications. "The downgrades reflect our analysis of the transaction's liability structure and the credit characteristics of the underlying collateral using our global CDO criteria. This criteria includes revisions to our assumptions on correlations, recovery rates, and default patterns and timings of the collateral. It also includes supplemental stress tests (largest obligor default test and largest industry default test), which we considered in our analysis. We also took into account our expected recovery amount for the defaulted assets held in the portfolio," S&P said. "We lowered our ratings on classes G, H, and J to 'D (sf)' because we determined that the classes are unlikely to be repaid in full," S&P said. "According to the May 23, 2012, trustee report, the transaction's collateral totaled $496.6 million, while the transaction's liabilities, including deferred interest, totaled $728.8 million, down from $762.7 million at issuance," S&P said. The transaction is collateralized by 105 CMBS classes from 31 distinct transactions issued between 1999 and 2003. The transaction has exposure to 35 CMBS classes from 13 distinct transactions comprising 37.1% of the collateral pool that Standard & Poor's has downgraded. These three transactions represent 19.4% of the downgraded collateral: - LB-UBS Commercial Mortgage Trust series 2002-C4 (classes L, M, N, and P; $41.0 million; 8.3%); - JPMorgan Chase Commercial Mortgage Securities Corp. series 2002-C1 (classes H, J, K, L, and M; $33.6 million; 6.8%); - LB-UBS Commercial Mortgage Trust series 2003-C5 (classes L, M, N, P, and Q; $21.3 million; 4.3%). "According to the trustee report, the deal is passing the class C and D overcollateralization tests, but failing the class E, F, and G overcollateralization tests. The transaction is passing all of the interest coverage tests," 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 we determine necessary," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE LNR CDO 2003-1 Ltd. Rating Class To From A A- (sf) AAA (sf)/Watch Neg B BB+ (sf) AA (sf)/Watch Neg C-FL BB+ (sf) A+ (sf)/Watch Neg C-FX BB+ (sf) A+ (sf)/Watch Neg D-FL BB- (sf) BBB+ (sf)/Watch Neg D-FX BB- (sf) BBB+ (sf)/Watch Neg E-FL CCC- (sf) BB (sf)/Watch Neg E-FX CCC- (sf) BB (sf)/Watch Neg F-FL CCC- (sf) B- (sf)/Watch Neg F-FX CCC- (sf) B- (sf)/Watch Neg G D (sf) CCC+ (sf)/Watch Neg H D (sf) CCC- (sf)/Watch Neg J D (sf) CCC- (sf)/Watch Neg LONE STAR 2011-1: Fitch Affirms Rating on Six Certificate Classes ----------------------------------------------------------------- Fitch Ratings has affirmed all six classes of Lone Star Funds (LSTAR) 2011-1 commercial mortgage pass-through certificates. The affirmations reflect the expected performance of the underlying collateral pool. The attributes of this transaction, which closed in June 2011, are materially different from other recent Fitch-rated conduit transactions. The loans have substantial seasoning and are scheduled to amortize more rapidly than newly originated loans. The collateral at issuance featured high initial loan to values (LTV's) and low debt service coverage ratios (DSCR). In addition, some loans in the transaction had a history of delinquency at issuance. As of the May 2012 distribution date, the pool's aggregate principal balance paid down 16.76% to $299.2 million from $359.5 million at issuance. Sixteen loans have paid in full since issuance, with 133 of the original 149 loans remaining in the transaction. Multifamily represents 58.7% of the current pool balance. The properties serving as collateral for the loans are also largely concentrated in California (49.1%). No loans are defeased. Interest shortfalls are affecting the unrated class G. Fitch modeled losses of 12.12% of the remaining pool. Fitch has designated 39 loans (28.44% of the pool balance) as Fitch Loans of Concern, which include 12 specially serviced loans (7.91%). The payment status for six of the specially serviced loans (3.46%) are 'Current', with the remaining six loans (4.45%) payment status at '90+ days' delinquent as of the May 2012 remittance date. The largest contributor to Fitch-modeled losses is the 5400 Heritage Tree Lane loan (5.31%), the largest loan in the pool. The loan is secured by a 206 unit multifamily property in Citrus Heights, CA. Common area amenities include two swimming pools with jacuzzis, a small business center, and a gym. Each unit has granite countertops, a private patio, as well as a washing machine and dryer. The year end (YE) 2011 DSCR reported at 1.16 times (x). The occupancy as of April 2012 reported at 92.2% versus 92.7% at issuance. Loan payments have remained current since issuance. The second largest contributor to Fitch-modeled losses is secured by an 87,856 square foot (sf) mixed use property in Fallston, MD (1.38%). The property is improved by a retail shopping center and two single-family houses on three contiguous parcels. Retail tenants include Harvest Fare Super Market and CVS Pharmacy. The loan had transferred to special servicing in September 2011 for payment default. The servicer has initiated foreclosure proceedings, and a receiver was appointed in January 2012. A foreclosure sale was originally scheduled for late March 2012; however, the foreclosure has been postponed pending phase II environmental testing. Fitch has affirmed the following classes: -- $158.12 million class A at 'AAAsf'; Outlook Stable; -- $17.97 million class B at 'AAAsf'; Outlook Stable; -- $28.31 million class C at 'Asf'; Outlook Stable; -- $27.41 million class D at 'BBB-sf'; Outlook Stable; -- $7.64 million class E at 'BBsf'; Outlook Stable; -- $6.74 million class F at 'Bsf'; Outlook Stable. Fitch does not rate the $53.02 million class G, the residual class R or the interest only class X. MACH ONE 2004-1: S&P Cuts Ratings on 3 Classes of Certs. to 'CCC-' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 11 classes of commercial mortgage-backed securities (CMBS) pass- through certificates from Mach One 2004-1 LLC, a U.S. resecuritized real estate mortgage investment conduit (re-REMIC) transaction. "At the same time, we affirmed our ratings on two classes from the transaction, including the interest-only class X based on our current criteria. We also removed all classes from CreditWatch with negative implications," S&P said. "The downgrades and affirmations reflect our analysis of the transaction's liability structure and the credit characteristics of the underlying collateral using our global collateralized debt obligations (CDOs) of pooled structured finance assets criteria. The downgrades also reflect the results of the largest obligor default test, part of the supplemental stress test. The largest obligor default test assesses the ability of a rated CDO of pooled structured finance liability tranche to withstand the default of a minimum number of the largest credit or obligor exposures within an asset pool, factoring in the underlying assets' credit quality," S&P said. "The global CDOs of pooled structured finance assets criteria include revisions to our assumptions on correlations, recovery rates, and the collateral's default patterns and timings. The criteria also include supplemental stress tests (largest obligor default test and largest industry default test) in our analysis," S&P said. According to the May 31, 2012, trustee report, Mach One 2004-1 was collateralized by 35 CMBS classes ($277.1 million, 100%) from 27 distinct transactions issued between 1997 and 2003. The transaction has exposure to five CMBS classes that Standard & Poor's has downgraded: - GS Mortgage Securities Corp. II series 1999-C1 (classes F & G; $22.1 million, 8.0%); - Morgan Stanley Capital I Inc. series 1998-WF2 (class L; $15.9 million, 5.8%); - First Union Commercial Mortgage Trust series 1999-C1 (class G; $7.0 million, 2.5%); and - Morgan Stanley Dean Witter Capital I Trust series 2000-LIFE1 (class K; $0.3 million, 0.1%). 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 determines necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE Mach One 2004-1 LLC Commercial mortgage-backed securities pass-through certificates Rating Class To From A-3 AA- (sf) AAA (sf) / Watch Neg B A- (sf) AAA (sf) / Watch Neg C BBB+ (sf) AA+ (sf) / Watch Neg D BBB- (sf) A+ (sf) / Watch Neg E BB+ (sf) A- (sf) / Watch Neg F B+ (sf) BBB+ (sf) / Watch Neg G CCC+ (sf) BB+ (sf) / Watch Neg H CCC+ (sf) BB- (sf) / Watch Neg J CCC- (sf) B- (sf) / Watch Neg K CCC- (sf) CCC+ (sf) / Watch Neg L CCC- (sf) CCC (sf) / Watch Neg RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE Mach One 2004-1 LLC Commercial mortgage-backed securities pass-through certificates Rating Class To From M CCC- (sf) CCC- (sf) / Watch Neg X AAA (sf) AAA (sf) / Watch Neg ML-CFC COMMERCIAL: Moody's Affirms 'C' Ratings on 8 CMBS Classes ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of two classes and affirmed 19 classes of ML-CFC Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-5 as follows: Cl. A-2, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-2FL, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-2FX, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-SB, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-4, Affirmed at Aa2 (sf); previously on Dec 3, 2009 Downgraded to Aa2 (sf) Cl. A-4FL, Affirmed at Aa2 (sf); previously on Dec 3, 2009 Downgraded to Aa2 (sf) Cl. A-1A, Affirmed at Aa2 (sf); previously on Dec 3, 2009 Downgraded to Aa2 (sf) Cl. AM, Downgraded to Ba1 (sf); previously on Nov 18, 2010 Downgraded to Baa1 (sf) Cl. AM-FL, Downgraded to Ba1 (sf); previously on Nov 18, 2010 Downgraded to Baa1 (sf) Cl. AJ, Affirmed at Caa1 (sf); previously on Nov 18, 2010 Downgraded to Caa1 (sf) Cl. AJ-FL, Affirmed at Caa1 (sf); previously on Nov 18, 2010 Downgraded to Caa1 (sf) Cl. B, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. C, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. D, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. E, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. F, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. G, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. H, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The downgrades are due to higher expected losses due to increased interest shortfalls. Based on the most recent remittance statement, interest shortfalls affect Classes M through AJ. Due to the deal's high exposure to specially serviced loans, Moody's anticipates that it is likely that interest shortfalls may increase higher up the capital stack. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 14.0% of the current balance, the sane as at last review. Realized losses have increased from 1.1% of the original balance to 1.6% since the prior review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 22 compared to 23 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated July 28, 2011. Deal Performance As of the May 14, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 7% to $4.12 billion from $4.42 billion at securitization. The Certificates are collateralized by 298 mortgage loans ranging in size from less than 1% to 19% of the pool, with the top ten loans representing 38% of the pool. The pool contains two loans with investment grade credit estimates, representing less than 2% of the pool. Eighty-four loans, representing 22% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $70.0 million (57% loss severity on average). Currently 29 loans, representing 34% of the pool, are in special servicing. The largest specially serviced loan is the Peter Cooper Village and Stuyvesant Town (PCV/ST) Loan ($800.0 million -- 19.4% of the pool), which represents a pari-passu interest in a $3.0 billion first mortgage loan spread among five separate CMBS deals. There is also a $1.4 billion in mezzanine debt secured by the borrower's interest. The loan is secured by two adjacent multifamily apartment complexes with 11,229 units located on the east side of Manhattan. The loan transferred to special servicing in November 2009 after the Appellate Division, First Department, reversed an August 2007 decision of the State Supreme Court, which held that properties receiving tax benefits, including those pursuant to the J-51 program, be permitted to decontrol rent stabilized apartments pursuant to New York State rent stabilization laws. The court's decision compromised the Borrower's original business plan and the borrower agreed to forfeit ownership rights to the property. As of October 2010, the special servicer engaged Rose Associates to manage the day-to-day operations at the property. The special servicer has been working to resolve the ongoing litigation through settlement talks with the Plaintiffs to decide future legal rents and the historical overcharge liability. The special servicer believes final resolution of the class-action litigation is not likely until early 2014. Overall, property performance has improved since the end of 2009 and the property was appraised for $3.0 billion in September 2011 compared to $2.8 billion in September 2010. The whole loan currently has over $320 million in cumulative ASERs, P&I advances, and property protective advances to date. The special servicer beleives that resolution of the litigation is a prerequisite to optimal capital recovery. The second largest specially serviced loan is the Resurgens Plaza Loan ($81.6 million -- 2.0% of the pool) which is secured on a 393,107 square foot (SF) office property located in the Buckhead submarket of Atlanta, Georgia. The property was 66% leased as of April 2012 compared to 78% at the prior review and 95% at securitization. The loan transferred to special servicing in April 2011 due to imminent monetary default and was later foreclosed on in December 2011. The special servicer plans on stabilizing the property over the next three years and marketing it for sale thereafter. Moody's expects to see significant advances on this loan in order to lease up the property to stabilization. The remaining 27 specially serviced properties are secured by a mix of property types. Moody's estimates an aggregate $435.0 million loss for the specially serviced loans (32% expected loss on average). Moody's has assumed a high default probability for 31 poorly performing loans representing 7% of the pool and has estimated an aggregate $57.1 million loss (19% expected loss on average) from these troubled loans. Moody's was provided with full year 2010/2011 operating results for 90% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 107% compared to 115% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.35X and 1.02X, respectively, compared to 1.32X and 0.95X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loans with investment grade credit estimates represent 1.5% of the pool. The OMNI Senior Living Portfolio Loan ($39.3 million -- 1.0%) is secured by three senior care facilities located in New Jersey. Moody's credit estimate and stressed DSCR are A3 and 3.16X, respectively, compared to A3 and 3.00X at the prior review. The FRIS Chicken Portfolio Loan ($21.8 million -- 0.5%), which represents a pari-passu interest in a $43.5 million first mortgage loan, is secured by 192 Church's Chicken restaurants located in 12 states. Moody's credit estimate and stressed DSCR are A3 and 2.51X, respectively, compared to Baa1 and 2.48X at the prior review. The top three performing conduit loans represent 9% of the pool balance. The largest loan is the Tower 45 Loan ($170.0 million -- 4.1% of the pool), which is secured by a 444,000 SF office building located in the Times Square/Theater District submarket in Manhattan. The property was 87% leased as of March 2012 compared to 99% at last review. The largest tenant is D.E. Shaw & Company, which leases 43% of the premises under leases expiring in 2013, 2015, 2017, and 2021. The increase in vacancy at the property is attributed to D.E. Shaw & Company vacating over 94,000 SF in 2011. The borrower has been actively marketing the vacant space for lease and has been successful leasing up over 3% of the vacant space to two tenants. The loan is interest only for its entire ten-year term. Moody's LTV and stressed DSCR are 102% and 0.90X, respectively, compared to 98% and 0.94X at last review. The second largest loan is the Hotel Gansevoort Loan ($119.9 million -- 2.9% of the pool), which is secured by a 187-room full service boutique hotel located in the Meatpacking District in Manhattan. The loan is currently on the servicer's watchlist for a low DSCR. Property performance declined significantly between 2008 and 2009 but started to rebound in 2010 as the hospitality market in New York improved. Occupancy and RevPAR as of December 2011 were 88% and $346, respectively, compared to 90% and $338 at last review. Moody's LTV and stressed DSCR are 115% and 0.97X, respectively, compared to 122% and 0.91X at last review. The third largest loan is the Renaissance Austin Hotel Loan ($83.0 million -- 2.0% of the pool), which is secured by a 492-room full service hotel located in Austin, Texas. This interest-only loan is currently on the servicer's watchlist for low DSCR. Property performance has continued to decline since 2008 due to excess supply in the market. Despite the excess supply, the hotel has been able to gain some traction through increased group business sales. Occupancy and RevPAR as of January 2012 were 62% and $156, respectively, compared to 61% and $162 at last review. Moody's LTV and stressed DSCR are 135% and 0.88X, respectively, compared to 166% and 0.72X at last review. ML-CFC COMMERCIAL: Moody's Cuts Rating on Cl. C Certs. to 'Caa3' ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of seven classes and affirmed 15 classes of ML-CFC Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-6 as follows: Cl. A-2, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-2FL, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-4, Downgraded to Aa3 (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-1A, Downgraded to Aa3 (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. AM, Downgraded to Ba1 (sf); previously on Nov 18, 2010 Downgraded to A1 (sf) Cl. AJ, Downgraded to Caa1 (sf); previously on Jul 28, 2011 Downgraded to B1 (sf) Cl. AJ-FL, Downgraded to Caa1 (sf); previously on Jul 28, 2011 Downgraded to B1 (sf) Cl. B, Downgraded to Caa2 (sf); previously on Jul 28, 2011 Downgraded to Caa1 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Jul 28, 2011 Downgraded to Caa2 (sf) Cl. D, Affirmed at Ca (sf); previously on Nov 18, 2010 Downgraded to Ca (sf) Cl. E, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. F, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. G, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. H, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. P, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The downgrades are due to higher than expected losses from specially serviced and troubled loans and increased interest shortfalls. Interest shortfalls affect Classes O through AJ. Based on the deal's high exposure to specially serviced loans, it is likely that interest shortfalls may increase higher up the capital stack. Based on the May 2012 remittance statement, Classes AJ and AJ-FL only received 2.1% of their monthly accrued interest payments in May. The downgrades include Classes A-4 and A-1A, which have the longest weighted average life among the super senior Aaa classes with 30% initial credit support. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans the credit enhancement cushion for the super senior classes is likely to be eroded, creating a potential differential in expected loss between those super senior classes benefiting first from paydowns and those classes receiving paydowns last. Although Moody's believes that it is unlikely that Classes A-4 and A-1A will actually experience losses, the expected level of credit enhancement and their priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 15.8% of the current balance. At last review, Moody's cumulative base expected loss was 13.6%. Moody's provides a current list of base losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000 and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 31 compared to 28 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated July 28, 2011. Deal Performance As of the May 14, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 10% to $1.94 billion from $2.15 billion at securitization. The Certificates are collateralized by 137 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 49% of the pool. The pool does not contain any defeased loans or loans with investment grade credit estimates. Forty-two loans, representing 18% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Currently 21 loans, representing 40% of the pool, are in special servicing. The largest specially serviced loan is the MSKP Retail Portfolio Loan A ($223,400,000 -- 11.5% of the pool), which is secured by eight retail properties located throughout Florida. The properties range in size from 63,000 to 230,000 square feet (SF) and total 1.2 million SF. The portfolio was 75% leased as of March 2012 compared to 81% at the prior review. The loan transferred to special servicing in March 2011 due to imminent monetary default. The borrower requested a loan modification since portfolio cash flow was insufficient to cover debt service payments. In March 2012, the borrower and special servicer successfully executed a modification. Terms of the modification include a bifurcation of the original loan into a $130.3 million A-Note and $93.1 million B-Note along with an extension of the maturity date by two years to March 2019. The new B-Note has created ongoing interest shortfalls to the trust in the amount of $435,000 per month. The loan is expected to return to the master servicer within the next one to two months. The second largest specially serviced loan is the Peter Cooper Village and Stuyvesant Town (PCV/ST) Loan ($202.3 million -- 9.6% of the pool), which represents a pari-passu interest in a $3.0 billion first mortgage loan spread among five separate CMBS deals. There is also a $1.4 billion in mezzanine debt secured by the borrower's interest. The loan is secured by two adjacent multifamily apartment complexes with 11,229 units located on the east side of Manhattan. The loan transferred to special servicing in November 2009 after the Appellate Division, First Department, reversed an August 2007 decision of the State Supreme Court, which held that properties receiving tax benefits, including those pursuant to the J-51 program, be permitted to decontrol rent stabilized apartments pursuant to New York State rent stabilization laws. The court's decision compromised the Borrower's original business plan and the borrower agreed to forfeit ownership rights to the property. As of October 2010, the special servicer engaged Rose Associates to manage the day-to-day operations at the property. The special servicer has been working to resolve the ongoing litigation through settlement talks with the Plaintiffs to decide future legal rents and the historical overcharge liability. The special servicer believes final resolution of the class-action litigation is not likely until early 2014. Overall, property performance has improved since the end of 2009 and the property was appraised for $3.0 billion in September 2011 compared to $2.8 billion in September 2010. The whole loan currently has over $320 million in cumulative ASERs, P&I advances, and property protective advances to date. The special servicer beleives that resolution of the litigation is a prerequisite to optimal capital recovery. The third largest specially serviced loan is the Blackpoint Puerto Rico Retail Loan ($84.8 million -- 4.4% of the pool) which is secured by six retail properties located in Puerto Rico. There is also a $7 million B-Note that encumbers the property. The properties range in size from 59,000 to 306,000 SF and total 855,000 SF. The portfolio was 76% leased as of December 2011 compared to 77% at the last review and 89% at securitization. The loan transferred to special servicing in February 2012 due to imminent maturity default when the borrower was unable to pay off the loan at maturity. The special servicer is currently assessing various resolution strategies for the loan. The remaining 18 specially serviced properties are secured by a mix of property types. Moody's estimates an aggregate $231.4 million loss for the specially serviced loans (44% expected loss on average). Moody's has assumed a high default probability for 17 poorly performing loans representing 7% of the pool and has estimated an aggregate $25.1 million loss (18% expected loss on average) from these troubled loans. Moody's was provided with full year 2010/2011 operating results for 97% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 112% compared to 118% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.33X and 0.93X, respectively, compared to 1.39X and 0.93X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three loans represent 13% of the pool. The largest loan is the Westfield Southpark Loan ($150.0 million -- 7.7% of the pool), which is secured by a 1.6 million SF regional mall (887,000 SF of collateral) located in suburban Cleveland, Ohio. Anchors include Dillard's, Macy's, Sears and JC Penney. The in-line stores were 95% leased as of December 2011 compared to 91% at last review and 82% at securitization. Excluding restaurants, jewelry, and theater space, inline sales were $321 per square foot (PSF) in 2011, which is in line with securitization levels. Despite higher occupancy, financial performance declined due to lower revenue from expense reimbursements and higher real estate taxes. The loan is interest only for its entire ten-year term. Moody's LTV and stressed DSCR are 94% and 1.07X, respectively, compared to 105% and 0.95X at last review. The second largest loan is the Steuart Industrial Portfolio Loan ($63.6 million -- 3.3% of the pool), which is secured by ten industrial buildings located in northern Virginia and suburban Maryland. The portfolio was 76% leased as of December 2011 compared to 74% at the prior review. Performance is stable and the loan has five years until maturity. Moody's LTV and stressed DSCR are 136% and 0.70X, respectively, compared to 145% and 0.67X at last review. The third largest loan is the Spring Valley Marketplace Loan ($46.8 million -- 2.4% of the pool), which is secured by 205,000 SF anchored retail center located in Rockland County, New York. The property is anchored by Target (not part of the collateral). Other tenants at the property include TJ Maxx, Michael's, and Bed, Bath & Beyond. The property was 98% leased as of January 2012 which is the same as the prior review. The loan has less than one year remaining on its interest only period before amortizing on a 360 month schedule. Moody's LTV and stressed DSCR are 131% and 0.72X, respectively, compared to 136% and 0.70X at last review. MORGAN STANLEY 2001-IQ: Moody's Affirms 'Caa1' Rating on 2 Certs. ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of six classes of Morgan Stanley Dean Witter Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2001-IQ as follows: Cl. J, Affirmed at Aaa (sf); previously on Jul 7, 2011 Upgraded to Aaa (sf) Cl. K, Affirmed at A2 (sf); previously on Jul 7, 2011 Upgraded to A2 (sf) Cl. L, Affirmed at Ba1 (sf); previously on Jul 7, 2011 Upgraded to Ba1 (sf) Cl. M, Affirmed at Caa1 (sf); previously on Jul 7, 2011 Upgraded to Caa1 (sf) Cl. N, Affirmed at Caa3 (sf); previously on Jul 7, 2011 Upgraded to Caa3 (sf) Cl. X-1, Affirmed at Caa1 (sf); previously on Feb 22, 2012 Downgraded to Caa1 (sf) Ratings Rationale The affirmations of the principal classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class X1, is consistent with the expected credit performance of its reference classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of 2.6% of the current balance compared to 2.0% at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and the IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator version 1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 6 compared to 7 at last review. In cases where the Herf falls below 20, Moody's employs the large loan/single borrower methodology. This methodology uses the excel- based Large Loan Model v 8.4. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated July 7, 2011. Deal Performance As of the May 18, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $18.9 million from $713.0 million at securitization. The Certificates are collateralized by nine mortgage loans ranging in size from less than 1% to 25% of the pool. There are no defeased loans or loans with investment grade credit estimates. Four loans, representing 46% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Six loans have been liquidated from the pool since securitization resulting in an aggregate $3.7 million loss (average loss severity of 1%). There are currently no loans in special servicing. Moody's was provided with full year 2010 and full year 2011 operating results for 75% and 75% of the performing pool respectively. Moody's weighted average LTV is 53% compared to 52% at last full review. Moody's net cash flow reflects a weighted average haircut of 12.3% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed DSCRs are 1.25X and 3.76X, respectively, compared to 1.21X and 3.18X, respectively, at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three loans represent 59% of the pool balance. The largest loan is the Providence Office Building ($4.7 million -- 24.7% of the pool), which is secured by a 55,000 square foot (SF) office property located in Charlotte, North Carolina. As of May 2011, the property was 80% leased compared to 92% at last review. Performance has declined as a result of the decline in occupancy. Moody's LTV and stressed DSCR are 113% and 0.95 X, respectively, compared to 98% and 1.10 X at last review. The second largest loan is the Union Square Shopping Center ($4.4 million -- 23.1% of the pool), which is secured by a 20,800 SF retail property located in New Castle, Pennsylvania, approximately 50 miles northwest of Pittsburgh. As of December 2011, the property was 99% leased, the same as at last review. The three largest tenants are Wal Mart, Staples and Fashion Bug. Performance has remained stable. The loan is fully amortizing. Moody's LTV and stressed DSCR are 26% and 3.85X, compared to 30% and 3.29X at last review. The third largest loan is the Town Center Shopping Center Loan ($2.2 million -- 11.5% of the pool), which is secured by a 78,500 SF retail center located in Jacksonville, Florida. Major tenants include Winn Dixie and Amsterdam Lounge. As of February 2012, the property was 92% leased compared to 100% at last review. Moody's LTV and stressed DSCR are 33% and 3.08X respectively, compared to 36% and 2.84X at last review. MORGAN STANLEY 2002-TOP7: Moody's Cuts Rating on L Certs. to 'C' ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes, downgraded two classes and affirmed seven classes of Morgan Stanley Dean Witter Capital I Inc., Commercial Mortgage Pass- Through Certificates, Series 2002-TOP7 as follows: Cl. C, Affirmed at Aaa (sf); previously on Nov 18, 2010 Upgraded to Aaa (sf) Cl. D, Upgraded to Aaa (sf); previously on Nov 18, 2010 Upgraded to Aa2 (sf) Cl. E, Upgraded to Aa2 (sf); previously on Feb 2, 2007 Upgraded to A1 (sf) Cl. F, Affirmed at Baa1 (sf); previously on Feb 2, 2007 Upgraded to Baa1 (sf) Cl. G, Affirmed at Baa3 (sf); previously on Jun 18, 2002 Definitive Rating Assigned Baa3 (sf) Cl. H, Affirmed at Ba2 (sf); previously on Oct 1, 2009 Downgraded to Ba2 (sf) Cl. J, Affirmed at B3 (sf); previously on Nov 18, 2010 Downgraded to B3 (sf) Cl. K, Affirmed at Caa2 (sf); previously on Nov 18, 2010 Downgraded to Caa2 (sf) Cl. L, Downgraded to C (sf); previously on Nov 18, 2010 Downgraded to Ca (sf) Cl. M, Affirmed at C (sf); previously on Oct 1, 2009 Downgraded to C (sf) Cl. X-1, Downgraded to B3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The upgrades are due to overall improved pool financial performance and increased credit support due to loan payoffs and amortization. The deal balance decreased by 89% since the prior review from $655 million to $71.6 million. The downgrade of Class L is due to increases in realized losses since the prior review. The downgrade to the interest only (IO) class is due to the interest only methodology which calculates the rating of the class using a weighted average rating factor for all bonds the IO class references. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 8.0% of the current balance. At last review, Moody's cumulative base expected loss was 2.9%. The current base expected loss is higher than at the previous review due to the significant paydowns since last review. At last review, Moody's analysis reflected a $18.7 million cumulative base expected loss compared to $5.7 million at this review. Realized losses have increased from 1.1% of the original balance to 1.7% since the prior review. Moody's provides a current list of base losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 8 compared to 32 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.1 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated July 14, 2011. DEAL PERFORMANCE As of the June 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $71.6 million from $969.4 million at securitization. The Certificates are collateralized by 16 mortgage loans ranging in size from less than 1% to 18% of the pool, with the top ten non-defeased loans representing 84% of the pool. Two loans, representing 12% of the pool, have defeased and are secured by U.S. Government securities. Four loans, representing 26% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Ten loans have been liquidated from the pool, resulting in a realized loss of $16.5 million (24% loss severity on average). Currently five loans, representing 38% of the pool, are in special servicing. Moody's estimates an aggregate $3.8 million loss for the specially serviced loans (50% expected loss on average). Moody's has assumed a high default probability for one poorly performing loan representing 7% of the pool and has estimated an aggregate $1.3 million loss (25% expected loss based on a 50% probability default) from this troubled loan. Moody's was provided with full year 2010/2011 operating results for 89% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 59% compared to 63% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 27% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.8%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.55X and 1.90X, respectively, compared to 1.67X and 1.81X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 36% of the pool. The largest conduit loan is the Summerlin Centerpointe Plaza Loan ($12.7 million -- 17.8% of the pool), which is secured by a 144,819 square foot (SF) grocery anchored retail center located in Las Vegas, Nevada. The center is anchored by Albertson's (41% of the net rentable area (NRA); lease expiration December 2026). Other tenants at the property include CVS, H&R Block, State Farm, GNC, Great Clips, Starbucks, Pizza Hut, and McDonalds. The property was 99% leased as of March 2012 which is in line with the prior review. The loan is stable and benefitting from amortization. Moody's LTV and stressed DSCR are 53% and 1.93X, respectively, compared to 59% and 1.74X at last review. The second largest conduit loan is the Brooks Building Loan ($7.1 million -- 10.0% of the pool), which is secured by a 162,029 SF office building located in the Western Loop submarket of Chicago, Illinois. The property is on the watchlist due to low occupancy. Occupancy at the property dropped from 85% to 66% at the end of 2010. Since then, the borrower has successfully been able to lease up the property by 6% to 72% as of September 2011. The loan was scheduled to mature in June 2012 but the servicer extended the loan to July 2012 to give the borrower time to secure takeout financing. Moody's LTV and stressed DSCR are 59% and 1.84X, respectively, compared to 50% and 2.15X at last review. The third largest conduit loan is the 180 North Wabash Loan ($5.6 million -- 7.8% of the pool), which is secured by a 142,938 SF office building located in the East Loop submarket of Chicago, Illinois. The property was 86% leased as of December 2011 which is in line with the prior review. The loan matured in May 2012 but the servicer extended the loan to July 2012 to give the borrower time to secure takeout financing. Moody's LTV and stressed DSCR are 49% and 2.21X, respectively, compared to 38% and 3.01X at last review. MORGAN STANLEY 2004-HQ3: Moody's Affirms Caa3 Rating on Q Certs. ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 17 classes of Morgan Stanley Capital I Trust 2004-HQ3, Commercial Mortgage Pass- Through Certificates, Series 2004-HQ3 as follows: Cl. A-4, Affirmed at Aaa (sf); previously on Mar 10, 2004 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Feb 14, 2007 Upgraded to Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Feb 14, 2007 Upgraded to Aaa (sf) Cl. D, Affirmed at Aaa (sf); previously on Sep 26, 2007 Upgraded to Aaa (sf) Cl. E, Affirmed at Aa1 (sf); previously on Sep 26, 2007 Upgraded to Aa1 (sf) Cl. F, Affirmed at Aa3 (sf); previously on Sep 26, 2007 Upgraded to Aa3 (sf) Cl. G, Affirmed at A2 (sf); previously on Feb 14, 2007 Upgraded to A2 (sf) Cl. H, Affirmed at Baa1 (sf); previously on Mar 10, 2004 Definitive Rating Assigned Baa1 (sf) Cl. J, Affirmed at Baa2 (sf); previously on Mar 10, 2004 Definitive Rating Assigned Baa2 (sf) Cl. K, Affirmed at Baa3 (sf); previously on Mar 10, 2004 Definitive Rating Assigned Baa3 (sf) Cl. L, Affirmed at Ba1 (sf); previously on Mar 10, 2004 Definitive Rating Assigned Ba1 (sf) Cl. M, Affirmed at Ba2 (sf); previously on Mar 10, 2004 Definitive Rating Assigned Ba2 (sf) Cl. N, Affirmed at B1 (sf); previously on Nov 18, 2010 Downgraded to B1 (sf) Cl. O, Affirmed at B2 (sf); previously on Nov 18, 2010 Downgraded to B2 (sf) Cl. P, Affirmed at B3 (sf); previously on Nov 18, 2010 Downgraded to B3 (sf) Cl. Q, Affirmed at Caa3 (sf); previously on Nov 18, 2010 Downgraded to Caa3 (sf) Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 3.0% of the current pooled balance compared to 2.1% at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy- induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 14 compared to 16 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel based Large Loan Model v 8.4 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated August 25, 2011. Deal Performance As of the June 13, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 46% to $719 million from $1.3 billion at securitization. The Certificates are collateralized by 78 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans representing 54% of the pool. Eight loans, representing 12% of the pool, have been defeased and are collateralized with U.S. Government Securities. One loan, representing 15% of the pool, has an investment grade credit assessment. Two loans, representing 22% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $5 million (70% average loss severity). There are no loans in special servicing. Moody's has assumed a high default probability for nine poorly performing loans representing 12% of the pool and has estimated a $14 million aggregate loss (16% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2010 and full or partial year 2011 operating results for 100% and 97% of the conduit, respectively. The conduit portion of the pool excludes troubled and defeased loans as well as the loan with a credit assessment. Moody's weighted average conduit LTV is 82% compared to 86% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed conduit DSCRs are 1.34X and 1.25X, respectively, compared to 1.30X and 1.21X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with an investment-grade credit assessment is the GIC Office Portfolio Loan ($105 million -- 14.6% of the pool), which is a pari-passu interest in a $670 million first mortgage loan. The portfolio is also encumbered by a $120 million B-note. The portfolio is secured by 12 office properties totaling 6.4 million square feet (SF) that are located in seven states. The largest geographic concentrations are Illinois (39%), Pennsylvania (17%) and California (12%). The portfolio was 87% leased as of December 2011, which is the same as at last review. Moody's current credit estimate and stressed DSCR are Baa3 and 1.44X, which is the same as at last review. The top three conduit loans represent 24% of the pool. The largest loan is the Harbor Steps Loan ($94 million -- 13.0% of the pool), which is secured by a 739 unit, four building, class A apartment complex located in Seattle, Washington's Financial District. The complex is also encumbered by a $21 million B-note. The collateral was 95% occupied at March 2012 compared to 98% at March 2011. The portfolio's average rent increased by over 10%, which caused performance to improve despite the small occupancy decline. Moody's LTV and stressed DSCR are 79% and 1.09X, respectively, compared to 82% and 1.05X at last review. The second largest conduit loan is the Alamo Quarry Market & Quarry Crossing Loan ($60 million -- 8.4% of the pool), which represents a pari passu interest in a $95 million first mortgage loan. The loan is secured by a 590,000 SF power center located in San Antonio, Texas. The center was 94% leased at March 2012 compared to 97% at last review. The decline in occupancy is due to Border's vacating its 30,000 SF space. The borrower does not consolidate the property's tenant sales reports, but many tenants including: Victoria's Secret, Lululemon, White House Black Market and Whole Foods reported strong sales with a double digit percentage increase. Moody's LTV and stressed DSCR are 84% and 1.13X, respectively, compared to 94% and 1.01X at last review. The third largest conduit loan is the Lifetime Pool Loan ($22 million -- 3.1% of the pool), which is secured by two health & fitness clubs totaling 279,000 SF. The properties are located in Canton and Rochester Hills, Michigan. Lifetime Fitness, which trades on the NYSE (Ticker: LTM), leases the properties through October 2023 with a blended base rent of $17 PSF. Lifetime operates approximately 100 similar facilities throughout the United States and Canada. Moody's LTV and stressed DSCR are 90% and 1.77X, respectively, compared to 93% and 1.71X at last review. MORGAN STANLEY 2006-18: Moody's Removes Rating on $43-Mil. Notes ---------------------------------------------------------------- Moody's Investors Service corrected the rating history and withdrawn the rating for U.S. $43,000,000 Floating Rate Notes due September 20, 2013 (the "Notes") issued by Morgan Stanley ACES SPC, Series 2006-18 (the "Issuer"). The Issuer redeemed and cancelled the Notes on August 12, 2009. In error, Moody's continued to monitor the Notes and on October 30, 2009, downgraded the rating to Caa3 (sf) from B3 (sf). Moody's has now removed the October 30, 2009 downgrade to Caa3 (sf) and withdrawn the B3 (sf) rating as of August 12, 2009 due to obligation no longer outstanding. MORGAN STANLEY 2007-IQ14: S&P Rates Class A-A-MFX Certs. 'BB' ------------------------------------------------------------- Standard & Poor's Ratings Services assigned its 'BB (sf)' rating to the $70.0 million class A-MFX commercial mortgage pass-through certificates and concurrently withdrew its 'BB (sf)' rating on the $70.0 million class A-MFL certificates from Morgan Stanley Capital I Trust 2007-IQ14, a U.S. commercial mortgage-backed securities (CMBS) transaction. "In addition, we assigned our 'CCC- (sf)' rating to the $32.349 million class A-JFX certificates from the same transaction," S&P said. "Our assigned rating on class A-MFX and our simultaneous rating withdrawal on class A-MFL follow the issuance of the A-MFX certificates in connection with the termination of the interest rate swap agreement applicable to the $70.0 million class A-MFL certificates. The rating assigned to class A-JFX follows the issuance of this class of certificates in connection with the partial termination of the interest rate swap agreement relating to the class A-JFL certificates," S&P said. "Standard & Poor's previously rated the class A-MFL certificates 'BB (sf)'.Interest rate swap agreements support the floating-rate interest payments due on class A-MFL. The terms of these certificates permit the interest payments to be converted to the interest rate on the underlying class A-MFL real estate investment conduit (REMIC) regular interest if the applicable interest rate swap agreement is terminated or if continuing payment default exists on the related swap. As a result of this swap termination, the $70.0 million class A-MFL certificates will no longer be outstanding; thus, we withdrew our rating on this class. Concurrently, the class A-MFX certificates issued will have an outstanding principal balance of $70.0 million," S&P said. "Any payments or losses on the underlying class A-MFL REMIC regular interest that would have previously been allocable to the class A-MFL certificates will now be allocated to the class A-MFX certificates," S&P said. "Standard & Poor's currently rates the class A-JFL certificates 'CCC- (sf)'. Interest rate swap agreements support the floating- rate interest payments due on class A-JFL. The terms of these certificates permit the interest payments to be converted to the interest rate on the underlying class A-JFL REMIC regular interest if the applicable interest rate swap agreement is terminated or if continuing payment default exists on the related swap. The trust elected to terminate the class A-JFL swap agreement with respect to $32.349 million of the class A-JFL certificates' $192.389 million outstanding. In connection with this partial swap termination, the $32.349 million portion has been re-designated as the class A-JFX certificates," S&P said. "Concurrent with the partial swap termination, the class A-JFL certificates will be split into two classes. The $192.389 million class A-JFL certificates will be split into the $160.04 million class A-JFL certificates, which will continue to receive floating- rate interest payments, and the $32.349 million class A-JFX certificates, which will receive interest payments. As a result of the split, any payments or losses on the underlying class A-JFL REMIC regular interest that would have previously been allocable in their entirely to the class A-JFL certificates will now be allocated to the class A-JFL and A-JFX certificates on a pro rata basis, as applicable," 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/1111688.pdf RATINGS ASSIGNED Morgan Stanley Capital I Trust 2007-IQ14 Commercial mortgage pass-through certificates Class Rating A-MFX BB (sf) A-JFX CCC- (sf) RATING WITHDRAWN Morgan Stanley Capital I Trust 2007-IQ14 Commercial mortgage pass-through certificates Rating Class To From A-MFL NR BB (sf) NR-Not rated. NOMURA ASSET: Moody's Lowers Rating on Cl. M-2 Tranche to 'C' ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 12 tranches, upgraded the rating of one tranche, and confirmed the ratings of 13 tranches from eight RMBS transactions, backed by Alt-A loans, issued by Nomura Asset Acceptance Corporation. In addition, the rating on Class AIO-2 from Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2003-A2 has been reinstated after having been inadvertently withdrawn on April 15, 2009. 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 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 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 and 3) bonds that financial guarantors insure. 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. 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. Bonds insured by financial guarantors The credit quality of RMBS that a financial guarantor insures reflect the higher of the credit quality of the guarantor or the RMBS without the benefit of the guarantee. As a result, the rating on the securities is the higher of 1) the guarantor's financial strength rating and 2) the current underlying rating, which is what the rating of the security would be absent consideration of the guaranty. The principal methodology Moody's uses in determining the underlying rating is the same methodology for rating securities that do not have financial guaranty, described earlier. When assigning the final ratings to senior bonds, in addition to the methodologies, 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 8.2% 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 these transactions. Complete rating actions are as follows: Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2004-AP1 Cl. A-5, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2004-AP2 Cl. A-5, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade Cl. A-6, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2004-AP3 Cl. A-5A, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Cl. A-5B, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Cl. A-6, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Underlying Rating: Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2004-AR1 Cl. I-A, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade Cl. II-A, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade Cl. III-A, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade Cl. IV-A, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade Cl. IV-X, Downgraded to Caa1 (sf); previously on Feb 22, 2012 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2004-AR2 Cl. M-1, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to C (sf); previously on Feb 28, 2011 Downgraded to Ca (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2004-AR3 Cl. I-A-1, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. I-A-2, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-A, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-A-1, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-A-2, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-A-3, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-A-4, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-A-5, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2004-AR4 Cl. M-1, Upgraded to B2 (sf); previously on Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2003-A2 Cl. AIO-2, Reinstated to Caa2 (sf) Cl. M1, Downgraded to A1 (sf); previously on Aug 11, 2003 Assigned Aa1 (sf) Cl. M2, Downgraded to Baa2 (sf); previously on Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. B1, Downgraded to B3 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. B2, Downgraded to Ca (sf); previously on Feb 28, 2011 Downgraded to Caa2 (sf) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF290091 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 OCTAGON INVESTMENT X: S&P Raises Rating on Class E Notes to 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B, C, D, and E notes from Octagon Investment Partners X Ltd. and removed them from CreditWatch, where S&P placed them with positive implications on June 18, 2012. "At the same time, we affirmed the ratings on the A-1 and A-1R classes. Octagon Investment Partners X Ltd. is a collateralized loan obligation (CLO) transaction managed by Octagon Credit Investors LLC," S&P said. "The upgrades mainly reflect improvements in the credit quality of the assets in the transaction's underlying asset portfolio since our March 30, 2010, downgrades. The affirmations reflect sufficient credit support available to the notes at the current rating levels," S&P said. Octagon Investment Partners X Ltd. will be in its reinvestment period until October 2013, and the collateral manager is investing all principal proceeds in new collateral. "Transaction performance has improved since our last review in 2010. Most notably, the amounts of 'CCC' rated and defaulted assets held in the transaction have decreased. According to the May 11, 2012, trustee report, which we referenced for the actions, the transaction has no defaulted assets. This compares with $13.87 million in defaulted assets noted in the Feb. 11, 2010, trustee report, which we used for our March 2010 downgrades. The May 2012 report noted that the transaction has about 4.3% of the collateral in 'CCC' rated assets, down from about 6.6% in February 2010," S&P said. The increase in performing assets and the decrease in 'CCC' rated and defaulted assets have improved the B, C, D, and E overcollateralization (O/C) ratios more than 2.4%. Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111687.pdf RATING AND CREDITWATCH ACTIONS Octagon Investment Partners X Ltd. Rating Class To From B AA (sf) A+ (sf)/Watch Pos C A (sf) BBB+ (sf)/Watch Pos D BBB (sf) BB+ (sf)/Watch Pos E BB (sf) CCC+ (sf)/Watch Pos RATINGS AFFIRMED Octagon Investment Partners X Ltd. Class Rating A-1 AA+ (sf) A-1R AA+ (sf) TRANSACTION INFORMATION Issuer: Octagon Investment Partners X Ltd. Collateral manager: Octagon Credit Investors LLC Trustee: The Bank of New York Mellon Transaction type: Cash flow CLO OWS CLO I: S&P Affirms 'BB+' Rating on Class C Notes; Off Watch --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2, B, X-1, and X-2 notes from OWS CLO I Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Alcentra Ltd. "At the same time, we removed our ratings on these classes from CreditWatch with positive implications, where we placed them on April 18, 2012. We also affirmed our ratings on the class A-1, C, and D notes and removed our rating on the class C notes from CreditWatch with positive implications," S&P said. "The upgrades mainly reflect paydowns to the class A-1 notes and a subsequent improvement in the overcollateralization (O/C) available to support the notes since March 2011, when we upgraded all of the notes. Since that time, the transaction has paid down the class A-1 notes by approximately $109.2 million, reducing the outstanding note balance to 22.24% of the original balance at issuance," S&P said. Mainly due to paydowns to the class A-1 notes, the upgrades also reflect an improvement in the O/C available to support the notes since S&P's March 2011 rating actions. The trustee reported the following O/C ratios in the May 2012 monthly report: - The class A O/C ratio was 153.88%, compared with a reported ratio of 121.21% in February 2011; - The class B O/C ratio was 127.24%, compared with a reported ratio of 112.28% in February 2011; - The class C O/C ratio was 115.78%, compared with a reported ratio of 107.75% in February 2011; and - The class D O/C ratio was 105.45%, compared with a reported ratio of 102.85% in February 2011. "The transaction is no longer in its reinvestment period and, subsequently, we expect further paydowns to the senior notes going forward," S&P said. "We affirmed our ratings on the class A-1, C, and D notes to reflect the availability of credit support at the current rating levels," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. 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 OWS CLO I Ltd. Rating Class To From A-2 AAA (sf) AA+ (sf)/Watch Pos B A (sf) BBB+ (sf)/Watch Pos C BB+ (sf) BB+ (sf)/Watch Pos X-1 AAA (sf) A+ (sf)/Watch Pos X-2 AAA (sf) A+ (sf)/Watch Pos RATINGS AFFIRMED OWS CLO I Ltd. Class Rating A-1 AAA (sf) D CCC+ (sf) TRANSACTION INFORMATION Issuer: OWS CLO I Ltd. Coissuer: OWS CLO I Corp. Collateral manager: Alcentra Ltd. Underwriter: Institutional Credit Partners LLC Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO OZLM FUNDING: S&P Rates $21.6MM Class D Deferrable Notes 'BB' ------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to OZLM Funding Ltd./OZLM Funding LLC's $459 million floating-rate notes. The note issuance is collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of June 26, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: - The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. - The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (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 asset manager's experienced management team. - S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which it assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.3439%-12.6500%. - The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111687.pdf PRELIMINARY RATINGS ASSIGNED OZLM Funding Ltd./OZLM Funding LLC Class Rating Amount (mil. $) A-1 AAA (sf) 322.8 A-2 AA (sf) 58.0 B (deferrable) A (sf) 37.5 C (deferrable) BBB (sf) 19.1 D (deferrable) BB (sf) 21.6 Subordinated notes NR 51.7 NR-Not rated. PALISADES CDO: Fitch Junks Rating on Seven Note Classes ------------------------------------------------------- Fitch Ratings has downgraded two and affirmed five classes of notes issued by Palisades CDO, Ltd. as follows: -- $130,187,045 class A-1A notes to 'CCCsf' from 'Bsf/OutN'; -- $2,134,214 class A-1B notes to 'CCCsf' from 'Bsf/OutN'; -- $88,500,000 class A-2 notes at 'Csf'; -- $78,000,000 class B-1 notes at 'Csf'; -- $6,000,000 class B-2 notes at 'Csf'; -- $12,844,000 class C-1 notes at 'Csf'; -- $13,266,501 class C-2 notes at 'Csf'. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model (SF PCM) for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also considered additional qualitative factors into its analysis to conclude the rating actions for the rated notes. Since the last review in June 2011, the credit quality of the portfolio has deteriorated, with approximately 22.3% of the portfolio downgraded a weighted average of 5 notches. Currently, 76.9% of the current portfolio has a Fitch derived rating below investment grade and 68.2% has a rating in the 'CCC' rating category or lower, compared to 68.8% and 58.7% respectively, at last review. In addition, 52.2% of the portfolio is considered defaulted per the trustee, up from 30.6% at last review. Although the class A-1A and A-1B (together, class A-1) notes have paid down approximately $45.5 million of its previous outstanding balance through excess spread and principal proceeds, the current cash flow modeling results indicate that breakevens for the notes have decreased since last review and the notes are now passing at 'B' in only one cash flow model scenario, with minimal cushion. The risk of adverse selection remains a concern as the portfolio becomes more concentrated. Additionally, the portfolio WARF has deteriorated since the last review, and the notes are currently reliant on assets rated 'CCC' to perform. Fitch does not assign Outlooks to classes rated 'CCC' and below. Breakeven levels for the class A-2, class B-1, class B-2, class C- 1, and C-2 notes were below SF PCM's 'CCC' default level, the lowest level of defaults projected by SF PCM. For these classes, Fitch compared the respective credit enhancement levels to the expected losses from the distressed and defaulted assets in the portfolio (rated 'CCsf' or lower). This comparison indicates that default continues to appear inevitable for these classes of notes at or prior to maturity. Palisades CDO is a structured finance collateralized debt obligation (SF CDO) that closed on July 15, 2004 and is managed by Western Asset Management Company. As of the May 2012 trustee report, the portfolio is comprised of residential mortgage backed securities (88.3%), consumer and commercial asset backed securities (9.1%), corporate CDOs (1.9%), commercial mortgage backed securities (.4%), and SF CDOs (.3%) from 1997 through 2004 vintage transactions. PNC MORTGAGE: Fitch Affirms 'D' Rating on Five Note Classes ----------------------------------------------------------- Fitch Ratings upgrades PNC Mortgage Acceptance Corp., series 2000- C1. The upgrades are the result of increased credit enhancement. Fitch modeled losses of 23% of the remaining pool; expected losses of the original pool are at 6.8%, including losses already incurred to date. As of the June 2012 distribution date, the pool's aggregate principal balance has been paid down by approximately 95% to $29.1 million from $1.24 billion at issuance. Four (14%) of the remaining 21 loans are defeased. One asset is with the special servicer (15.1%). Interest shortfalls are currently affecting classes G and H with cumulative unpaid interest totaling $3.5 million. Fitch stressed the cash flow of the non-defeased, non-specially serviced loans by applying a 10% reduction to 2011 fiscal year-end net operating income, and applying a stressed cap rate to determine value. Under this analysis, two loans, in addition to the specially serviced asset, are expected to incur a loss. The largest asset in the pool (15.1%) and the largest contributor to loss is a vacant 455, 000 square foot industrial property in Auburn Hills, MI. The asset is real estate owned (REO) and is listed for sale. Fitch upgrades the following classes as indicated: -- $4.8 million class F to 'AAAsf' from 'AA+sf'; Outlook Stable; -- $12 million class G to 'Bsf' from 'CCC', Outlook Stable. Fitch affirms the following: -- $12 million class H at 'Dsf'; RE 50%; -- Class J at 'Dsf'; RE 0%; -- Class K at 'Dsf'; RE 0%; -- Class L at 'Dsf'; RE 0%; -- Class M at 'Dsf'; RE 0%. Classes A-1, A-2, B, C, D and E are paid in full. Fitch does not rate class O. The ratings on class N and interest-only class X have previously been withdrawn. RACE POINT III: S&P Raises Rating on Class E Notes to 'BB' ---------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A, B, C, and E notes from Race Point III CLO Ltd., a collateralized loan obligation (CLO) transaction managed by Sankaty Advisors LLC. "At the same time, we affirmed our rating on the class D notes," S&P said. "The rating actions follow our performance review of the transaction and reflect a relatively positive rating migration of the underlying portfolio and improvement in the overcollateralization available since our March 2010 rating actions, when we lowered our ratings on all of the notes. Since our March 2010 rating actions, we have observed a decrease in the amount of defaulted assets due to the sale or reclassification of defaulted assets into 'CCC' or higher rating categories. As of May 2012, the transaction held $4.0 million (or 0.7% of the collateral pool) in defaulted assets, down from $29.3 million (or 5.2%) in defaulted assets as of March 2010. We also have observed that the amount of assets with ratings in the 'CCC' range have decreased to $8.4 million (or 1.4%), down from $20.7 million (or 3.7%) as of March 2010," S&P said. "The transaction's overcollateralization (O/C) ratios have improved since March 2010 on average by approximately 2.2%. The increase of the transaction's weighted-average spread was also a positive factor in our rating analysis. The increase in the weighted average spread reflects the collateral manager's continuous reinvestment of redemption proceeds into assets that pay greater margins. The transaction is still in its reinvestment period and all of the rated classes have their original principal balances outstanding," S&P said. "We will continue to review our ratings on the notes and assess whether, in our view, the ratings remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com Race Point III CLO Ltd. Rating Class To From A AA+ (sf) A+ (sf) B AA (sf) A- (sf) C A- (sf) BB+ (sf) E BB (sf) B+ (sf) RATING AFFIRMED Race Point III CLO Ltd. Class Rating D BB+ (sf) RAMP SERIES: Moody's Raises Rating on Class M-2 Tranche From Ba3 ---------------------------------------------------------------- Moody's Investors Service has upgraded the rating of the Class M-2 tranche issued by RAMP Series 2002-RZ2 Trust. This transaction is backed primarily by first-lien, Subprime loans. Ratings Rationale The action is 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 action reflects 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 its analysis, Moody's also took into account the fact that the Class M-2 tranche has small unpaid prepayment interest shortfalls (four basis points of the current tranche balance in total). According to the Pool and Servicing Agreement for this transaction, prepayment interest shortfalls are covered by compensating interest that is due to the servicer in the particular distribution period when the prepayment interest shortfalls occur. However, if that month's compensating interest is insufficient to cover the prepayment interest shortfalls in any period then the unpaid shortfalls are allocated to the tranches and paid at the bottom of the available funds waterfall. Moody's does not expect these prepayment interest shortfalls to be paid off but the final shortfall amount should not be materially higher than the current shortfall of four basis points. When assigning the final ratings to senior bonds, in addition to the methodologies, 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 between 8% and 9% and home prices dropping another 1% from their 4Q 2011 levels. Complete rating actions are as follows: Issuer: RAMP Series 2002-RZ2 Trust Cl. M-2, Upgraded to A2 (sf); previously on Jan 31, 2012 Ba3 (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_SF290087 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 SALOMON BROTHERS: Moody's Lifts Rating on Cl. M-1 Secs. From B1 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 1 tranche from Salomon Brothers Mortgage Securities VII, Inc. 1998-OPT2. 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 and Moody's Analytics (MA) still expect a below-trend growth for the US economy for 2012, with the unemployment rate remaining high and home prices dropping another 1% from the levels seen in 4Q 2011. Complete rating actions are as follows: Issuer: Salomon Brothers Mortgage Securities VII, Inc. Series 1998-OPT2 M-1, Upgraded to Baa3 (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_SF290086 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 SANDELMAN FINANCE 2006-2: S&P Ups Rating on Class D Notes to 'BB+' ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on four classes of notes from Sandelman Finance 2006-2 Ltd., a collateralized loan obligation (CLO) transaction backed by corporate loans. "At the same time, we removed the ratings from CreditWatch with positive implications, where we placed them on April 18, 2012. We also affirmed our ratings on two other classes from the transaction," S&P said. "The upgrades reflect performance improvements we have observed in the transaction's underlying asset portfolio since our last rating action. The affirmation reflects credit support commensurate with the current rating levels," S&P said. "This transaction will be in its reinvestment period until February 2013. According to the April 2012 trustee report, there were no defaulted assets within the asset portfolio, compared with $31.45 million reported in the December 2009 trustee report, which we used for our March 2010 actions. Over the same time period, the amount of 'CCC' rated assets decreased to $54.44 million from $69.25 million. The deal has also made paydowns to the class B and C notes from excess interest proceeds. The transaction has paid down the class B notes by $7.79 million and it has paid down the class C notes by $5.20 million since the March 2010 rating actions. Due to these and other factors, the overcollateralization (O/C) ratios for the class A, B, C, and D notes have increased," S&P said. "Our ratings on the class C and D notes are driven by the application of the largest obligor default test, a supplemental stress test we introduced as part of our September 2009 corporate criteria update," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Sandelman Finance 2006-2 Ltd. Rating Class To From A-2 AA+ (sf) AA (sf)/Watch Pos B AA- (sf) A (sf)/Watch Pos C BBB+ (sf) BB+ (sf)/Watch Pos D BB+ (sf) B+ (sf)/Watch Pos RATINGS AFFIRMED Sandelman Finance 2006-2 Ltd. Class Rating A-1A AAA (sf) A-1B AAA (sf) SANTANDER CONSUMER: Moody's Reviews 'Ba2' Ratings for Upgrade ------------------------------------------------------------- Moody's Investors Service has placed on review for upgrade 11 subordinate tranches from three 2011 subprime auto loan transactions sponsored by Santander Consumer USA Inc. Complete rating actions are as follows: Issuer: Santander Consumer Acquired Receivables Trust 2011-S1 Class B, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Mar 28, 2011 Definitive Rating Assigned Aa1 (sf) Class C, A2 (sf) Placed Under Review for Possible Upgrade; previously on Mar 28, 2011 Definitive Rating Assigned A2 (sf) Class D, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Mar 28, 2011 Definitive Rating Assigned Baa2 (sf) Issuer: Santander Drive Auto Receivables Trust 2011-1 Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on May 6, 2011 Definitive Rating Assigned Aa1 (sf) Cl. C, A1 (sf) Placed Under Review for Possible Upgrade; previously on May 6, 2011 Definitive Rating Assigned A1 (sf) Cl. D, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on May 6, 2011 Definitive Rating Assigned Baa2 (sf) Cl. E, Ba2 (sf) Placed Under Review for Possible Upgrade; previously on May 6, 2011 Definitive Rating Assigned Ba2 (sf) Issuer: Santander Drive Auto Receivables Trust 2011-2 Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Jun 30, 2011 Definitive Rating Assigned Aa1 (sf) Cl. C, A1 (sf) Placed Under Review for Possible Upgrade; previously on Jun 30, 2011 Definitive Rating Assigned A1 (sf) Cl. D, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Jun 30, 2011 Definitive Rating Assigned Baa2 (sf) Cl. E, Ba2 (sf) Placed Under Review for Possible Upgrade; previously on Jun 30, 2011 Definitive Rating Assigned Ba2 (sf) Ratings Rationale The reviews of the 2011-1 and 2011-2 transactions were driven by the buildup of credit enhancement due to the sequential pay structure and stabilizing performance. The review of the Santander Consumer Acquired Receivables Trust 2011-S1 transaction is driven by the downward revision of the underlying pools' collateral net loss expectation. Securities from Santander Consumer Acquired Receivables Trust 2011-S1, which is a re-securitization of the overcollateralization of CitiFinancial Auto Issuance Trust 2009-1, were also placed on review for possible upgrade due to the reduction in Moody's lifetime expected loss of the underlying CitiFinancial transaction. Additionally, each tranche's target enhancement level is broken out into two portions. One part is calculated based on the current pool balance and the other is based on the original pool balance. The portion of the target enhancement level that is based on the original pool balance is non-declining. This will enable the tranches level of credit enhancement to increase over time. Below are key performance metrics (as of the May 2012 distribution date) and credit assumptions for each affected transaction. Credit assumptions include Moody's expected lifetime CNL expected range which is expressed as a percentage of the original pool balance. Performance metrics include pool factor which is the ratio of the current collateral balance to the original collateral balance at closing; total credit enhancement, which typically consists of subordination, overcollateralization, and a reserve fund; and per annum excess spread. Issuer: Santander Drive Auto Receivables Trust 2011-1 Lifetime CNL expected Range - 13.00% - 15.00%, prior expectation (December 2011) - 15.00% Pool factor -- 65.9% Total credit enhancement (excluding excess spread ): Class A - 62.03%, Class B - 45.34%, Class C - 36.24%, Class D - 22.59%, Class E - 18.03% Excess spread -- Approximately 9.9% per annum Issuer: Santander Drive Auto Receivables Trust 2011-2 Lifetime CNL expected Range - 13.00% - 15.00%, prior expectation (December 2011) - 15.00% Pool factor -- 69.8% Total credit enhancement (excluding excess spread ): Class A -- 59.4%, Class B -- 43.65%, Class C -- 35.05%, Class D -- 22.16%, Class E -- 17.86% Excess spread -- Approximately 9.9% per annum Issuer: Santander Consumer Acquired Receivables Trust 2011-S1 (underlying CitiFinancial Auto Issuance Trust 2009-1) Lifetime CNL expected Range - 6.00% - 6.50%, prior expectation (Dec 2011) - 7.00% Pool factor -- 35.4% Total credit enhancement (excluding excess spread ): Class A - 41.05%, Class B -- 25.09%, Class C -- 12.65%, Class D -- 9.24% Excess spread -- Approximately 10% per annum The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current macroeconomic environment, in which unemployment continues to remain at elevated levels, and strength in the used vehicle market. Moody's currently views the used vehicle market as much stronger now than it was at the end of 2008 when the uncertainty relating to the economy as well as the future of the U.S auto manufacturers was significantly greater. Overall, Moody's expects overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. The principal methodology used in these ratings was "Moody's Approach to Rating U.S. Auto Loan Backed Securities " published in May 2011. SANTANDER DRIVE: Fitch to Rate $47.46-Mil. Class E Notes 'BBsf' --------------------------------------------------------------- Fitch Ratings expects to rate Santander Drive Auto Receivables Trust 2012-4 as follows: -- $281,000,000 class A-1 notes 'F1+sf'; -- $398,660,000 class A-2 notes 'AAAsf'; Outlook Stable; -- $237,850,000 class A-3 notes 'AAAsf'; Outlook Stable; -- $150,290,000 class B notes 'AAsf'; Outlook Stable; -- $189,830,000 class C notes 'Asf'; Outlook Stable; -- $142,370,000 class D notes 'BBBsf'; Outlook Stable; -- $47,460,000 class E notes 'BBsf'; Outlook Stable. Fitch's stress and rating sensitivity analysis are discussed in the presale report titled 'Santander Drive Auto Receivables Trust 2012-4', dated June 25, 2012. Key Rating Drivers: Consistent Credit Quality: The credit quality of 2012-4 is representative of the subprime market and is comparatively better than 2012-3 (not rated [NR] by Fitch). The weighted average (WA) Fair Isaac Corp. (FICO) score is 589, and the WA internal loss forecasting score (LFS) is 584. Used vehicles total 71.2%, and the WA loan-to-value (LTV) ratio is 113%, consistent with prior transactions. Consistent Credit Enhancement Structure: The cash flow distribution is a sequential-pay structure, consistent with prior transactions. Initial hard credit enhancement (CE) is 44% for the class A notes. The reserve totals 2% (non-declining), and initial overcollateralization (OC) is 8.50% (both of the initial pool balance), growing to a target of 15% (of the current pool balance). Stable Portfolio/Securitization Performance: Despite weaker 2011 vintage performance, losses on SCUSA's portfolio and 2010-2011 SDART securitizations declined from prior years, supported by the economic rebound and strong used vehicle values supporting higher recovery rates. Stable Corporate Health: SCUSA recorded solid financial results in 2011 and early 2012 and has been profitable since 2007. Fitch rates Santander, the majority owner of SCUSA, 'BBB+/F2' with a Negative Rating Outlook. Consistent Origination/Underwriting/Servicing: SCUSA demonstrates adequate abilities as originator, underwriter, and servicer, evidenced by historical portfolio delinquency, loss experience, and securitization performance. Fitch deems SCUSA capable to service 2012-4. Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of SCUSA would not impair the timeliness of payments on the securities. SANTANDER DRIVE: Moody's Assigns '(P)Ba2' Rating to Cl. E Secs. --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by Santander Drive Auto Receivables Trust 2012- 4 (SDART 2012-4). This is the fourth public subprime transaction of the year for Santander Consumer USA Inc. (SCUSA). The complete rating actions are as follows: Issuer: Santander Drive Auto Receivables Trust 2012-4 Cl. A-1, Assigned (P)P-1 (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa1 (sf) Cl. C, Assigned (P)Aa3 (sf) Cl. D, Assigned (P)Baa2 (sf) Cl. E, Assigned (P)Ba2 (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, and the experience and expertise of SCUSA as servicer. 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 SDART 2012- 4 pool is 15.0% and the Aaa level is 47.0%. The loss expectation was based on an analysis of SCUSA's 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 Low/Medium versus a Medium for the sector. This is driven by the a Low/Medium assessment for Governance due to the presence of a highly rated parent, Banco Santander (A3 /P-2), in addition to the size and strength of SCUSA's servicing platform. 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 19.0%, 25.5% or 29.0%, the initial model output for the Class A notes might change from Aaa to Aa1, A1, and Baa1, respectively. If the net loss used in determining the initial rating were changed to 15.5%, 19,5% or 22.5%, the initial model output for the Class B notes might change from Aa1 to Aa2, A2, and Baa2, respectively. If the net loss used in determining the initial rating were changed to 15.25%, 16.5% or 20%, the initial model output for the Class C notes might change from Aa3 to A1, Baa1, and Ba1, respectively. If the net loss used in determining the initial rating were changed to 15.25%, 17.5% or 20.0%, the initial model output for the Class D notes might change from Baa2 to Baa3, Ba3, and B3 respectively. If the net loss used in determining the initial rating were changed to 15.25%, 16.5% or 18.5%, the initial model output for the Class E notes might change from Ba2 to Ba3, B3, and 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. SATURNS 2001-6: Moody's Cuts Rating on $63-Mil. Certs. to 'Ba2' --------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one structured finance security indirectly exposed to the declining credit quality of a firm with a global capital market operation , Bank of America, which Moody's downgraded on June 21, 2012. The rating actions affects one structured note in the US. Issuer: Saturns 2001-6 (Bank of America) U.S. $63,370,000 Certificates Due 2026, Downgraded to Ba2; previously on February 17, 2012 Ba1 Placed Under Review for Possible Downgrade Ratings Rationale The transaction is a structured note whose rating is based on credit quality of the underlying securities, the swap counterparty, Morgan Stanley, and the legal structure of the note. The rating action results from the rating change on the underlying securities, which are the BankAmerica Institutional Capital A (pref.) which were downgraded to Ba2(hyb) on June 21, 2012. Moody's downgraded the ratings on Bank of America and its securities on June 21, 2012. Moody's notes that these transactions are subject to a high level of macroeconomic uncertainty, which could negatively impact the ratings of the notes, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the acute sovereign and banking crisis in the euro area, which is weakening the credit profiles of banks exposed to the currency union. This crisis accentuates challenges facing banks globally. 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 rating is derived from the rating of the underlying security. SEQUOIA MORTGAGE: Fitch Rates $1.4MM Class B-4 Certs. at 'BBsf' --------------------------------------------------------------- Fitch Ratings assigns the following ratings to Sequoia Mortgage Trust 2012-3, mortgage pass-through certificates, series 2012-3 (SEMT 2012-3): -- $172,158,000 class A-1 certificates 'AAAsf'; Outlook Stable; -- $100,000,000 class A-2 certificates 'AAAsf'; Outlook Stable; -- $272,158,000 notional class A-IO1 certificates 'AAAsf'; Outlook Stable; -- $100,000,000 notional class A-IO2 certificates 'AAAsf'; Outlook Stable; -- $9,248,000 class B-1 certificates 'AAsf'; Outlook Stable; -- $5,137,000 class B-2 certificates 'Asf'; Outlook Stable; -- $2,496,000 class B-3 certificates 'BBBsf'; Outlook Stable; -- $1,468,000 class B-4 certificates 'BBsf'; Outlook Stable. The 'AAAsf' rating on the senior certificates reflects the 7.30% subordination provided by the 3.15% class B-1, 1.75% class B-2, 0.85% class B-3, 0.50% non-offered class B-4 and 1.05% non-offered class B-5. The class B-5 is not rated by Fitch. Fitch's ratings reflect the high quality of the underlying collateral, the strong historical performance of two originators and servicers that represent 43% of the aggregate pool (First Republic Bank and PHH Mortgage Corp.), the clear capital structure and the high percentage of loans reviewed by third party underwriters. In addition, Wells Fargo Bank, N.A. will act as the master servicer and Christiana Trust will act as the Trustee for the transaction. For federal income tax purposes, elections will be made to treat the trust as two real estate mortgage investment conduits (REMICs). SEMT 2012-3 will be Redwood Residential Acquisition Corporation's third transaction of prime residential mortgages in 2012. The certificates are supported by a pool of prime mortgage loans with 100% fixed rate mortgages (FRMs). The loans are predominantly fully amortizing; however, 5% have a 10-year interest-only (IO) period. The aggregate pool included loans originated from First Republic Bank (38%), PrimeLending (16.8%), United Shore Financial (9.8%), Flagstar Bank, F.S.B. (9.3%) and PHH Mortgage Corporation (5.2%). The remainder of the mortgage loans was originated by various mortgage lending institutions, each of which contributed less than 5% to the transaction. As of the cut-off date, the aggregate pool consisted of 331 loans with a total balance of $293,590,499, an average balance of $886,980, a weighted average original combined loan-to-value ratio (CLTV) of 68.7%, and a weighted average coupon (WAC) of 4.5%. Rate/Term and cash out refinances account for 47.6% and 8.2% of the loans, respectively. The weighted average original FICO credit score of the pool is 768. Owner-occupied properties comprise 94.1% of the loans. The states that represent the largest geographic concentration are California (49.2%), Texas (12.6%) and New York (5.3%). Additional detail on the transaction is described in the new issue report 'Sequoia Mortgage Trust 2012-3', published on June 27, 2012. SLATER MILL: S&P Rates $14-Mil. Class E Deferrable Notes 'BB' ------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Slater Mill Loan Fund L.P./Slater Mill Loan Fund LLC's $279.55 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 (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 collateral 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 0.34%-12.02%. - 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 interest diversion test, a failure of which during the reinvestment period will lead to the reclassification of up to 50% of available excess interest proceeds (before paying subordinated and incentive collateral management fees, uncapped administrative expenses and fees, amounts to the supplemental reserve account, and subordinated note payments) to principal proceeds for the purchase of additional collateral assets. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111688.pdf RATINGS ASSIGNED Slater Mill Loan Fund L.P./Slater Mill Loan Fund LLC Class Rating Amount (mil. $) X AAA (sf) 1.30 A AAA (sf) 190.00 B AA (sf) 37.50 C (deferrable) A (sf) 21.75 D (deferrable) BBB (sf) 15.00 E (deferrable) BB (sf) 14.00 Subordinated notes NR 32.00 NR-Not rated. SLM STUDENT 2007-4: Fitch Affirms BBsf Ratings on 3 Note Classes ---------------------------------------------------------------- Fitch Ratings has affirmed the senior and subordinate student loan notes issued by SLM Student Loan Trust 2007-4 at 'AAAsf' and 'BBsf' respectively. The Rating Outlook for the senior notes, which is tied to the sovereign rating of the U.S. government, remains Negative. The Rating Outlook for the subordinate notes remains Stable. Fitch affirms the ratings on the notes based on the sufficient level of credit enhancement to cover the applicable risk factor stresses. Credit enhancement for the senior and subordinate notes consists of overcollateralization and projected minimum excess spread, while the senior notes also benefit from subordination provided by the Class B notes. Fitch used its 'Global Structured Finance Rating Criteria,' and 'Rating U.S. Federal Family Education Loan Program Student Loan ABS' to review the ratings. Fitch has affirmed the following ratings: SLM Student Loan Trust 2007-4: -- Class A-2 at 'AAAsf'; Outlook Negative; -- Class A-3 at 'AAAsf'; Outlook Negative; -- Class A-4A at 'AAAsf'; Outlook Negative; -- Class A-4B at 'AAAsf'; Outlook Negative; -- Class A-5 at 'AAAsf'; Outlook Negative; -- Class B-1 at 'BBsf'; Outlook Stable; -- Class B-2A at 'BBsf'; Outlook Stable; -- Class B-2B at 'BBsf'; Outlook Stable. SLM STUDENT 2007-5: Fitch Affirms Low-B Rating on Two Not Classes ----------------------------------------------------------------- Fitch Ratings has affirmed the senior and subordinate student loan notes issued by SLM Student Loan Trust 2007-5 at 'AAAsf' and 'BBsf' respectively. The Rating Outlook for the senior notes, which is tied to the sovereign rating of the U.S. government, remains Negative. The Rating Outlook for the subordinate notes remains Stable. Fitch affirms the ratings on the notes based on the sufficient level of credit enhancement to cover the applicable risk factor stresses. Credit enhancement for the senior and subordinate notes consists of overcollateralization and projected minimum excess spread, while the senior notes also benefit from subordination provided by the Class B notes. Fitch used its 'Global Structured Finance Rating Criteria,' and 'Rating U.S. Federal Family Education Loan Program Student Loan ABS' to review the ratings. Fitch has affirmed the following ratings: SLM Student Loan Trust 2007-5: -- Class A-3 at 'AAAsf'; Outlook Negative; -- Class A-4 at 'AAAsf'; Outlook Negative; -- Class A-5 at 'AAAsf'; Outlook Negative; -- Class A-6 at 'AAAsf'; Outlook Negative; -- Class B-1 at 'BBsf'; Outlook Stable; -- Class B-2 at 'BBsf'; Outlook Stable. SLM STUDENT 2006-7: Fitch Affirms 'BBsf' Rating on Class B Note --------------------------------------------------------------- Fitch Ratings has affirmed the senior and subordinate student loan notes issued by SLM Student Loan Trust 2006-7 at 'AAAsf' and 'BBsf', respectively. The Rating Outlook for the senior notes, which is tied to the sovereign rating of the U.S. government, remains Negative. The Rating Outlook for the subordinate notes remains Stable. Fitch affirms the ratings on the notes based on the sufficient level of credit enhancement to cover the applicable risk factor stresses. Credit enhancement for the senior and subordinate notes consists of overcollateralization and projected minimum excess spread, while the senior notes also benefit from subordination provided by the class B notes. Fitch used its 'Global Structured Finance Rating Criteria' and 'Rating U.S. Federal Family Education Loan Program Student Loan ABS' to review the ratings. Fitch has affirmed the following ratings: SLM Student Loan Trust 2006-7: -- Class A-4 at 'AAAsf'; Outlook Negative; -- Class A-5 at 'AAAsf'; Outlook Negative; -- Class A-6A at 'AAAsf'; Outlook Negative; -- Class A-6B at 'AAAsf'; Outlook Negative; -- Class A-6C at 'AAAsf'; Outlook Negative; -- Class B at 'BBsf'; Outlook Stable SOLOSO CDO: Moody's Raises Rating on Class A-1LB Notes to 'B1' -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Soloso CDO 2005-1: Class A-1L Floating Rate Notes Due October 2035 (current balance $143,222,231.81), Upgraded to Ba2(sf); previously on Apr 20, 2011 Downgraded to B1(sf); Class A-1LA Floating Rate Notes Due October 2035 (current balance $100,009,813.21), Upgraded to Ba1(sf); previously on Apr 20, 2011 Downgraded to Ba3(sf) Class A-1LB Floating Rate Notes Due October 2035 (current balance $39,000,000.00), Upgraded to B1(sf); previously on Apr 20, 2011 Downgraded to B3(sf) Rationale According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the Class A-1L and Class A- 1LA Notes and an increase in the transaction's overcollateralization ratios as well as the improvement in the credit quality of the underlying portfolio since the last rating action in April 2011 Moody's notes that the Class A-1L Notes notes have been paid down by approximately 6.4% or $9.2 million and the Class A-1LA notes have been paid down by approximately 9% or $9 million since the last rating action, as a result of diversion of excess interest proceeds. As a result of this deleveraging, the Class A-1 par coverage improved to 100.66% from 91.77% since the last rating action, as calculated by Moody's. Based on the latest trustee report dated April 2012, the Senior Coverage Ratio, Class A-2 Coverage Ratio, Class A-3 Coverage Ratio and Class B Coverage Ratio are reported at 110.72% (limit 115.00%), 95.35% (limit 112.00%), 76.34% (limit 105.00%) and 70.68% (limit 103.50%), respectively, versus January 2011 levels of 107.77%, 93.57%, 76.01% and 70.76%, respectively. Going forward, the Class A-1L, Class A-1LA and Class A-1LB notes will continue to benefit from the diversion of excess interest and the expiration of the interest rate swap in July 2015. Moody's also notes that the deal benefited from an improvement in the credit quality of the underlying portfolio. Based on Moody's calculation, the weighted average rating factor (WARF) improved to 1093 compared to 1404 as of the last rating action date. The Moody's cumulative assumed defaulted amount has declined to $178.08 million from $201.98 million as of the last rating action date. The decline is due to improvement in the credit quality and the financial ratios of the banks that issued the five assets that were assumed to be defaulted in the last rating action. Due to the impact of revised and updated key assumptions referenced in Moody's rating methodology, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, Moody's Asset Correlation, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par of $284.1 million, defaulted/deferring par of $178.08 million, a weighted average default probability of 24.37% (implying a WARF of 1093), Moody's Asset Correlation of 21.57%, and a weighted average recovery rate upon default of 10%. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of triggering an Event of Default, recent deal performance under current market conditions, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. Soloso CDO 2005-1 issued on August 24, 2005, is a collateralized debt obligation backed by a portfolio of bank trust preferred securities. The portfolio of this CDO is mainly comprised of trust preferred securities (TruPS) issued by small to medium sized U.S. community banks that are generally not publicly rated by Moody's. To evaluate the credit quality of bank TruPS without public ratings, Moody's uses RiskCalc model, an econometric model developed by Moody's KMV, to derive their credit scores. Moody's evaluation of the credit risk for a majority of bank obligors in the pool relies on FDIC financial data received as of Q4-2011. The principal methodology used in this rating was "Moody's Approach to Rating TRUP CDOs" published in May 2011. The transaction's portfolio was modeled using CDOROM v.2.8 to develop the default distribution from which the Moody's Asset Correlation parameter was obtained. This parameter was then used as an input in a cash flow model using CDOEdge. CDOROM v.2.8 is available on moodys.com under Products and Solutions -- Analytical models, upon return of a signed free license agreement. Moody's performed a number of sensitivity analyses of the results to certain key factors driving the ratings. Moody's analyzed the sensitivity of the model results to changes in the portfolio WARF (representing an improvement or a deterioration in the credit quality of the collateral pool), assuming that all other factors are held equal. If the WARF is increased by 157 points from the base case of 1093,the model-implied rating of the A-1LA notes is one notch worse than the base case result. Similarly, if the WARF is decreased by 193 points, the model-implied rating of the A-1LA notes is one notch better than the base case result. Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as Moody's outlook on the banking sector remains negative, although there have been some recent signs of stabilization. The pace of FDIC bank failures continues to decline in 2012 compared to 2011, 2010 and 2009, and some of the previously deferring banks have resumed interest payment on their trust preferred securities. STRUCTURED ASSET: Moody's Cuts Rating on One Tranche to 'Caa3' -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 14 tranches, upgraded the ratings of 7 tranches, and confirmed the ratings of 4 tranches from 13 RMBS transactions, backed by Scratch and Dent loans, issued by SASCO. Ratings Rationale The actions are a result of the recent performance review of Scratch and Dent pools 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 "US RMBS Surveillance Methodology for Scratch and Dent" published in May 2011. The rating action constitute of a number of upgrades as well as downgrades. The upgrades are due to faster-than-expected pay-down on certain bonds owing mainly to liquidations. The downgrades are a result of deteriorating performance and structural features resulting in higher expected losses for certain bonds than previously anticipated. Moody's adjusts the methodologies noted above for Moody's current view on 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. 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. 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 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 these transactions. Complete rating actions are as follows: Issuer: Structured Asset Securities Corp Trust 2004-GEL1 Cl. A, Downgraded to Aa1 (sf); previously on Apr 19, 2004 Assigned Aaa (sf) Cl. M1, Downgraded to A1 (sf); previously on Apr 19, 2004 Assigned Aa2 (sf) Cl. M2, Downgraded to Baa3 (sf); previously on Apr 19, 2004 Assigned A2 (sf) Cl. M3, Downgraded to B3 (sf); previously on Nov 27, 2007 Downgraded to Ba2 (sf) Cl. M4, Downgraded to Caa1 (sf); previously on Apr 19, 2012 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-GEL2 Cl. M1, Downgraded to A1 (sf); previously on Apr 19, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. M2, Downgraded to Baa3 (sf); previously on Apr 19, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. M3, Confirmed at B2 (sf); previously on Apr 19, 2012 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-GEL3 Cl. A, Downgraded to Aa1 (sf); previously on Apr 19, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2007-TC1 Cl. M-1, Confirmed at Caa1 (sf); previously on Apr 19, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corporation 2005-GEL1 Cl. M1, Downgraded to A3 (sf); previously on Apr 19, 2012 A1 (sf) Placed Under Review for Possible Downgrade Cl. M2, Downgraded to Ba3 (sf); previously on Mar 5, 2009 Downgraded to Baa3 (sf) Cl. M3, Downgraded to Caa1 (sf); previously on Mar 5, 2009 Downgraded to B2 (sf) Issuer: Structured Asset Securities Corporation 2005-GEL2 Cl. A, Downgraded to Aa1 (sf); previously on Apr 19, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. M1, Downgraded to Baa3 (sf); previously on Mar 5, 2009 Downgraded to Baa1 (sf) Cl. M2, Downgraded to Caa3 (sf); previously on May 20, 2011 Downgraded to Caa2 (sf) Issuer: Structured Asset Securities Corporation 2005-GEL3 Cl. M3, Confirmed at Baa3 (sf); previously on Apr 19, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Issuer: Structured Asset Securities Corporation 2006-GEL1 Cl. A2, Upgraded to A2 (sf); previously on Apr 19, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade Issuer: Structured Asset Securities Corporation 2006-GEL2 Cl. A2, Upgraded to Ba2 (sf); previously on Apr 19, 2012 B1 (sf) Placed Under Review for Possible Upgrade Issuer: Structured Asset Securities Corporation 2006-GEL3 Cl. A2, Upgraded to Baa3 (sf); previously on Apr 19, 2012 B3 (sf) Placed Under Review for Possible Upgrade Cl. A3, Upgraded to B1 (sf); previously on Apr 19, 2012 Ca (sf) Placed Under Review for Possible Upgrade Issuer: Structured Asset Securities Corporation 2006-GEL4 Cl. A2, Upgraded to Baa3 (sf); previously on Apr 19, 2012 B1 (sf) Placed Under Review for Possible Upgrade Cl. A3, Upgraded to B1 (sf); previously on Apr 19, 2012 Ca (sf) Placed Under Review for Possible Upgrade Issuer: Structured Asset Securities Corporation 2007-GEL1 Cl. A1, Confirmed at Caa3 (sf); previously on Apr 19, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade Issuer: Structured Asset Securities Corporation 2007-GEL2 Cl. A1, Upgraded to Ba3 (sf); previously on Apr 19, 2012 B3 (sf) Placed Under Review for Possible Upgrade A list of these actions including CUSIP identifiers may be found at http://moodys.com/viewresearchdoc.aspx?docid=PBS_SF289197 A list of updated estimated pool losses and sensitivity analysis 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_SF247004 TALMAGE STRUCTURED: Moody's Lifts Rating on Cl. C Secs. to 'Ba2' ---------------------------------------------------------------- Moody's has upgraded the ratings of two and affirmed the ratings of three classes of Notes issued by Talmage Structured Real Estate Funding 2005-2, Ltd. (f/k/a Guggenheim Structured Real Estate Funding 2005-2, Ltd.) primarily due to $45.5 million in amortization of collateral since the last review in August 2011. Additionally, the underlying collateral performance has been relatively stable as evidenced by the Moody's weighted average rating factor (WARF) and recovery rate (WARR). The collateral composition has trended towards whole loan assets which are expected to receive near term amortization and higher than average recoveries given any default. It is noted that the transaction is highly sensitive to recovery rates as evidenced in the parameter sensitivity discussion below. The affirmations are due to key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-REMIC) transactions. Moody's rating action is as follows: Cl. B, Upgraded to Aa3 (sf); previously on Aug 30, 2011 Upgraded to Ba2 (sf) Cl. C, Upgraded to Ba2 (sf); previously on Aug 30, 2011 Upgraded to B3 (sf) Cl. D, Affirmed at Caa3 (sf); previously on Aug 30, 2011 Upgraded to Caa3 (sf) Cl. E, Affirmed at C (sf); previously on Sep 2, 2010 Downgraded to C (sf) Cl. F, Affirmed at C (sf); previously on Sep 2, 2010 Downgraded to C (sf) Ratings Rationale Talmage Structured Real Estate Funding 2005-2, Ltd. is currently a static cash CRE CDO transaction (the reinvestment period ended August 2010) backed by a portfolio of commercial mortgage backed securities (CMBS) (30.0% of the pool balance), A-Notes and whole loans (32.0% of the pool balance), B-Notes (20.4%) and a rake bond (17.6%). As of the May 18, 2012 Trustee report, the aggregate Note balance of the transaction, including preferred shares, has decreased to $140.3 million from $305.8 million at issuance, with the paydown now directed to the Class B Notes, as a result of full and partial amortization of the underlying collateral as well as failing of the Class D and E par value tests. There are five assets with a par balance of $82.1 million (58.5% of the current pool balance) that are considered Impaired Securities as of the May 18, 2012 Trustee report. One of these assets is a rake bond (30.1% of the impaired balance), one asset is a whole loan (27.3%), two assets are B-Notes (24.1%) and one asset is an A-Note (18.5%). While there have been no realized losses to the five remaining impaired assets to date, Moody's does expect moderate losses to occur once they are realized. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), WARR, and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated assessments for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 6,908 compared to 6,007 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (1.9% compared to 3.7% at last review), A1-A3 (0.0% compared to 0.0% at last review), Baa1-Baa3 (6.8% compared to 11.2% at last review), Ba1-Ba3 (6.2% compared to 4.8% at last review), B1-B3 (21.4% compared to 0.0% at last review), and Caa1-C (63.7% compared to 80.2% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 3.0 years compared to 1.0 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 23.3% compared to 20.2% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 0.0% compared to 13.8% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.1, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 23.3% to 13.3% or up to 33.3% would result in average rating movement on the rated tranches of 0 to 5 notches downward and 0 to 10 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in May 2012, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. TRIMARAN CLO VII: S&P Raises Rating on Class B-2L Notes to 'B+' --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2L, A-3L, B-1L, and B-2L notes from Trimaran CLO VII Ltd., a U.S. collateralized loan obligation (CLO) managed by Trimaran Advisors LLC, and removed them from CreditWatch with positive implications. "Simultaneously, we affirmed our 'AA+ (sf)' ratings on the class A-1L and A-1LR notes," S&P said. "The upgrades mainly reflect improved asset credit quality within the transaction's underlying portfolio since our last rating action in March 2010. The affirmations reflect sufficient credit support available to the notes at the current rating levels," S&P said. The transaction will be in its reinvestment period until June 2013. The collateral manager is therefore reinvesting all principal proceeds in new collateral. "The improved performance of the underlying loans in Trimaran CLO VII Ltd. since our March 2010 rating actions have benefited the CLO's rated notes. In particular, the amount of defaulted assets and 'CCC' rated obligations has decreased significantly. Based on the June 15, 2012, trustee report, which we referenced for 's rating actions, the transaction contained $4.48 million of defaulted assets, down from the $18.02 million noted in the February 2010, trustee report, which we used for our last rating action on March 2010," S&P said. "The transaction also has fewer deferrable obligations than it did in February 2010. Additionally, the transaction's class A-2L, A- 3L, B-1L, and B-2L principal coverage overcollateralization (O/C) tests have improved over the same period, and the weighted average spread has increased by 1.12%," S&P said. The upgrade of the class B-2L notes was driven by the application of the largest obligor default test. "We affirmed our ratings on the class A-1L and A-1LR notes to reflect the credit support available at their current rating levels," S&P said. Standard & Poor's will continue to review whether, in its opinion, 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Trimaran CLO VII Ltd. Rating Class To From A-2L AA (sf) A+ (sf)/Watch Pos A-3L A (sf) BBB+ (sf)/Watch Pos B-1L BBB (sf) B+ (sf)/Watch Pos B-2L B+ (sf) CCC+ (sf)/Watch Pos RATINGS AFFIRMED Trimaran CLO VII Ltd. Class Rating A-1L AA+ (sf) A-1LR AA+ (sf) TRANSACTION INFORMATION Issuer: Trimaran CLO VII Ltd. Coissuer: Trimaran CLO VII (Delaware) Corp. Collateral manager: Trimaran Advisors LLC Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO UBS-BARCLAYS 2012-C2: Fitch to Rate Two Note Classes Low-Bs ----------------------------------------------------------- Fitch ratings has issued a presale report on UBS-Barclays Commercial Mortgage Trust 2012-C2 (UBS-B 2012-C2) Commercial Mortgage Pass-Through Certificates. Fitch expects to rate the transaction and assign Outlooks as follows: -- $80,451,000 class A-1 'AAAsf'; Outlook Stable; -- $174,804,000 class A-2 'AAAsf'; Outlook Stable; -- $116,311,000 class A-3 'AAAsf'; Outlook Stable; -- $479,671,000 class A-4 'AAAsf'; Outlook Stable; -- $945,482,000a,c class X-A 'AAAsf'; Outlook Stable; -- $94,245,000a,b class A-S-EC 'AAAsf'; Outlook Stable; -- $63,842,000a,b class B-EC 'AAsf'; Outlook Stable; -- $203,689,000a,b class EC 'Asf'; Outlook Stable; -- $45,602,000a,b class C-EC 'Asf'; Outlook Stable; -- $24,322,000a class D 'BBB+sf'; Outlook Stable; -- $47,122,000a class E 'BBB-sf'; Outlook Stable; -- $22,801,000a class F 'BBsf'; Outlook Stable; -- $24,321,000a class G 'Bsf'; Outlook Stable. a. Privately placed pursuant to Rule 144A. b. Class A-S-EC, Class B-EC and Class C-EC certificates may be exchanged for Class EC Certificates, and Class EC Certificates may be exchanged for Class A-S-EC, Class B-EC and Class C-EC certificates. c. Notional amount and interest only. The expected ratings are based on information provided by the issuer as of June 22, 2012. Fitch does not expect to rate the $270,572,149 interest-only class X-B or the $42,562,149 class H. The certificates represent the beneficial ownership in the trust, primary assets of which are 54 loans secured by 83 commercial properties having an aggregate principal balance of approximately $1.2 billion as of the cutoff date. The loans were contributed to the trust by UBS Real Estate Securities, Inc., Barclays Bank PLC, Archetype Mortgage Funding II LLC and KeyBank, National Association. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 77.6% of the properties by balance, cash flow analysis of 87.6%, and asset summary reviews on 90.3% of the pool. The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.18 times (x), a Fitch stressed loan-to-value (LTV) of 98.7%, and a Fitch debt yield of 9.0%. Fitch's aggregate net cash flow represents a variance of 7.1% to issuer cash flows. The Master Servicer and Special Servicer will be Wells Fargo Bank, N.A. and CWCapital Asset Management, LLC, rated 'CMS2' and 'CSS1-', respectively, by Fitch. UBS COMMERCIAL 2007-FL1: Fitch Affirms 'Csf' Ratings on 3 Secs. --------------------------------------------------------------- Fitch Ratings has affirmed all classes of UBS Commercial Mortgage Trust, series 2007-FL1. The transaction has paid down by 47% since Fitch's last rating action, however, all of the remaining loans are nearing or are past their final maturity dates and 44% of the pool is in special servicing. The affirmations, despite the significant paydown, reflect concerns with the ability of certain loans to refinance. The remaining loans which have not been modified are generally maturing over the next 12 months; the majority of the loans had an average loan term of five years (including extensions). As lending standards have changed considerably from the time these loans were originated, there is uncertainty as to whether or not the loans will have issues securing financing at final maturity. Under Fitch's methodology, approximately 91.5% of the pooled balance 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 5.8% and pooled expected losses are 16.2%. To determine a sustainable Fitch cash flow and stressed value, Fitch analyzed servicer-reported operating statements and STR reports, updated property valuations, and recent sales comparisons. Fitch estimates that average recoveries will be strong, with an approximate base case recovery in excess of 82.3%. The transaction is collateralized by 12 loans, which are secured by hotels (60.1%), undeveloped land (18%), office properties (12.1%) and multifamily properties, (7.2%). The transaction faces near-term maturity risk. Seven loans (45.5%) which have matured were transferred to the special servicer for maturity defaults. Three loans (27.2%) mature within the next 12 months. The remaining two loans (27.3%) have final maturities in mid-2014. Seven loans were modeled to take a loss in the base case: Essex House (22.6% of pool), Maui Prince Resort and Land (18.2%), MSREF Luxury Resort Portfolio (9.9%), Hilton Long Beach (4.8%), Renaissance Ft. Lauderdale (2.5%), Dolce Basking Ridge (2.4%), and the RexCorp Land Portfolio (1.8%). The largest modeled losses were on the Essex House, the Maui Prince and the RexCorp Land Portfolio. The Essex House loan is secured by a 515-room luxury full-service hotel and 26 residential units located in the Central Park South neighborhood of Manhattan. The building was constructed in 1930 and underwent a $91 million renovation and condo conversion in 2007. Of the 26 condo units, 18 have sold, and the loan has been paid down accordingly. The eight remaining units are being marketed. At issuance, the loan was underwritten to a stabilized cash flow, which anticipated significant revenue gains due to the major renovation. The property's luxury segment of the market has been especially hard hit by the economic downturn, and the anticipated increases have not materialized. As of the year-end (YE) 2011, the servicer-reported NOI was 75% lower than underwritten but had improved 10% from YE 2010. Loan originally matured in September 2009 and was extended twice for one year. There are no remaining extension options and the loan will reach its final maturity in September 2012. The Maui Prince loan is secured by a 310-room full service hotel, two 18-hole golf courses and 1,194 acres of undeveloped land located in Maui, Hawaii. The loan was transferred to special servicing on June 12, 2009 due to imminent default at its maturity date. The loan has been assumed, paid down, modified and extended. The final maturity date is now July 2014. Despite the paydown and infusion of new capital by the sponsors, Fitch remains concerned about viability of the business plan to develop the vacant land as luxury residential housing given the continued weakness in the housing market. The loan remains with the special servicer. The RexCorp Land portfolio consists of 205 acres of commercial development land located in Morris County, New Jersey. The loan defaulted at maturity in February 2010 and has been in special servicing since that time. Modification discussions were not successful and the special servicer is pursuing foreclosure. Fitch has affirmed the following classes as indicated: -- $201.1 million class A-1 at 'AAAsf'; Outlook Stable; -- $309.5 million class A-2 at 'BBBsf'; Outlook Stable; -- $57.3 million class B to 'BBsf'; Outlook Stable; -- $31 million class C at 'Bsf'; Outlook Stable; -- $27.2 million class D at 'CCCsf'; RE 100%; -- $27.2 million class E at 'CCCsf'; RE 45%; -- $27.2 million class F at 'CCsf'; RE 0%; -- $27.2 million class G at 'CCsf'; RE 0%; -- $29.1 million class H at 'Csf'; RE 0%; -- $27.1 million class J at 'Csf'; RE 0%; -- $27.1 million class K at 'Csf'; RE 0%. -- $1.9 million class O-MD at 'BBB-sf'; Outlook Stable; -- $4.5 million class O-WC at 'CCCsf' RE 0%. Classes O-BH and O-HW have paid in full. Fitch does not rate classes O-SA and O-HA. Classes L, M-MP, N-MP and O-MP all remain at 'D' RE 0% due to realized losses. Fitch previously withdrew the rating of the interest-only class X. UBS COMMERCIAL 2007-FL1: Moody's Raises Rating on K Certs. to Caa3 ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings of four classes and upgraded the ratings of ten classes of UBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007- FL1. Moody's rating action is as follows: Cl. A-1, Affirmed at Aaa (sf); previously on Jan 15, 2008 Definitive Rating Assigned Aaa (sf) Cl. A-2, Upgraded to A1 (sf); previously on Dec 2, 2010 Downgraded to Baa2 (sf) Cl. B, Upgraded to Baa1 (sf); previously on Dec 2, 2010 Downgraded to Ba1 (sf) Cl. C, Upgraded to Baa3 (sf); previously on Dec 2, 2010 Downgraded to Ba3 (sf) Cl. D, Upgraded to Ba1 (sf); previously on Dec 2, 2010 Downgraded to B1 (sf) Cl. E, Upgraded to Ba2 (sf); previously on Dec 2, 2010 Downgraded to B2 (sf) Cl. F, Upgraded to Ba3 (sf); previously on Dec 2, 2010 Downgraded to B3 (sf) Cl. G, Upgraded to B2 (sf); previously on Dec 2, 2010 Downgraded to Caa1 (sf) Cl. H, Upgraded to B3 (sf); previously on Dec 2, 2010 Downgraded to Caa2 (sf) Cl. J, Upgraded to Caa1 (sf); previously on Dec 2, 2010 Downgraded to Caa3 (sf) Cl. K, Upgraded to Caa3 (sf); previously on Dec 2, 2010 Downgraded to Ca (sf) Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. O-MD, Affirmed at B1 (sf); previously on Dec 2, 2010 Downgraded to B1 (sf) Cl. O-WC, Affirmed at Caa2 (sf); previously on Dec 2, 2010 Downgraded to Caa2 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) remaining within acceptable ranges. The upgrades are due to loan payoffs and anticipated loan payoffs resulting in build-up of credit support. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based Large Loan Model v 8.4. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. The model incorporates the CMBS IO calculator ver1.0 which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and Remittance Statements. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated October 27, 2011. Deal Performance As of the May 15, 2012 Distribution Date, the transaction's aggregate certificate balance decreased by approximately 27% from last review to $831 million due to the payoff of seven loans. The Certificates are collateralized by 12 floating rate whole loans and senior interests in whole loans. The loans range in size from 2% to 23% of the pooled balance, with the top three loans representing approximately 53% of the pooled balance. The pool's Herfindahl Index is 8. The largest loan in the pool is secured by a fee interest in Jumeirah Essex House ($186 million; 23% of the pooled balance) located in Midtown Manhattan on Central Park South. The sponsor for the 515-room full-service hotel is Dubai Investment Group Limited and Dubai Holdings LLC. This is a flag ship property for the Jumeirah brand in the US. The final maturity date including extension options is September 9, 2012. There is an additional debt in the form of non-trust junior component and mezzanine debt outside the trust. The in-place cash flow continues to be well below historical levels. Given the pending maturity date of the loan, Moody's analysis takes into account sponsorship, location, the inherent value in the property and comparable sales activities in New York City , its flag ship status in the chain, as well as significant replacement cost. Moody's current credit estimate for this loan is B3, same as last review. The Maui Prince Resort (now called Makena Beach & Golf Resort) Loan ($150 million; 18% of pooled balance plus $30 million in three non-pooled , or rake bonds) is currently in special servicing, and pending return to master servicer in September 2012. The loan is secured by fee simple interest in Maui Prince Resort (310 guestrooms), two 18-hole golf course and 1,200 acres of undeveloped land located in Makena (Maui), HI. The loan was transferred to special servicing in June 2009. The rake investor assumed the A note and converted their interest in rake, or non- pooled bonds to equity as part of the assumption. The A note received a principal pay-down of $12.5 million, and loan maturity has been extended by three years with two one-year extension options. The new sponsors for this loan are AREA Property Partners (formerly known as Apollo Real Estate Advisors), Trinity Investments, LLC, and Stanford Carr Development, LLC, a Honolulu based residential development firm. Moody's did not rate the three rake bonds associated with this loan (Classes M-MP, N-MP and O- MP). Total interest shortfalls to these three rake classes total $274,280 as of the May 2012 distribution date. Moody's current credit estimate for this loan is B3, same as last review. The third largest loan in the pool is secured by a fee interest in Paramount Hotel ($101 million; 12% of the pooled balance) located in Times Square submarket in Midtown Manhattan. The 600-room full- service hotel loan matures on July 5, 2012. There is an additional debt in the form of mezzanine debt outside the trust. The property's performance is showing improvement benefitting from completion of renovation and strength of the overall NYC lodging market. Net cash flow for the property continued to increased from a low of $6.9 million in 2009, to $11.3 million achieved in 2010 to $13.3 million in 2011. Moody's current credit estimate for this loan is B2 compared to Caa1 as last review. There are currently six loans totaling 42% of pooled balance in special servicing. However, the Maui Prince Resort (now called Makena Beach & Golf Resort) and 281 & 321 Summer Street loans (combined totaling 21% of pooled balance) have been modified and are pending return to master servicer. MSREF Luxury Resort Portfolio Loan ($82 million; 10% of pooled balance) transferred to special servicing due to the borrower's inability to secure financing upon maturity (5/9/2012). There is additional debt in the form of a pari passu component (securitized in BALL 2007-BMB1 and MS 2007-XLF9 transactions), junior non-trust component and mezzanine debt. The loan is secured by three full-service resort hotels located in Orlando, FL and Phoenix, AZ. Total Net cash flow from the portfolio for 2011 was approximately $33 million, virtually unchanged from that of 2010. Moody's credit estimate for this loan is Caa3, same as last review. The Marriott Washington, DC Loan ($55 million; 7% of pooled balance plus $1.9 million of rake bond) transferred to special servicing due to the borrower's inability to secure financing upon maturity (5/19/2012). The property's net cash flow for 2011 was $7.8 million, down slightly from $8.3 million achieved in 2010. The net cash flow through the first four periods of 2012 is up slightly from that of 2011 at $2.3 million versus $2.2 MM in 2011. Moody's credit estimate for this loan is Ba3, same as last review. Cumulated bond loss totals $36.3 million and affects pooled Class L and rake bonds M, NP, N-MP, O-MP, O-HW, O-SA, and O-BH. Interest shortfalls total $285,590 and affect rake classes N-MP, O-MP, O- MD, and O-WC. In addition, as of the May 2012 distribution date, outstanding P&I advances total $260,000 and outstanding servicing advances total $731,413 in connection with the smallest loan in the pool, Rex Corp NJ/Long Island Land Loan. Moody's weighted average pooled trust loan to value (LTV) ratio is 96% compared to 95% at last review. Moody's weighted average stressed debt service coverage ratio (DSCR) for the pooled trust is at 0.73X compared to 0.74X at last review. WACHOVIA BANK 2003-C5: Moody's Affirms 'Caa3' Rating on O Certs. ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of four classes and affirmed 12 classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2003-C5 as follows: Cl. A-2, Affirmed at Aaa (sf); previously on Jul 8, 2003 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Jul 8, 2003 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Dec 21, 2006 Upgraded to Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Dec 21, 2006 Upgraded to Aaa (sf) Cl. D, Affirmed at Aaa (sf); previously on Nov 11, 2010 Upgraded to Aaa (sf) Cl. E, Upgraded to Aaa (sf); previously on Nov 11, 2010 Upgraded to Aa1 (sf) Cl. F, Upgraded to Aa3 (sf); previously on Sep 18, 2008 Upgraded to A1 (sf) Cl. G, Upgraded to A2 (sf); previously on Sep 18, 2008 Upgraded to A3 (sf) Cl. H, Upgraded to Baa1 (sf); previously on Sep 18, 2008 Upgraded to Baa2 (sf) Cl. J, Affirmed at Ba1 (sf); previously on Jul 8, 2003 Definitive Rating Assigned Ba1 (sf) Cl. K, Affirmed at B1 (sf); previously on Nov 11, 2010 Downgraded to B1 (sf) Cl. L, Affirmed at B3 (sf); previously on Nov 11, 2010 Downgraded to B3 (sf) Cl. M, Affirmed at Caa1 (sf); previously on Nov 11, 2010 Downgraded to Caa1 (sf) Cl. N, Affirmed at Caa2 (sf); previously on Nov 11, 2010 Downgraded to Caa2 (sf) Cl. O, Affirmed at Caa3 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Cl. X-C, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The upgrades are due to increased credit support resulting from mortgage pay downs and amortization. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 2.1% of the current balance compared to 2.7% at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying credit assessment, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and the IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator version 1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 41, down from 46 at last review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated July 28, 2011. DEAL PERFORMANCE As of the June 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased 37% to $755 million from $1.2 billion at securitization. The Certificates are collateralized by 123 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans, excluding defeasance, representing 33% of the pool. Nineteen loans, representing 11% of the pool, have defeased and are secured by U.S. government securities. There is one loan with an investment grade credit assessment. There are 22 loans, representing 23% of the pool, on the master servicer's watchlist compared to 34 loans, representing 20% of the pool, at last review. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Six loans have been liquidated from the pool since securitization resulting in an aggregate realized loss totaling $7.6 million (average loss severity of 14%). There are currently no loans in special servicing compared to one loan at last review. Moody's has assumed a high default probability for six poorly performing loans representing 4% of the pool and has estimated a $6.4 million aggregate loss (20% expected loss based on a 50% probability of default) from these troubled loans. Moody's was provided with full year 2010 and full year 2011 operating results for 98% and 99% of the performing pool, respectively. Excluding troubled loans, Moody's weighted average conduit LTV is 77% compared to 83% at last full review. Moody's net cash flow reflects a weighted average haircut of 10.7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Excluding troubled loans, Moody's actual and stressed conduit DSCRs are 1.52X and 1.41X, respectively, compared to 1.46X and 1.30X, respectively, at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit assessment is the Lloyd Center Loan ($59.8 million -- 14.5%), which represents a 50% participation interest in the senior component of a $119.6 million mortgage loan. The loan is secured by the borrower's interest in a 1.2 million square foot (SF) regional center located in Portland, Oregon. The mall's anchor tenants include Macy's, Sears and Nordstrom. Property performance increased in 2011 over the prior year and occupancy remains at 98%, the same as at last review. Moody's current credit assessment and stressed DSCR for the senior loan are Baa1 and 1.55X, respectively, compared to Baa2 and 1.51X at last review. The top three performing conduit loans represent 12% of the pool balance. The largest conduit loan is the One South Broad Street Loan ($39.1 million -- 5.2% of the pool), which is secured by a 464,000 SF Class A office building located in Center City Philadelphia, Pennsylvania. The property was 74% leased as of December 2011 compared to 80% at last review and 91% at securitization. The decline in occupancy since last review is due to the Borders Book Store bankruptcy and other office tenants vacating their leased premises upon lease expiration. Several prospective office and retail tenants are currently in various stages of lease negotiations that will bolster future occupancy and revenue achievement. The loan has also amortized 2% since last review. Moody's LTV and stressed DSCR are 75% and 1.26X, respectively, compared to 83% and 1.15X at last review. The second largest loan is the 673 First Avenue Loan ($29.5 million -- 3.9% of the pool), which is secured by a leasehold interest in a 427,000 SF Class B office building located in the United Nations submarket of New York City. The property remains 100% leased, the same as at last review. The loan sponsor is SL Green Realty Corp. Moody's LTV and stressed DSCR are 45% and 2.36X, respectively, compared to 49% and 2.14X at last review. The third largest loan is the Irongate Apartments Loan ($24.5 million -- 3.2% of the pool), which is secured by a leasehold interest in a 280-unit apartment complex located in a northern suburb of Sacramento, California. The property was 98% leased as of December 2011 compared to 94% leased at last review. While occupancy increased over this time frame, revenue achievement declined slightly due to higher operating expenses. Moody's LTV and stressed DSCR are 108% and 0.82X, respectively, compared to 104% and 0.86X at last review. WACHOVIA BANK 2007-C30: Moody's Raises Rating on D Certs. to Caa3 ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of three classes and affirmed 23 classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007- C30 as follows: Cl. A-3, Affirmed at Aaa (sf); previously on Jul 9, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Jul 9, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-PB, Affirmed at Aaa (sf); previously on Jul 9, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-5, Affirmed at Aa3 (sf); previously on Dec 2, 2010 Downgraded to Aa3 (sf) Cl. A-1A, Affirmed at Aa3 (sf); previously on Dec 2, 2010 Downgraded to Aa3 (sf) Cl. A-M, Affirmed at Baa1 (sf); previously on Dec 2, 2010 Downgraded to Baa1 (sf) Cl. A-MFL, Affirmed at Baa1 (sf); previously on Dec 2, 2010 Downgraded to Baa1 (sf) Cl. A-J, Affirmed at B3 (sf); previously on Dec 2, 2010 Downgraded to B3 (sf) Cl. B, Upgraded to Caa1 (sf); previously on Dec 2, 2010 Downgraded to Caa3 (sf) Cl. C, Upgraded to Caa2 (sf); previously on Dec 2, 2010 Downgraded to Ca (sf) Cl. D, Upgraded to Caa3 (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. E, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. F, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. G, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. H, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. O, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. P, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. Q, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) Cl. X-P, Affirmed at Aa3 (sf); previously on Feb 22, 2012 Downgraded to Aa3 (sf) Cl. X-C, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. X-W, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The upgrades are due to lower expected losses from troubled and specially serviced loans and increased credit support due to loan payoffs and amortization. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 11.6% of the current balance. At last review, Moody's cumulative base expected loss was 12.4%. Realized losses have increased from 0.6% of the original balance to 0.8% since the prior review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000 and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 16 compared to 19 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.1 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated August 4, 2011. Deal Performance As of the May 17, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 11% to $7.04 billion from $7.90 billion at securitization. The Certificates are collateralized by 238 mortgage loans ranging in size from less than 1% to 21% of the pool, with the top ten loans representing 53% of the pool. Fifty-three loans, representing 24% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Fourteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $61.1 million (58% loss severity on average). Currently 30 loans, representing 32% of the pool, are in special servicing. The largest specially serviced loan is the Peter Cooper Village and Stuyvesant Town (PCV/ST) Loan ($1.50 billion -- 21.3% of the pool), which represents a pari-passu interest in a $3.0 billion first mortgage loan spread among five separate CMBS deals. There is also a $1.4 billion in mezzanine debt secured by the borrower's interest. The loan is secured by two adjacent multifamily apartment complexes with 11,229 units located on the east side of Manhattan. The loan transferred to special servicing in November 2009 after the Appellate Division, First Department, reversed an August 2007 decision of the State Supreme Court, which held that properties receiving tax benefits, including those pursuant to the J-51 program, be permitted to decontrol rent stabilized apartments pursuant to New York State rent stabilization laws. The court's decision compromised the Borrower's original business plan and the borrower agreed to forfeit ownership rights to the property. As of October 2010, the special servicer engaged Rose Associates to manage the day-to-day operations at the property. The special servicer has been working to resolve the ongoing litigation through settlement talks with the Plaintiffs to decide future legal rents and the historical overcharge liability. The special servicer believes final resolution of the class-action litigation is not likely until early 2014. Overall, property performance has improved since the end of 2009 and the property was appraised for $3.0 billion in September 2011 compared to $2.8 billion in September 2010. The whole loan currently has over $320 million in cumulative ASERs, P&I advances, and property protective advances to date. The special servicer beleives that resolution of the litigation is a prerequisite to optimal capital recovery. The second largest specially serviced loan is the One Congress Street Loan ($208.5 million -- 2.7% of the pool) which is secured by a mixed use property (278,911 square feet (SF) office/retail) containing a 2,310-space parking garage located in Boston, Massachusetts. The loan transferred to special servicing in November 2011 due to imminent monetary default after the loan's reserves were depleted. The sole office tenant, the U.S. Environmental Protection Agency (EPA), vacated the building at lease maturity in January 2010. As of April 2012, the office/retail component was 45% leased compared to 28% after the EPA vacated its space. Although the office/retail component has performed poorly since the EPA vacated, the parking garage has continued to perform very well since securitization. The borrower and special servicer continue to have ongoing discussions regarding restructuring the debt. Additionally, the special servicer is assessing alternative exit strategies at this time. The third largest specially serviced loan is the Bank One Center Loan ($179.5 million -- 2.5% of the pool) which is secured by a 1.5 million SF Class A office building located in Dallas, Texas. There is also $20 million in mezzanine debt secured by the borrower's interest. The loan transferred to special servicing In May 2011 due to imminent default when the original borrower wanted to restructure the senior debt. Loan modification discussions were unsuccessful and the mezzanine lender foreclosed out the original borrower in March 2012. The borrower's new controlling entity (previous mezzanine lender) and the special servicer have begun modification discussions regarding restructuring the senior debt. The borrower's new controlling entity continues to keep the loan current at this time. The remaining 25 specially serviced properties are secured by a mix of property types. Moody's estimates an aggregate $458.0 million loss for the specially serviced loans (23% expected loss on average) compared to $569.4 million loss (31% expected loss on average) at last review. Moody's has assumed a high default probability for five poorly performing loans representing 2% of the pool and has estimated an aggregate $151.4 million loss (24% expected loss on average) from these troubled loans. Moody's was provided with full year 2010/2011 operating results for 96% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 119% compared to 126% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 8.8%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.23X and 0.83X, respectively, compared to 1.24X and 0.80X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three loans represent 28% of the pool. The largest loan is the Five Times Square Loan ($536.0 million -- 7.6% of the pool), which represents a 50% pari-passu interest in a $1.07 billion first mortgage loan. The A-Note has $184.0 million in mezzanine debt and a $67.0 million B-Note behind it. The loan is secured by a 1.1 million SF Class A office building located in Midtown Manhattan, New York. The property has maintained 100% occupancy since securitization. The office component represents 97% of the total building's net rentable area (NRA) of which 89% is leased to Ernst and Young through May 2022 and serves as its U.S. World Headquarters. Property performance has been stable. The loan is on the servicer's watchlist due to a low DSCR. The loan is interest only for the full ten-year term. Moody's LTV and stressed DSCR are 143% and 0.61X, respectively, compared to 159% and 0.58X at last review. The second largest loan is the State Street Financial Center Loan ($387.5 million -- 5.5% of the pool), which represents a 50% pari- passu interest in a $775.0 million first mortgage loan. The loan is secured by a 1.0 million SF Class A office building located in the Financial District of Boston, Massachusetts. The property is 100% leased to State Street Corporation (Moody's senior unsecured rating A1, stable outlook) through September 2023 and serves as its headquarters. The loan is interest only for its entire ten- year term. Moody's LTV and stressed DSCR are 136% and 0.70X, respectively, compared to 133% and 0.71X at last review. The third largest loan is the 485 Lexington Avenue Loan ($315.0 million -- 4.5% of the pool), which represents a 70% pari-passu interest in a $450.0 million first mortgage loan. The loan is secured by a 915,000 million SF Class A office building located near Grand Central Station in Manhattan. The property is 90% leased as of December 2011 compared to 96% at the prior review. The loan is interest only for its entire ten-year term. Moody's LTV and stressed DSCR are 129% and 0.67X, respectively, compared to 133% and 0.69X at last review. WACHOVIA BANK 2007-C33: Moody's Cuts Ratings on 4 Certs. to 'C' --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 14 classes and downgraded ten classes of Wachovia Bank Commercial Mortgage Pass- Through Certificates, Series 2007-C33 as follows: Cl. A-2, Affirmed at Aaa (sf); previously on Aug 27, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Aug 27, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-PB, Affirmed at Aaa (sf); previously on Aug 27, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Aug 27, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-5, Affirmed at Aaa (sf); previously on Aug 27, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Aug 27, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-M, Downgraded to A3 (sf); previously on Nov 18, 2010 Downgraded to Aa3 (sf) Cl. A-J, Downgraded to Ba2 (sf); previously on Nov 18, 2010 Downgraded to Baa3 (sf) Cl. B, Downgraded to Caa1 (sf); previously on Nov 18, 2010 Downgraded to B2 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Nov 18, 2010 Downgraded to Caa1 (sf) Cl. D, Downgraded to Ca (sf); previously on Nov 18, 2010 Downgraded to Caa2 (sf) Cl. E, Downgraded to Ca (sf); previously on Nov 18, 2010 Downgraded to Caa3 (sf) Cl. F, Downgraded to C (sf); previously on Nov 18, 2010 Downgraded to Ca (sf) Cl. G, Downgraded to C (sf); previously on Nov 18, 2010 Downgraded to Ca (sf) Cl. H, Downgraded to C (sf); previously on Nov 18, 2010 Downgraded to Ca (sf) Cl. J, Downgraded to C (sf); previously on Nov 18, 2010 Downgraded to Ca (sf) Cl. K, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. O, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. P, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. Q, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. IO, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The downgrades are due to higher than expected realized and anticipated losses from loans in special servicing and troubled loans. The affirmations of the principal classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class IO, is consistent with the expected credit performance of its reference classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of 12.6% of the current balance compared to 11.5% at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and the IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator version 1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 27 compared to 28 at last review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated July 7, 2011. DEAL PERFORMANCE As of the June 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 6% to $3.39 billion from $3.60 billion at securitization. The Certificates are collateralized by 149 mortgage loans ranging in size from less than 1% to 8% of the pool. Two loans, representing 1% of the pool, have investment grade credit assessments. There are currently no defeased loans in the pool. Forty-four loans, representing 25% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $47.3 million (43% loss severity). Currently 15 loans, representing 14% of the pool, are in special servicing. The largest specially serviced loan is the Three Borough Pool Loan ($133.0 million -- 3.9% of the pool) which is secured by 42 multifamily properties located in Manhattan, Brooklyn, and the Bronx in New York. The loan transferred to special servicing in September 2010 due to imminent default. The loan matured on May 15, 2012. The second largest specially serviced loan is the Central/Eastern Industrial Pool ($89.0 million -- 2.6% of the pool). This loan is secured by 13 industrial properties located throughout the U.S. At securitization all of the locations were leased under absolute triple net leases. The loan transferred to special servicing in July 2010 as the result of imminent default. Tenants abandoned or vacated two of the buildings and a tenant abandoned 50% of a third property. The borrower is in the process of preparing a revised proposal and the lender is dual-tracking foreclosure. The loan is currently 30 days delinquent. The remaining specially serviced loans are represented by a mix of property types. Moody's has estimated an aggregate $188.6 million loss (39% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 29 poorly performing loans representing 14% of the pool and has estimated an aggregate $97.7 million loss (20% expected loss based on a 53% probability default) from these troubled loans. Moody's was provided with full year 2010 and full year 2011 operating results for 94% and 94% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 119% compared to 126% at last full review. Moody's net cash flow reflects a weighted average haircut of 9.5% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.29X and 0.88X, respectively, compared to 1.25X and 0.85X, respectively, at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit assessment is the High Bluff Ridge at Del Mar Loan ($32.9 million -- 1.0% of the pool), which is secured by a 157,567 square foot (SF) suburban office building located in San Diego, California. The loan is interest-only. As of December 2011, the property was 96% leased compared to 100% at last review. Moody's current credit assessment and stressed DSCR are Baa3 and 1.45X, the same as at last review. The second loan with a credit assessment is the Lawndale Estates Loan ($7.2 million -- 0.2% of the pool), which is secured by a 673-unit mobile home community located in Saginaw, Michigan. The property was 82% leased as of December 2011 compared to 83% at last review. Moody's current credit assessment and stressed DSCR are A2 and 2.06X, respectively, compared to A2 and 2.04X at last review. The top four performing loans represent 32% of the pool balance. The largest loan is the ING Hospitality pool Loan ($283.9 million -- 8.4% of the pool), which is secured by a 46 asset portfolio of Residence Inns and Homewood Suites located across 19 states. This loan represents a pari-passu interest in a $567.7 million first mortgage loan. Performance has improved since the prior review due to occupancy growth. The loan matured on June 11, 2012 and the borrower has provided the master servicer with evidence of refinancing. The master servicer anticipates the loan will be paid off in full within the next 60 days. Moody's LTV and stressed DSCR are 149% and 0.83X, respectively, compared to 163% and 0.76X at last review. The second largest loan is the Sawgrass Mills Loan ($265.3 million -- 7.8% of the pool), which is secured by a 2.0 million SF regional mall located in Sunrise, Florida. This loan represents a pari-passu interest in an $820.0 million first mortgage loan. The loan is sponsored by Simon Property Group. Performance has steadily improved since securitization due to rent bumps from existing tenants along with an increase in percentage rents due to strong sales. The loan is interest only throughout the term. Moody's LTV and stressed DSCR are 90% and 0.99X, respectively, compared to 94% and 0.95X at last review. The third largest conduit loan is the Ashford Hospitality Pool 6 Loan ($260.5 million --7.7% of the pool), which is secured by a portfolio of three cross defaulted and cross collateralized full service Marriott (2) and Renaissance (1) Hotels located in Florida, Texas, and Washington. The portfolio was 72% occupied for the twelve-month period ending December 2011 compared to 71% at last review. The loan was interest only for 60 months but began amortizing in April 2012 and matures in April 2017. Moody's LTV and stressed DSCR are 146% and 0.81X, respectively, compared to 160% and 0.75X at last review. The fourth largest loan is the 666 Fifth Avenue Loan ($258.5 million -- 8.4% of the pool), which represents a 22% pari-passu interest in a $1.215 billion first mortgage loan. The loan is secured by a 1.5 million SF Class A office building located in Midtown Manhattan, New York. The property was 77% leased as of December 2011 compared to 86% at year-end 2009 and 98% at securitization. The loan transferred to special servicing in March 2010 due to imminent monetary default. The borrower requested a loan modification after the borrower exhausted its $100 million reserve. In December 2011, the borrower and special servicer successfully executed a modification. Terms of the modification include a bifurcation of the original loan into a $1.15 billion A- Note and $115 million B-Note, interest reduction on the A-Note, $110 million equity infusion that is senior in payment priority to the B-Note, and an extension of the maturity date by two years. Based on the new structure, the interest rate reduction has created interest shortfalls in the amount of $800,000 per month in 2012 and will create approximately $560,000 in interest shortfalls per month in 2013. The loan returned to the master servicer in March 2012 and is performing under the modified terms. Moody's LTV and stressed DSCR for the modified A note are 163% and 0.53X, respectively, compared to 181% and 0.52X at last review. WAVE SPC 2007-1: S&P Lowers Rating to Class A-1 Debt to 'D' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on class A-1 to 'D (sf)' from WAVE SPC's series 2007-1 (WAVE 2007-1), a commercial real estate collateralized debt obligation (CRE CDO) transaction. "The rating action reflects our analysis of the transaction following an interest shortfall to the nondeferrable class. Classes A-1 experienced an interest shortfall according to the June 20, 2012, trustee remittance report, and we subsequently lowered our rating on the class to 'D (sf_)'," S&P said. "The underlying commercial mortgage-backed securities (CMBS) for WAVE 2007-1 failed to produce sufficient interest proceeds to pay the full interest amount due to the A-1 nondeferrable interest classes, resulting in the liquidity interruption," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING LOWERED WAVE SPC Series 2007-1 Collateralized debt obligations Rating Class To From A-1 D (sf) CCC- (sf) WELLS FARGO 2012-C7: Fitch Rates $19.3-Mil. Class G Notes 'Bsf' --------------------------------------------------------------- Fitch Ratings has assigned the following ratings to Wells Fargo Bank, N.A. WFRBS Commercial Mortgage Trust 2012-C7 commercial mortgage pass-through certificates: -- $189,518,000 class A-1 'AAAsf'; Outlook Stable; -- $417,987,000 class A-2 'AAAsf'; Outlook Stable; -- $165,250,000a class A-FL 'AAAsf'; Outlook Stable; -- $0 class A-FX 'AAAsf'; Outlook Stable; -- $855,551,000*a class X-A 'AAAsf'; Outlook Stable; -- $82,796,000 class A-S 'AAAsf'; Outlook Stable; -- $57,956,000 class B 'AAsf'; Outlook Stable; -- $41,398,000 class C 'Asf'; Outlook Stable; -- $27,598,000a class D 'BBB+sf'; Outlook Stable; -- $48,298,000a class E 'BBB-sf'; Outlook Stable; -- $19,319,000a class F 'BBsf'; Outlook Stable; -- $19,319,000a class G 'Bsf'; Outlook Stable. * Notional amount and interest only. a Privately placed pursuant to Rule 144A. Fitch does not rate the $248,386,065 interest-only class X-B or the $34,498,065 class H. Wells Fargo Bank, N.A. will be the swap counterparty for the floating-rate class A-FL. In the event that any swap breakage costs are due to the swap counterparty from the trust, any breakage costs will only be paid after all payments on the class A-FL certificates have been paid in full. The aggregate balance of the class A-FL may be adjusted as a result of the exchange of all or a portion of the class A-FL certificates for the non- offered class A-FX. WILSHIRE FUNDING: Moody's Confirms 'Caa2' Rating on M-3 Tranche --------------------------------------------------------------- Moody's Investors Service has downgraded the rating of 1 tranche, upgraded the rating of 1 tranche, and confirmed the ratings of 3 tranches from three RMBS transactions, backed by Scratch and Dent loans, issued by Wilshire Funding Corporation. Ratings Rationale The actions are a result of the recent performance review of Scratch and Dent pools 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 "US RMBS Surveillance Methodology for Scratch and Dent" published in May 2011. 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 and 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. 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 scratch and dent pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on strength of the collateral, number of loans remaining in the pool and the level of current delinquencies in the pool. For scratch and dent, Moody's first applies a baseline delinquency rate of 11% for standard transactions and 3% for strongest prime- like deals. 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 standard pool with 75 loans, the adjusted rate of new delinquency is 11.1%. 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 0.75 to 2.5 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, 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 8.2% 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 these transactions. Complete rating actions are as follows: Issuer: Wilshire Mortgage Loan Trust 1997-02 M-1, Confirmed at Caa3 (sf); previously on Apr 19, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade Issuer: Wilshire Funding Corporation Mortgage Backed Certificates, Series 1996-3 M-2, Confirmed at Baa1 (sf); previously on Apr 19, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade M-3, Confirmed at Caa2 (sf); previously on Apr 19, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Issuer: Wilshire Mortgage Funding Company VI, Inc., Series 1998- WFC2 I-O, Downgraded to Ba1 (sf); previously on Feb 22, 2012 Downgraded to Baa3 (sf) M-3, Upgraded to B2 (sf); previously on Apr 19, 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_SF290075 A list of updated estimated pool losses and sensitivity analysis 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_SF247004 * Fitch Says Credit Quality for Grade Debt Issues Stabilized ------------------------------------------------------------ Credit quality for U.S. speculative grade debt issuers has stabilized, though continued improvement could be challenging, as detailed by Fitch Ratings' in its latest 'Leveraged Finance Stats Quarterly - First Quarter 2011'. Continued credit improvements for both 'BB' and 'B' rated issuers have become increasingly more challenging. This is primarily because top-line growth has stagnated and the capacity for further cost cutting remains limited. Prior to the first quarter, minor improvements in top-line growth and stable margins have contributed to higher EBITDA levels and decreased leverage. First quarter aggregate leverage has remained flat quarter-over- quarter at 4.2 times (x) and has declined modestly year-over-year from 4.4x. Declining leverage levels for 'BB' rated issuers have started to flatten at 3.2x. Modest declines in leverage for 'B' rated issuers have occurred at 5.0x (from 5.2x the year prior). Overall stable credit profiles for most high-yield issuers should allow a buffer to withstand a prolonged period of weak economic growth. Liquidity has remained adequate to strong for most issuers. However, average cash balances have declined as capital spending has normalized from recession lows. On average, 'BB' rated issuers have approximately 80% available on their revolving credit facilities (versus 73% for 'B' rated issuers). Issuers may look to further bolster their liquidity positions as memories of a credit crunch have left issuers with a strong focus on maintaining ample liquidity. Most issuers have addressed near-term refinancing needs. Total cash on hand in the portfolio well exceeds maturities through 2013. Issuers over the last few quarters have been focused on refinancing maturities during the 2013 and 2014 time frame. In the portfolio, 2013 and 2014 maturities represent 5% and 9% of overall total debt, respectively. 'B' rated issuers that have not addressed near-term maturities could be at risk should the current tone in the high-yield debt markets continue through the second half of 2012. On the sector level refinancing risk remains a focus for the Transportation; Energy, Oil, and Gas; Consumer, Food, and Beverage. Above average 2013 and 2014 maturities to total sector debt levels will come in at approximately 32%, 25%, and 23% respectively. Aerospace & Defense; Packaging, Paper, and Forest Products; Metals & Mining; Retailing; and Telecom sectors have primarily addressed refinancing needs for this period. 2013 and 2014 maturities to total debt of will total approximately 5%, 8%, 10%, 11%, and 11%, respectively. Additional refinancing risks for specific issuers is addressed in Fitch's fifth installment of the 'Bridging the Refinancing Cliff', a series focuses on those issuers with large amounts of loan and bond debt coming due in 2013 and 2014. * Moody's Cuts Ratings on 26 U.S. Structured Finance Securities --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of structured finance securities directly exposed to the declining credit quality of certain US and European firms with global capital market operations which Moody's downgraded on June 21, 2012. The rating actions affect 46 tranches, including 4 CDO/CLOs and, 42 structured notes in the U.S. A list of the Affected Credit Ratings, which identifies each affected issuer, is available at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF289985 Ratings Rationale The reason for Moody's actions is the linkage between the ratings of the structured finance securities and those of the banks. This linkage is due to the direct exposure of the structured finance securities to the declining credit quality of certain European and US banks each of which acts as either the guarantor of the securities, the issuer of collateral securities, or is the reference credit in the transaction. Because of the linkage, each rating is essentially a pass-through of the rating of the bank. Each related underlying security, guarantor or reference entity is detailed in the link at the beginning of this announcement. Moody's notes that these transactions are subject to a high level of macroeconomic uncertainty, which could negatively impact the ratings of the notes, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the acute sovereign and banking crisis in the euro area, which is weakening the credit profiles of banks exposed to the currency union. This crisis accentuates challenges facing banks globally. The principal methodology used in these ratings 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 entity. * Moody's Cuts Ratings on 37 Structured Finance Securities ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of structured finance securities directly exposed to the declining credit quality of certain US and European firms with global capital market operations which Moody's downgraded on June 21, 2012. The rating actions affect 64 tranches, including 2 SF repackaged security, 1 SFOC, and 61 structured notes in the U.S. A list of the Affected Credit Ratings, which identifies each affected issuer, is available at: Ratings Rationale The reason for Moody's actions is the linkage between the ratings of the structured finance securities and those of the banks. This linkage is due to the direct exposure of the structured finance securities to the declining credit quality of certain European and US banks each of which acts as either the guarantor of the securities, the issuer of collateral securities, or is the reference credit in the transaction. Because of the linkage, each rating is essentially a pass-through of the rating of the bank. Each related underlying security, guarantor or reference entity is detailed in the link at the beginning of this announcement. Moody's notes that these transactions are subject to a high level of macroeconomic uncertainty, which could negatively impact the ratings of the notes, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the acute sovereign and banking crisis in the euro area, which is weakening the credit profiles of banks exposed to the currency union. This crisis accentuates challenges facing banks globally. The principal methodology used in these ratings 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 entity. * Moody's Says U.S. Subprime Auto Lending Market Similar to 90's ---------------------------------------------------------------- The subprime auto lending market in the US is developing a resemblance to its condition in the early- and mid-1990s, when overheated competition among lenders led to poor underwriting that drove up losses, says Moody's Investors Service in a new report. As in that earlier period, capital is pouring into the sector and the issuance of subprime auto asset-backed securities (ABS) is booming. "It is too early to predict whether today's subprime lending market will deteriorate as it did in the 1990s, but the early similarities between then and now suggest that losses will climb if competition intensifies," says Moody's Vice President Peter McNally, author of the report "US Subprime Auto Lending Market Harkens Back to 1990s." Over the last two years, because of the sector's profitability, a large amount of private equity investment has gone into the subprime auto lenders, many of which are relatively small, specialty finance companies, says Moody's. Moody's says the interest of investors from outside the subprime auto market niche and the potential for increased competition carry the risk that losses could increase if a race for profits and market share lowers underwriting standards. The growth in the market can lead to capacity issues, says Moody's McNally. "When losses rise quickly, inexperienced lenders have trouble servicing a loan portfolio that requires more attention." In the 1990s, the number of small lenders boomed, leading to intense competition for loans that in turn led to weak underwriting and high losses on securitized loans. Net losses in subprime auto ABS, according to Moody's, jumped from under 3% in early 1995 to over 10% in December 1997. For the past several years subprime auto loan performance has been strong, with the net loss rate currently below 4%. However, the credit quality of pools securitized in 2011 and 2012 indicate that credit has loosened since 2010, says Moody's. Issuance of subprime auto ABS is on pace this year to exceed the robust issuance of 2011, which comprised 24 deals, totaling $14.3 billion. Moody's notes several differences between today' s market and the overheated market of the 1990s. One credit positive for today's market is that most lenders no longer practice gain on sale accounting, whereby lenders capitalized securitization gains and credited them to equity, which made their balance sheets look stronger than they were. Another is that the market is not yet overcrowded with new lenders. Moody's counts 13 active securitizers at the moment, compared with 34 issuers in 1997. An important credit negative is that transactions are no longer backed by monoline guarantors. These bond insurers absorbed losses on transactions that would have otherwise defaulted in the 1990s and took over transaction servicing from failing lenders. * Moody's Takes Rating Action on $1.58-Bil. Alt-A RMBS Tranches --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 40 tranches, upgraded the ratings of eight tranches and confirmed the ratings of 14 tranches from 16 RMBS transactions, backed by Alt-A loans issued from 2001 to 2004. 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 upgrades are due to significant 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. 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 and 3) bonds that financial guarantors insure. 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. 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. Bonds insured by financial guarantors The credit quality of RMBS that a financial guarantor insures reflect the higher of the credit quality of the guarantor or the RMBS without the benefit of the guarantee. As a result, the rating on the securities is the higher of 1) the guarantor's financial strength rating and 2) the current underlying rating, which is what the rating of the security would be absent consideration of the guaranty. The principal methodology Moody's uses in determining the underlying rating is the same methodology for rating securities that do not have financial guaranty, described earlier. 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 8.2% 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 these transactions. Complete rating actions are as follows: Issuer: Charlie Mac Trust 2004-1 Cl. A-3, Downgraded to Aa3 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A-4, Downgraded to Aa3 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A-6, Downgraded to Aa3 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A-7, Downgraded to Aa3 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A-8, Downgraded to Aa3 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A-9, Downgraded to Aa3 (sf); previously on Mar 25, 2011 Confirmed at Aaa (sf) Cl. PO, Downgraded to Aa3 (sf); previously on Mar 25, 2011 Confirmed at Aaa (sf) Issuer: Compass Residential Mortgage Trust 2004-R1 Cl. A-1, Upgraded to Ba3 (sf); previously on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2, Upgraded to Baa3 (sf); previously on Mar 25, 2011 Downgraded to Ba3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: FNBA Mortgage Loan Trust 2004-AR1 Cl. A-1, Upgraded to Baa2 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. A-2, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade Cl. A-3, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Confirmed at C (sf); previously on Jan 31, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: Global Mortgage Securitization 2004-A Ltd. Cl. A1, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. A2, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. A3, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. X-A1, Downgraded to Baa2 (sf); previously on Feb 22, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. B1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. B2, Downgraded to B3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. B3, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. B4, Downgraded to Ca (sf); previously on Mar 25, 2011 Downgraded to Caa3 (sf) Issuer: GSR Mortgage Loan Trust 2004-14 Cl. 1A1, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 1AX, Confirmed at Baa3 (sf); previously on Feb 22, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 2A1, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 2AX, Confirmed at Baa3 (sf); previously on Feb 22, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Lehman ABS Corpration 2003-1 Trust Cl. A1, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Issuer: Lehman ABS Corpration 2004-1 Trust Cl. 1-A2, Upgraded to Baa1 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. M1, Upgraded to B2 (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Cl. M1-IO, Upgraded to B2 (sf); previously on Feb 22, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Cl. M2, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf) Placed Under Review for Possible Upgrade Cl. M2-IO, Confirmed at Ca (sf); previously on Feb 22, 2012 Ca (sf) Placed Under Review for Possible Upgrade Issuer: MortgageIT Trust 2004-1 Cl. A-1, Downgraded to Baa1 (sf); previously on Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. A-2, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade Issuer: MortgageIT Trust 2004-2 Cl. A-1, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. A-2, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Newcastle Mortgage Securities Trust 2004-1 Cl. A, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade Issuer: RFSC Series 2001-RM2 Trust Cl. A-I, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A-II, Downgraded to Baa1 (sf); previously on Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. AP-I, Downgraded to Aa1 (sf); previously on Mar 25, 2011 Confirmed at Aaa (sf) Cl. A-V-I, Downgraded to B2 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. M-I-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. M-I-2, Downgraded to B3 (sf); previously on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. M-I-3, Downgraded to C (sf); previously on Mar 25, 2011 Downgraded to Ca (sf) Cl. M-II-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade Cl. M-II-2, Downgraded to B3 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. M-II-3, Downgraded to Caa3 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Sequoia Mortgage Trust 2004-3 Cl. A, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Thornburg Mortgage Securities Trust 2003-2 Cl. A, Downgraded to Aa3 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Thornburg Mortgage Securities Trust 2003-6 Cl. A-1, Confirmed at Aa2 (sf); previously on Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: Thornburg Mortgage Securities Trust 2004-1 Cl. I-2A, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. II-2A, Upgraded to Ba1 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Upgrade Cl. II-3A, Upgraded to Ba1 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Upgrade Issuer: Wells Fargo Alternative Loan Trust 2003-1 Trust Cl. I-A-1, Downgraded to A2 (sf); previously on Mar 16, 2011 Downgraded to A1 (sf) Cl. I-A-2, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. I-A-3, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Confirmed at Aa1 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. A-PO, Downgraded to Baa1 (sf); previously on Mar 16, 2011 Downgraded to A2 (sf) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF289058 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 * Moody's Takes Rating Actions on Four Tobacco Securitizations -------------------------------------------------------------- Moody's Investors Service has upgraded six tranches in two transactions and downgraded nine tranches in two other transactions sponsored by California counties. The bonds are securitizations of portions of payments owed to the state of California pursuant to the Master Settlement Agreement (MSA) which California shares with its counties. The MSA is between certain domestic tobacco manufacturers and 46 states and certain territories. Ratings Rationale A shift in cash flow allocations for California county-sponsored transactions prompted the rating actions. Population within California counties determines the transactions' proportionate share of the state's allocated MSA payment. Therefore, cash flows backing the transactions sponsored by California counties will vary over time based on such counties' relative population within the state. California reassesses such counties' MSA payment allocations every 10 years using the results of the Official United States Decennial Census. Based on the information published by the California Attorney General's office, Los Angeles and Alameda counties' relative shares of the total MSA payment allocated to California in 2012 declined, and Merced County's relative share increased. The combined relative share of the counties sponsoring the bonds of the California Statewide Financing Authority has also increased. In assigning the ratings Moody's conducted cash flow simulation analyses using assumptions published in the methodology entitled "Moody's Approach to Rating Tobacco Settlement Revenue Securitizations" published on May 25, 2011. Among other factors, Moody's considered the internal rate of return, the probability of default, and the expected loss on the bonds. In all cases, Moody's assumed that the portion of MSA payments either withheld or escrowed by the tobacco manufacturers that are party to the MSA will continue until 2020 and reduce the MSA payments by 13% per year. Moody's also assumed that the settling states would ultimately fully recover the withheld or escrowed disputed funds. Should the tobacco manufacturers prevail, however, such an outcome would materially reduce future cash flow to the affected states, which could result in further downgrades to their bonds. In addition to the quantitative factors, Moody's considered qualitative factors. Such factors include the structural protections in each transaction, the breakeven cigarette consumption declines for each rated tranche and recent deal performance indicators, including debt service coverage ratios, interest coverage ratios, and the transactions' leverage. Primary sources of uncertainty include future trends in domestic cigarette consumption, the domestic market share of the tobacco manufacturers who are parties to the MSA, as well as the market share split between major and minor tobacco manufacturers. In addition, Moody's published methodology includes an assumption that future inflation remains at the MSA minimum annual inflation adjustment of 3% for the term of the bonds. Consequently, inflation above 3% would result in the increase of the MSA payment revenue, and a potential upgrade for some bonds. The complete rating actions are as follows: Issuer: California County Tobacco Securitization Agency (Los Angeles County Securitization Corporation) Series 2006A Convertible Turbo Bonds Cl. 2006A-1, Downgraded to B2 (sf); previously on May 18, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. 2006A-2, Downgraded to B2 (sf); previously on May 18, 2012 B1 (sf) Placed Under Review for Possible Downgrade Cl. 2006A-3, Downgraded to B2 (sf); previously on May 18, 2012 B1 (sf) Placed Under Review for Possible Downgrade Cl. 2006A-4, Downgraded to B2 (sf); previously on May 18, 2012 B1 (sf) Placed Under Review for Possible Downgrade Cl. 2006A-5, Downgraded to B2 (sf); previously on May 18, 2012 B1 (sf) Placed Under Review for Possible Downgrade Issuer: California County Tobacco Securitization Agency (Merced County Tobacco Funding Corporation) - Tobacco Settlement Asset- Backed Refunding Bonds 2005A-1, Upgraded to Ba2 (sf); previously on May 18, 2012 B3 (sf) Placed Under Review for Possible Upgrade 2005A-2, Upgraded to B1 (sf); previously on May 18, 2012 B3 (sf) Placed Under Review for Possible Upgrade 2005A-3, Upgraded to B2 (sf); previously on May 18, 2012 B3 (sf) Placed Under Review for Possible Upgrade Issuer: California Statewide Financing Authority (Pooled Tobacco Securitization Program) , Series 2002 Ser. 2002A Term Bonds 1, Upgraded to Baa3 (sf); previously on May 18, 2012 B2 (sf) Placed Under Review for Possible Upgrade Ser. 2002B Term Bonds 1, Upgraded to Baa3 (sf); previously on May 18, 2012 B2 (sf) Placed Under Review for Possible Upgrade Ser. 2002A Term Bonds 2, Upgraded to Ba3 (sf); previously on May 18, 2012 B2 (sf) Placed Under Review for Possible Upgrade Ser. 2002A Term Bonds 3, Upgraded to Ba3 (sf); previously on May 18, 2012 B2 (sf) Placed Under Review for Possible Upgrade Ser. 2002B Term Bonds 2, Upgraded to Ba3 (sf); previously on May 18, 2012 B2 (sf) Placed Under Review for Possible Upgrade Ser. 2002B Term Bonds 3, Upgraded to Ba3 (sf); previously on May 18, 2012 B2 (sf) Placed Under Review for Possible Upgrade Issuer: The California County Tobacco Securitization Agency (Alameda County Tobacco Asset Securitization Corporation), Series 2002 Ser. 2002 Turbo Bond 1, Downgraded to A2 (sf); previously on May 18, 2012 A1 (sf) Placed Under Review for Possible Downgrade Ser. 2002 Turbo Bond 2, Downgraded to Baa2 (sf); previously on May 18, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade Ser. 2002 Turbo Bond 3, Downgraded to Ba1 (sf); previously on May 18, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade Ser. 2002 Turbo Bond 4, Downgraded to Ba2 (sf); previously on May 18, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade * Moody's Takes Rating Actions on $161MM US Scratch & Dent RMBS --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 8 tranches, upgraded the ratings of 2 tranches, and confirmed the ratings of 10 tranches from nine RMBS transactions, backed by Scratch and Dent loans, issued by various financial institutions. Ratings Rationale The actions are a result of the recent performance review of Scratch and Dent pools 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 "US RMBS Surveillance Methodology for Scratch and Dent" published in May 2011. The rating action constitute of two upgrades as well as eight downgrades. The upgrades are due to an increase in the available credit enhancement. The downgrades are primarily due to deteriorating collateral performance. Moody's adjusts the methodologies noted above for 1) Moody's current view on loan modifications and 2) bonds that financial guarantors insure. 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. 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. Bonds insured by financial guarantors The credit quality of RMBS that a financial guarantor insures reflect the higher of the credit quality of the guarantor or the RMBS without the benefit of the guarantee. As a result, the rating on the securities is the higher of 1) the guarantor's financial strength rating and 2) the current underlying rating, which is what the rating of the security would be absent consideration of the guaranty. The principal methodology Moody's uses in determining the underlying rating is the same methodology for rating securities that do not have financial guaranty, described earlier. When assigning the final ratings to senior bonds, in addition to the methodologies, 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 8.2% 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 these transactions. Complete rating actions are as follows: Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE4 Cl. A, Downgraded to Aa2 (sf); previously on May 24, 2011 Confirmed at Aaa (sf) Underlying Rating: Downgraded to Aa2 (sf); previously on May 24, 2011 Confirmed at Aaa (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. M-1, Downgraded to A2 (sf); previously on May 24, 2011 Confirmed at Aa3 (sf) Cl. M-2, Confirmed at Ba2 (sf); previously on Apr 19, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Cl. M-3, Confirmed at B2 (sf); previously on Apr 19, 2012 B2 (sf) Placed Under Review for Possible Upgrade Cl. M-4, Confirmed at Ca (sf); previously on Apr 19, 2012 Ca (sf) Placed Under Review for Possible Upgrade Issuer: Citigroup Mortgage Loan Trust, Series 2004-HE1 Cl. A, Downgraded to A2 (sf); previously on Apr 19, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: Countrywide Home Loan Trust 2003-SD3 Cl. M-2, Confirmed at Baa2 (sf); previously on Apr 19, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade Issuer: Credit Suisse Mortgage Capital Trust 2006-CF1 Cl. B-1, Confirmed at Caa3 (sf); previously on Apr 19, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade Issuer: CSFB Mortgage Pass-Through Certificates, Series 2004-CF2 Cl. I-A-2, Downgraded to Aa1 (sf); previously on Nov 23, 2004 Assigned Aaa (sf) Cl. I-M-1, Downgraded to Ba1 (sf); previously on May 19, 2011 Downgraded to Baa2 (sf) Cl. II-M-1, Confirmed at Caa1 (sf); previously on Apr 19, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Issuer: CSFB Mortgage Pass-Through Certificates, Series 2005-CF1 Cl. B, Downgraded to Caa2 (sf); previously on Apr 19, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-QH1 Cl. A-1, Downgraded to Caa1 (sf); previously on Apr 19, 2012 B3 (sf) Placed Under Review for Possible Downgrade Issuer: MASTR Specialized Loan Trust 2004-01 Cl. A-1, Confirmed at Aa1 (sf); previously on Apr 19, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. A-2, Confirmed at Aa3 (sf); previously on Apr 19, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to Ba2 (sf); previously on Mar 5, 2009 Downgraded to Baa3 (sf) Issuer: MASTR Specialized Loan Trust 2004-02 Cl. M-2, Upgraded to Aa3 (sf); previously on Jan 17, 2005 Assigned A2 (sf) Cl. M-3, Upgraded to Baa1 (sf); previously on Jan 17, 2005 Assigned Baa2 (sf) Cl. M-4, Confirmed at Baa3 (sf); previously on Apr 19, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. B, Confirmed at Ba3 (sf); previously on Apr 19, 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_SF290080 A list of updated estimated pool losses and sensitivity analysis 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_SF247004 * S&P Takes Various Rating Actions on 33 Scratch-And-Dent Deals --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 52 classes from 20 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1997 and 2007. "In addition, we raised our ratings on four classes from four transactions and affirmed our ratings on 110 classes from 14 of the transactions with lowered ratings and 12 additional transactions. We also withdrew our ratings on two classes from two transactions," S&P said. "All of the reviewed transactions are backed primarily by scratch- and-dent mortgage loan collateral except for two transactions. Structured Asset Securities Corp. 2003-23H is backed by first-lien high loan-to-value (HLTV) mortgage loans and Home Improvement & Home Equity Loan Trust 1997-D is backed by subprime mortgage loan collateral. Scratch-and-dent transactions generally fall into four categories: outside-the-guidelines, document-deficient, reperforming, and nonperforming liquidation trusts. The scratch- and-dent deals in this review are backed predominantly by reperforming first-lien, fixed- and adjustable-rate residential mortgage loans secured by first liens on one- to four-family residential properties," S&P said. "The downgrades reflect our belief that projected credit enhancement for the affected classes will be insufficient to cover the projected losses at the previous rating levels and/or, where applicable, the application of our interest shortfall criteria. We lowered our ratings on three classes from two transactions based on our interest shortfall criteria. We identify these classes in the ratings list below with an asterisk. We also lowered our ratings to 'D (sf)' on class M-1 from Quest Trust 2004-X1 and class M-I-3 from RAMP Series 2004-RS1 Trust due to principal writedowns," S&P said. "Among other factors, the upgrades reflect our view of decreased delinquencies within the structures associated with the affected classes. The decrease in delinquencies has reduced the remaining projected losses for these structures, allowing these classes to withstand more stressful scenarios. In addition, each upgrade reflects our assessment that the projected credit enhancement for each of the upgraded classes will be more than sufficient to cover projected losses at the revised rating levels; however, we are limiting the extent of the upgrades to reflect our view of the ongoing market risk," S&P said. "The affirmations reflect our belief that projected credit enhancement available for the affected classes will be sufficient to cover our projected losses at the current rating levels," S&P said. "Classes rated 'CCC (sf)' and 'CC (sf)' reflect our assessment that the credit enhancement for these classes will remain insufficient to cover projected losses," S&P said. "We withdrew our rating on class 1A-IO from Structured Asset Securities Corp. 2003-23H based on our interest-only criteria. We also withdrew our rating on class HE:B-1 from Home Improvement & Home Equity Loan Trust 1997-D because the class has been paid in full," S&P said. "In accordance with our published criteria, these rating actions reflect our view of the recent performance of the collateral backing these transactions, our current projected losses, the timing of the projected defaults and losses, and the projected credit support to cover those losses. The actions also reflect our view of structural features, such as cross-collateralization, payment allocations, and super-senior/subordinate senior relationships," S&P said. "Our review of these transactions incorporated our current and projected losses, which we based on the dollar amounts of loans currently in the transactions' delinquency, foreclosure, and real estate owned (REO) pipelines, as well as our projection of future defaults. We also incorporated cumulative losses to date in our analysis when assessing rating outcomes," S&P said. "Reperforming loan transactions include loans that were either delinquent or had delinquent payment histories at the time of securitization. Previously, we projected defaults using observed monthly losses to account for loans that may be contractually delinquent but still generating cash flow. However, as these transactions age, reperforming loans that are still classified as delinquent may exhibit a lower likelihood of eventually achieving a current payment. Therefore, we adjusted our assumptions to use each transaction's cumulative losses to date, pool factor, and assumed losses from the delinquency pipeline to project defaults going forward," S&P said. "In order to maintain a 'B' rating on a class, we assessed whether, in our view, a class could absorb the remaining base-case loss assumptions we used in our analysis. In order to maintain a rating higher than 'B', we assessed whether the class could withstand losses exceeding the remaining base-case loss assumptions at a percentage specific to each rating category, up to 150% for an 'AAA' rating. For example, in general, we would assess whether one class could withstand approximately 110% of our remaining base-case loss assumptions to maintain a 'BB' rating, while we would assess whether a different class could withstand approximately 120% of our remaining base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in our view, withstand approximately 150% of our remaining base-case loss assumptions under our analysis," S&P said. Subordination, overcollateralization (prior to its depletion), and excess spread provide credit support for the affected transactions. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS ACE Securities Corp. Home Equity Loan Trust Series 2006-SD1 Series 2006-SD1 Rating Class CUSIP To From *A-1B 004421XV0 AA+ (sf) AAA (sf) *M-1 004421XW8 D (sf) CCC (sf) ACE Securities Corp. Home Equity Loan Trust Series 2006-SD3 Series 2006-SD3 Rating Class CUSIP To From A 00443CAA6 A+ (sf) AA- (sf) M-1 00443CAB4 CC (sf) CCC (sf) Bear Stearns Asset Backed Securities Trust 2003-1 Series 2003-1 Rating Class CUSIP To From M-1 07384YHA7 BBB- (sf) BB (sf) Bear Stearns Asset Backed Securities Trust 2006-SD4 Series 2006-SD4 Rating Class CUSIP To From 1A-2 07389NAB1 CC (sf) CCC (sf) 1A-3 07389NAV7 CC (sf) CCC (sf) 2A-2 07389NAD7 CC (sf) CCC (sf) 3A-1 07389NAE5 CC (sf) CCC (sf) 3A-2 07389NAF2 CC (sf) CCC (sf) Bear Stearns Asset Backed Securities Trust 2007-SD1 Series 2007-SD1 Rating Class CUSIP To From I-A-1 07389QAA6 CC (sf) CCC (sf) I-PO 07389QAB4 CC (sf) CCC (sf) I-A-2A 07389QAC2 CC (sf) CCC (sf) I-A-2B 07389QAD0 CC (sf) CCC (sf) I-A-3A 07389QAE8 CC (sf) B- (sf) I-A-3B 07389QAF5 CC (sf) CCC (sf) II-1A-1 07389QAL2 CC (sf) CCC (sf) II-2A-1 07389QAN8 CC (sf) CCC (sf) II-3A-1 07389QAQ1 CC (sf) CCC (sf) Bear Stearns Asset Backed Securities Trust 2007-SD2 Series 2007-SD2 Rating Class CUSIP To From I-A-1A 07386UAA0 CCC (sf) B (sf) I-A-1B 07386UAB8 CC (sf) CCC (sf) I-PO 07386UAC6 CC (sf) CCC (sf) I-A-2A 07386UAD4 CCC (sf) B (sf) I-A-2B 07386UAE2 CC (sf) CCC (sf) I-A-3A 07386UAF9 CCC (sf) B (sf) I-A-3B 07386UAG7 CC (sf) CCC (sf) II-A-2 07386UAN2 CC (sf) CCC (sf) C-BASS 2007-RP1 Trust Series 2007-RP1 Rating Class CUSIP To From A 1248M6AA4 CCC (sf) BB (sf) M-1 1248M6AD8 CC (sf) CCC (sf) CWABS Asset-Backed Notes Trust 2006-SD1 Series 2006-SD1 Rating Class CUSIP To From M-2 126670VQ8 CC (sf) CCC (sf) CWABS Asset-Backed Notes Trust 2006-SD2 Series 2006-SD2 Rating Class CUSIP To From 1-M-2 23242TAK2 CC (sf) CCC (sf) 2-A-1-B 23242TAB2 CC (sf) CCC (sf) GSAMP Trust 2005-SEA2 Series 2005-SEA2 Rating Class CUSIP To From B-1 362341TR0 BB (sf) B- (sf) GSAMP Trust 2006-SD1 Series 2006-SD1 Rating Class CUSIP To From M-1 362341X61 B- (sf) B (sf) M-2 362341X79 CC (sf) CCC (sf) GSAMP Trust 2006-SD3 Series 2006-SD3 Rating Class CUSIP To From A 36244RAA8 CCC (sf) B (sf) Home Improvement & Home Equity Loan Trust 1997-D Series 1997-D Rating Class CUSIP To From HE: B-1 393505WL2 NR A+ (sf) Quest Trust 2004-X1 Series 2004-X1 Rating Class CUSIP To From M-1 03072SPT6 D (sf) CC (sf) Quest Trust 2006-X2 Series 2006-X2 Rating Class CUSIP To From A-1 74836YAA8 CCC (sf) BBB (sf) A-2 74836YAB6 CCC (sf) B- (sf) M-1 74836YAC4 CC (sf) CCC (sf) RAAC Series 2005-SP2 Trust Series 2005-SP2 Rating Class CUSIP To From M-I-2 76112BE63 BB (sf) B- (sf) A-II 76112BF54 CC (sf) CCC (sf) RAAC Series 2006-RP1 Trust Series 2006-RP1 Rating Class CUSIP To From M-1 76112B2V1 BBB- (sf) B+ (sf) RAAC Series 2007-SP3 Trust Series 2007-SP3 Rating Class CUSIP To From M-1 74978FAB5 CC (sf) CCC (sf) RAMP Series 2002-RS1 Trust Series 2002-RS1 Rating Class CUSIP To From M-II-2 760985GX3 CCC (sf) B (sf) RAMP Series 2003-RS11 Trust Series 2003-RS11 Rating Class CUSIP To From M-I-2 760985K59 B- (sf) BB- (sf) RAMP Series 2004-RS1 Trust Series 2004-RS1 Rating Class CUSIP To From M-I-3 760985N64 D (sf) CC (sf) Security National Mortgage Loan Trust 2006-3 Series 2006-3 Rating Class CUSIP To From A-1 81441WAA4 A (sf) AAA (sf) A-2 81441WAB2 CCC (sf) B (sf) Structured Asset Securities Corp. Series 2003-23H Rating Class CUSIP To From 1A1 86359AB93 A+ (sf) AAA (sf) 1A-IO 86359AC27 NR AAA (sf) 1A-PO 86359AC35 A+ (sf) AAA (sf) *2A1 86359AC43 A+ (sf) AAA (sf) 1B1 86359AC68 CC (sf) BB (sf) Structured Asset Securities Corp. Mortgage Loan Trust 2007-GEL1 Series 2007-GEL1 Rating Class CUSIP To From A1 86362QAA1 CCC (sf) B- (sf) A2 86362QAB9 CCC (sf) B- (sf) A3 86362QAC7 CCC (sf) B- (sf) RATINGS AFFIRMED American Home Mortgage Assets Trust 2007-SD2 Series 2007-SD2 Class CUSIP Rating A 02662AAA0 CCC (sf) M-1 02662AAB8 CCC (sf) M-2 02662AAC6 CCC (sf) M-3 02662AAD4 CC (sf) M-4 02662AAE2 CC (sf) M-5 02662AAF9 CC (sf) BayView Financial Asset Trust 2003-SSR1 Series 2003-SSR1 Class CUSIP Rating A 07324QDR4 AAA (sf) M 07324QDS2 AA (sf) Bear Stearns Asset Backed Securities Trust 2003-1 Series 2003-1 Class CUSIP Rating A-1 07384YGX8 AAA (sf) A-2 07384YGY6 AAA (sf) M-2 07384YHB5 CCC (sf) B 07384YHC3 CC (sf) Bear Stearns Asset Backed Securities Trust 2006-SD4 Series 2006-SD4 Class CUSIP Rating 1A-1 07389NAA3 BBB+ (sf) 2A-1 07389NAC9 CCC (sf) Bear Stearns Asset Backed Securities Trust 2007-SD1 Series 2007-SD1 Class CUSIP Rating II-1A-2 07389QAM0 CC (sf) II-2A-2 07389QAP3 CC (sf) II-3A-2 07389QAR9 CC (sf) Bear Stearns Asset Backed Securities Trust 2007-SD2 Series 2007-SD2 Class CUSIP Rating I-B-1 07386UAJ1 CC (sf) II-A-1 07386UAM4 CCC (sf) II-M-1 07386UAP7 CC (sf) II-M-2 07386UAQ5 CC (sf) CSFB Trust 2004-CF2 Series 2004-CF2 Class CUSIP Rating I-A-2 22541SD47 AAA (sf) II-A-1 22541SD96 AAA (sf) II-A-2 22541SE87 AAA (sf) II-A-3 22541SE95 AAA (sf) I-M-1 22541SD54 AA+ (sf) II-M-1 22541SE20 AA+ (sf) I-M-2 22541SD62 B+ (sf) II-M-2 22541SE38 CCC (sf) I-B 22541SD70 CC (sf) II-B 22541SE46 CC (sf) CWABS Asset-Backed Notes Trust 2006-SD1 Series 2006-SD1 Class CUSIP Rating A-2 126670VN5 B (sf) M-1 126670VP0 CCC (sf) CWABS Asset-Backed Notes Trust 2006-SD2 Series 2006-SD2 Class CUSIP Rating 1-A-1 23242TAH9 B (sf) 1-A-3 23242TAW6 B (sf) 1-M-1 23242TAJ5 CCC (sf) 1-M-3 23242TAL0 CC (sf) 1-M-4 23242TAM8 CC (sf) GMACM Mortgage Loan Trust 2003-GH2 Series 2003-GH2 Class CUSIP Rating A-4 36185NQ60 AAA (sf) M-1 36185NQ78 AA (sf) M-2 36185NQ86 A (sf) B 36185NQ94 CCC (sf) GMACM Mortgage Loan Trust 2004-GH1 Series 2004-GH1 Class CUSIP Rating A-3 36185HDY6 AAA (sf) A-4 36185HDZ3 AAA (sf) A-5 36185HEA7 AAA (sf) A-6 36185HEB5 AAA (sf) M-1 36185HEC3 BBB (sf) M-2 36185HED1 CCC (sf) B 36185HEE9 CC (sf) GSAMP Trust 2005-SD2 Series 2005-SD2 Class CUSIP Rating M-2 362341CE7 AA (sf) M-3 362341CF4 BBB (sf) B-1 362341CG2 CCC (sf) B-2 362341CH0 CC (sf) GSAMP Trust 2005-SEA2 Series 2005-SEA2 Class CUSIP Rating A-1 362341TM1 AAA (sf) A-2 362341TN9 AAA (sf) M-1 362341TP4 AA+ (sf) M-2 362341TQ2 BBB- (sf) B-2 362341TS8 B- (sf) GSAMP Trust 2006-SD1 Series 2006-SD1 Class CUSIP Rating A-2 362341Y94 AAA (sf) Quest Trust 2004-X1 Series 2004-X1 Class CUSIP Rating A 03072SPS8 AA (sf) RAAC Series 2005-SP2 Trust Series 2005-SP2 Class CUSIP Rating A-I-3 76112BE48 AAA (sf) M-I-1 76112BE55 AA (sf) M-I-3 76112BE71 CCC (sf) M-I-4 76112BE89 CC (sf) M-I-5 76112BE97 CC (sf) M-II-1 76112BF62 CC (sf) RAAC Series 2006-RP1 Trust Series 2006-RP1 Class CUSIP Rating A-2 76112B2U3 AAA (sf) A-3 76112B3R9 AAA (sf) M-2 76112B2W9 CCC (sf) M-3 76112B2X7 CC (sf) M-4 76112B2Y5 CC (sf) RAAC Series 2007-SP3 Trust Series 2007-SP3 Class CUSIP Rating A-1 74978FAA7 BB (sf) A-2 74978FAH2 CCC (sf) RAMP Series 2002-RS1 Trust Series 2002-RS1 Class CUSIP Rating A-I-5 760985GQ8 AAA (sf) M-I-1 760985GS4 CC (sf) RAMP Series 2003-RS11 Trust Series 2003-RS11 Class CUSIP Rating A-I-6B 760985L66 AAA (sf) A-I-7 760985K34 AAA (sf) M-I-1 760985K42 AA (sf) M-II-1 760985K91 AA (sf) M-II-2 760985L25 CCC (sf) M-II-3 760985L33 CC (sf) M-II-4 760985L41 CC (sf) A-I-6A 760985K26 AAA (sf) RAMP Series 2003-RS5 Trust Series 2003-RS5 Class CUSIP Rating A-I-5 760985WY3 A (sf) A-I-6 760985WZ0 CC (sf) A-II-A 760985XA4 AA- (sf) A-II-B 760985XB2 AA- (sf) RAMP Series 2004-RS1 Trust Series 2004-RS1 Class CUSIP Rating A-I-6A 760985M73 AAA (sf) A-I-6B 760985M81 AAA (sf) A-I-7 760985M99 AAA (sf) M-I-1 760985N49 A+ (sf) M-I-2 760985N56 CCC (sf) M-II-1 760985N80 BBB- (sf) M-II-2 760985N98 CC (sf) M-II-3 760985P21 CC (sf) Security National Mortgage Loan Trust 2006-3 Series 2006-3 Class CUSIP Rating A-3 81441WAC0 CCC (sf) Structured Asset Securities Corp. Series 2001-SB1 Class CUSIP Rating A2 86358RDU8 AAA (sf) A4 86358RDW4 AAA (sf) A5 86358RDX2 AAA (sf) AIO 86358RDY0 AAA (sf) APO 86358RDZ7 AAA (sf) B1 86358REA1 A (sf) B2 86358REB9 CCC (sf) B3 86358REC7 CC (sf) Structured Asset Securities Corp. Series 2003-23H Class CUSIP Rating 1B2 86359AC76 CC (sf) 2B1 86359AC84 CCC (sf) 2B2 86359AC92 CC (sf) B3 86359AD26 CC (sf) B4 86359AD42 CC (sf) Terwin Mortgage Trust 2004-EQR1 Series 2004-EQR1 Class CUSIP Rating M-2 881561EB6 CC (sf) *Based on the application of our interest shortfall criteria. * S&P Lowers Ratings on 72 Classes From 32 U.S. RMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 72 classes from 32 U.S. residential mortgage-backed securities (RMBS) transactions. "In addition, we affirmed our ratings on 265 classes from 31 of the transactions with lowered ratings as well as nine additional transactions. We also withdrew our rating on 19 classes from eight transactions: two IO classes from two transactions as per our IO criteria; seven classes from two transactions due to small loan count; and eight IO classes from three transactions and two prepayment penalty classes from one transaction which are no longer entitled to any cash flow," S&P said. The 41 RMBS transactions in this review are backed by Alternative- A (Alt-A) mortgage loan collateral issued from 2002 through 2006. "In accordance with our published criteria, these rating actions reflect our view of the recent performance of the collateral backing these transactions, our current projected losses, the timing of the projected defaults and losses, and the projected credit support to cover those losses. The actions also reflect our view of structural features, such as cross collateralization, payment allocations, and super-senior/subordinate senior relationships," S&P said. "The downgrades reflect our belief that projected credit enhancement for the affected classes will be insufficient to cover the projected losses at the previous rating levels. In addition, we lowered our rating on class M from Alternative Loan Trust 2002- 17 based on our interest shortfall criteria," S&P said. "The affirmations reflect our belief that projected credit enhancement available for the affected classes will be sufficient to cover our projected losses at the current rating levels," S&P said. "We withdrew our ratings on class II-X from Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR22 and class A-X from Residential Asset Securitization Trust 2005-A14 to reflect the application of our IO criteria," S&P said. "We also affirmed our ratings on seven classes from two transactions and subsequently withdrew them due to the small number of loans remaining and the lack of sufficient information to maintain the ratings. These classes can be identified in the table below by an asterisk. Each of these classes is backed by a pool with a small number of remaining loans. If any of the remaining loans default, the resulting loss could have a greater effect on the pool's performance than if the pool consisted of a larger number of loans. Because this performance volatility may have an adverse effect on our outstanding ratings, we withdrew our ratings on the related transactions," S&P said. "We also withdrew our ratings on eight IO classes from three transactions which no longer are entitled to any cash flow, and two prepayment penalty classes from Credit Suisse First Boston Mortgage Securities Corp., Series 2002-10 due to the expiration of the prepayment penalty period for all of the loans in the transaction," S&P said. "In order to maintain a 'B' rating on a class, we assessed whether, in our view, a class could absorb the remaining base-case loss assumptions we used in our analysis. In order to maintain a rating higher than 'B', we assessed whether the class could withstand losses exceeding the remaining base-case loss assumptions at a percentage specific to each rating category, up to 150% for an 'AAA' rating. For example, in general, we would assess whether one class could withstand approximately 110% of our remaining base-case loss assumptions to maintain a 'BB' rating, while we would assess whether a different class could withstand approximately 120% of our remaining base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in our view, withstand approximately 150% of our remaining base-case loss assumptions under our analysis," S&P said. "Classes rated 'CCC (sf)' and 'CC (sf)' reflect our assessment that the credit enhancement for these classes will remain insufficient to cover projected losses," S&P said. Subordination, overcollateralization (prior to its depletion), and excess spread, when applicable, provide credit support for the affected transactions. 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/1111687.pdf RATING ACTIONS Alternative Loan Trust 2002-17 Series 2002-33 Rating Class CUSIP To From M 12669DKE7 AA+ (sf) AAA (sf) B-1 12669DKF4 BBB (sf) A (sf) Alternative Loan Trust 2003-19CB Series 2003-47 Rating Class CUSIP To From 2-A-1 12669EG83 AA+ (sf) AAA (sf) Alternative Loan Trust 2003-3T1 Series 2003-9 Rating Class CUSIP To From A-4 12669D6V5 NR AAA (sf) M 12669D7E2 BBB+ (sf) A+ (sf) Alternative Loan Trust 2003-5T2 Series 2003-13 Rating Class CUSIP To From M 12669EAL0 BBB+ (sf) AAA (sf) Alternative Loan Trust 2003-6T2 Series 2003-16 Rating Class CUSIP To From M 12669ECS3 BBB (sf) A+ (sf) B-1 12669ECT1 CC (sf) CCC (sf) Alternative Loan Trust 2003-9T1 Series 2003-22 Rating Class CUSIP To From M 12669EJH0 BBB (sf) AAA (sf) B-1 12669EJJ6 CCC (sf) B- (sf) Alternative Loan Trust 2005-J14 Series 2005-J14 Rating Class CUSIP To From A-1 12668AP82 BB (sf) BBB+ (sf) Banc of America Alternative Loan Trust 2003-1 Series 2003-1 Rating Class CUSIP To From B-2 05948KAM1 BBB (sf) A+ (sf) B-3 05948KAN9 CC (sf) CCC (sf) Banc of America Funding 2004-4 Trust Series 2004-4 Rating Class CUSIP To From 30-B-1 05946XLE1 BB (sf) BBB- (sf) 15-B-3 05946XLK7 BB (sf) BBB (sf) Bear Stearns ALT-A Trust 2004-2 Series 2004-2 Rating Class CUSIP To From I-X-A-1 07386HHA2 NR AAA (sf) I-X-A-2 07386HHB0 NR AAA (sf) II-X-A-1 07386HHC8 NR AAA (sf) II-X-A-2 07386HHD6 NR AAA (sf) II-X-A-3 07386HHE4 NR AAA (sf) III-X-A-1 07386HHF1 NR AAA (sf) M 07386HGW5 A- (sf) AA+ (sf) Bear Stearns Asset Backed Securities I Trust 2004-AC2 Series 2004-AC2 Rating Class CUSIP To From B-1 073879AK4 B- (sf) BB (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2002-9 Rating Class CUSIP To From I-B-1 22540VJ37 CC (sf) CCC (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2002-AR17 Rating Class CUSIP To From 1-X 22540VS86 NR AAA (sf) C-B-2 22540VT69 AA (sf) AAA (sf) C-B-3 22540VT77 A (sf) AA+ (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2002-10 Rating Class CUSIP To From II-B-1 22540VR20 CCC (sf) BBB- (sf)/Watch Neg I-PP 22540VR95 NR AAA (sf) II-PP 22540VS29 NR AAA (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2002-22 Rating Class CUSIP To Interim From *I-M-1 22541NBT5 NR AA (sf) AA (sf) *I-M-2 22541NBU2 NR CC (sf) CC (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2003-AR2 Rating Class CUSIP To From C-B-2 22541NZT9 BBB- (sf) AA- (sf) C-B-3 22541NZU6 CC (sf) CCC (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2003-AR12 Rating Class CUSIP To From I-A-1 22541N4S5 A- (sf) AAA (sf) I-A-2 22541N4T3 BBB (sf) A (sf) II-A-1 22541N4U0 BBB (sf) A (sf) II-A-2 22541N4V8 BBB (sf) A (sf) II-A-3 22541N4W6 BBB (sf) A (sf) III-A-1 22541N4X4 BBB (sf) A (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2003-AR22 Rating Class CUSIP To From I-A-1 22541QRE4 A (sf) AAA (sf) II-A-4 22541QRJ3 A (sf) AAA (sf) II-A-5 22541QRK0 A (sf) AAA (sf) III-A-1 22541QRL8 A (sf) AAA (sf) II-X 22541QRN4 NR AAA (sf) C-B-1 22541QRS3 CC (sf) CCC (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2003-AR24 Rating Class CUSIP To From I-A-1 22541QUJ9 AA (sf) AAA (sf) II-A-4 22541QUN0 AA (sf) AAA (sf) III-A-1 22541QUP5 AA (sf) AAA (sf) IV-A-1 22541QUQ3 AA (sf) AAA (sf) V-A-1 22541QUR1 AA (sf) AAA (sf) II-X 22541QVC3 AA (sf) AAA (sf) V-X 22541QUT7 AA (sf) AAA (sf) HarborView Mortgage Loan Trust 2006-12 Series 2006-12 Rating Class CUSIP To From 2A-1A3 41162DAD1 CC (sf) CCC (sf) IndyMac INDX Mortgage Loan Trust 2004-AR8 Series 2004-AR8 Rating Class CUSIP To From 1-A-1 45660N2H7 CC (sf) CCC (sf) 2-A-1 45660N2L8 CC (sf) CCC (sf) 2-A-2A 45660N2J3 BBB- (sf) A+ (sf) 2-A-2B 45660N2K0 CC (sf) CCC (sf) MASTR Alternative Loan Trust 2002-1 Series 2002-1 Rating Class CUSIP To From B-3 576434AL8 AA (sf) AAA (sf) MASTR Alternative Loan Trust 2003-8 Series 2003-8 Rating Class CUSIP To From B-1 576434KK9 A (sf) AA (sf) Morgan Stanley Mortgage Loan Trust 2006-17XS Series 2006-17XS Rating Class CUSIP To From A-2-W 61751DAD6 B (sf) B (sf)/Watch Neg A-5-W 61751DAH7 B (sf) B (sf)/Watch Neg New York Mortgage Trust 2005-2 Series 2005-2 Rating Class CUSIP To From M-2 649603AF4 BBB- (sf) A- (sf) RALI Series 2002-QS10 Trust Series 2002-QS10 Rating Class CUSIP To Interim From *A-P 76110GM32 NR AAA (sf) AAA (sf) *A-V 76110GM40 NR AAA (sf) AAA (sf) *M-1 76110GM73 NR AAA (sf) AAA (sf) *M-2 76110GM81 NR AAA (sf) AAA (sf) *M-3 76110GM99 NR AAA (sf) AAA (sf) RALI Series 2002-QS3 Trust Series 2002-QS3 Rating Class CUSIP To From M-2 76110GXF3 AA (sf) AAA (sf) M-3 76110GXG1 CC (sf) CCC (sf) RALI Series 2003-QS13 Trust Series 2003-QS13 Rating Class CUSIP To From M-1 76110HGH6 BBB (sf) A- (sf) M-2 76110HGJ2 CC (sf) CCC (sf) Residential Asset Securitization Trust 2002-A13 Series 2002-M Rating Class CUSIP To From B-1 45660NJQ9 BBB (sf) AA+ (sf) B-2 45660NJR7 CCC (sf) BBB+ (sf) B-3 45660NJS5 CC (sf) CCC (sf) Residential Asset Securitization Trust 2002-A14J Series 2002-N Rating Class CUSIP To From B-2 45660NLE3 BBB (sf) AA- (sf) Residential Asset Securitization Trust 2002-A15 Series 2002-O Rating Class CUSIP To From B-1 45660NKM6 A (sf) AAA (sf) Residential Asset Securitization Trust 2002-A16 Series 2002-P Rating Class CUSIP To From B-2 45660NMC6 B (sf) BB- (sf) Residential Asset Securitization Trust 2005-A14 Series 2005-N Rating Class CUSIP To From A-1 45660LS83 CC (sf) CCC (sf) A-2 45660LS91 CC (sf) CCC (sf) A-3 45660LT25 CC (sf) CCC (sf) A-5 45660LT41 CC (sf) CCC (sf) A-7 45660LT66 CC (sf) CCC (sf) PO 45660LT74 CC (sf) CCC (sf) A-X 45660LT82 NR CCC (sf) Structured Adjustable Rate Mortgage Loan Trust 2005-6XS Series 2005-6XS Rating Class CUSIP To From A3 863579MJ4 AAA (sf) AAA (sf)/Watch Neg Structured Asset Securities Corp. Series 2003-25XS Rating Class CUSIP To From A5 86359AK36 BBB (sf) AA (sf) A6 86359AK44 BBB (sf) AA (sf) Structured Asset Securities Corp. Series 2004-11XS Rating Class CUSIP To From 1-A4A 86359BUD1 BBB- (sf) A (sf) 1-A4B 86359BVC2 BBB- (sf) A (sf) 1-A5A 86359BUE9 BBB- (sf) A (sf) 1-A5B 86359BUF6 BBB- (sf) A (sf) 1-A6 86359BUG4 BBB- (sf) A (sf) 1-M1 86359BUK5 CC (sf) CCC (sf) RATINGS AFFIRMED Alternative Loan Trust 2002-17 Series 2002-33 Class CUSIP Rating A-3 12669DJM1 AAA (sf) A-4 12669DJN9 AAA (sf) A-16 12669DKA5 AAA (sf) A-17 12669DKB3 AAA (sf) PO 12669DKC1 AAA (sf) B-2 12669DKG2 CC (sf) Alternative Loan Trust 2003-12CB Series 2003-30 Class CUSIP Rating 1-A-1 12669EKH8 AAA (sf) 2-A-1 12669EKJ4 AAA (sf) PO 12669EKK1 AAA (sf) M 12669EKM7 CCC (sf) B-1 12669EKN5 CC (sf) B-2 12669EKP0 CC (sf) Alternative Loan Trust 2003-19CB Series 2003-47 Class CUSIP Rating 1-A-1 12669EG75 AA+ (sf) 3-A-1 12669EX76 AA+ (sf) 3-A-2 12669EX84 AAA (sf) 3-A-3 12669EX92 AA+ (sf) PO 12669EG91 AA+ (sf) M 12669EL95 CCC (sf) B-1 12669EM29 CC (sf) B-2 12669EM37 CC (sf) Alternative Loan Trust 2003-22CB Series 2003-59 Class CUSIP Rating 1-A-1 12669FEE9 AAA (sf) 2-A-1 12669FEF6 AAA (sf) 3-A-1 12669FEG4 AAA (sf) PO 12669FEH2 AAA (sf) B-1 12669FEL3 CC (sf) B-2 12669FEM1 CC (sf) M 12669FEK5 CCC (sf) Alternative Loan Trust 2003-3T1 Series 2003-9 Class CUSIP Rating A-5 12669D6W3 AAA (sf) A-6 12669D6X1 AAA (sf) A-7 12669D6Y9 AAA (sf) A-8 12669D6Z6 AAA (sf) A-9 12669D7A0 AAA (sf) A-10 12669D7B8 AAA (sf) PO 12669D7C6 AAA (sf) B-1 12669D7F9 CCC (sf) B-2 12669D7G7 CC (sf) B-3 12669D3Z9 CC (sf) Alternative Loan Trust 2003-5T2 Series 2003-13 Class CUSIP Rating A-6 12669EAF3 AAA (sf) PO 12669EAJ5 AAA (sf) B-1 12669EAM8 CCC (sf) B-2 12669EAN6 CC (sf) Alternative Loan Trust 2003-6T2 Series 2003-16 Class CUSIP Rating A-5 12669ECM6 AAA (sf) A-6 12669ECN4 AAA (sf) A-7 12669ECP9 AAA (sf) PO 12669ECQ7 AAA (sf) B-2 12669ECU8 CC (sf) Alternative Loan Trust 2003-9T1 Series 2003-22 Class CUSIP Rating A-1 12669EHY5 AAA (sf) A-2 12669EHZ2 AAA (sf) A-3 12669EJA5 AAA (sf) A-4 12669EJB3 AAA (sf) A-5 12669EJC1 AAA (sf) A-6 12669EJD9 AAA (sf) A-7 12669EJE7 AAA (sf) PO 12669EJF4 AAA (sf) B-2 12669EJK3 CC (sf) B-3 12669EPF7 CC (sf) B-4 12669EPG5 CC (sf) Alternative Loan Trust 2004-9T1 Series 2004-9T1 Class CUSIP Rating A-1 12667FHJ7 AA+ (sf) A-2 12667FHK4 AA+ (sf) A-3 12667FHL2 AA+ (sf) A-4 12667FHM0 AA (sf) A-5 12667FHN8 AA (sf) A-11 12667FHU2 AA (sf) A-12 12667FHV0 AA (sf) A-13 12667FHW8 AA (sf) PO 12667FHX6 AA (sf) M 12667FHZ1 CC (sf) B-1 12667FJA4 CC (sf) B-2 12667FJB2 CC (sf) Alternative Loan Trust 2005-J14 Series 2005-J14 Class CUSIP Rating A-3 12668AQ24 CC (sf) A-4 12668AQ32 CC (sf) A-5 12668AQ40 CC (sf) A-6 12668AQ57 CC (sf) A-7 12668AQ65 CC (sf) A-8 12668AQ73 CC (sf) A-9 12668AQ81 CC (sf) PO 12668AR49 CC (sf) Banc of America Alternative Loan Trust 2003-1 Series 2003-1 Class CUSIP Rating A-1 05948KAA7 AAA (sf) A-2 05948KAB5 AAA (sf) A-3 05948KAC3 AAA (sf) A-4 05948KAD1 AAA (sf) A-5 05948KAE9 AAA (sf) A-6 05948KAF6 AAA (sf) A-WIO 05948KAJ8 AAA (sf) A-PO 05948KAK5 AAA (sf) B-1 05948KAL3 AA+ (sf) Banc of America Funding 2004-4 Trust Series 2004-4 Class CUSIP Rating 1-A-1 05946XKP7 AAA (sf) 1-A-3 05946XKR3 AAA (sf) 1-A-4 05946XKS1 AAA (sf) 1-A-5 05946XKT9 AAA (sf) 30-IO 05946XKW2 AAA (sf) 2-A-1 05946XKZ5 AAA (sf) 3-A-1 05946XLA9 AAA (sf) 15-IO 05946XLB7 AAA (sf) X-PO 05946XLC5 AAA (sf) 15-PO 05946XLD3 AAA (sf) 30-B-2 05946XLF8 CC (sf) 30-B-3 05946XLG6 CC (sf) 30-B-4 05946XLL5 CC (sf) 15-B-1 05946XLH4 AA (sf) Bear Stearns ALT-A Trust 2004-2 Series 2004-2 Class CUSIP Rating I-A-1 07386HGL9 AAA (sf) I-A-2 07386HGM7 AAA (sf) I-A-3 07386HGN5 AAA (sf) II-A-1 07386HGP0 AAA (sf) II-A-2 07386HGQ8 AAA (sf) II-A-3 07386HGR6 AAA (sf) III-A-1 07386HGS4 AAA (sf) IV-A-1 07386HGT2 AAA (sf) V-A-1 07386HGU9 AAA (sf) B-1 07386HGX3 CCC (sf) B-2 07386HGY1 CC (sf) B-3 07386HGZ8 CC (sf) Bear Stearns Asset Backed Securities I Trust 2004-AC2 Series 2004-AC2 Class CUSIP Rating I-A1 073879AA6 AAA (sf) I-A2 073879AB4 AAA (sf) I-A3 073879AC2 AAA (sf) I-A4 073879AD0 AAA (sf) I-X 073879AE8 AAA (sf) I-PO 073879AF5 AAA (sf) II-A 073879AG3 AAA (sf) II-X 073879AH1 AAA (sf) II-PO 073879AJ7 AAA (sf) B-2 073879AL2 CC (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2002-9 Class CUSIP Rating I-A-1 22540VG63 AAA (sf) I-A-2 22540VG71 AAA (sf) I-A-3 22540VG89 AAA (sf) I-X 22540VH70 AAA (sf) I-P 22540VH88 AAA (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2002-AR17 Class CUSIP Rating 1-A-1 22540VS78 AAA (sf) 2-A-1 22540VS94 AAA (sf) 2-X 22540VT36 AAA (sf) C-B-1 22540VT51 AAA (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2002-10 Class CUSIP Rating I-A-5 22540VQ21 AAA (sf) I-M-1 22540VQ70 AA (sf) I-M-2 22540VQ88 A (sf) II-A-1 22540VQ47 AAA (sf) II-X 22540VQ54 AAA (sf) II-P 22540VQ62 AAA (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2002-22 Class CUSIP Rating II-M-1 22541NBV0 AA (sf) II-M-2 22541NBW8 A (sf) II-B-1 22541NCL1 CCC (sf) IV-A-1 22541NBQ1 AAA (sf) IV-X 22541NBR9 AAA (sf) IV-P 22541NBS7 AAA (sf) D-B-1 22541NBY4 CC (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2003-AR2 Class CUSIP Rating I-A-1 22541NZK8 AAA (sf) II-A-1 22541NZL6 AAA (sf) III-A-1 22541NZM4 AAA (sf) IV-A-1 22541NZN2 AAA (sf) V-A-1 22541NZP7 AAA (sf) C-B-1 22541NZS1 AA+ (sf) C-B-4 22541NZW2 CC (sf) C-B-5 22541NZX0 CC (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2003-AR12 Class CUSIP Rating IV-M-1 22541N5C9 AA (sf) C-B-1 22541N5E5 CC (sf) C-B-2 22541N5F2 CC (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2003-AR22 Class CUSIP Rating IV-M-1 22541QRP9 AA+ (sf) IV-M-2 22541QRQ7 A+ (sf) IV-M-3 22541QRR5 A- (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2003-AR24 Class CUSIP Rating C-B-1 22541QUX8 CCC (sf) VI-M-2 22541QUV2 A+ (sf) C-B-2 22541QUY6 CC (sf) VI-M-3 22541QUW0 BB (sf) C-B-3 22541QUZ3 CC (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2004-AR7 Class CUSIP Rating 1-A-1 22541SRN0 AAA (sf) 2-A-1 22541SRP5 AAA (sf) 3-A-1 22541SRQ3 AAA (sf) 4-A-1 22541SRR1 AAA (sf) 5-A-1 22541SRS9 AAA (sf) 6-A-1 22541SRT7 AAA (sf) 6-A-2 22541SRU4 AAA (sf) 6-A-4 22541SRW0 AAA (sf) 6-A-5 22541SRX8 AAA (sf) C-B-1 22541SSC3 B- (sf) C-B-2 22541SSD1 CC (sf) 6-M-1 22541SRY6 CC (sf) First Horizon Alternative Mortgage Securities Trust 2006-FA1 Series 2006-FA1 Class CUSIP Rating I-A-2 32051GS55 AAA (sf) I-A-5 32051GS89 CC (sf) I-A-6 32051GS97 AAA (sf) II-A-1 32051GU37 CC (sf) II-A-PO 32051GU29 CC (sf) HarborView Mortgage Loan Trust 2006-12 Series 2006-12 Class CUSIP Rating 1A-1A 41162DAA7 CC (sf) 2A-1A2 41162DAC3 CCC (sf) 2A-1B 41162DAE9 AA- (sf) 2A-2A 41162DAF6 CCC (sf) 2A-2B 41162DAG4 CC (sf) 2A-2C 41162DAH2 AA- (sf) MASTR Alternative Loan Trust 2002-1 Series 2002-1 Class CUSIP Rating A-PO 576434AF1 AAA (sf) A-X 576434AH7 AAA (sf) B-1 576434AJ3 AAA (sf) B-2 576434AK0 AAA (sf) MASTR Alternative Loan Trust 2003-8 Series 2003-8 Class CUSIP Rating 1-A-1 576434JS4 AAA (sf) 2-A-1 576434JT2 AAA (sf) 3-A-1 576434JU9 AAA (sf) 3-A-2 576434JV7 AAA (sf) 3-A-3 576434JW5 AAA (sf) 3-A-4 576434JX3 AAA (sf) 4-A-1 576434JY1 AAA (sf) 5-A-1 576434JZ8 AAA (sf) 6-A-1 576434KA1 AAA (sf) 7-A-1 576434KB9 AAA (sf) 15-PO 576434KC7 AAA (sf) 30-PO 576434KD5 AAA (sf) 15-A-X 576434KE3 AAA (sf) 30-AX-1 576434KF0 AAA (sf) 30-AX-2 576434KG8 AAA (sf) B-2 576434KL7 CCC (sf) B-3 576434KM5 CC (sf) B-4 576434KN3 CC (sf) Morgan Stanley Mortgage Loan Trust 2006-17XS Series 2006-17XS Class CUSIP Rating A-1 61751DAA2 CC (sf) A-2-A 61751DAB0 CCC (sf) A-2-B 61751DAC8 CC (sf) A-3-A 61751DAE4 CCC (sf) A-3-B 61751DAF1 CC (sf) A-4 61751DAG9 CC (sf) A-6 61751DAJ3 CC (sf) New York Mortgage Trust 2005-2 Series 2005-2 Class CUSIP Rating A 649603AD9 AAA (sf) M-1 649603AE7 AA (sf) RALI Series 2002-QS3 Trust Series 2002-QS3 Class CUSIP Rating A-4 76110GWQ0 AAA (sf) A-5 76110GWR8 AAA (sf) A-12 76110GWZ0 AAA (sf) A-P 76110GXA4 AAA (sf) A-V 76110GXB2 AAA (sf) M-1 76110GXE6 AAA (sf) RALI Series 2003-QS13 Trust Series 2003-QS13 Class CUSIP Rating A-1 76110HFT1 AAA (sf) A-2 76110HFU8 AAA (sf) A-5 76110HFX2 AAA (sf) A-6 76110HFY0 AAA (sf) A-7 76110HFZ7 AAA (sf) A-8 76110HGA1 AAA (sf) A-9 76110HGB9 AAA (sf) A-10 76110HGC7 AAA (sf) A-P 76110HGD5 AAA (sf) A-V 76110HGE3 AAA (sf) M-3 76110HGK9 CC (sf) Residential Asset Securitization Trust 2002-A13 Series 2002-M Class CUSIP Rating A-4 45660NJM8 AAA (sf) A-5 45660NJN6 AAA (sf) A-6 45660NJP1 AAA (sf) PO 45660NJG1 AAA (sf) A-X 45660NJW6 AAA (sf) Residential Asset Securitization Trust 2002-A14J Series 2002-N Class CUSIP Rating A-9 45660NKY0 AAA (sf) A-10 45660NKZ7 AAA (sf) PO 45660NLA1 AAA (sf) A-X 45660NLB9 AAA (sf) B-1 45660NLD5 AA+ (sf) B-3 45660NLF0 CCC (sf) Residential Asset Securitization Trust 2002-A15 Series 2002-O Class CUSIP Rating A-11 45660NKH7 AAA (sf) PO 45660NKJ3 AAA (sf) A-X 45660NKK0 AAA (sf) B-2 45660NKN4 CCC (sf) B-3 45660NKP9 CC (sf) Residential Asset Securitization Trust 2002-A16 Series 2002-P Class CUSIP Rating A-3 45660NLX1 AAA (sf) PO 45660NLY9 AAA (sf) A-X 45660NLZ6 AAA (sf) B-1 45660NMB8 AA+ (sf) B-3 45660NMD4 CCC (sf) Residential Asset Securitization Trust 2005-A14 Series 2005-N Class CUSIP Rating A-6 45660LT58 AA- (sf) Structured Adjustable Rate Mortgage Loan Trust 2005-6XS Series 2005-6XS Class CUSIP Rating M1 863579ML9 B+ (sf) Structured Asset Securities Corp. Series 2003-25XS Class CUSIP Rating M1 86359AK69 CC (sf) Structured Asset Securities Corp. Series 2004-11XS Class CUSIP Rating 2-A2 86359BUJ8 AAA (sf) 2-M1 86359BUL3 AA+ (sf) 2-M2 86359BVD0 A+ (sf) 1-M2 86359BUN9 CC (sf) * S&P Lowers Ratings on 495 Classes From 284 RMBS Deals to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' on 495 classes of mortgage pass-through certificates from 284 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2001 and 2009. The complete ratings list is available for free at: http://bankrupt.com/misc/S&P_0628_RMBS_Defaults.pdf "The downgrades reflect our assessment of the impact that principal write-downs had on the affected classes during recent remittance periods. Prior to 's rating actions, we rated three classes 'B-(sf)' and rated all other classes in this review 'CCC (sf)' or 'CC (sf)'. We placed our ratings on four classes from one transaction on CreditWatch negative as these classes were within a loan group that included a class that defaulted from 'B- (sf)' or higher," S&P said. Approximately 77.37% of the defaulted classes were from transactions backed by Alternative-A (Alt-A) or prime jumbo mortgage loan collateral. The 495 defaulted classes consist of: 240 classes from Alt-A transactions (48.48% of all defaults); 143 from prime jumbo transactions (28.89%); 88 from subprime transactions (17.74%); 10 from resecuritized real estate mortgage investment conduit (re-REMIC) transactions; Five from reperforming transactions; Four from small balance commercial loan transactions; Two from document deficient transactions; Two from an RMBS 'outside the guidelines' transaction; and One from an RMBS Federal Housing Administration/Veterans Affairs transaction. "We lowered our ratings on three classes from a transaction backed by RMBS prime jumbo collateral to 'D (sf)' from 'B- (sf)'. A combination of subordination, excess spread, and overcollateralization (where applicable) provide credit enhancement for all of the transactions in this review," S&P said. "We expect to resolve the CreditWatch placements after we complete our review of the related transaction. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs, and it will adjust its ratings as it considers appropriate in accordance with its criteria," S&P said. 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 * S&P Cuts Ratings on 61 Classes From 25 RMBS Risk Transfer Deals ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 61 classes from 25 U.S. residential mortgage-backed securities (RMBS) synthetic risk transfer transactions issued by RESI Finance L.P. (RESI) and RESIX Finance Ltd. (RESIX). "Concurrently, we affirmed our ratings on 62 classes from 10 of the transactions with lowered ratings and 27 other transactions. We also withdrew our ratings on 51 classes from 16 transactions due to an allocation of losses resulting in a zero class balance," S&P said. "In risk transfer transactions, the owner of a pool of mortgage loans (the 'protection buyer') enters into a financial guarantee contract with the issuer (the 'protection seller') of the securities. Pursuant to the guarantee agreement, the protection seller guarantees to pay the protection buyer an amount equal to certain realized losses on the underlying pool of mortgage loans, known as the reference portfolio. The mortgage pools we reviewed in the 17 RESI transactions consist primarily of first-lien, fixed-rate and adjustable-rate prime jumbo mortgage loans. The 53 RESIX transactions contain credit-linked notes that replicate the cash flow of subordinate tranches issued within certain RESI transactions," S&P said. "In risk transfer transactions, unlike traditional mortgage-backed securitizations, the actual cash flow from the reference portfolio is not paid to the issuer and ultimately to the transactions' security holders. Rather, the proceeds from the issuance of the securities are deposited in an eligible account and are then invested in eligible investments. The interest payable to the security-holders is paid from income earned on these investments, as well as from payments made by the protection buyer under the financial guarantee contract. The principal payable to the security-holders is paid from funds initially deposited into the eligible account. Principal payments on the securities mirrors the principal payments made on the reference portfolio," S&P said. "When reviewing the transactions, we applied our criteria described in 'Methodology: U.S. RMBS Synthetic Risk Transfers,' published Feb. 6, 2009. We looked at several factors, including the recent performance of the collateral backing these transactions, our current projected losses, the projected credit support to cover those losses, and the rating of the applicable party responsible for making certain interest payments (i.e. protection buyer)," S&P said. "Most of the downgrades reflect our belief that projected credit enhancement for the affected classes will be insufficient to cover the projected losses we applied at the previous rating levels. Additional ratings downgrades reflect the financial strength rating of the protection buyer who is providing contractual interest payments to security holders under the financial guaranty contract," S&P said. "The affirmations reflect our belief that projected credit enhancement available for the affected classes will be sufficient to cover our projected losses at the current rating levels. The affirmed 'CCC (sf)' and 'CC (sf)' ratings reflect our assessment that the credit enhancement for these classes will remain insufficient to cover projected losses," S&P said. 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 RESI Finance Limited Partnership 2003-A Series 2003-A Rating Class CUSIP To From B8 74951PAT5 A (sf) A+ (sf) B9 74951PAU2 A (sf) A+ (sf) B10 74951PAV0 BBB+ (sf) A+ (sf) B11 74951PAW8 BBB- (sf) A- (sf) RESI Finance Limited Partnership 2003-B Series 2003-B Rating Class CUSIP To From B4 74951PAZ1 A (sf) A+ (sf) B5 74951PBA5 BB+ (sf) A+ (sf) B6 74951PBB3 BB- (sf) A+ (sf) B7 74951PBC1 B (sf) BBB (sf) B8 74951PBD9 B- (sf) BB (sf) B9 74951PBE7 CCC (sf) B (sf) RESI Finance Limited Partnership 2003-C Series 2003-C Rating Class CUSIP To From B3 74951PBT4 BBB- (sf) A (sf) B-4 74951PBU1 B+ (sf) A- (sf) B5 74951PBV9 CCC (sf) BB (sf) B6 74951PBW7 CCC (sf) B (sf) RESI Finance Limited Partnership 2003-CB1 Series 2003-CB1 Rating Class CUSIP To From B3 74951PBH0 A (sf) A+ (sf) B4 74951PBJ6 A (sf) A+ (sf) B7 74951PBM9 BB (sf) BBB- (sf) B8 74951PBN7 B (sf) BB (sf) B9 74951PBP2 CCC (sf) B (sf) B10 74951PBQ0 CC (sf) CCC (sf) B11 74951PBR8 CC (sf) CCC (sf) RESI Finance Limited Partnership 2003-D Series 2003-D Rating Class CUSIP To From B3 74951PCC0 BBB- (sf) A (sf) B4 74951PCD8 B+ (sf) A- (sf) B5 74951PCE6 CCC (sf) BB (sf) B6 74951PCF3 CCC (sf) B (sf) RESI Finance Limited Partnership 2004-A Series 2004-A Rating Class CUSIP To From B3 74951PCM8 A (sf) A+ (sf) B4 74951PCN6 BBB (sf) A (sf) B5 74951PCP1 B+ (sf) BBB (sf) B6 74951PCQ9 B- (sf) BB (sf) B7 74951PCR7 CCC (sf) B (sf) RESI Finance Limited Partnership 2004-B Series 2004-B Rating Class CUSIP To From B3 74951PCW6 BBB (sf) A (sf) B4 74951PCX4 BB (sf) A- (sf) B5 74951PCY2 B- (sf) BB (sf) B6 74951PCZ9 CCC (sf) B (sf) RESI Finance Limited Partnership 2004-C Series 2004-C Rating Class CUSIP To From B3 74951PDF2 BBB+ (sf) A (sf) B4 74951PDG0 BB+ (sf) A- (sf) B5 74951PDH8 B- (sf) BB (sf) B6 74951PDJ4 CCC (sf) B (sf) RESI Finance Limited Partnership 2005-A Series 2005-A Rating Class CUSIP To From B3 74951PDQ8 CCC (sf) B (sf) B4 74951PDR6 CCC (sf) B (sf) B6 74951PDT2 CC (sf) CCC (sf) B8 74951PDV7 D (sf) CC (sf) RESI Finance Limited Partnership 2005-B Series 2005-B Rating Class CUSIP To From B4 74951PEA2 CC (sf) CCC (sf) B5 74951PEB0 CC (sf) CCC (sf) RESI Finance Limited Partnership 2005-C Series 2005-C Rating Class CUSIP To From B4 76113GAB4 CC (sf) CCC (sf) RESI Finance Limited Partnership 2005-D Series 2005-D Rating Class CUSIP To From B3 74951PEJ3 CC (sf) CCC (sf) B4 74951PEK0 D (sf) CCC (sf) RESI Finance Limited Partnership 2006-A Series 2006-A Rating Class CUSIP To From B3 NOTES 76113DAA3 CC (sf) CCC (sf) B4 NOTES 76113DAB1 D (sf) CC (sf) RESI Finance Limited Partnership 2006-B Series 2006-B Rating Class CUSIP To From B3 Notes 76113RAA2 NR D (sf) B4 Notes 76113RAB0 NR D (sf) B5 Notes 76113RAC8 NR D (sf) B6 Notes 76113RAD6 NR D (sf) B7 Notes 76113RAE4 NR D (sf) B8 Notes 76113RAF1 NR D (sf) B9 Cert 76113RAG9 NR D (sf) B10 Cert 76113RAH7 NR D (sf) B11 Cert 76113RAJ3 NR D (sf) RESI Finance Limited Partnership 2006-C Series 2006-C Rating Class CUSIP To From B3 76113VAA3 NR D (sf) B4 76113VAB1 NR D (sf) B5 76113VAC9 NR D (sf) B6 76113VAD7 NR D (sf) B7 76113VAE5 NR D (sf) B8 76113VAF2 NR D (sf) B9 76113VAG0 NR D (sf) B10 76113VAH8 NR D (sf) B11 76113VAJ4 NR D (sf) B12 76113VAK1 NR D (sf) RESI Finance Limited Partnership 2007-A Series 2007-A Rating Class CUSIP To From B3 74951RAA2 NR D (sf) B4 74951RAB0 NR D (sf) B5 74951RAC8 NR D (sf) B6 74951RAD6 NR D (sf) B7 74951RAE4 NR D (sf) B8 74951RAF1 NR D (sf) B9 74951RAG9 NR D (sf) B10 74951RAH7 NR D (sf) B11 74951RAJ3 NR D (sf) B12 74951RAK0 NR D (sf) RESI Finance Limited Partnership 2007-B Series 2007-B Rating Class CUSIP To From B3 74951QAA4 NR D (sf) B4 74951QAB2 NR D (sf) B5 74951QAC0 NR D (sf) B6 74951QAD8 NR D (sf) B7 74951QAE6 NR D (sf) B8 74951QAF3 NR D (sf) B9 74951QAG1 NR D (sf) B10 74951QAH9 NR D (sf) B11 74951QAJ5 NR D (sf) B12 74951QAK2 NR D (sf) RESIX Finance Limited Series 2003-A B11 Rating Class CUSIP To From B11 76116LAC8 BBB- (sf) A- (sf) RESIX Finance Limited Series 2003-A B10 Rating Class CUSIP To From B10 76116LAB0 BBB+ (sf) A+ (sf) RESIX Finance Limited Series 2003-B B9 Rating Class CUSIP To From B9 76116LAD6 CCC (sf) B (sf) RESIX Finance Limited Series 2003-CB1B7 Rating Class CUSIP To From B7 76116LAG9 BB (sf) BBB- (sf) RESIX Finance Limited Series 2003-CB1B8 Rating Class CUSIP To From B8 76116LAH7 B (sf) BB (sf) RESIX Finance Limited Series 2003-CB1B9 Rating Class CUSIP To From B9 76116LAJ3 CCC (sf) B (sf) RESIX Finance Limited Series 2003CB1B10 Rating Class CUSIP To From B10 76116LAK0 CC (sf) CCC (sf) RESIX Finance Limited Series 2003CB1B11 Rating Class CUSIP To From B11 76116LAL8 CC (sf) CCC (sf) RESIX Finance Limited Series 2003-B B7 Rating Class CUSIP To From B7 76116LAY0 B (sf) BBB (sf) RESIX Finance Limited Series 2003-A B9 Rating Class CUSIP To From B9 76116LAW4 A (sf) A+ (sf) RESIX Finance Limited Series 2004-A B7 Rating Class CUSIP To From B7 76116LBF0 CCC (sf) B (sf) RESIX Finance Limited Series 2005-A-B8 Rating Class CUSIP To From B8 76116LBX1 D (sf) CC (sf) RESIX Finance Limited Series 2005-A-B9 Rating Class CUSIP To From B9 76116LBY9 NR D (sf) RESIX Finance Limited Series 2005-A-B10 Rating Class CUSIP To From B10 76116LBZ6 NR D (sf) RESIX Finance Limited Series 2005-A-B11 Rating Class CUSIP To From B11 76116LCA0 NR D (sf) RESIX Finance Limited Series 2005-B-B8 Rating Class CUSIP To From B8 76116LCC6 NR D (sf) RESIX Finance Limited Series 2005-B-B9 Rating Class CUSIP To From B9 76116LCD4 NR D (sf) RESIX Finance Limited Series 2005-B-B11 Rating Class CUSIP To From B11 76116LCF9 NR D (sf) RESIX Finance Limited Series 2005-B-B10 Rating Class CUSIP To From B10 76116LCE2 NR D (sf) RESIX Finance Limited Series 2005-C-B8 Rating Class CUSIP To From B8 76116LCH5 NR D (sf) RESIX Finance Limited Series 2005-C-B9 Rating Class CUSIP To From B9 76116LCJ1 NR D (sf) RESIX Finance Limited Series 2005-C-B10 Rating Class CUSIP To From B10 76116LCK8 NR D (sf) RESIX Finance Limited Series 2005-C-B11 Rating Class CUSIP To From B11 76116LCL6 NR D (sf) RESIX Finance Limited Series 2007-A-B8 Rating Class CUSIP To From B-8 76116LDR2 NR D (sf) RATINGS AFFIRMED RESI Finance Limited Partnership 2003-B Series 2003-B Class CUSIP Rating B10 74951PBF4 CCC (sf) B11 74951PBG2 CCC (sf) RESI Finance Limited Partnership 2003-C Series 2003-C Class CUSIP Rating B7 74951PBX5 CCC (sf) B8 74951PBY3 CCC (sf) B9 74951PBZ0 CC (sf) B10 74951PCA4 CC (sf) B11 74951PCB2 CC (sf) RESI Finance Limited Partnership 2003-CB1 Series 2003-CB1 Class CUSIP Rating B5 74951PBK3 A (sf) B6 74951PBL1 A- (sf) RESI Finance Limited Partnership 2003-D Series 2003-D Class CUSIP Rating B7 74951PCG1 CCC (sf) B8 74951PCH9 CCC (sf) B9 74951PCJ5 CC (sf) B10 74951PCK2 CC (sf) B11 74951PCL0 CC (sf) RESI Finance Limited Partnership 2004-A Series 2004-A Class CUSIP Rating B8 74951PCS5 CCC (sf) B9 74951PCT3 CC (sf) B10 74951PCU0 CC (sf) B11 74951PCV8 CC (sf) RESI Finance Limited Partnership 2004-B Series 2004-B Class CUSIP Rating B7 74951PDA3 CCC (sf) B8 74951PDB1 CCC (sf) B9 74951PDC9 CC (sf) B10 74951PDD7 CC (sf) B11 74951PDE5 CC (sf) RESI Finance Limited Partnership 2004-C Series 2004-C Class CUSIP Rating B7 74951PDK1 CCC (sf) B8 74951PDL9 CC (sf) B9 74951PDM7 CC (sf) B10 74951PDN5 CC (sf) B11 74951PDP0 CC (sf) RESI Finance Limited Partnership 2005-A Series 2005-A Class CUSIP Rating B5 74951PDS4 CCC (sf) B7 74951PDU9 CC (sf) RESI Finance Limited Partnership 2005-B Series 2005-B Class CUSIP Rating B3 74951PDZ8 CCC (sf) B6 74951PEC8 CC (sf) RESI Finance Limited Partnership 2005-C Series 2005-C Class CUSIP Rating B3 76113GAA6 CCC (sf) B5 76113GAC2 CC (sf) B6 76113GAD0 CC (sf) RESIX Finance Limited Series 2003-C B9 Class CUSIP Rating B9 76116LAQ7 CC (sf) RESIX Finance Limited Series 2003-C B10 Class CUSIP Rating B10 76116LAR5 CC (sf) RESIX Finance Limited Series 2003-C B11 Class CUSIP Rating B11 76116LAS3 CC (sf) RESIX Finance Limited Series 2003-C B7 Class CUSIP Rating B7 76116LAN4 CCC (sf) RESIX Finance Limited Series 2003-C B8 Class CUSIP Rating B8 76116LAP9 CCC (sf) RESIX Finance Limited Series 2003-B B10 Class CUSIP Rating B10 76116LAE4 CCC (sf) RESIX Finance Limited Series 2003-B B11 Class CUSIP Rating B11 76116LAF1 CCC (sf) RESIX Finance Limited Series 2003-D B11 Class CUSIP Rating B11 76116LBD5 CC (sf) RESIX Finance Limited Series 2003-D B10 Class CUSIP Rating B10 76116LBC7 CC (sf) RESIX Finance Limited Series 2003-D B9 Class CUSIP Rating B9 76116LBB9 CC (sf) RESIX Finance Limited Series 2003-D B8 Class CUSIP Rating B8 76116LBA1 CCC (sf) RESIX Finance Limited Series 2003-D B7 Class CUSIP Rating B7 76116LAZ7 CCC (sf) RESIX Finance Limited Series 2004-A B11 Class CUSIP Rating B11 76116LBK9 CC (sf) RESIX Finance Limited Series 2004-A B10 Class CUSIP Rating B10 76116LBJ2 CC (sf) RESIX Finance Limited Series 2004-A B9 Class CUSIP Rating B9 76116LBH6 CC (sf) RESIX Finance Limited Series 2004-A B8 Class CUSIP Rating B8 76116LBG8 CCC (sf) RESIX Finance Limited Series 2004-B B7 Class CUSIP Rating B7 76116LBL7 CCC (sf) RESIX Finance Limited Series 2004-B B8 Class CUSIP Rating B8 76116LBM5 CCC (sf) RESIX Finance Limited Series 2004-B B9 Class CUSIP Rating B9 76116LBN3 CC (sf) RESIX Finance Limited Series 2004-B B10 Class CUSIP Rating B10 76116LBP8 CC (sf) RESIX Finance Limited Series 2004-B B11 Class CUSIP Rating B11 76116LBQ6 CC (sf) RESIX Finance Limited Series 2004-C B11 Class CUSIP Rating B11 76116LBV5 CC (sf) RESIX Finance Limited Series 2004-C B10 Class CUSIP Rating B10 76116LBU7 CC (sf) RESIX Finance Limited Series 2004-C B9 Class CUSIP Rating B9 76116LBT0 CC (sf) RESIX Finance Limited Series 2004-C B8 Class CUSIP Rating B8 76116LBS2 CC (sf) RESIX Finance Limited Series 2004-C B7 Class CUSIP Rating B7 76116LBR4 CCC (sf) RESIX Finance Limited Series 2005-A-B7 Class CUSIP Rating B7 76116LBW3 CC (sf) * S&P Raises Ratings on 12 Tranches From 4 U.S. CDO Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on 12 tranches from four U.S. collateralized debt obligation (CDO) transactions backed by pools of trust preferred securities (TruPs). "The upgraded tranches have a total original issuance amount of $1.03 billion. In addition, we affirmed our ratings on 11 tranches from four U.S. TruPs CDO transactions," S&P said. "The rating actions reflect improvements in the transactions' underlying collateral portfolios, including changes in the credit quality of the insurance companies that issued the TruPs that collateralize these CDOs. For example, the transactions hold fewer defaulted assets than they did at the time of our last rating actions on them," S&P said. "Additionally, the rating actions reflect significant paydowns made to the senior notes in the transactions. The four transactions have paid down their senior notes by about 40%-80% of their original issuance amounts," S&P said. "The affirmations reflect our view that the affirmed tranches have sufficient credit support to maintain their current rating levels," S&P said. "Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS InCaps Funding I Ltd. Rating Class To From A A- (sf) BBB (sf) B-1 CCC+ (sf) CCC- (sf) B-2 CCC+ (sf) CCC- (sf) InCaps Funding II Ltd. Rating Class To From A-1 A+ (sf) BBB+ (sf) A-2 BB+ (sf) B+ (sf) Dekania CDO I Ltd. Rating Class To From A-1 A+ (sf) BBB- (sf) A-2 BBB+ (sf) BB (sf) B BBB- (sf) B+ (sf) Dekania CDO II Ltd. Rating Class To From A-1 A- (sf) BBB+ (sf) A-2 BBB+ (sf) BBB (sf) B BBB- (sf) BB+ (sf) Combo Notes A- (sf) BB+ (sf) RATING AFFIRMATIONS InCaps Funding I Ltd. Class Rating C CCC- (sf) InCaps Funding II Ltd. Class Rating B-1 CCC- (sf) B-2 CCC- (sf) C CCC- (sf) Dekania CDO I Ltd. Class Rating C-1 CCC- (sf) C-2 CCC- (sf) D CCC- (sf) Dekania CDO II Ltd. Class Rating C-1 CCC (sf) C-2 CCC (sf) D-1 CCC- (sf) D-2 CCC- (sf) * S&P Raises Ratings on 15 Tranches From 8 US TruPs CDO Deals ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on 15 tranches from eight U.S. collateralized debt obligation (CDO) transactions backed by pools of trust preferred securities (TruPs). "At the same time, we removed our ratings on nine of these tranches from CreditWatch with positive implications. The upgraded tranches have a total issuance amount of $3.145 billion. In addition, we affirmed our ratings on six tranches from five U.S. TruPs CDO transactions and withdrew our rating on one tranche from one transaction," 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 benefitted 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 ALESCO Preferred Funding VII Ltd. Rating Class To From A-1A AA- (sf) AA- (sf) A-1B B+ (sf) CCC- (sf)/Watch Pos A-2 CCC+ (sf) CCC- (sf) B CCC- (sf) CCC- (sf) Alesco Preferred Funding XII Ltd. Rating Class To From X A- (sf) BBB (sf)/Watch Pos A-1 BB (sf) CCC (sf)/Watch Pos A-2 CCC+ (sf) CCC- (sf) P-1 Combo AA+ (sf) AA+ (sf) P-2 Combo NR (sf) AA+ (sf) ALESCO Preferred Funding XV Ltd. Rating Class To From A-1 B- (sf) CCC- (sf)/Watch Pos ALESCO Preferred Funding XVI Ltd. Rating Class To From A CCC- (sf) CCC- (sf) Preferred Term Securities XVII Ltd. Rating Class To From A-1 B+ (sf) CCC- (sf)/Watch Pos A-2 CCC- (sf) CCC- (sf) Preferred Term Securities XVIII Ltd. Rating Class To From A-1 BB+ (sf) CCC+ (sf)/Watch Pos A-2 CCC+ (sf) CCC- (sf) Preferred Term Securities XXVI Ltd. Rating Class To From A-1 BB- (sf) CCC (sf)/Watch Pos A-2 CCC (sf) CCC- (sf) Preferred Term Securities XXVIII Ltd. Rating Class To From A-1 B (sf) CCC (sf)/Watch Pos A-2 CCC- (sf) CCC- (sf) Trapeza CDO XIII Ltd. Rating Class To From A-1 BB+ (sf) CCC+ (sf)/Watch Pos A-2a B+ (sf) CCC- (sf) A-2b B+ (sf) CCC- (sf) NR-Not rated. ********* 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 ***